Invesco Mortgage Capital (IVR) 10-Q 8 May 19 2019 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2019	Apr. 30, 2019
Document And Entity Information [Abstract]
Entity Registrant Name	Invesco Mortgage Capital Inc.
Trading Symbol	IVR
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Document Type	10-Q
Document Period End Date	Mar. 31, 2019
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q1
Amendment Flag	false
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Common Stock, Shares Outstanding		128,588,493

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $20,544,317 and $17,082,825, respectively)	$ 21,127,598	$ 17,396,642
Cash and cash equivalents	78,482	135,617
Restricted cash	5,025	0
Due from counterparties	13,000	13,500
Investment related receivable	70,789	66,598
Derivative assets, at fair value	26,580	15,089
Other assets	177,913	186,059
Total assets	21,499,387	17,813,505
Liabilities:
Repurchase agreements	16,824,387	13,602,484
Secured loans	1,650,000	1,650,000
Derivative liabilities, at fair value	8,463	23,390
Dividends and distributions payable	60,433	49,578
Investment related payable	222,500	132,096
Accrued interest payable	47,100	37,620
Collateral held payable	2,273	18,083
Accounts payable and accrued expenses	2,384	1,694
Due to affiliate	10,133	11,863
Total liabilities	18,827,673	15,526,808
Commitments and contingencies
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 128,267,497 and 111,584,996 shares issued and outstanding, respectively	1,282	1,115
Additional paid in capital	2,642,050	2,383,532
Accumulated other comprehensive income	277,182	220,813
Retained earnings (distributions in excess of earnings)	(812,124)	(882,087)
Total stockholders’ equity	2,671,714	2,286,697
Total liabilities and stockholders' equity	21,499,387	17,813,505
Series A Preferred Stock
Equity:
Preferred Stock	135,356	135,356
Series B Preferred Stock
Equity:
Preferred Stock	149,860	149,860
Series C Preferred Stock
Equity:
Preferred Stock	$ 278,108	$ 278,108

CONDENSED CONSOLIDATED BALANC_2

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Preferred Stock - par value (in usd per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized	450,000,000	450,000,000
Common Stock - shares issued	128,267,497	111,584,996
Common Stock - shares outstanding	128,267,497	111,584,996
MBS and GSE CRT pledged as collateral	$ 20,544,317	$ 17,082,825
Series A Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	5,600,000	5,600,000
Preferred Stock - shares outstanding	5,600,000	5,600,000
Preferred Stock - liquidation preference value	$ 140,000	$ 140,000
Series B Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	6,200,000	6,200,000
Preferred Stock - shares outstanding	6,200,000	6,200,000
Preferred Stock - liquidation preference value	$ 155,000	$ 155,000
Series C Preferred Stock
Preferred Stock - dividend rate stated percentage	7.50%	7.50%
Preferred Stock - shares issued	11,500,000	11,500,000
Preferred Stock - shares outstanding	11,500,000	11,500,000
Preferred Stock - liquidation preference value	$ 287,500	$ 287,500

CONDENSED CONSOLIDATED STATEMEN

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Interest Income
Mortgage-backed and credit risk transfer securities	$ 185,492	$ 149,003
Commercial and other loans	1,582	4,222
Total interest income	187,074	153,225
Interest Expense
Repurchase agreements	101,875	59,585
Secured loans	11,144	6,927
Exchangeable senior notes	0	1,621
Total interest expense	113,019	68,133
Net interest income	74,055	85,092
Other Income (loss)
Gain (loss) on investments, net	268,382	(160,370)
Equity in earnings (losses) of unconsolidated ventures	692	896
Gain (loss) on derivative instruments, net	(201,460)	133,367
Realized and unrealized credit derivative income (loss), net	7,884	3,165
Net loss on extinguishment of debt	0	(26)
Other investment income (loss), net	1,029	3,102
Total other income (loss)	76,527	(19,866)
Expenses
Management fee – related party	9,534	10,221
General and administrative	2,258	1,756
Total expenses	11,792	11,977
Net income	138,790	53,249
Net income attributable to non-controlling interest	0	671
Net income attributable to Invesco Mortgage Capital Inc.	138,790	52,578
Dividends to preferred stockholders	11,107	11,107
Net income attributable to common stockholders	$ 127,683	$ 41,471
Earnings per share:
Net income attributable to common shareholders (basic) (usd per share)	$ 1.05	$ 0.37
Net income attributable to common shareholders (diluted) (usd per share)	$ 1.05	$ 0.37

CONDENSED CONSOLIDATED STATEM_2

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Statement of Comprehensive Income [Abstract]
Net income	$ 138,790	$ 53,249
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	52,349	(132,317)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	10,147	9,237
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,851)	(6,539)
Currency translation adjustments on investment in unconsolidated venture	(276)	312
Total other comprehensive income (loss)	56,369	(129,307)
Comprehensive income (loss)	195,159	(76,058)
Less: Comprehensive (income) loss attributable to non-controlling interest	0	959
Less: Dividends to preferred stockholders	(11,107)	(11,107)
Comprehensive income (loss) attributable to common stockholders	$ 184,052	$ (86,206)

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENTS OF EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Preferred StockSeries A Preferred Stock	Preferred StockSeries B Preferred Stock	Preferred StockSeries C Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Distributions in excess of earnings)	Total Stockholders’ Equity	Non- Controlling Interest
Beginning Balance (in shares) at Dec. 31, 2017		5,600,000	6,200,000	11,500,000	111,624,159
Balance at beginning of period at Dec. 31, 2017	$ 2,656,878	$ 135,356	$ 149,860	$ 278,108	$ 1,116	$ 2,384,356	$ 261,029	$ (579,334)	$ 2,630,491	$ 26,387
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	53,249							52,578	52,578	671
Other comprehensive income	(129,307)						(127,677)		(127,677)	(1,630)
Stock awards (in shares)					12,564
Common stock dividends	(46,887)							(46,887)	(46,887)
Noncontrolling Interest, Decrease from Distributions to Noncontrolling Interest Holders	(599)									(599)
Preferred stock dividends	(11,107)							(11,107)	(11,107)
Amortization of equity-based compensation	129					127			127	2
Rebalancing of ownership percentage of non-controlling interest						143			143	(143)
Ending Balance (in shares) at Mar. 31, 2018		5,600,000	6,200,000	11,500,000	111,636,723
Balance at end of period at Mar. 31, 2018	2,522,356	$ 135,356	$ 149,860	$ 278,108	$ 1,116	2,384,626	133,352	(584,750)	2,497,668	$ 24,688
Beginning Balance (in shares) at Dec. 31, 2018		5,600,000	6,200,000	11,500,000	111,584,996
Balance at beginning of period at Dec. 31, 2018		$ 135,356	$ 149,860	$ 278,108	$ 1,115	2,383,532	220,813	(882,087)	2,286,697
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	138,790							138,790	138,790
Other comprehensive income	$ 56,369						56,369		56,369
Proceeds from issuance of common stock, net of offering costs (in shares)					16,672,000
Proceeds from issuance of common stock, net of offering costs					$ 167	258,386			258,553
Stock awards (in shares)					10,501
Common stock dividends								(57,720)	(57,720)
Preferred stock dividends								(11,107)	(11,107)
Amortization of equity-based compensation						132			132
Ending Balance (in shares) at Mar. 31, 2019		5,600,000	6,200,000	11,500,000	128,267,497
Balance at end of period at Mar. 31, 2019		$ 135,356	$ 149,860	$ 278,108	$ 1,282	$ 2,642,050	$ 277,182	$ (812,124)	$ 2,671,714

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Cash Flows from Operating Activities
Net income	$ 138,790	$ 53,249
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	3,185	12,663
Realized and unrealized (gain) loss on derivative instruments, net	205,969	(145,479)
Realized and unrealized (gain) loss on credit derivatives, net	(2,534)	2,468
(Gain) loss on investments, net	(268,382)	160,370
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	(692)	(352)
Other amortization	(5,719)	(6,265)
Net loss on extinguishment of debt	0	26
(Gain) loss on foreign currency transactions, net	0	(1,800)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	(10,015)	1,334
Increase in operating liabilities	7,758	562
Net cash provided by operating activities	68,360	76,776
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(4,340,536)	(298,859)
(Contributions to) distributions from investments in unconsolidated ventures, net	299	(1,532)
Change in other assets	1,154	0
Principal payments from mortgage-backed and credit risk transfer securities	300,222	488,123
Proceeds from sale of mortgage-backed and credit risk transfer securities	734,834	0
Settlement (termination) of futures, currency forwards and interest rate swaps, net	(232,387)	113,578
Net change in due from counterparties and collateral held payable	(14,060)	14,853
Principal payments from commercial loans held-for-investment	7,128	10,042
Origination and advances of commercial loans, net of origination fees	0	(698)
Net cash (used in) provided by investing activities	(3,543,346)	325,507
Cash Flows from Financing Activities
Proceeds from issuance of common stock	258,966	0
Proceeds from repurchase agreements	28,316,732	35,711,164
Principal repayments of repurchase agreements	(25,094,829)	(35,880,828)
Extinguishment of exchangeable senior notes	0	(143,433)
Payments of deferred costs	(21)	(76)
Payments of dividends and distributions	(57,972)	(58,587)
Net cash provided by (used in) financing activities	3,422,876	(371,760)
Net change in cash, cash equivalents and restricted cash	(52,110)	30,523
Cash, cash equivalents and restricted cash, beginning of period	135,617	89,001
Cash, cash equivalents and restricted cash, end of period	83,507	119,524
Supplement Disclosure of Cash Flow Information
Interest paid	109,392	73,811
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	62,496	(123,080)
Dividends and distributions declared not paid	60,433	50,199
Net change in investment related payable (receivable)	(95,250)	80,688
Offering costs not paid	$ (413)	$ 0

Organization and Business Opera

Organization and Business Operations	3 Months Ended
	Mar. 31, 2019
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company", "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and other mortgage-related assets. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership") and have one operating segment. Prior to November 30, 2018, a wholly-owned subsidiary of Invesco owned 1.3% of the Operating Partnership. See Note 15 - "Non-Controlling Interest - Operating Partnership" of our Annual Report on Form 10-K for the year ended December 31, 2018 for information regarding redemption of Operating Partnership Units ("OP Units") previously held by Invesco. We primarily invest in: • Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); • Residential and commercial mortgage loans; and • Other real estate-related financing agreements. We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986 commencing with our taxable year ended December 31, 2009. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940.

Summary of Significant Accounti

Summary of Significant Accounting Policies	3 Months Ended
	Mar. 31, 2019
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2018 . Our condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Reclassifications Our condensed consolidated balance sheet for the year ended December 31, 2018 presented in this Form 10-Q includes a reclassification of Commercial Loans, held-for-investment to Other assets to conform to our current period presentation. See Note 5 - "Other Assets" for further information. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, provision for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2018 except for the implementation of new accounting guidance for stock-based payments to non-employees discussed below. Accounting Pronouncements Recently Adopted Effective January 1, 2019, we adopted the accounting guidance that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards is fixed at the grant date. The implementation of the guidance did not have a material impact on our financial statements. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and 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 and proposed amendments to the new guidance on our consolidated financial statements.

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	3 Months Ended
	Mar. 31, 2019
Variable Interest Entity Disclosure [Abstract]
Variable Interest Entities (VIEs)	Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2019 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,455,806 3,455,806 Non-Agency RMBS 1,186,896 1,186,896 Investments in unconsolidated ventures 24,129 24,129 Total 4,666,831 4,666,831 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments.

Mortgage-Backed and Credit Risk

Mortgage-Backed and Credit Risk Transfer Securities	3 Months Ended
	Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of March 31, 2019 and December 31, 2018 . March 31, 2019 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 343,116 2,595 345,711 6,391 352,102 3.34 % 30 year fixed-rate 12,264,517 386,145 12,650,662 65,974 12,716,636 3.66 % ARM * 6,215 184 6,399 5 6,404 3.64 % Hybrid ARM* 170,397 3,602 173,999 (478 ) 173,521 3.11 % Total Agency RMBS pass-through 12,784,245 392,526 13,176,771 71,892 13,248,663 3.64 % Agency-CMO (2) 913,574 (585,878 ) 327,696 (545 ) 327,151 3.65 % Agency CMBS 1,898,205 35,961 1,934,166 67,387 2,001,553 3.48 % Non-Agency CMBS (3) 4,127,880 (737,241 ) 3,390,639 65,167 3,455,806 5.08 % Non-Agency RMBS (4)(5)(6) 2,774,428 (1,700,612 ) 1,073,816 113,080 1,186,896 6.89 % GSE CRT (7) 823,578 19,823 843,401 64,128 907,529 3.16 % Total 23,321,910 (2,575,421 ) 20,746,489 381,109 21,127,598 4.01 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of March 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 67.8% of principal/notional balance, 10.3% of amortized cost and 9.7% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 14.6% of principal/notional balance, 0.4% of amortized cost and 0.4% of fair value. (4) Non-Agency RMBS is 54.9% fixed rate, 39.7% variable rate, and 5.4% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $140.8 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 54.6% of principal/notional balance, 2.2% of amortized cost and 2.1% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. December 31, 2018 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 417,233 5,077 422,310 1,944 424,254 3.27 % 30 year fixed-rate 9,599,301 298,693 9,897,994 (125,225 ) 9,772,769 3.55 % ARM 105,453 350 105,803 (56 ) 105,747 2.74 % Hybrid ARM 548,133 13,425 561,558 (7,357 ) 554,201 2.80 % Total Agency RMBS pass-through 10,670,120 317,545 10,987,665 (130,694 ) 10,856,971 3.49 % Agency-CMO (2) 907,862 (631,180 ) 276,682 (8,991 ) 267,691 3.61 % Agency CMBS 973,122 15,058 988,180 14,330 1,002,510 3.54 % Non-Agency CMBS (3) 4,024,715 (727,307 ) 3,297,408 (10,949 ) 3,286,459 5.05 % Non-Agency RMBS (4)(5)(6) 2,800,335 (1,748,223 ) 1,052,112 111,570 1,163,682 7.24 % GSE CRT (7) 738,529 21,259 759,788 59,541 819,329 3.10 % Total 20,114,683 (2,752,848 ) 17,361,835 34,807 17,396,642 4.00 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 73.6% o f principal (notional) balance, 13.5% of amortized cost and 12.4% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS is 43.5% variable rate, 50.7% fixed rate, and 5.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $145.6 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2019 and December 31, 2018 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of March 31, 2019 and December 31, 2018 , approximately 76% and 67% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. March 31, 2019 December 31, 2018 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 135,169 216,933 352,102 204,347 219,907 424,254 30 year fixed-rate 918,778 11,797,858 12,716,636 1,093,070 8,679,699 9,772,769 ARM 6,404 — 6,404 105,747 — 105,747 Hybrid ARM 141,320 32,201 173,521 521,199 33,002 554,201 Total RMBS Agency pass-through 1,201,671 12,046,992 13,248,663 1,924,363 8,932,608 10,856,971 Agency-CMO 166,730 160,421 327,151 168,385 99,306 267,691 Agency CMBS — 2,001,553 2,001,553 — 1,002,510 1,002,510 Non-Agency CMBS 2,144,187 1,311,619 3,455,806 2,153,403 1,133,056 3,286,459 Non-Agency RMBS 916,158 270,738 1,186,896 961,445 202,237 1,163,682 GSE CRT 579,142 328,387 907,529 586,231 233,098 819,329 Total 5,007,888 16,119,710 21,127,598 5,793,827 11,602,815 17,396,642 The components of the carrying value of our MBS and GSE CRT portfolio at March 31, 2019 and December 31, 2018 are presented below. March 31, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 20,734,762 2,587,148 23,321,910 Unamortized premium 488,161 — 488,161 Unamortized discount (545,248 ) (2,518,334 ) (3,063,582 ) Gross unrealized gains (1) 447,903 5,613 453,516 Gross unrealized losses (1) (67,022 ) (5,385 ) (72,407 ) Fair value 21,058,556 69,042 21,127,598 December 31, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,442,367 2,672,316 20,114,683 Unamortized premium 395,907 — 395,907 Unamortized discount (549,988 ) (2,598,767 ) (3,148,755 ) Gross unrealized gains (1) 238,579 7,448 246,027 Gross unrealized losses (1) (204,664 ) (6,556 ) (211,220 ) Fair value 17,322,201 74,441 17,396,642 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2019 and 2018 is provided below within this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2019 and December 31, 2018 . $ in thousands March 31, 2019 December 31, 2018 Less than one year 49,768 110,020 Greater than one year and less than five years 5,188,229 3,508,100 Greater than or equal to five years 15,889,601 13,778,522 Total 21,127,598 17,396,642 The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2019 and December 31, 2018 . March 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 8,398 (28 ) 21 35,070 (165 ) 25 43,468 (193 ) 46 30 year fixed-rate 1,286 (11 ) 4 4,448,849 (50,925 ) 146 4,450,135 (50,936 ) 150 ARM — — — 2,760 (60 ) 2 2,760 (60 ) 2 Hybrid ARM 3,059 (6 ) 1 101,210 (1,595 ) 24 104,269 (1,601 ) 25 Total Agency RMBS pass-through (1) 12,743 (45 ) 26 4,587,889 (52,745 ) 197 4,600,632 (52,790 ) 223 Agency-CMO (2) 9,749 (3,276 ) 16 109,177 (3,380 ) 20 118,926 (6,656 ) 36 Non-Agency CMBS (3) 94,622 (538 ) 9 478,174 (10,226 ) 41 572,796 (10,764 ) 50 GSE CRT (4) 62,965 (381 ) 4 — — — 62,965 (381 ) 4 Non-Agency RMBS (5) 63,102 (1,225 ) 13 93,291 (591 ) 15 156,393 (1,816 ) 28 Total 243,181 (5,465 ) 68 5,268,531 (66,942 ) 273 5,511,712 (72,407 ) 341 (1) Includes Agency RMBS with a fair value of $ 4.2 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 47.0 million . (2) Includes Agency IO and Agency-CMO with fair value of $13.9 million and $17.9 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $4.6 million and $64,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $323.9 million for which the fair value option has been elected. Such securities have unrealized losses of $3.1 million . (4) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.1 million and $4.9 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $223,000 and $821,000 , respectively. December 31, 2018 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 86,241 (814 ) 50 16,660 (189 ) 22 102,901 (1,003 ) 72 30 year fixed-rate 3,966,347 (49,182 ) 158 2,846,090 (94,716 ) 95 6,812,437 (143,898 ) 253 ARM 2,632 (28 ) 1 49,954 (785 ) 10 52,586 (813 ) 11 Hybrid ARM 6,758 (59 ) 2 453,463 (8,390 ) 71 460,221 (8,449 ) 73 Total Agency RMBS pass-through (1) 4,061,978 (50,083 ) 211 3,366,167 (104,080 ) 198 7,428,145 (154,163 ) 409 Agency-CMO (2) 152,962 (6,315 ) 34 101,705 (5,100 ) 19 254,667 (11,415 ) 53 Non-Agency CMBS (3) 1,214,691 (17,778 ) 94 659,298 (25,381 ) 52 1,873,989 (43,159 ) 146 Non-Agency RMBS (4) 87,850 (1,152 ) 19 89,265 (1,138 ) 16 177,115 (2,290 ) 35 GSE CRT (5) 9,639 (193 ) 1 — — — 9,639 (193 ) 1 Total 5,527,120 (75,521 ) 359 4,216,435 (135,699 ) 285 9,743,555 (211,220 ) 644 (1) Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 130.2 million . (2) Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. Such securities have unrealized losses of $26.3 million . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million for which the fair value option has been elected. Such securities have unrealized losses of $79,000 and $269,000 , respectively. (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. Gross unrealized losses on our Agency RMBS, Agency CMBS, GSE CRT and CMO were $55.3 million at March 31, 2019 ( December 31, 2018 : $159.3 million ). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at March 31, 2019 and December 31, 2018 , any unrealized losses on these securities are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS and non-Agency CMBS were $17.1 million at March 31, 2019 ( December 31, 2018 : $51.9 million ). We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rates, prepayment speeds, and market fluctuations. These investment securities are included in our assessment for other-than-temporary impairment ("OTTI"). We assess our investment securities for OTTI on a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The following table summarizes OTTI included in earnings for the three months ended March 31, 2019 and 2018 : Three Months Ended March 31, $ in thousands 2019 2018 RMBS interest-only securities 1,463 4,309 Non-Agency RMBS (1) 313 50 Total 1,776 4,359 (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 March 31, 2019 , we did not intend to sell the securities and determined that it was not more likely than not that we will be required to sell the securities. The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, $ in thousands 2019 2018 Gross realized gains on sale of investments 1,202 — Gross realized losses on sale of investments (12,317 ) (9,237 ) Other-than-temporary impairment losses (1,776 ) (4,359 ) Net unrealized gains and losses on MBS accounted for under the fair value option 280,039 (147,195 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option 1,234 434 Net unrealized gains and losses on trading securities — (13 ) Total gain (loss) on investments, net 268,382 (160,370 ) The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2019 and 2018 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and Agency CMBS 130,197 (12,725 ) 117,472 Non-Agency CMBS 38,830 3,031 41,861 Non-Agency RMBS 14,267 3,922 18,189 GSE CRT 8,596 (1,178 ) 7,418 Other 552 — 552 Total 192,442 (6,950 ) 185,492 For the three months ended March 31, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and Agency CMBS 108,317 (23,222 ) 85,095 Non-Agency CMBS 37,293 1,426 38,719 Non-Agency RMBS 14,012 5,177 19,189 GSE CRT 6,525 (697 ) 5,828 Other 172 — 172 Total 166,319 (17,316 ) 149,003

Other Assets

Other Assets	3 Months Ended
	Mar. 31, 2019
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of March 31, 2019 and December 31, 2018 . $ in thousands March 31, 2019 December 31, 2018 FHLBI stock 74,250 74,250 Loan participation interest 53,827 54,981 Commercial loans, held-for-investment 24,454 31,582 Investments in unconsolidated ventures 24,129 24,012 Prepaid expenses and other assets 1,253 1,234 Total 177,913 186,059 IAS Services LLC, our wholly-owned captive insurance subsidiary, is required to purchase and hold Federal Home Loan Bank of Indianapolis ("FHLBI") stock as a condition of membership in the FHLBI. The stock is recorded at cost. In August 2018, we acquired a participation interest in a secured loan collateralized by mortgage servicing rights. The loan has a two year term subject to a one year extension at the borrower's option. The participation interest bears interest at a floating rate based on LIBOR plus a spread. The weighted average asset yield for the participation interest was 6.14% as of March 31, 2019 and 6.06% as of December 31, 2018. We elected to account for the investment using the fair value option. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our unfunded commitment on this loan participation interest. As of March 31, 2019, our commercial loan portfolio consisted of one commercial loan with a weighted average maturity of 1.9 years (December 31, 2018: two commercial loans with a weighted average maturity of 1.7 years ). The loans had a weighted average coupon rate of 10.99% as of March 31, 2019 and 10.69% as of December 31, 2018. The loans were not impaired, and we have not recorded an allowance for loan losses as of March 31, 2019 and December 31, 2018 based on our analysis of credit quality factors as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2018 . We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.

Borrowings

Borrowings	3 Months Ended
	Mar. 31, 2019
Debt Disclosure [Abstract]
Borrowings	Borrowings We finance the majority of our investment portfolio through repurchase agreements and secured loans. The following tables summarize certain characteristics of our borrowings at March 31, 2019 and December 31, 2018 . Refer to Note 7 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands March 31, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,868,925 2.68 % 67 Agency CMBS 1,639,097 2.67 % 72 Non-Agency CMBS 1,642,106 3.57 % 18 Non-Agency RMBS 887,186 3.46 % 25 GSE CRT 746,703 3.49 % 20 Loan participation interest 40,370 4.09 % 515 Total Repurchase Agreements 16,824,387 2.85 % 59 Secured Loans 1,650,000 2.76 % 1862 Total Borrowings 18,474,387 2.84 % 220 $ in thousands December 31, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,529,352 2.56 % 36 Agency CMBS 810,450 2.53 % 31 Non-Agency CMBS 1,616,473 3.56 % 19 Non-Agency RMBS 923,959 3.60 % 26 GSE CRT 681,014 3.48 % 21 Loan participation interest 41,236 4.09 % 605 Total Repurchase Agreements 13,602,484 2.80 % 34 Secured Loans 1,650,000 2.68 % 1952 Total Borrowings 15,252,484 2.79 % 242 The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: March 31, 2019 4/1/2019 - 3/31/2020 17,084,017 4/1/2020 - 3/31/2021 140,370 4/1/2021 - 3/31/2022 — 4/1/2022 - 3/31/2023 — 4/1/2023 - 3/31/2024 — Thereafter 1,250,000 Total 18,474,387 Repurchase Agreements Our repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities ranging from one month to six months . Our repurchase agreement that is collateralized by a loan participation interest bears interest at a floating rate based on LIBOR plus a spread and matures on August 27, 2020 . Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. Repurchase agreements are subject to certain financial covenants. We were in compliance with these covenants at March 31, 2019 . Our repurchase agreement collateral ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/Amount Outstanding) was 110% as of March 31, 2019 ( December 31, 2018 : 111% ). Secured Loans Our wholly-owned captive insurance subsidiary, IAS Services LLC, is a member of the FHLBI. As a member of the FHLBI, IAS Services LLC has borrowed funds from the FHLBI in the form of secured loans. As of March 31, 2019 , IAS Services LLC had $1.65 billion in outstanding secured loans from the FHLBI. These secured loans have floating rates that are based on the three-month FHLB swap rate plus a spread. For the three months ended March 31, 2019 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 2.70% and a weighted average maturity of 5.1 years . The Federal Housing Finance Agency’s ("FHFA") final rule governing Federal Home Loan Bank membership (the "FHFA Rule") became effective on February 19, 2016. The FHFA Rule permits existing captive insurance companies, such as IAS Services LLC, to remain members until February 2021. New advances or renewals that mature after February 2021 are prohibited. The FHLBI has indicated it will honor the contractual maturity dates of existing advances to IAS Services LLC that were made prior to February 19, 2016 and extend beyond February 2021. We do not expect there to be any impact to our existing FHLBI borrowings under the FHFA rule. The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. As discussed in Note 5 - "Other Assets," IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured loans from the FHLBI.

Collateral Positions

Collateral Positions	3 Months Ended
	Mar. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Collateral Positions	Collateral Positions The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of March 31, 2019 and December 31, 2018 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2018 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts 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 March 31, 2019 and December 31, 2018 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged March 31, 2019 December 31, 2018 Repurchase Agreements: Agency RMBS 12,575,947 10,158,404 Agency CMBS 1,763,779 870,702 Non-Agency CMBS 2,072,829 2,016,202 Non-Agency RMBS 1,079,223 1,127,911 GSE CRT 907,529 819,328 Loan participation interest 53,827 54,981 Total repurchase agreements collateral pledged 18,453,134 15,047,528 Secured Loans: Agency RMBS 686,656 702,952 Non-Agency CMBS 1,260,396 1,227,412 Total secured loans collateral pledged 1,947,052 1,930,364 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS 197,958 159,914 Cash (1) 18,025 13,500 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 215,983 173,414 Total collateral pledged: Mortgage-backed and credit risk transfer securities 20,544,317 17,082,825 Loan participation interest 53,827 54,981 Cash 18,025 13,500 Total collateral pledged 20,616,169 17,151,306 As of Collateral Held March 31, 2019 December 31, 2018 Interest Rate Swaps: Cash 2,273 18,083 Non-cash collateral — — Total collateral held 2,273 18,083 (1) Includes restricted cash of $5,025,000 pledged as collateral on centrally cleared swaps. Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value as determined by a pricing service agreed to by the respective lender and us. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. Secured Loans The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with FHLBI and FHFA rules. Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. IAS Services LLC would be required to provide additional collateral or fund margin calls if the value of pledged assets declines. Interest Rate Swaps Collateral pledged with our interest rate swap counterparties is segregated in our books and records. We have two types of interest rate swap agreements: bilateral interest rate swaps that are governed by an International Swaps and Derivatives Association ("ISDA") agreement and interest rate swaps that are centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH Limited ("LCH") through a Futures Commission Merchant ("FCM"). Interest rate swaps that are governed by an ISDA agreement provide for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate swaps change. We are required to pledge initial margin and daily variation margin for our interest rate swaps that are centrally cleared. The FCM determines the fair value of our centrally cleared swaps, including daily variation margin. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. 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. Our currency forward contract provides for bilateral collateral pledging based on market value as determined by the counterparty and can be in the form of cash or securities. Our counterparty has the right to repledge the collateral posted, but has 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 contract changes.

Derivatives and Hedging Activit

Derivatives and Hedging Activities	3 Months Ended
	Mar. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives and Hedging Activities	Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2019 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 12,370,000 4,575,000 (4,050,000 ) 12,895,000 Futures Contracts 1,689,900 1,586,400 (1,689,900 ) 1,586,400 Currency Forward Contracts 23,149 25,534 (23,149 ) 25,534 Credit Derivatives 526,912 — (9,378 ) 517,534 Total 14,609,961 6,186,934 (5,772,427 ) 15,024,468 Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one to twelve months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. In addition, our secured loans have floating interest rates. As such, we are exposed to changing interest rates. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps involve making fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount. Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $5.9 million as a decrease ( March 31, 2018 : $6.5 million as a decrease) to interest expense for the three months ended March 31, 2019 . During the next 12 months, we estimate that $23.8 million will be reclassified as a decrease to interest expense, repurchase agreements. As of March 31, 2019 , $93.8 million ( December 31, 2018 : $99.6 million ) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified to interest expense over a period of time through December 15, 2023. As of March 31, 2019 and December 31, 2018 , we had the following interest rate swaps outstanding: $ in thousands As of March 31, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,000,000 2.72 % 2.50 % 1.4 2021 2,800,000 2.49 % 2.54 % 2.2 2022 2,550,000 2.13 % 2.61 % 3.2 2023 1,500,000 2.21 % 2.48 % 4.3 2024 1,600,000 2.27 % 2.65 % 4.8 Thereafter 3,445,000 2.46 % 2.52 % 7.8 Total 12,895,000 2.37 % 2.55 % 4.4 $ in thousands As of December 31, 2018 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2019 1,500,000 2.70 % 2.47 % 0.9 2020 1,500,000 2.78 % 2.51 % 1.7 2021 2,300,000 2.51 % 2.58 % 2.5 2022 2,550,000 2.13 % 2.65 % 3.4 2023 1,600,000 2.39 % 2.47 % 4.7 Thereafter 2,920,000 2.47 % 2.55 % 6.8 Total 12,370,000 2.46 % 2.55 % 3.7 (1) Notional amount includes $8.4 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $4.5 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of March 31, 2019. (2) Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018. TBAs, Futures and Currency Forward Contracts We purchase or sell certain TBAs and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales of TBAs and U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of March 31, 2019 , we had $25.5 million ( December 31, 2018 : $23.1 million ) of notional amount of currency 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 March 31, 2019 and December 31, 2018 , terms of the GSE CRT embedded derivatives are: $ in thousands March 31, 2019 December 31, 2018 Fair value amount 25,305 22,771 Notional amount 517,534 526,912 Maximum potential amount of future undiscounted payments 517,534 526,912 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2019 and December 31, 2018 . $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2019 As of December 31, 2018 As of March 31, 2019 As of December 31, 2018 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 21,161 15,089 Interest Rate Swaps Liability 8,463 15,382 Currency Forward Contracts 311 — Currency Forward Contracts — 172 Futures Contracts 5,108 — Futures Contracts — 7,836 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2019 and 2018 . $ in thousands Three months ended March 31, 2019 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,350 2,534 7,884 $ in thousands Three months ended March 31, 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 — 5,633 (2,468 ) 3,165 The following table summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2019 and 2018 : $ in thousands Three Months Ended March 31, 2019 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (165,884 ) 4,509 12,991 (148,384 ) Futures Contracts (66,688 ) — 12,944 (53,744 ) Currency Forward Contracts 185 — 483 668 Total (232,387 ) 4,509 26,418 (201,460 ) $ in thousands Three Months Ended March 31, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 122,273 (12,112 ) 32,374 142,535 Futures Contracts (5,277 ) — (1,612 ) (6,889 ) Currency Forward Contracts (3,418 ) — 1,139 (2,279 ) Total 113,578 (12,112 ) 31,901 133,367 Credit-risk-related Contingent Features We have agreements with each of our bilateral derivative counterparties. Some of those agreements contain a provision whereby if we default on any of our indebtedness, including default whereby repayment of the indebtedness has not been accelerated by the lender, we could be declared in default on our derivative obligations. At March 31, 2019 , the fair value of derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to bilateral interest rate swap agreements, was $8.4 million . We have minimum collateral posting thresholds with certain of our bilateral derivative counterparties and were required to pledge $12.1 million of collateral with these counterparties as of March 31, 2019 . If we had breached any of these provisions at March 31, 2019 , we could have been required to settle our obligations under these agreements at their termination value. We also have an agreement with a clearing counterparty for our interest rate swaps that includes cross default provisions. The fair value of our centrally cleared interest rate derivative contracts, which includes accrued interest and variation margin but excludes any adjustment for non-performance risk, was a net asset of $17.8 million as of March 31, 2019 . We were in compliance with all of the financial provisions of these counterparty agreements as of March 31, 2019 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	3 Months Ended
	Mar. 31, 2019
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2019 and December 31, 2018 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of March 31, 2019 , our derivative asset of $17.8 million ( December 31, 2018 : derivative liability of $13.2 million ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. Offsetting of Derivative Assets As of March 31, 2019 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 8,742 — 8,742 — (2,201 ) 6,541 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of March 31, 2019 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 8,463 — 8,463 (8,463 ) — — Repurchase Agreements (4) 16,824,387 — 16,824,387 (16,824,387 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 18,482,850 — 18,482,850 (18,482,850 ) — — Offsetting of Derivative Assets As of December 31, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2019 and December 31, 2018 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our derivatives was $198.0 million ( December 31, 2018 : $159.9 million ) at March 31, 2019 , of which $164.8 million ( December 31, 2018 : $158.3 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $2.3 million and $18.1 million at March 31, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $18.0 million and $13.5 million at March 31, 2019 and December 31, 2018 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at March 31, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $18.5 billion and $15.0 billion at March 31, 2019 and December 31, 2018 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at March 31, 2019 and December 31, 2018 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	3 Months Ended
	Mar. 31, 2019
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2019 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 21,102,293 25,305 — 21,127,598 Derivative assets 5,108 21,472 — — 26,580 Other assets (4) — — 53,827 24,129 77,956 Total assets 5,108 21,123,765 79,132 24,129 21,232,134 Liabilities: Derivative liabilities — 8,463 — — 8,463 Total liabilities — 8,463 — — 8,463 December 31, 2018 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 17,373,871 22,771 — 17,396,642 Derivative assets — 15,089 — — 15,089 Other assets (4) — — 54,981 24,012 78,993 Total assets — 17,388,960 77,752 24,012 17,490,724 Liabilities: Derivative liabilities 7,836 15,554 — — 23,390 Total liabilities 7,836 15,554 — — 23,390 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2019 , the net embedded derivative asset position of $25.3 million includes $30.2 million of embedded derivatives in an asset position and $4.9 million of embedded derivatives in a liability position. As of December 31, 2018 , the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2019 and December 31, 2018 , the weighted average remaining term of our investments in unconsolidated ventures is 2.8 and 2.6 years, respectively. (4) Includes $53.8 million and $55.0 million of a loan participation interest as of March 31, 2019 and December 31, 2018 , respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2019 2018 Beginning balance 22,771 45,400 Unrealized credit derivative gains (losses), net 2,534 (2,468 ) Ending balance 25,305 42,932 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 March 31, $ in thousands 2019 Beginning balance 54,981 Advances 577 Repayments (1,731 ) Ending balance 53,827 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 March 31, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 25,305 Market Comparables, Vendor Pricing Weighted average life 2.5 - 5.6 years 4.0 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 22,771 Market Comparables, Vendor Pricing Weighted average life 2.9 - 5.9 years 4.3 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 24,454 24,732 31,582 31,826 FHLBI stock 74,250 74,250 74,250 74,250 Total 98,704 98,982 105,832 106,076 Financial Liabilities Repurchase agreements 16,824,387 16,825,642 13,602,484 13,602,050 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Total 18,474,387 18,475,642 15,252,484 15,252,050 The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of commercial loans held-for-investment, included in "Other assets" on our condensed consolidated balance sheets, is a Level 3 fair value measurement. Subsequent to the origination or purchase, commercial loan investments are valued on a monthly basis by an independent third party valuation agent using a discounted cash flow technique. • The estimated fair value of FHLBI stock, included in "Other assets" on our condensed consolidated balance sheets, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at par. As a result, the cost of the FHLBI stock approximates its fair value. • The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. • The estimated fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread and the spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value.

Related Party Transactions

Related Party Transactions	3 Months Ended
	Mar. 31, 2019
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three months ended March 31, 2019 , we reimbursed our Manager $183,000 ( March 31, 2018 : $214,000 ) for costs of support personnel that are fully dedicated to our business. We have invested $62.0 million as of March 31, 2019 ( December 31, 2018 : $131.9 million ) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets. Management Fee Expense We pay our Manager a management fee equal to 1.50% of our stockholders’ equity per annum. The fee is calculated and payable quarterly in arrears. For purposes of calculating the management fee, stockholders’ equity is equal to the sum of the net proceeds from all issuances of equity securities since inception including proceeds from the issuance of operating partnership units to an affiliate of our Manager, plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid to repurchase common stock since inception. Stockholders equity excludes (i) any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income); (ii) cumulative net realized losses that are not attributable to permanently impaired investments and that relate to the investments for which market movement is accounted for in other comprehensive income; provided, however, that such adjustment shall not exceed cumulative unrealized net gains in other comprehensive income; (iii) one-time events pursuant to changes in U.S. GAAP; and (iv) certain non-cash items after discussions between our Manager and our independent directors and approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for our operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, $ in thousands 2019 2018 Incurred costs, prepaid or expensed 1,604 1,492 Incurred costs, charged against equity as a cost of raising capital 320 165 Total incurred costs, originally paid by our Manager 1,924 1,657 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	3 Months Ended
	Mar. 31, 2019
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity Preferred Stock Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 27, 2017, we had the option to redeem shares of Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of Series B Preferred Stock after December 27, 2024 and shares of Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. In March 2019, we entered into an equity distribution agreement with a placement agent under which we may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our automatic shelf registration statement (as amended and/or supplemented). As of March 31, 2019 , we have not sold any shares of preferred stock under the equity distribution agreement. Common Stock On February 7, 2019, we completed a public offering of 16,100,000 shares of common stock at the price of $15.73 per share. Total net proceeds were approximately $249.5 million after deducting estimated offering costs. In March 2019, we amended our equity distribution agreement, dated December 18, 2017, with a placement agent under which we may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our automatic shelf registration statement (as amended and/or supplemented). During the three months ended March 31, 2019 , we issued 572,000 shares of common stock under the equity distribution agreement for proceeds of $9.1 million , net of approximately $193,000 in commissions and fees. Share Repurchase Program During the three months ended March 31, 2019 and 2018 , we did not repurchase any shares of our common stock. As of March 31, 2019 , we had authority to purchase 18,239,082 shares of our common stock through our share repurchase program. Share-Based Compensation We established the 2009 Equity Incentive Plan for grants of common stock and other equity based awards to our independent directors and officers and employees of our Manager and its affiliates (the "Incentive Plan"). Under the Incentive Plan, a total of 1,000,000 shares of common stock are authorized for issuance. As of March 31, 2019 , 748,492 shares of common stock remain available for future issuance under the Incentive Plan. The Incentive Plan was scheduled to terminate on June 30, 2019 but was amended and restated as of May 3, 2019 extending the term an additional ten years . See Note 15 - "Subsequent Events" for a description of the amended Incentive Plan terms. We recognized compensation expense of approximately $113,000 ( March 31, 2018 : $93,000 ) for shares issued to our independent directors under the Incentive Plan for the three months ended March 31, 2019 . During the three months ended March 31, 2019 and 2018 , we issued 7,065 shares and 7,177 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 $19,000 ( March 31, 2018 : $14,000 ) for the three months ended March 31, 2019 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 March 31, 2019 , there was approximately $185,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 48 months, with a weighted-average remaining vesting period of 24 months. The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three months ended March 31, 2019 . Three Months Ended March 31, 2019 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 11,051 $ 14.55 Shares granted during the period 6,189 15.92 Shares vested during the period (4,720 ) 14.48 Unvested at the end of the period 12,520 $ 15.25 (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 months ended March 31, 2019 and 2018 . The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended March 31, 2019 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 52,349 — 52,349 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 10,147 — 10,147 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,851 ) (5,851 ) Currency translation adjustments on investment in unconsolidated venture (276 ) — — (276 ) Total other comprehensive income (loss) (276 ) 62,496 (5,851 ) 56,369 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income (loss) (276 ) 62,496 (5,851 ) 56,369 AOCI balance at end of period 237 183,160 93,785 277,182 Three Months Ended March 31, 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 — (132,317 ) — (132,317 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,237 — 9,237 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,539 ) (6,539 ) Currency translation adjustments on investment in unconsolidated venture 312 — — 312 Total other comprehensive income (loss) 312 (123,080 ) (6,539 ) (129,307 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income (loss) 312 (123,080 ) (6,539 ) (129,307 ) Other comprehensive income/(loss) attributable to non-controlling interest (4 ) 1,552 82 1,630 AOCI balance at end of period 1,255 14,660 117,437 133,352 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends We declared the following dividends during the three months ended March 31, 2019 and 2018 : $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2019 March 18, 2019 0.4844 2,713 April 25, 2019 2018 March 15, 2018 0.4844 2,713 April 25, 2018 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2019 February 14, 2019 0.4844 3,003 March 27, 2019 2018 February 15, 2018 0.4844 3,003 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2019 February 14, 2019 0.46875 5,391 March 27, 2019 2018 February 15, 2018 0.46875 5,391 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2019 March 18, 2019 0.45 57,720 April 26, 2019 2018 March 15, 2018 0.42 46,887 April 26, 2018

Earnings per Common Share

Earnings per Common Share	3 Months Ended
	Mar. 31, 2019
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three months ended March 31, 2019 and 2018 is computed as follows: Three Months Ended March 31, In thousands except per share amounts 2019 2018 Numerator (Income) Basic Earnings: Net income available to common stockholders 127,683 41,471 Effect of dilutive securities: Income allocated to exchangeable senior notes — 1,621 Income allocated to non-controlling interest — 671 Dilutive net income available to stockholders 127,683 43,763 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 121,098 111,629 Effect of dilutive securities: Restricted stock awards 12 20 Non-controlling interest OP units — 1,425 Exchangeable senior notes — 4,803 Dilutive Shares 121,110 117,877 Earnings per share: Net income attributable to common stockholders Basic 1.05 0.37 Diluted 1.05 0.37

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2019
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments as of March 31, 2019 are discussed below. As discussed in Note 5 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of March 31, 2019 and December 31, 2018 , our undrawn capital and purchase commitments were $7.6 million and $10.0 million , respectively. As discussed in Note 5 - "Other Assets", we have funded our portion of a commitment in a loan participation. The remainder of our commitment will be funded over the two year term of the loan based upon the financing needs of the borrower. As of March 31, 2019 , we have an unfunded commitment of $21.2 million . As discussed in Note 12 - "Stockholders' Equity", we have programs under which we may sell shares of our common and preferred stock from time to time in at-the-market or privately negotiated transactions. As of March 31, 2019, we had committed to sell 90,000 shares of common stock at an average price of $15.83 per share for total proceeds of $1.4 million , net of approximately $30,000 in commissions and fees that settled in April 2019. 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	3 Months Ended
	Mar. 31, 2019
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events On May 3, 2019, our shareholders approved the 2009 Equity Incentive Plan (the "Incentive Plan") as amended and restated. Under the amended and restated Incentive Plan, the number of shares of common stock available for issuance to our independent directors and officers and employees of our Manager and its affiliates was reduced to 200,000 , and the term of the Incentive Plan was extended for an additional ten years .

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2019
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2018 .
Consolidation	condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Reclassifications	Reclassifications Our condensed consolidated balance sheet for the year ended December 31, 2018 presented in this Form 10-Q includes a reclassification of Commercial Loans, held-for-investment to Other assets to conform to our current period presentation.
Use of Estimates	Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, provision for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements	Accounting Pronouncements Recently Adopted Effective January 1, 2019, we adopted the accounting guidance that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards is fixed at the grant date. The implementation of the guidance did not have a material impact on our financial statements. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and 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 and proposed amendments to the new guidance on our consolidated financial statements.

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	3 Months Ended
	Mar. 31, 2019
Variable Interest Entity Disclosure [Abstract]
Maximum Risk of Loss	Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2019 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,455,806 3,455,806 Non-Agency RMBS 1,186,896 1,186,896 Investments in unconsolidated ventures 24,129 24,129 Total 4,666,831 4,666,831

Mortgage-Backed and Credit Ri_2

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	3 Months Ended
	Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	components of the carrying value of our MBS and GSE CRT portfolio at March 31, 2019 and December 31, 2018 are presented below. March 31, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 20,734,762 2,587,148 23,321,910 Unamortized premium 488,161 — 488,161 Unamortized discount (545,248 ) (2,518,334 ) (3,063,582 ) Gross unrealized gains (1) 447,903 5,613 453,516 Gross unrealized losses (1) (67,022 ) (5,385 ) (72,407 ) Fair value 21,058,556 69,042 21,127,598 December 31, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,442,367 2,672,316 20,114,683 Unamortized premium 395,907 — 395,907 Unamortized discount (549,988 ) (2,598,767 ) (3,148,755 ) Gross unrealized gains (1) 238,579 7,448 246,027 Gross unrealized losses (1) (204,664 ) (6,556 ) (211,220 ) Fair value 17,322,201 74,441 17,396,642 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2019 and 2018 is provided below within this Note 4. The The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of March 31, 2019 and December 31, 2018 . March 31, 2019 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 343,116 2,595 345,711 6,391 352,102 3.34 % 30 year fixed-rate 12,264,517 386,145 12,650,662 65,974 12,716,636 3.66 % ARM * 6,215 184 6,399 5 6,404 3.64 % Hybrid ARM* 170,397 3,602 173,999 (478 ) 173,521 3.11 % Total Agency RMBS pass-through 12,784,245 392,526 13,176,771 71,892 13,248,663 3.64 % Agency-CMO (2) 913,574 (585,878 ) 327,696 (545 ) 327,151 3.65 % Agency CMBS 1,898,205 35,961 1,934,166 67,387 2,001,553 3.48 % Non-Agency CMBS (3) 4,127,880 (737,241 ) 3,390,639 65,167 3,455,806 5.08 % Non-Agency RMBS (4)(5)(6) 2,774,428 (1,700,612 ) 1,073,816 113,080 1,186,896 6.89 % GSE CRT (7) 823,578 19,823 843,401 64,128 907,529 3.16 % Total 23,321,910 (2,575,421 ) 20,746,489 381,109 21,127,598 4.01 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of March 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 67.8% of principal/notional balance, 10.3% of amortized cost and 9.7% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 14.6% of principal/notional balance, 0.4% of amortized cost and 0.4% of fair value. (4) Non-Agency RMBS is 54.9% fixed rate, 39.7% variable rate, and 5.4% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $140.8 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 54.6% of principal/notional balance, 2.2% of amortized cost and 2.1% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. December 31, 2018 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 417,233 5,077 422,310 1,944 424,254 3.27 % 30 year fixed-rate 9,599,301 298,693 9,897,994 (125,225 ) 9,772,769 3.55 % ARM 105,453 350 105,803 (56 ) 105,747 2.74 % Hybrid ARM 548,133 13,425 561,558 (7,357 ) 554,201 2.80 % Total Agency RMBS pass-through 10,670,120 317,545 10,987,665 (130,694 ) 10,856,971 3.49 % Agency-CMO (2) 907,862 (631,180 ) 276,682 (8,991 ) 267,691 3.61 % Agency CMBS 973,122 15,058 988,180 14,330 1,002,510 3.54 % Non-Agency CMBS (3) 4,024,715 (727,307 ) 3,297,408 (10,949 ) 3,286,459 5.05 % Non-Agency RMBS (4)(5)(6) 2,800,335 (1,748,223 ) 1,052,112 111,570 1,163,682 7.24 % GSE CRT (7) 738,529 21,259 759,788 59,541 819,329 3.10 % Total 20,114,683 (2,752,848 ) 17,361,835 34,807 17,396,642 4.00 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 73.6% o f principal (notional) balance, 13.5% of amortized cost and 12.4% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS is 43.5% variable rate, 50.7% fixed rate, and 5.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $145.6 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
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 March 31, 2019 and December 31, 2018 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of March 31, 2019 and December 31, 2018 , approximately 76% and 67% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. March 31, 2019 December 31, 2018 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 135,169 216,933 352,102 204,347 219,907 424,254 30 year fixed-rate 918,778 11,797,858 12,716,636 1,093,070 8,679,699 9,772,769 ARM 6,404 — 6,404 105,747 — 105,747 Hybrid ARM 141,320 32,201 173,521 521,199 33,002 554,201 Total RMBS Agency pass-through 1,201,671 12,046,992 13,248,663 1,924,363 8,932,608 10,856,971 Agency-CMO 166,730 160,421 327,151 168,385 99,306 267,691 Agency CMBS — 2,001,553 2,001,553 — 1,002,510 1,002,510 Non-Agency CMBS 2,144,187 1,311,619 3,455,806 2,153,403 1,133,056 3,286,459 Non-Agency RMBS 916,158 270,738 1,186,896 961,445 202,237 1,163,682 GSE CRT 579,142 328,387 907,529 586,231 233,098 819,329 Total 5,007,888 16,119,710 21,127,598 5,793,827 11,602,815 17,396,642
Fair Value of Mortgage-Backed Securities and GSE CRT Portfolio According to Weighted Average Life Classification	The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2019 and December 31, 2018 . $ in thousands March 31, 2019 December 31, 2018 Less than one year 49,768 110,020 Greater than one year and less than five years 5,188,229 3,508,100 Greater than or equal to five years 15,889,601 13,778,522 Total 21,127,598 17,396,642
Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time	The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2019 and December 31, 2018 . March 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 8,398 (28 ) 21 35,070 (165 ) 25 43,468 (193 ) 46 30 year fixed-rate 1,286 (11 ) 4 4,448,849 (50,925 ) 146 4,450,135 (50,936 ) 150 ARM — — — 2,760 (60 ) 2 2,760 (60 ) 2 Hybrid ARM 3,059 (6 ) 1 101,210 (1,595 ) 24 104,269 (1,601 ) 25 Total Agency RMBS pass-through (1) 12,743 (45 ) 26 4,587,889 (52,745 ) 197 4,600,632 (52,790 ) 223 Agency-CMO (2) 9,749 (3,276 ) 16 109,177 (3,380 ) 20 118,926 (6,656 ) 36 Non-Agency CMBS (3) 94,622 (538 ) 9 478,174 (10,226 ) 41 572,796 (10,764 ) 50 GSE CRT (4) 62,965 (381 ) 4 — — — 62,965 (381 ) 4 Non-Agency RMBS (5) 63,102 (1,225 ) 13 93,291 (591 ) 15 156,393 (1,816 ) 28 Total 243,181 (5,465 ) 68 5,268,531 (66,942 ) 273 5,511,712 (72,407 ) 341 (1) Includes Agency RMBS with a fair value of $ 4.2 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 47.0 million . (2) Includes Agency IO and Agency-CMO with fair value of $13.9 million and $17.9 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $4.6 million and $64,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $323.9 million for which the fair value option has been elected. Such securities have unrealized losses of $3.1 million . (4) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.1 million and $4.9 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $223,000 and $821,000 , respectively. December 31, 2018 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 86,241 (814 ) 50 16,660 (189 ) 22 102,901 (1,003 ) 72 30 year fixed-rate 3,966,347 (49,182 ) 158 2,846,090 (94,716 ) 95 6,812,437 (143,898 ) 253 ARM 2,632 (28 ) 1 49,954 (785 ) 10 52,586 (813 ) 11 Hybrid ARM 6,758 (59 ) 2 453,463 (8,390 ) 71 460,221 (8,449 ) 73 Total Agency RMBS pass-through (1) 4,061,978 (50,083 ) 211 3,366,167 (104,080 ) 198 7,428,145 (154,163 ) 409 Agency-CMO (2) 152,962 (6,315 ) 34 101,705 (5,100 ) 19 254,667 (11,415 ) 53 Non-Agency CMBS (3) 1,214,691 (17,778 ) 94 659,298 (25,381 ) 52 1,873,989 (43,159 ) 146 Non-Agency RMBS (4) 87,850 (1,152 ) 19 89,265 (1,138 ) 16 177,115 (2,290 ) 35 GSE CRT (5) 9,639 (193 ) 1 — — — 9,639 (193 ) 1 Total 5,527,120 (75,521 ) 359 4,216,435 (135,699 ) 285 9,743,555 (211,220 ) 644 (1) Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 130.2 million . (2) Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. Such securities have unrealized losses of $26.3 million . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million for which the fair value option has been elected. Such securities have unrealized losses of $79,000 and $269,000 , respectively. (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position.
Changes in other than temporary impairment included in earnings	The following table summarizes OTTI included in earnings for the three months ended March 31, 2019 and 2018 : Three Months Ended March 31, $ in thousands 2019 2018 RMBS interest-only securities 1,463 4,309 Non-Agency RMBS (1) 313 50 Total 1,776 4,359 (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 months ended March 31, 2019 and 2018 . Three Months Ended March 31, $ in thousands 2019 2018 Gross realized gains on sale of investments 1,202 — Gross realized losses on sale of investments (12,317 ) (9,237 ) Other-than-temporary impairment losses (1,776 ) (4,359 ) Net unrealized gains and losses on MBS accounted for under the fair value option 280,039 (147,195 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option 1,234 434 Net unrealized gains and losses on trading securities — (13 ) Total gain (loss) on investments, net 268,382 (160,370 )
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 months ended March 31, 2019 and 2018 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and Agency CMBS 130,197 (12,725 ) 117,472 Non-Agency CMBS 38,830 3,031 41,861 Non-Agency RMBS 14,267 3,922 18,189 GSE CRT 8,596 (1,178 ) 7,418 Other 552 — 552 Total 192,442 (6,950 ) 185,492 For the three months ended March 31, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and Agency CMBS 108,317 (23,222 ) 85,095 Non-Agency CMBS 37,293 1,426 38,719 Non-Agency RMBS 14,012 5,177 19,189 GSE CRT 6,525 (697 ) 5,828 Other 172 — 172 Total 166,319 (17,316 ) 149,003

Other Assets (Tables)

Other Assets (Tables)	3 Months Ended
	Mar. 31, 2019
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Summary of Company's Other Assets	The following table summarizes our other assets as of March 31, 2019 and December 31, 2018 . $ in thousands March 31, 2019 December 31, 2018 FHLBI stock 74,250 74,250 Loan participation interest 53,827 54,981 Commercial loans, held-for-investment 24,454 31,582 Investments in unconsolidated ventures 24,129 24,012 Prepaid expenses and other assets 1,253 1,234 Total 177,913 186,059

Borrowings (Tables)

Borrowings (Tables)	3 Months Ended
	Mar. 31, 2019
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at March 31, 2019 and December 31, 2018 . Refer to Note 7 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands March 31, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,868,925 2.68 % 67 Agency CMBS 1,639,097 2.67 % 72 Non-Agency CMBS 1,642,106 3.57 % 18 Non-Agency RMBS 887,186 3.46 % 25 GSE CRT 746,703 3.49 % 20 Loan participation interest 40,370 4.09 % 515 Total Repurchase Agreements 16,824,387 2.85 % 59 Secured Loans 1,650,000 2.76 % 1862 Total Borrowings 18,474,387 2.84 % 220 $ in thousands December 31, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,529,352 2.56 % 36 Agency CMBS 810,450 2.53 % 31 Non-Agency CMBS 1,616,473 3.56 % 19 Non-Agency RMBS 923,959 3.60 % 26 GSE CRT 681,014 3.48 % 21 Loan participation interest 41,236 4.09 % 605 Total Repurchase Agreements 13,602,484 2.80 % 34 Secured Loans 1,650,000 2.68 % 1952 Total Borrowings 15,252,484 2.79 % 242
Schedule of Maturities of Outstanding Borrowings	The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: March 31, 2019 4/1/2019 - 3/31/2020 17,084,017 4/1/2020 - 3/31/2021 140,370 4/1/2021 - 3/31/2022 — 4/1/2022 - 3/31/2023 — 4/1/2023 - 3/31/2024 — Thereafter 1,250,000 Total 18,474,387

Collateral Positions (Tables)

Collateral Positions (Tables)	3 Months Ended
	Mar. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Fair Value of Collateral Hold and Pledged	The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of March 31, 2019 and December 31, 2018 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2018 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts 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 March 31, 2019 and December 31, 2018 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged March 31, 2019 December 31, 2018 Repurchase Agreements: Agency RMBS 12,575,947 10,158,404 Agency CMBS 1,763,779 870,702 Non-Agency CMBS 2,072,829 2,016,202 Non-Agency RMBS 1,079,223 1,127,911 GSE CRT 907,529 819,328 Loan participation interest 53,827 54,981 Total repurchase agreements collateral pledged 18,453,134 15,047,528 Secured Loans: Agency RMBS 686,656 702,952 Non-Agency CMBS 1,260,396 1,227,412 Total secured loans collateral pledged 1,947,052 1,930,364 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS 197,958 159,914 Cash (1) 18,025 13,500 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 215,983 173,414 Total collateral pledged: Mortgage-backed and credit risk transfer securities 20,544,317 17,082,825 Loan participation interest 53,827 54,981 Cash 18,025 13,500 Total collateral pledged 20,616,169 17,151,306 As of Collateral Held March 31, 2019 December 31, 2018 Interest Rate Swaps: Cash 2,273 18,083 Non-cash collateral — — Total collateral held 2,273 18,083

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	3 Months Ended
	Mar. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Outstanding Interest Rate Swaptions and Derivative Instrument Information	The following table summarizes changes in the notional amount of our derivative instruments during 2019 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 12,370,000 4,575,000 (4,050,000 ) 12,895,000 Futures Contracts 1,689,900 1,586,400 (1,689,900 ) 1,586,400 Currency Forward Contracts 23,149 25,534 (23,149 ) 25,534 Credit Derivatives 526,912 — (9,378 ) 517,534 Total 14,609,961 6,186,934 (5,772,427 ) 15,024,468
Schedule of Interest Rate Swaps Outstanding	As of March 31, 2019 and December 31, 2018 , we had the following interest rate swaps outstanding: $ in thousands As of March 31, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,000,000 2.72 % 2.50 % 1.4 2021 2,800,000 2.49 % 2.54 % 2.2 2022 2,550,000 2.13 % 2.61 % 3.2 2023 1,500,000 2.21 % 2.48 % 4.3 2024 1,600,000 2.27 % 2.65 % 4.8 Thereafter 3,445,000 2.46 % 2.52 % 7.8 Total 12,895,000 2.37 % 2.55 % 4.4 $ in thousands As of December 31, 2018 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2019 1,500,000 2.70 % 2.47 % 0.9 2020 1,500,000 2.78 % 2.51 % 1.7 2021 2,300,000 2.51 % 2.58 % 2.5 2022 2,550,000 2.13 % 2.65 % 3.4 2023 1,600,000 2.39 % 2.47 % 4.7 Thereafter 2,920,000 2.47 % 2.55 % 6.8 Total 12,370,000 2.46 % 2.55 % 3.7 (1) Notional amount includes $8.4 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $4.5 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of March 31, 2019. (2) Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018.
Disclosure of Credit Derivatives	At March 31, 2019 and December 31, 2018 , terms of the GSE CRT embedded derivatives are: $ in thousands March 31, 2019 December 31, 2018 Fair value amount 25,305 22,771 Notional amount 517,534 526,912 Maximum potential amount of future undiscounted payments 517,534 526,912
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet	The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2019 and December 31, 2018 . $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2019 As of December 31, 2018 As of March 31, 2019 As of December 31, 2018 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 21,161 15,089 Interest Rate Swaps Liability 8,463 15,382 Currency Forward Contracts 311 — Currency Forward Contracts — 172 Futures Contracts 5,108 — Futures Contracts — 7,836
Effect of Derivative Financial Instruments on Statement of Operations	The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2019 and 2018 . $ in thousands Three months ended March 31, 2019 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,350 2,534 7,884 $ in thousands Three months ended March 31, 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 — 5,633 (2,468 ) 3,165 The following table summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2019 and 2018 : $ in thousands Three Months Ended March 31, 2019 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (165,884 ) 4,509 12,991 (148,384 ) Futures Contracts (66,688 ) — 12,944 (53,744 ) Currency Forward Contracts 185 — 483 668 Total (232,387 ) 4,509 26,418 (201,460 ) $ in thousands Three Months Ended March 31, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 122,273 (12,112 ) 32,374 142,535 Futures Contracts (5,277 ) — (1,612 ) (6,889 ) Currency Forward Contracts (3,418 ) — 1,139 (2,279 ) Total 113,578 (12,112 ) 31,901 133,367

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	3 Months Ended
	Mar. 31, 2019
Offsetting [Abstract]
Offsetting Derivative Assets	The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2019 and December 31, 2018 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of March 31, 2019 , our derivative asset of $17.8 million ( December 31, 2018 : derivative liability of $13.2 million ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. Offsetting of Derivative Assets As of March 31, 2019 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 8,742 — 8,742 — (2,201 ) 6,541 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of March 31, 2019 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 8,463 — 8,463 (8,463 ) — — Repurchase Agreements (4) 16,824,387 — 16,824,387 (16,824,387 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 18,482,850 — 18,482,850 (18,482,850 ) — — Offsetting of Derivative Assets As of December 31, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2019 and December 31, 2018 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our derivatives was $198.0 million ( December 31, 2018 : $159.9 million ) at March 31, 2019 , of which $164.8 million ( December 31, 2018 : $158.3 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $2.3 million and $18.1 million at March 31, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $18.0 million and $13.5 million at March 31, 2019 and December 31, 2018 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at March 31, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $18.5 billion and $15.0 billion at March 31, 2019 and December 31, 2018 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at March 31, 2019 and December 31, 2018 , respectively.
Offsetting Derivative Liabilities	The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2019 and December 31, 2018 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of March 31, 2019 , our derivative asset of $17.8 million ( December 31, 2018 : derivative liability of $13.2 million ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. Offsetting of Derivative Assets As of March 31, 2019 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 8,742 — 8,742 — (2,201 ) 6,541 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of March 31, 2019 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 8,463 — 8,463 (8,463 ) — — Repurchase Agreements (4) 16,824,387 — 16,824,387 (16,824,387 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 18,482,850 — 18,482,850 (18,482,850 ) — — Offsetting of Derivative Assets As of December 31, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2019 and December 31, 2018 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our derivatives was $198.0 million ( December 31, 2018 : $159.9 million ) at March 31, 2019 , of which $164.8 million ( December 31, 2018 : $158.3 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $2.3 million and $18.1 million at March 31, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $18.0 million and $13.5 million at March 31, 2019 and December 31, 2018 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at March 31, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $18.5 billion and $15.0 billion at March 31, 2019 and December 31, 2018 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at March 31, 2019 and December 31, 2018 , respectively.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	3 Months Ended
	Mar. 31, 2019
Fair Value Disclosures [Abstract]
Fair Value Measured on Recurring Basis	The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2019 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 21,102,293 25,305 — 21,127,598 Derivative assets 5,108 21,472 — — 26,580 Other assets (4) — — 53,827 24,129 77,956 Total assets 5,108 21,123,765 79,132 24,129 21,232,134 Liabilities: Derivative liabilities — 8,463 — — 8,463 Total liabilities — 8,463 — — 8,463 December 31, 2018 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 17,373,871 22,771 — 17,396,642 Derivative assets — 15,089 — — 15,089 Other assets (4) — — 54,981 24,012 78,993 Total assets — 17,388,960 77,752 24,012 17,490,724 Liabilities: Derivative liabilities 7,836 15,554 — — 23,390 Total liabilities 7,836 15,554 — — 23,390 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2019 , the net embedded derivative asset position of $25.3 million includes $30.2 million of embedded derivatives in an asset position and $4.9 million of embedded derivatives in a liability position. As of December 31, 2018 , the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2019 and December 31, 2018 , the weighted average remaining term of our investments in unconsolidated ventures is 2.8 and 2.6 years, respectively. (4) Includes $53.8 million and $55.0 million of a loan participation interest as of March 31, 2019 and December 31, 2018 , respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value.
Embedded Derivatives Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2019 2018 Beginning balance 22,771 45,400 Unrealized credit derivative gains (losses), net 2,534 (2,468 ) Ending balance 25,305 42,932
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 March 31, $ in thousands 2019 Beginning balance 54,981 Advances 577 Repayments (1,731 ) Ending balance 53,827
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 March 31, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 25,305 Market Comparables, Vendor Pricing Weighted average life 2.5 - 5.6 years 4.0 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 22,771 Market Comparables, Vendor Pricing Weighted average life 2.9 - 5.9 years 4.3 years
Carrying Value and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 24,454 24,732 31,582 31,826 FHLBI stock 74,250 74,250 74,250 74,250 Total 98,704 98,982 105,832 106,076 Financial Liabilities Repurchase agreements 16,824,387 16,825,642 13,602,484 13,602,050 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Total 18,474,387 18,475,642 15,252,484 15,252,050

Related Party Transactions (Tab

Related Party Transactions (Tables)	3 Months Ended
	Mar. 31, 2019
Related Party Transactions [Abstract]
Schedule of Related Party Transactions	The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, $ in thousands 2019 2018 Incurred costs, prepaid or expensed 1,604 1,492 Incurred costs, charged against equity as a cost of raising capital 320 165 Total incurred costs, originally paid by our Manager 1,924 1,657

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2019
Equity [Abstract]
Schedule of Nonvested Restricted Stock Units Activity	The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three months ended March 31, 2019 . Three Months Ended March 31, 2019 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 11,051 $ 14.55 Shares granted during the period 6,189 15.92 Shares vested during the period (4,720 ) 14.48 Unvested at the end of the period 12,520 $ 15.25 (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 March 31, 2019 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 52,349 — 52,349 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 10,147 — 10,147 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,851 ) (5,851 ) Currency translation adjustments on investment in unconsolidated venture (276 ) — — (276 ) Total other comprehensive income (loss) (276 ) 62,496 (5,851 ) 56,369 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income (loss) (276 ) 62,496 (5,851 ) 56,369 AOCI balance at end of period 237 183,160 93,785 277,182 Three Months Ended March 31, 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 — (132,317 ) — (132,317 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,237 — 9,237 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,539 ) (6,539 ) Currency translation adjustments on investment in unconsolidated venture 312 — — 312 Total other comprehensive income (loss) 312 (123,080 ) (6,539 ) (129,307 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income (loss) 312 (123,080 ) (6,539 ) (129,307 ) Other comprehensive income/(loss) attributable to non-controlling interest (4 ) 1,552 82 1,630 AOCI balance at end of period 1,255 14,660 117,437 133,352
Dividends Declared	We declared the following dividends during the three months ended March 31, 2019 and 2018 : $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2019 March 18, 2019 0.4844 2,713 April 25, 2019 2018 March 15, 2018 0.4844 2,713 April 25, 2018 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2019 February 14, 2019 0.4844 3,003 March 27, 2019 2018 February 15, 2018 0.4844 3,003 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2019 February 14, 2019 0.46875 5,391 March 27, 2019 2018 February 15, 2018 0.46875 5,391 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2019 March 18, 2019 0.45 57,720 April 26, 2019 2018 March 15, 2018 0.42 46,887 April 26, 2018

Earnings per Common Share (Tabl

Earnings per Common Share (Tables)	3 Months Ended
	Mar. 31, 2019
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three months ended March 31, 2019 and 2018 is computed as follows: Three Months Ended March 31, In thousands except per share amounts 2019 2018 Numerator (Income) Basic Earnings: Net income available to common stockholders 127,683 41,471 Effect of dilutive securities: Income allocated to exchangeable senior notes — 1,621 Income allocated to non-controlling interest — 671 Dilutive net income available to stockholders 127,683 43,763 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 121,098 111,629 Effect of dilutive securities: Restricted stock awards 12 20 Non-controlling interest OP units — 1,425 Exchangeable senior notes — 4,803 Dilutive Shares 121,110 117,877 Earnings per share: Net income attributable to common stockholders Basic 1.05 0.37 Diluted 1.05 0.37

Organization and Business Ope_2

Organization and Business Operations (Detail)	3 Months Ended
	Mar. 31, 2019segment
Organization And Business Operations
Number of operating segments	1
Minimum distribution percentage of taxable income to qualify for REIT	90.00%
Invesco Investments (Bermuda) Ltd
Organization And Business Operations
Ownership percentage in operating partnership	1.30%

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Variable Interest Entity
Carrying Amount	$ 21,127,598	$ 17,396,642
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	4,666,831
Company's Maximum Risk of Loss	4,666,831
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	3,455,806
Company's Maximum Risk of Loss	3,455,806
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	1,186,896
Company's Maximum Risk of Loss	1,186,896
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	24,129
Company's Maximum Risk of Loss	$ 24,129

Mortgage-Backed and Credit Ri_3

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 23,321,910	$ 20,114,683
Unamortized Premium (Discount)	(2,575,421)	(2,752,848)
Amortized Cost	20,746,489	17,361,835
Unrealized Gain/ (Loss), net	381,109	34,807
Fair value	$ 21,127,598	$ 17,396,642
Period- end Weighted Average Yield	4.01%	4.00%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	67.80%	73.60%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	10.30%	13.50%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	9.70%	12.40%
Percentage of CMBS interest only, principal balance	14.60%	15.00%
Percentage of CMBS interest only, amortized cost	0.40%	0.40%
Percentage of CMBS interest only, fair value	0.40%	0.50%
Unamortized premium (discount) non-accretable portion	$ 140,800	$ 145,600
Percentage of Non-Agency RMBS interest-only, principal balance	54.60%	55.40%
Percentage of Non-Agency RMBS interest-only, amortized cost	2.20%	2.30%
Percentage of Non-Agency RMBS interest only, fair value	2.10%	2.40%
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 343,116	$ 417,233
Unamortized Premium (Discount)	2,595	5,077
Amortized Cost	345,711	422,310
Unrealized Gain/ (Loss), net	6,391	1,944
Fair value	$ 352,102	$ 424,254
Period- end Weighted Average Yield	3.34%	3.27%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 12,264,517	$ 9,599,301
Unamortized Premium (Discount)	386,145	298,693
Amortized Cost	12,650,662	9,897,994
Unrealized Gain/ (Loss), net	65,974	(125,225)
Fair value	$ 12,716,636	$ 9,772,769
Period- end Weighted Average Yield	3.66%	3.55%
ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 6,215	$ 105,453
Unamortized Premium (Discount)	184	350
Amortized Cost	6,399	105,803
Unrealized Gain/ (Loss), net	5	(56)
Fair value	$ 6,404	$ 105,747
Period- end Weighted Average Yield	3.64%	2.74%
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 170,397	$ 548,133
Unamortized Premium (Discount)	3,602	13,425
Amortized Cost	173,999	561,558
Unrealized Gain/ (Loss), net	(478)	(7,357)
Fair value	$ 173,521	$ 554,201
Period- end Weighted Average Yield	3.11%	2.80%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 12,784,245	$ 10,670,120
Unamortized Premium (Discount)	392,526	317,545
Amortized Cost	13,176,771	10,987,665
Unrealized Gain/ (Loss), net	71,892	(130,694)
Fair value	$ 13,248,663	$ 10,856,971
Period- end Weighted Average Yield	3.64%	3.49%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 913,574	$ 907,862
Unamortized Premium (Discount)	(585,878)	(631,180)
Amortized Cost	327,696	276,682
Unrealized Gain/ (Loss), net	(545)	(8,991)
Fair value	$ 327,151	$ 267,691
Period- end Weighted Average Yield	3.65%	3.61%
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 1,898,205	$ 973,122
Unamortized Premium (Discount)	35,961	15,058
Amortized Cost	1,934,166	988,180
Unrealized Gain/ (Loss), net	67,387	14,330
Fair value	$ 2,001,553	$ 1,002,510
Period- end Weighted Average Yield	3.48%	3.54%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 4,127,880	$ 4,024,715
Unamortized Premium (Discount)	(737,241)	(727,307)
Amortized Cost	3,390,639	3,297,408
Unrealized Gain/ (Loss), net	65,167	(10,949)
Fair value	$ 3,455,806	$ 3,286,459
Period- end Weighted Average Yield	5.08%	5.05%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,774,428	$ 2,800,335
Unamortized Premium (Discount)	(1,700,612)	(1,748,223)
Amortized Cost	1,073,816	1,052,112
Unrealized Gain/ (Loss), net	113,080	111,570
Fair value	$ 1,186,896	$ 1,163,682
Period- end Weighted Average Yield	6.89%	7.24%
Percentage of non-agency securities classified as variable rate	39.70%	43.50%
Percentage of non-agency securities classified as fixed rate	54.90%	50.70%
Percentage of non-agency securities classified as floating rate	5.40%	5.80%
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 823,578	$ 738,529
Unamortized Premium (Discount)	19,823	21,259
Amortized Cost	843,401	759,788
Unrealized Gain/ (Loss), net	64,128	59,541
Fair value	$ 907,529	$ 819,329
Period- end Weighted Average Yield	3.16%	3.10%

Mortgage-Backed and Credit Ri_4

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Percentage of MBS and GSE CRT are accounted for under the fair value option	76.00%	67.00%
Gross unrealized losses	$ 72,407	$ 211,220
Agency RMBS, Agency CMBS and CMO
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	55,300	159,300
Agency IO, non-Agency RMBS and non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	$ 17,100	$ 51,900

Mortgage-Backed and Credit Ri_5

Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 5,007,888	$ 5,793,827
Securities under Fair Value Option	16,119,710	11,602,815
Marketable Securities	21,127,598	17,396,642
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	135,169	204,347
Securities under Fair Value Option	216,933	219,907
Marketable Securities	352,102	424,254
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	918,778	1,093,070
Securities under Fair Value Option	11,797,858	8,679,699
Marketable Securities	12,716,636	9,772,769
ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	6,404	105,747
Securities under Fair Value Option	0	0
Marketable Securities	6,404	105,747
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	141,320	521,199
Securities under Fair Value Option	32,201	33,002
Marketable Securities	173,521	554,201
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,201,671	1,924,363
Securities under Fair Value Option	12,046,992	8,932,608
Marketable Securities	13,248,663	10,856,971
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	166,730	168,385
Securities under Fair Value Option	160,421	99,306
Marketable Securities	327,151	267,691
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	2,001,553	1,002,510
Marketable Securities	2,001,553	1,002,510
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	2,144,187	2,153,403
Securities under Fair Value Option	1,311,619	1,133,056
Marketable Securities	3,455,806	3,286,459
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	916,158	961,445
Securities under Fair Value Option	270,738	202,237
Marketable Securities	1,186,896	1,163,682
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	579,142	586,231
Securities under Fair Value Option	328,387	233,098
Marketable Securities	$ 907,529	$ 819,329

Mortgage-Backed and Credit Ri_6

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	$ 23,321,910	$ 20,114,683
Unamortized premium	488,161	395,907
Unamortized discount	(3,063,582)	(3,148,755)
Gross unrealized gains	453,516	246,027
Gross unrealized losses	(72,407)	(211,220)
Fair value	21,127,598	17,396,642
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	20,734,762	17,442,367
Unamortized premium	488,161	395,907
Unamortized discount	(545,248)	(549,988)
Gross unrealized gains	447,903	238,579
Gross unrealized losses	(67,022)	(204,664)
Fair value	21,058,556	17,322,201
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	2,587,148	2,672,316
Unamortized premium	0	0
Unamortized discount	(2,518,334)	(2,598,767)
Gross unrealized gains	5,613	7,448
Gross unrealized losses	(5,385)	(6,556)
Fair value	$ 69,042	$ 74,441

Mortgage-Backed and Credit Ri_7

Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 49,768	$ 110,020
Greater than one year and less than five years	5,188,229	3,508,100
Greater than or equal to five years	15,889,601	13,778,522
Fair value	$ 21,127,598	$ 17,396,642

Mortgage-Backed and Credit Ri_8

Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands	Mar. 31, 2019USD ($)security	Dec. 31, 2018USD ($)security
Fair Value
Less than 12 Months	$ 243,181	$ 5,527,120
12 Months or More	5,268,531	4,216,435
Total	5,511,712	9,743,555
Unrealized Losses
Less than 12 Months	(5,465)	(75,521)
12 Months or More	(66,942)	(135,699)
Total	$ (72,407)	$ (211,220)
Number of Securities
Less than 12 Months (in securities) | security	68	359
12 Months or More (in securities) | security	273	285
Total (in securities) | security	341	644
15 year fixed-rate
Fair Value
Less than 12 Months	$ 8,398	$ 86,241
12 Months or More	35,070	16,660
Total	43,468	102,901
Unrealized Losses
Less than 12 Months	(28)	(814)
12 Months or More	(165)	(189)
Total	$ (193)	$ (1,003)
Number of Securities
Less than 12 Months (in securities) | security	21	50
12 Months or More (in securities) | security	25	22
Total (in securities) | security	46	72
30 year fixed-rate
Fair Value
Less than 12 Months	$ 1,286	$ 3,966,347
12 Months or More	4,448,849	2,846,090
Total	4,450,135	6,812,437
Unrealized Losses
Less than 12 Months	(11)	(49,182)
12 Months or More	(50,925)	(94,716)
Total	$ (50,936)	$ (143,898)
Number of Securities
Less than 12 Months (in securities) | security	4	158
12 Months or More (in securities) | security	146	95
Total (in securities) | security	150	253
ARM
Fair Value
Less than 12 Months	$ 0	$ 2,632
12 Months or More	2,760	49,954
Total	2,760	52,586
Unrealized Losses
Less than 12 Months	0	(28)
12 Months or More	(60)	(785)
Total	$ (60)	$ (813)
Number of Securities
Less than 12 Months (in securities) | security	0	1
12 Months or More (in securities) | security	2	10
Total (in securities) | security	2	11
Hybrid ARM
Fair Value
Less than 12 Months	$ 3,059	$ 6,758
12 Months or More	101,210	453,463
Total	104,269	460,221
Unrealized Losses
Less than 12 Months	(6)	(59)
12 Months or More	(1,595)	(8,390)
Total	$ (1,601)	$ (8,449)
Number of Securities
Less than 12 Months (in securities) | security	1	2
12 Months or More (in securities) | security	24	71
Total (in securities) | security	25	73
Agency RMBS
Fair Value
Less than 12 Months	$ 12,743	$ 4,061,978
12 Months or More	4,587,889	3,366,167
Total	4,600,632	7,428,145
Unrealized Losses
Less than 12 Months	(45)	(50,083)
12 Months or More	(52,745)	(104,080)
Total	$ (52,790)	$ (154,163)
Number of Securities
Less than 12 Months (in securities) | security	26	211
12 Months or More (in securities) | security	197	198
Total (in securities) | security	223	409
Fair value option, fair value	$ 4,200,000	$ 6,100,000
Fair value option, unrealized losses	47,000	130,200
Agency-CMO
Fair Value
Less than 12 Months	9,749	152,962
12 Months or More	109,177	101,705
Total	118,926	254,667
Unrealized Losses
Less than 12 Months	(3,276)	(6,315)
12 Months or More	(3,380)	(5,100)
Total	$ (6,656)	$ (11,415)
Number of Securities
Less than 12 Months (in securities) | security	16	34
12 Months or More (in securities) | security	20	19
Total (in securities) | security	36	53
Agency IO
Number of Securities
Fair value option, fair value	$ 13,900	$ 21,800
Fair value option, unrealized losses	4,600	6,300
Agency-CMO
Number of Securities
Fair value option, fair value	17,900	66,000
Fair value option, unrealized losses	64	845
Non-Agency CMBS
Fair Value
Less than 12 Months	94,622	1,214,691
12 Months or More	478,174	659,298
Total	572,796	1,873,989
Unrealized Losses
Less than 12 Months	(538)	(17,778)
12 Months or More	(10,226)	(25,381)
Total	$ (10,764)	$ (43,159)
Number of Securities
Less than 12 Months (in securities) | security	9	94
12 Months or More (in securities) | security	41	52
Total (in securities) | security	50	146
Fair value option, fair value	$ 323,900	$ 831,300
Fair value option, unrealized losses	3,100	26,300
GSE CRT
Fair Value
Less than 12 Months	62,965	9,639
12 Months or More	0	0
Total	62,965	9,639
Unrealized Losses
Less than 12 Months	(381)	(193)
12 Months or More	0	0
Total	$ (381)	$ (193)
Number of Securities
Less than 12 Months (in securities) | security	4	1
12 Months or More (in securities) | security	0	0
Total (in securities) | security	4	1
Non-Agency RMBS
Fair Value
Less than 12 Months	$ 63,102	$ 87,850
12 Months or More	93,291	89,265
Total	156,393	177,115
Unrealized Losses
Less than 12 Months	(1,225)	(1,152)
12 Months or More	(591)	(1,138)
Total	$ (1,816)	$ (2,290)
Number of Securities
Less than 12 Months (in securities) | security	13	19
12 Months or More (in securities) | security	15	16
Total (in securities) | security	28	35
Fair value option, fair value	$ 6,100	$ 6,200
Fair value option, unrealized losses	223	79
Non-Agency IO
Number of Securities
Fair value option, fair value	4,900	3,700
Fair value option, unrealized losses	$ 821	$ 269

Mortgage-Backed and Credit Ri_9

Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 1,776	$ 4,359
RMBS interest-only securities
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	1,463	4,309
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 313	$ 50

Mortgage-Backed and Credit R_10

Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Gross realized gains on sale of investments	$ 1,202	$ 0
Gross realized losses on sale of investments	(12,317)	(9,237)
Other-than-temporary impairment losses	(1,776)	(4,359)
Net unrealized gains and losses on trading securities	0	(13)
Total gain (loss) on investments, net	268,382	(160,370)
MBS
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	280,039	(147,195)
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	$ 1,234	$ 434

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
	Mar. 31, 2019	Mar. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 192,442	$ 166,319
Net (Premium Amortization)/Discount Accretion	(6,950)	(17,316)
Interest Income	185,492	149,003
Agency RMBS and Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	130,197	108,317
Net (Premium Amortization)/Discount Accretion	(12,725)	(23,222)
Interest Income	117,472	85,095
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	38,830	37,293
Net (Premium Amortization)/Discount Accretion	3,031	1,426
Interest Income	41,861	38,719
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	14,267	14,012
Net (Premium Amortization)/Discount Accretion	3,922	5,177
Interest Income	18,189	19,189
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	8,596	6,525
Net (Premium Amortization)/Discount Accretion	(1,178)	(697)
Interest Income	7,418	5,828
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	552	172
Net (Premium Amortization)/Discount Accretion	0	0
Interest Income	$ 552	$ 172

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
FHLBI stock	$ 74,250	$ 74,250
Loan participation interest	53,827	54,981
Commercial loans, held-for-investment	24,454	31,582
Investments in unconsolidated ventures	24,129	24,012
Prepaid expenses and other assets	1,253	1,234
Total	$ 177,913	$ 186,059

Other Assets - Additional Infor

Other Assets - Additional Information (Details) - loan	1 Months Ended	3 Months Ended	12 Months Ended
	Aug. 31, 2018	Mar. 31, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, term	2 years
Secured loan collateralized by mortgage servicing rights
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, term	2 years
Loans receivable, renewal option, term	1 year
Participation interest in a secured loan collateralized by mortgage servicing rights | LIBOR
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, basis spread on variable rate		6.14%	6.06%
Commercial
Loans and Leases Receivable Disclosure [Line Items]
Number of loans		1	2
Weighted average years to maturity		1 year 11 months	1 year 8 months
Weighted average coupon rate		10.99%	10.69%

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2019	Dec. 31, 2018
Repurchase Agreements:
Amount outstanding	$ 16,824,387	$ 13,602,484
Weighted average interest rate	2.85%	2.80%
Weighted average remaining maturity	59 days	34 days
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 18,474,387	$ 15,252,484
Weighted average interest rate	2.84%	2.79%
Weighted average remaining maturity	220 days	242 days
Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 11,868,925	$ 9,529,352
Weighted average interest rate	2.68%	2.56%
Weighted average remaining maturity	67 days	36 days
Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 1,639,097	$ 810,450
Weighted average interest rate	2.67%	2.53%
Weighted average remaining maturity	72 days	31 days
Non-Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 1,642,106	$ 1,616,473
Weighted average interest rate	3.57%	3.56%
Weighted average remaining maturity	18 days	19 days
Non-Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 887,186	$ 923,959
Weighted average interest rate	3.46%	3.60%
Weighted average remaining maturity	25 days	26 days
GSE CRT
Repurchase Agreements:
Amount outstanding	$ 746,703	$ 681,014
Weighted average interest rate	3.49%	3.48%
Weighted average remaining maturity	20 days	21 days
Loan participation interest
Repurchase Agreements:
Amount outstanding	$ 40,370	$ 41,236
Weighted average interest rate	4.09%	4.09%
Weighted average remaining maturity	515 days	605 days
Secured Loans
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Weighted average interest rate	2.76%	2.68%
Weighted average remaining maturity	1862 days	1952 days

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Mar. 31, 2019USD ($)
Debt Disclosure [Abstract]
Borrowings maturing within 4/1/2019 - 3/31/2020	$ 17,084,017
Borrowings maturing within 4/1/2020 - 3/31/2021	140,370
Borrowings maturing within 4/1/2021 - 3/31/2022	0
Borrowings maturing within 4/1/2022 - 3/31/2023	0
Borrowings maturing within 4/1/2023 - 3/31/2024	0
Thereafter	1,250,000
Total	$ 18,474,387

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2019	Dec. 31, 2018
Repurchase Agreement Counterparty
Collateral ratio	110.00%	111.00%
Advances from Federal Home Loan Banks	$ 1,650,000	$ 1,650,000
Minimum
Repurchase Agreement Counterparty
Repurchase obligation maturity	1 month
Maximum
Repurchase Agreement Counterparty
Repurchase obligation maturity	6 months
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks	$ 1,650,000
Average outstanding borrowings from FHLBI	$ 1,650,000
FHLBI weighted average interest rate on advances	2.70%
Weighted average maturity (in years)	5 years 1 month 6 days

Collateral Positions (Details)

Collateral Positions (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Repurchase agreements collateral pledged	$ 18,453,134	$ 15,047,528
Securities loaned collateral pledged	1,947,052	1,930,364
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	198,000	159,900
Total collateral pledged	20,616,169	17,151,306
Cash	2,273	18,083
Non-cash collateral	0	0
Total collateral held	2,273	18,083
Cash
Derivative [Line Items]
Total collateral pledged	18,025	13,500
Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	215,983	173,414
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Cash
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	18,025	13,500
Centrally Cleared Interest Rate Swaps
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	164,800	158,300
Centrally Cleared Interest Rate Swaps | Restricted Cash [Member]
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	5,025
Agency RMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	12,575,947	10,158,404
Securities loaned collateral pledged	686,656	702,952
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	197,958	159,914
Agency CMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	1,763,779	870,702
Non-Agency CMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	2,072,829	2,016,202
Securities loaned collateral pledged	1,260,396	1,227,412
Non-Agency RMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	1,079,223	1,127,911
GSE CRT
Derivative [Line Items]
Repurchase agreements collateral pledged	907,529	819,328
Loan participation interest
Derivative [Line Items]
Repurchase agreements collateral pledged	53,827	54,981
Total collateral pledged	53,827	54,981
Mortgage-backed and credit risk transfer securities
Derivative [Line Items]
Total collateral pledged	$ 20,544,317	$ 17,082,825

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2019USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	$ 14,609,961
Additions	6,186,934
Settlement, Termination, Expiration or Exercise	(5,772,427)
Notional Amount as of March 31, 2019	15,024,468
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	12,370,000
Additions	4,575,000
Settlement, Termination, Expiration or Exercise	(4,050,000)
Notional Amount as of March 31, 2019	12,895,000
Futures Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	1,689,900
Additions	1,586,400
Settlement, Termination, Expiration or Exercise	(1,689,900)
Notional Amount as of March 31, 2019	1,586,400
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	23,149
Additions	25,534
Settlement, Termination, Expiration or Exercise	(23,149)
Notional Amount as of March 31, 2019	25,534
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	526,912
Additions	0
Settlement, Termination, Expiration or Exercise	(9,378)
Notional Amount as of March 31, 2019	$ 517,534

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018	Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Decrease (increase) to interest expense	$ 5,900	$ 6,500
Amount reclassified to interest expenses within Next 12 months	23,800
Unrealized gain on discontinued cash flow hedges included in AOCI	2,671,714		$ 2,286,697
Notional amount	15,024,468		14,609,961
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	93,800	$ 99,600
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	25,534		23,149
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 25,500		$ 23,100

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Notional amount	$ 15,024,468	$ 14,609,961
Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 12,895,000	$ 12,370,000
Weighted Average Fixed Pay Rate	2.37%	2.46%
Weighted Average Receive Rate	2.55%	2.55%
Weighted Average Years to Maturity	4 years 4 months 24 days	3 years 8 months 12 days
2020 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,000,000	$ 1,500,000
Weighted Average Fixed Pay Rate	2.72%	2.70%
Weighted Average Receive Rate	2.50%	2.47%
Weighted Average Years to Maturity	1 year 5 months 5 days	10 months 18 days
2021 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 2,800,000	$ 1,500,000
Weighted Average Fixed Pay Rate	2.49%	2.78%
Weighted Average Receive Rate	2.54%	2.51%
Weighted Average Years to Maturity	2 years 2 months 2 days	1 year 8 months 18 days
2022 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 2,550,000	$ 2,300,000
Weighted Average Fixed Pay Rate	2.13%	2.51%
Weighted Average Receive Rate	2.61%	2.58%
Weighted Average Years to Maturity	3 years 2 months 12 days	2 years 5 months 15 days
2023 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,500,000	$ 2,550,000
Weighted Average Fixed Pay Rate	2.21%	2.13%
Weighted Average Receive Rate	2.48%	2.65%
Weighted Average Years to Maturity	4 years 3 months 23 days	3 years 5 months 12 days
2024 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,600,000	$ 1,600,000
Weighted Average Fixed Pay Rate	2.27%	2.39%
Weighted Average Receive Rate	2.65%	2.47%
Weighted Average Years to Maturity	4 years 10 months	4 years 8 months 25 days
Thereafter | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 3,445,000	$ 2,920,000
Weighted Average Fixed Pay Rate	2.46%	2.47%
Weighted Average Receive Rate	2.52%	2.55%
Weighted Average Years to Maturity	7 years 9 months 17 days	6 years 9 months 10 days
1-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 8,400,000	$ 6,700,000
3-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 4,500,000	$ 5,700,000

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Notional amount	$ 15,024,468	$ 14,609,961
GSE CRT | GSE CRT Embedded Derivatives
Derivative [Line Items]
Fair value amount	25,305	22,771
Notional amount	517,534	526,912
Maximum potential amount of future undiscounted payments	$ 517,534	$ 526,912

Derivatives and Hedging Activ_7

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivatives, Fair Value
Derivative Assets	$ 8,742	$ 15,089
Derivative Liabilities	8,463	10,239
Interest Rate Swaps Asset
Derivatives, Fair Value
Derivative Assets	21,161	15,089
Interest Rate Swaps Liability
Derivatives, Fair Value
Derivative Liabilities	8,463	15,382
Currency Forward Contracts
Derivatives, Fair Value
Derivative Assets	311	0
Derivative Liabilities	0	172
Futures Contracts
Derivatives, Fair Value
Derivative Assets	5,108	0
Derivative Liabilities	$ 0	$ 7,836

Derivatives and Hedging Activ_8

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	$ (201,460)	$ 133,367
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(232,387)	113,578
Contractual net interest income (expense)	4,509	(12,112)
Unrealized gain (loss), net	26,418	31,901
Gain (loss) on derivative instruments, net	(201,460)	133,367
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	0	0
Contractual net interest income (expense)	5,350	5,633
Unrealized gain (loss), net	2,534	(2,468)
Gain (loss) on derivative instruments, net	7,884	3,165
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(165,884)	122,273
Contractual net interest income (expense)	4,509	(12,112)
Unrealized gain (loss), net	12,991	32,374
Gain (loss) on derivative instruments, net	(148,384)	142,535
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(66,688)	(5,277)
Contractual net interest income (expense)	0	0
Unrealized gain (loss), net	12,944	(1,612)
Gain (loss) on derivative instruments, net	(53,744)	(6,889)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	185	(3,418)
Contractual net interest income (expense)	0	0
Unrealized gain (loss), net	483	1,139
Gain (loss) on derivative instruments, net	$ 668	$ (2,279)

Derivatives and Hedging Activ_9

Derivatives and Hedging Activities - Credit Risk Related Contingent Features (Details) $ in Millions	Mar. 31, 2019USD ($)
Central Clearing Counterparty
Derivative [Line Items]
Derivative asset (liability), net	$ 17.8
Bilateral Interest Rate Swap
Derivative [Line Items]
Collateral required to pledge	12.1
Bilateral Interest Rate Swap | Accrued Interest
Derivative [Line Items]
Derivative asset (liability), net	$ (8.4)

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Derivative liabilities, at fair value	$ (8,463)	$ (23,390)
Central Clearing Counterparty
Derivative [Line Items]
Derivative liabilities, at fair value		$ (13,200)

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivatives Asset
Gross Amounts of Recognized Assets	$ 8,742	$ 15,089
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	8,742	15,089
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	0	(433)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	(2,201)	(14,656)
Net Amount	$ 6,541	$ 0

Offsetting Assets and Liabili_5

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Derivatives Liability
Gross Amounts of Recognized Liabilities	$ 8,463	$ 10,239
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	8,463	10,239
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(8,463)	(2,058)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	(7,836)
Net Amount	0	345
Repurchase Agreements
Gross Amounts of Recognized Liabilities	16,824,387	13,602,484
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	16,824,387	13,602,484
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(16,824,387)	(13,602,484)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Secured Loans
Gross Amounts of Recognized Liabilities	1,650,000	1,650,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	1,650,000	1,650,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(1,650,000)	(1,650,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Total Borrowings
Gross Amounts of Recognized Liabilities	18,482,850	15,262,723
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	18,482,850	15,262,723
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(18,482,850)	(15,254,542)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	(7,836)
Net Amount	0	345
Interest rate swaps collateral pledged	198,000	159,900
Cash collateral posted by Company's derivative counterparties	2,273	18,083
Due from counterparties	18,000	13,500
Fair value of securities pledged under repurchase agreement	18,453,134	15,047,528
Collateral pledged against secured loans	1,947,052	1,930,364
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	$ 164,800	$ 158,300

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018	Dec. 31, 2018
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $20,544,317 and $17,082,825, respectively)	$ 21,127,598		$ 17,396,642
Derivative Assets	8,742		15,089
Derivative Liabilities	$ 8,463		10,239
Weighted average remaining term of investments in unconsolidated ventures	2 years 9 months 25 days	2 years 7 months
Loan participation interest	$ 53,827		54,981
GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $20,544,317 and $17,082,825, respectively)	907,529		819,329
Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives in an asset position	25,305		22,771
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $20,544,317 and $17,082,825, respectively)	21,127,598		17,396,642
Derivative Assets	26,580		15,089
Other assets, at fair value	77,956		78,993
Total assets	21,232,134		17,490,724
Derivative Liabilities	8,463		23,390
Total liabilities	8,463		23,390
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 $20,544,317 and $17,082,825, respectively)	0		0
Derivative Assets	5,108		0
Other assets, at fair value	0		0
Total assets	5,108		0
Derivative Liabilities	0		7,836
Total liabilities	0		7,836
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $20,544,317 and $17,082,825, respectively)	21,102,293		17,373,871
Derivative Assets	21,472		15,089
Other assets, at fair value	0		0
Total assets	21,123,765		17,388,960
Derivative Liabilities	8,463		15,554
Total liabilities	8,463		15,554
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 $20,544,317 and $17,082,825, respectively)	25,305		22,771
Derivative Assets	0		0
Other assets, at fair value	53,827		54,981
Total assets	79,132		77,752
Derivative Liabilities	0		0
Total liabilities	0		0
Recurring | Level 3 | GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives at fair value	25,300		22,800
Embedded derivatives in an asset position	30,200		28,800
Embedded derivatives in a liability position	4,900		6,000
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 24,129		$ 24,012

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ 22,771	$ 45,400
Unrealized credit derivative gains (losses), net	2,534	(2,468)
Ending balance	$ 25,305	$ 42,932

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Loan participation interest Level 3 Roll Forward (Details) - Loan participation interest $ in Thousands	3 Months Ended
	Mar. 31, 2019USD ($)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 54,981
Advances	577
Repayments	(1,731)
Ending balance	$ 53,827

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Level 3 $ in Thousands	Mar. 31, 2019USD ($)year	Dec. 31, 2018USD ($)year
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives | $	$ 25,305	$ 22,771
Measurement Input, Expected Term | Minimum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	2.5	2.6
Measurement Input, Expected Term | Maximum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	5.6	6.8
Measurement Input, Expected Term | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	4	4.3

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Mar. 31, 2019	Dec. 31, 2018
Carrying Value
Financial Assets
Commercial loans, held-for-investment	$ 24,454	$ 31,582
FHLBI stock	74,250	74,250
Total assets	98,704	105,832
Financial Liabilities
Repurchase agreements	16,824,387	13,602,484
Secured loans	1,650,000	1,650,000
Total	18,474,387	15,252,484
Estimated Fair Value
Financial Assets
Commercial loans, held-for-investment	24,732	31,826
FHLBI stock	74,250	74,250
Total assets	98,982	106,076
Financial Liabilities
Repurchase agreements	16,825,642	13,602,050
Secured loans	1,650,000	1,650,000
Total	$ 18,475,642	$ 15,252,050

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018	Dec. 31, 2018
Related Party Transaction [Line Items]
Management fee – related party	$ 9,534	$ 10,221
Investment in money market or mutual funds managed by affiliates of a related party	$ 78,482		$ 135,617
Manager
Related Party Transaction [Line Items]
Management fee as percentage of stockholders' equity per annum	1.50%
Termination fee multiplier	3
Termination fees assessment period	24 months
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction [Line Items]
Management fee – related party	$ 183	214
Investment in money market or mutual funds managed by affiliates of a related party	$ 62,000	$ 131,900

Related Party Transactions - Sc

Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 1,924	$ 1,657
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	1,604	1,492
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 320	$ 165

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	May 03, 2019	Feb. 07, 2019	Apr. 30, 2019	Mar. 31, 2019	Aug. 31, 2017	Sep. 27, 2017	Mar. 31, 2019	Mar. 31, 2018	Sep. 28, 2017
Incentive Plan
Class of Stock [Line Items]
Number of shares of common stock remain available for future issuance (in shares)				748,492			748,492
Total unrecognized compensation cost				$ 185			$ 185
Share-based compensation cost not yet recognized, period for recognition							48 months
Weighted average remaining vesting period							24 months
Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price per share (dollars per share)				$ 25			$ 25
Equity distribution agreement, authorized (in shares)				7,000,000
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate							7.75%
Preferred stock, liquidation preference (dollars per share)				$ 25			$ 25
Preferred stock, dividends per annum (dollars per share)							$ 1.9375
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate							7.75%
Preferred stock, liquidation preference (dollars per share)				$ 25			$ 25
Preferred stock, dividends per annum (dollars per share)							$ 1.9375
Series B Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread				5.18%			5.18%
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate					7.50%
Preferred stock, liquidation preference (dollars per share)					$ 25
Preferred stock, dividends per annum (dollars per share)						$ 1.875
Series C Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread									5.289%
Common Stock
Class of Stock [Line Items]
Equity distribution agreement, authorized (in shares)				17,000,000
Number of shares issued during period		16,100,000
Sale of stock, price (in USD per share)		$ 15.73
Proceeds from issuance of common stock		$ 249,500
Remaining number of shares authorized to be repurchased (in shares)				18,239,082			18,239,082
Common Stock | Incentive Plan
Class of Stock [Line Items]
Number of shares authorized (in shares)				1,000,000			1,000,000
Compensation expense recognized							$ 19
Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Number of shares issued during period							572,000
Proceeds from issuance of common stock							$ 9,100
Payments of stock issuance commission and fees							193
Directors | Common Stock | Incentive Plan
Class of Stock [Line Items]
Compensation expense recognized							$ 113	$ 93
Restricted stock issued (in shares)							7,065	7,177
Employees of the Manager snd its affiliates | Common Stock | Incentive Plan
Class of Stock [Line Items]
Compensation expense recognized								$ 14
Subsequent Event | Incentive Plan
Class of Stock [Line Items]
Number of shares authorized (in shares)	200,000
Extended expiration period	10 years
Subsequent Event | Common Stock
Class of Stock [Line Items]
Sale of stock, price (in USD per share)			$ 15.83
Subsequent Event | Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Number of shares issued during period			90,000
Proceeds from issuance of common stock			$ 1,400
Payments of stock issuance commission and fees			$ 30

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs)	3 Months Ended
	Mar. 31, 2019$ / sharesshares
Restricted Stock Units
Unvested at the beginning of the period (in shares) | shares	11,051
Shares granted during the period (in shares) | shares	6,189
Shares vested during the period (in shares) | shares	(4,720)
Unvested at the end of the period (in shares) | shares	12,520
Weighted Average Grant Date Fair Value
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | $ / shares	$ 14.55
Granted, Weighted Average Grant Date Fair Value (usd per share) | $ / shares	15.92
Vested, Weighted Average Grant Date Fair Value (usd per share) | $ / shares	14.48
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | $ / shares	$ 15.25

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ 52,349	$ (132,317)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	10,147	9,237
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,851)	(6,539)
Currency translation adjustments on investment in unconsolidated venture	(276)	312
Total other comprehensive income (loss)	56,369	(129,307)
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)	56,369	(129,307)
Other comprehensive income/(loss) attributable to non-controlling interest		1,630
Balance at end of period		2,522,356
Equity method investments including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	(276)	312
Total other comprehensive income (loss)	(276)	312
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	(276)	312
Other comprehensive income/(loss) attributable to non-controlling interest		(4)
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	52,349	(132,317)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	10,147	9,237
Total other comprehensive income (loss)	62,496	(123,080)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	62,496	(123,080)
Other comprehensive income/(loss) attributable to non-controlling interest		1,552
Derivative and hedging including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,851)	(6,539)
Total other comprehensive income (loss)	(5,851)	(6,539)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	(5,851)	(6,539)
Other comprehensive income/(loss) attributable to non-controlling interest		82
Equity method investments attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	513	947
Balance at end of period	237	1,255
Available-for-sale securities attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	120,664	136,188
Balance at end of period	183,160	14,660
Derivative and hedging attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	99,636	123,894
Balance at end of period	93,785	117,437
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)	56,369	(127,677)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	220,813	261,029
Total other comprehensive income (loss)	56,369	(127,677)
Balance at end of period	$ 277,182	$ 133,352

Stockholders' Equity - Schedule

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

Earnings per Common Share - Ear

Earnings per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Basic Earnings:
Net income available to common stockholders	$ 127,683	$ 41,471
Effect of dilutive securities:
Income allocated to exchangeable senior notes	0	1,621
Income allocated to non-controlling interest	0	671
Dilutive net income available to stockholders	$ 127,683	$ 43,763
Basic Earnings:
Shares available to common stockholders (in shares)	121,098	111,629
Effect of dilutive securities:
Restricted stock awards (in shares)	12	20
Non-controlling interest OP units (in shares)	0	1,425
Exchangeable senior notes (in shares)	0	4,803
Dilutive Shares (in shares)	121,110	117,877
Net income attributable to common stockholders
Basic (usd per share)	$ 1.05	$ 0.37
Diluted (usd per share)	$ 1.05	$ 0.37

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	Feb. 07, 2019	Apr. 30, 2019	Aug. 31, 2018	Mar. 31, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate				$ 7,600	$ 10,000
Loans receivable, term			2 years
Loan participation interest
Loans and Leases Receivable Disclosure [Line Items]
Unfunded commitment				$ 21,200
Common Stock
Loans and Leases Receivable Disclosure [Line Items]
Number of shares issued during period	16,100
Sale of stock, price (in USD per share)	$ 15.73
Proceeds from issuance of common stock	$ 249,500
Equity Distribution Agreement | Common Stock
Loans and Leases Receivable Disclosure [Line Items]
Number of shares issued during period				572
Proceeds from issuance of common stock				$ 9,100
Payments of stock issuance commission and fees				$ 193
Subsequent Event | Common Stock
Loans and Leases Receivable Disclosure [Line Items]
Sale of stock, price (in USD per share)		$ 15.83
Subsequent Event | Equity Distribution Agreement | Common Stock
Loans and Leases Receivable Disclosure [Line Items]
Number of shares issued during period		90
Proceeds from issuance of common stock		$ 1,400
Payments of stock issuance commission and fees		$ 30

Subsequent Events (Details)

Subsequent Events (Details) - Incentive Plan - Subsequent Event	May 03, 2019shares
Subsequent Event [Line Items]
Number of shares authorized (in shares)	200,000
Extended expiration period	10 years