Western Asset Mortgage Capital (WMC) 10-K 7 Mar 17 2016 FY Annual report Financial data

Document and Entity Information

Document and Entity Information - USD ($)	12 Months Ended
	Dec. 31, 2016	Mar. 03, 2017	Jun. 30, 2016
Document and Entity Information
Entity Registrant Name	Western Asset Mortgage Capital Corp
Entity Central Index Key	1,465,885
Document Type	10-K
Document Period End Date	Dec. 31, 2016
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Accelerated Filer
Entity Public Float			$ 380,366,974
Entity Common Stock, Shares Outstanding		41,919,801
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus	FY

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Assets:
Cash and cash equivalents	$ 46,172	$ 24,711
Mortgage-backed securities and other securities, at fair value ($2,261,430 and $2,777,717 pledged as collateral, at fair value, respectively)	2,576,517	2,851,127
Residential Whole-Loans, at fair value ($192,136 and $218,538 pledged as collateral, at fair value, respectively)	192,136	218,538
Securitized commercial loan, at fair value	24,225	25,000
Investment related receivable	33,600	572
Accrued interest receivable	18,812	22,621
Due from counterparties	243,585	249,563
Derivative assets, at fair value	20,571	21,915
Other assets	398	382
Total Assets(1)	3,156,016	3,414,429
Liabilities:
Borrowings under repurchase agreements, net	2,155,644	2,585,667
Securitized debt, at fair value	10,659	11,000
Accrued interest payable	16,041	20,431
Investment related payables	341,458	66,146
Due to counterparties	740	9,950
Derivative liability, at fair value	182,158	180,177
Accounts payable and accrued expenses	3,255	2,078
Payable to affiliate	2,584	3,019
Dividend payable	12,995	24,313
Total Liabilities(2)	2,725,534	2,902,781
Commitments and contingencies
Stockholders' Equity:
Common stock, $0.01 par value, 500,000,000 shares authorized, 41,919,801 and 41,919,801 shares issued and outstanding, respectively	419	419
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding	0	0
Additional paid-in capital	765,042	763,283
Retained earnings (accumulated deficit)	(334,979)	(252,054)
Total Stockholders' Equity	430,482	511,648
Total Liabilities and Stockholders' Equity	$ 3,156,016	$ 3,414,429

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Fair value of mortgage-backed securities pledged as collateral (in dollars)	$ 2,261,430	$ 2,777,717
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized	500,000,000	500,000,000
Common stock, shares issued	41,919,801	41,719,801
Common stock, shares outstanding	41,919,801	41,719,801
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized	100,000,000	100,000,000
Preferred stock, shares outstanding	0	0
Residential Whole-Loans, at fair value ($192,136 and $218,538 pledged as collateral, at fair value, respectively)	$ 192,136	$ 218,538
Securitized commercial loan, at fair value	24,225	25,000
Investment related receivable	33,600	572
Accrued interest receivable	18,812	22,621
Total Assets(1)	3,156,016	3,414,429
Securitized debt, at fair value	10,659	11,000
Accrued interest payable	16,041	20,431
Accounts payable and accrued expenses	3,255	2,078
Total Liabilities(2)	2,725,534	2,902,781
VIE
Fair value of residential whole-loans pledged as collateral	192,136	218,538
Residential Whole-Loans, at fair value ($192,136 and $218,538 pledged as collateral, at fair value, respectively)	192,136	218,538
Securitized commercial loan, at fair value	24,225	25,000
Investment related receivable	1,241	0
Accrued interest receivable	1,622	1,836
Total Assets(1)	219,224	245,374
Securitized debt, at fair value	10,659	11,000
Accrued interest payable	85	85
Accounts payable and accrued expenses	2	2
Total Liabilities(2)	$ 10,746	$ 11,087

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Net Interest Income
Interest income	$ 123,756	$ 152,704	$ 149,110
Interest expense	32,430	27,605	22,263
Net Interest Income	91,326	125,099	126,847
Other Income (Loss)
Realized gain (loss) on sale of investments, net	(21,991)	8,279	(2,178)
Other than temporary impairment	(32,286)	(19,791)	(17,014)
Unrealized gain (loss), net	(17,107)	(34,011)	189,011
Gain (loss) on derivative instruments, net	(20,735)	(68,895)	(180,496)
Gain on linked transactions, net	0	0	1,870
Other, net	180	2,318	1,433
Other Income (Loss)	(91,939)	(112,100)	(7,374)
Expenses
Management fee to affiliate	10,448	10,874	9,633
Other operating expenses	1,045	2,014	761
Compensation expense	3,022	3,762	3,330
Professional fees	4,814	4,368	3,495
Other general and administrative expenses	1,917	1,465	1,541
Total general and administrative expenses	9,753	9,595	8,366
Total Expenses	21,246	22,483	18,760
Income (loss) before income taxes	(21,859)	(9,484)	100,713
Income tax provision (benefit)	3,156	0	0
Income (loss) before income taxes	$ (25,015)	$ (9,484)	$ 100,713
Basic earnings per common share (in dollars per share)	$ (0.61)	$ (0.25)	$ 2.67
Diluted earnings per common share (in dollars per share)	$ (0.61)	$ (0.25)	$ 2.67

Consolidated Statements of Ope5

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Income Statement [Abstract]
Non-cash stock based compensation	$ 1,699	$ 2,301	$ 2,203

Consolidated Statements of Chan

Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands	Total	Common Stock	Additional Paid-In Capital	Retained Earnings (Accumulated Deficit)
Balance at Dec. 31, 2013	$ 410,094	$ 268	$ 544,143	$ (134,317)
Balance (in shares) at Dec. 31, 2013		26,853,287
Increase (Decrease) in Stockholders' Equity
Proceeds from public offerings of common stock, net	205,380	$ 140	205,240
Proceeds from public offering of common stock, net (in shares)		14,000,000
Offering costs, public offerings of common stock	(400)		(400)
Proceeds from private placement of common stock	9,653	$ 7	9,646
Proceeds from private placement of common stock (in shares)		650,000
Grants of restricted stock		$ 2	(2)
Grants of restricted stock (in shares)		216,514
Vesting of restricted stock	2,266		2,266
Net income (loss)	100,713			100,713
Dividends declared on common stock	(104,494)		32	(104,526)
Balance at Dec. 31, 2014	623,212	$ 417	760,925	(138,130)
Balance (in shares) at Dec. 31, 2014		41,719,801
Increase (Decrease) in Stockholders' Equity
Grants of restricted stock		$ 2	(2)
Grants of restricted stock (in shares)		200,000
Vesting of restricted stock	(2,301)		2,301
Net income (loss)	(9,484)			(9,484)
Dividends declared on common stock	(104,381)		59	(104,440)
Balance at Dec. 31, 2015	$ 511,648	$ 419	763,283	(252,054)
Balance (in shares) at Dec. 31, 2015	41,719,801	41,919,801
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	$ 1,699		1,699
Net income (loss)	(25,015)			(25,015)
Dividends declared on common stock	(57,850)		60	(57,910)
Balance at Dec. 31, 2016	$ 430,482	$ 419	$ 765,042	$ (334,979)
Balance (in shares) at Dec. 31, 2016	41,919,801	41,919,801

Consolidated Statements of Cash

Consolidated Statements of Cash Flows $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Statement of Cash Flows [Abstract]
Net income (loss)	$ (25,015)	$ (9,484)	$ 100,713
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Premium amortization and (discount accretion) on investments, net	(548)	5,086	10,257
Interest income earned added to principal of securities	(413)	(207)	0
Amortization of deferred financing costs	191	486	0
Restricted stock amortization	1,699	2,301	2,203
Premium amortization for MAC interest rate swaps	(658)	(1,250)	(1,818)
Interest payments and basis recovered on MAC interest rate swaps	658	1,595	7,164
Premium on purchase of Residential Whole-Loans	(574)	(3,329)	(131)
Unrealized gain (loss), net	17,107	34,011	(189,011)
Unrealized loss on derivative instruments, net	5,135	73,599	178,125
Unrealized loss on linked transactions, net	0	0	1,762
Other than temporary impairment	32,286	19,791	17,014
Realized (gain) loss on sale of investments, net	21,991	(8,279)	2,178
(Gain) loss on derivatives, net	(41,516)	13,920	(9,754)
Gain on linked transactions, net	0	0	(1,397)
Loss (gain) on foreign currency transactions, net	758	(2,130)	(1,306)
Changes in operating assets and liabilities:
Decrease (increase) in accrued interest receivable	3,809	4,688	(15,043)
Decrease (increase) in other assets	(16)	(56)	13
Increase (decrease) in accrued interest payable	(4,390)	2,858	5,039
Increase (decrease) in accounts payable and accrued expenses	1,477	(16)	503
Increase (decrease) in payable to related party	(435)	314	863
Net cash provided by operating activities	11,546	133,898	107,374
Cash flows from investing activities:
Purchase of securities	(2,172,623)	(1,354,274)	(4,007,240)
Purchase of securities underlying linked transactions	0	0	(54,739)
Proceeds from sale of securities	2,273,922	2,547,364	2,375,264
Proceeds from sale of securities underlying linked transactions	0	0	6,215
Principal repayments and basis recovered on securities	344,937	397,073	332,581
Principal repayments and basis recovered on securities underlying linked transactions	0	0	4,801
Purchase of Residential Whole-Loans	(28,825)	(225,870)	(7,030)
Principal repayments on Residential Whole-Loans	52,473	20,355	9
Purchase of Commercial Whole-Loans	0	(8,750)	0
Principal repayments on Commercial Whole-Loans	0	8,750	0
Purchase of securitized commercial loan	0	(14,000)	0
Payment of premium for option derivatives	(17,951)	(16,064)	(2,813)
Premium received from option derivatives	22,707	15,354	0
Net settlements of TBAs	6,140	3,710	37,829
Proceeds from (Payments on) termination of futures, net	23,609	(527)	(16,495)
Proceeds from sale of interest rate swaptions	2,075	32,186	8,710
Premium for MAC interest rate swaps, net	465	(3,858)	11,011
Payments on termination of MAC interest rate swaps	0	(186)	2,791
Due from counterparties	(8,449)	0	0
Proceeds from termination of foreign currency swaps	6,771	0	0
Payments on total return swaps	38	0	0
Interest payments and basis recovered on MAC interest rate swaps	(658)	(1,193)	706
Premium for interest rate swaptions, net	0	(40,215)	(3,278)
Net cash provided by (used in) investing activities	504,631	1,359,855	(1,311,678)
Cash flows from financing activities:
Proceeds from issuance of common stock	0	0	205,380
Proceeds from private placement of common stock (concurrent with initial public offering)	0	0	9,653
Payment of offering costs	0	0	(408)
Proceeds from repurchase agreement borrowings	15,977,505	17,544,060	22,819,986
Proceeds from repurchase agreement borrowings underlying linked transactions	0	0	180,935
Repayments of repurchase agreement borrowings	(16,407,929)	(18,863,913)	(21,523,332)
Repayments of repurchase agreement borrowings underlying linked transactions	0	0	(208,177)
Proceeds from (Repayment of) cash overdraft	(300)	300	0
Proceeds from forward contracts	112,574	242,279	44,897
Repayments of forward contracts	(112,640)	(243,180)	(46,656)
Premium for MAC interest rate swaps containing an other-than-insignificant financing element	0	0	20,479
Payments on termination of MAC interest rate swaps containing an other-than-insignificant financing element	0	(18,655)	(14,147)
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element	0	(402)	(7,870)
Payments made for deferred financing costs	(58)	(620)	0
Due from counterparties, net	14,427	(64,806)	(129,323)
Due to counterparties, net	(9,210)	(2,230)	(53,681)
Dividends paid on common stock	(69,168)	(109,272)	(94,735)
Net cash provided by (used in) financing activities	(494,799)	(1,516,439)	1,203,001
Effect of exchange rate changes on cash and cash equivalents	83	175	0
Net increase (decrease) in cash and cash equivalents	21,461	(22,511)	(1,303)
Cash and cash equivalents beginning of period	24,711	47,222	48,525
Cash and cash equivalents end of period	46,172	24,711	47,222
Supplemental disclosure of operating cash flow information:
Interest paid	32,041	27,515	20,553
Income taxes paid	2,093	0	0
Supplemental disclosure of non-cash financing/investing activities:
Principal payments of securities, not settled	0	572	45
Securities purchased, not settled	(309,086)	(66,146)	(6,002)
Securities recorded upon unlinking of linked transactions	0	0	(69,838)
Assets of CSMC Trust	0	11,000	0
Liabilities of CSMC Trust	0	(11,000)	0
Net unsettled TBAs	(14)	0	2,186
Dividends and distributions declared, not paid	12,995	24,313	29,204
Principal payments of Residential Whole-Loans, not settled	$ 1,241	$ 0	$ 0

Organization

Organization	12 Months Ended
	Dec. 31, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Western Asset Mortgage Capital Corporation, is a Delaware corporation, and its subsidiaries (the "Company") commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, whole-loans and other financial assets. The Company's portfolio is comprised of Agency RMBS (including TBAs), Non-Agency RMBS, Agency and Non-Agency CMBS and Whole-Loans. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS as well as certain Non U.S. CMBS and in asset-backed securities ("ABS") investments secured by a portfolio of private student loans. The Company's investment strategy is based on Western Asset Management Company's (the "Manager") perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time. The Manager will vary the allocation among various asset classes subject to maintaining the Company's qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940 (the "1940 Act"). These restrictions limit the Company's ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company's portfolio will continue to be principally invested in qualifying MBS, Whole-Loans and other real estate related assets. The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission ("SEC"). The Manager is a wholly-owned subsidiary of Legg Mason, Inc. The Company operates and has elected to be taxed as a real estate investment trust or "REIT" commencing with its taxable year ended December 31, 2012.

Summary of Significant Accounti

Summary of Significant Accounting Policies	12 Months Ended
	Dec. 31, 2016
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation The consolidated financial statements of the Company are prepared in accordance with generally accepted accounting principles in the United States ("GAAP"). The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and variable interest entities ("VIEs") in which it is considered the primary beneficiary. Refer to Note 5—"Variable Interest Entities" for additional information regarding the impact of consolidation of theses VIE's. All intercompany amounts between the Company and its subsidiary and consolidated VIE's have been eliminated in consolidation. Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity's activities or are not exposed to the entity's losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE's economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE's capital structure; and the reasons why the interests are held by the Company. In instances when a VIE is owned by both the Company and related parties, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group does as a whole meets these two criteria, the determination of primary beneficiary within the related party group is based upon an analysis of the facts and circumstances with the objective of determining which party is most closely associated with the VIE. Determining the primary beneficiary within the related party group requires significant judgment. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity, under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE's financial assets or financial liabilities, whichever is more observable. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. Reclassification Certain prior period amounts have been reclassified in the consolidated financial statements to conform to current period presentation. Earnings (Loss) per share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company's participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares outstanding to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Cash and Cash Equivalents The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820 "Fair Value Measurements and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I—Quoted prices in active markets for identical assets or liabilities. Level II—Quoted prices for similar assets and liabilities 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 III—Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. See Note 3 Fair Value of Financial Instruments. Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency RMBS, Non-Agency RMBS, Agency CMBS and Non-Agency CMBS, ABS and other real estate related assets, these investments are recorded in accordance with ASC 320, “Investments – Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets” or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”. The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net”. When the Company purchases securities with evidence of credit deterioration since origination, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” line item in the Consolidated Statements of Operations. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves. Securities in an unrealized loss position on December 31, 2016 , are not considered other than temporarily impaired if the Company had the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company was not required to sell the security for regulatory or other reasons. In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security. Residential Whole-Loans Investments in Whole-Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Whole-Loan portfolio. Whole-Loans are recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value being recorded in earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Whole-Loans or committing to purchase these loans are charged to expense as incurred. The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method, based on the contractual payment terms of the loan. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. Interest income recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company's observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Where appropriate, the Company may include in its cash flow projections the U.S. Department of Justice's settlements with the major residential mortgage originators, regarding certain lending practices. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Residential Whole-Loans Interest income on the Company's Whole-Loan portfolio is recorded in accordance with ASC 835 using the effective interest method. Any amortization or accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company's portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company's Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Foreign currency transactions The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses, which are recorded in "Other, net" in the Consolidated Statement of Operations. Due from counterparties/Due to counterparties Due from counterparties represents cash posted by the Company with its counterparties as collateral for the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Due to counterparties represents cash posted with the Company by its counterparties as collateral under the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in the due from counterparties and/or due to counterparties are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company's futures contracts. In addition, as provided below, Due to counterparties may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company's Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. Derivatives and hedging activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. If the Company's hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders' equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value, of its derivative instruments, which includes net interest rate swap payments (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In the Company's Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps, excluding interest rate swaps containing an other-than-insignificant financing element and the unamortized premium of market agreed coupon ("MAC") interest rate swaps, are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company's Consolidated Statement of Cash Flows. While payments made at the time of entering MAC interest rate swaps are included in cash flows from investing activities, payments received by the Company upon entering MAC interest rate swaps are included in either cash flows from investing activities or cash flows from financing activities, depending on whether or not the derivative instrument includes an other-than-insignificant financing element. For MAC interest rate swaps containing an other-than-insignificant financing element, all cash flows over the life of the derivative are treated as cash flows from financing activities. Return and recovery of basis activity for MAC interest rate swaps is included in cash flows from investing activities for swaps not containing an other-than-insignificant financing element in the Company's Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company's Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Repurchase agreements and Reverse Repurchase agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements was recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager's view terminating the outstanding repurchase agreement is not in the Company's best interest. Cash paid to the borrower is recorded in the Company's Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties". The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statement of Cash Flows. Securitized debt Securitized debt was issued at par by a consolidated securitization trust. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt. The debt is recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". Share-based compensation The Company accounts for share-based compensation to its independent directors, to any employee, to its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company's independent directors and any employee of the Company including any such restricted stock which is subject to a deferred compensation program, and any employee of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. Warrants For the Company's warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company's common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. Income taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxab

Fair Value of Financial Instrum

Fair Value of Financial Instruments	12 Months Ended
	Dec. 31, 2016
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments The following tables present the Company's financial instruments carried at fair value as of December 31, 2016 and December 31, 2015 , based upon the valuation hierarchy (dollars in thousands): December 31, 2016 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ 498,470 30-Year mortgage — 935,207 — 935,207 Agency RMBS Interest-Only Strips — 19,790 — 19,790 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 16,503 — 16,503 Agency CMBS — 290,605 73,059 363,664 Agency CMBS Interest-Only Strips — 231 — 231 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 7,729 — 7,729 Subtotal Agency MBS — 1,768,535 73,059 1,841,594 Non-Agency RMBS — 240,422 619 241,041 Non-Agency RMBS Interest-Only Strips — — 64,116 64,116 Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 3,085 3,085 Non-Agency CMBS — 351,163 7,756 358,919 Subtotal Non-Agency MBS — 591,585 75,576 667,161 Other securities — 36,406 31,356 67,762 Total mortgage-backed securities and other securities — 2,396,526 179,991 2,576,517 Residential Whole-Loans — — 192,136 192,136 Securitized commercial loan — — 24,225 24,225 Derivative assets 71 20,500 — 20,571 Total Assets $ 71 $ 2,417,026 $ 396,352 $ 2,813,449 Liabilities Derivative liabilities $ 2,487 $ 177,998 $ 1,673 $ 182,158 Securitized debt — — 10,659 10,659 Total Liabilities $ 2,487 $ 177,998 $ 12,332 $ 192,817 December 31, 2015 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 687,272 $ — $ 687,272 30-Year mortgage — 926,459 — 926,459 Agency RMBS Interest-Only Strips — 71,954 — 71,954 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 45,362 — 45,362 Agency CMBS — — 24,690 24,690 Agency CMBS Interest-Only Strips — 2,113 — 2,113 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 11,069 — 11,069 Subtotal Agency MBS — 1,744,229 24,690 1,768,919 Non-Agency RMBS — 278,885 166,564 445,449 Non-Agency RMBS Interest-Only Strips — — 81,189 81,189 Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 3,556 3,556 Non-Agency CMBS — 332,574 118,341 450,915 Subtotal Non-Agency MBS — 611,459 369,650 981,109 Other securities — 29,103 71,996 101,099 Total mortgage-backed securities and other securities — 2,384,791 466,336 2,851,127 Residential Whole-Loans — — 218,538 218,538 Securitized commercial loan — — 25,000 25,000 Derivative assets 63 21,852 — 21,915 Total Assets $ 63 $ 2,406,643 $ 709,874 $ 3,116,580 Liabilities Derivative liabilities $ 698 $ 179,479 $ — $ 180,177 Securitized debt — — 11,000 11,000 Total Liabilities $ 698 $ 179,479 $ 11,000 $ 191,177 When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing service, or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses. Mortgage-backed securities and other securities In determining the proper fair value hierarchy or level, all securities are initially classified in Level III. The Company further determined, given the amount of available observable market data, Agency RMBS should be classified in Level II. For Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II. Values for the Company's securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates a commonly used market pricing method. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker's quote which is reviewed for reasonableness by the Manager's pricing group. Residential Whole-Loans Values for the Company's residential whole-loans are based upon prices obtained from an independent third party pricing service that specializes in whole-loans, utilizing a trade based valuation model. Their valuation methodology incorporates commonly used market pricing methods, including loan to value ("LTV"), debt to income, maturity, interest rates, collateral location, and unpaid principal balance, prepayment penalties, FICO scores, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Securitized commercial loan and securitized debt Values for the Company's securitized commercial loan and securitized debt are based on which fair value is more observable. Since there is an extremely limited market for the securitized commercial loan, the Company determined the fair value of the securitized debt was more observable. The fair value of the securitized debt was based upon a third party broker quote, which is validated by the Manager's pricing group. Due to the inherent uncertainty of such valuation the Company classifies its securitized commercial loan and securitized debt as Level III. Derivatives Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager's pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, and its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. The majority of the Company's interest rate swaps are cleared through a central clearing house and subject to the clearing house margin requirements. The Company's agreements with its derivative counterparties also contain netting provisions; however the Company has elected to report its interest rate swaps and swaptions and currency swaps and forwards on a gross basis. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the years ended December 31, 2016 and December 31, 2015 . The Company performs quarterly reviews of the independent third party pricing data. These reviews may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager's pricing group. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Year ended December 31, 2016 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 466,336 $ 218,538 $ 25,000 $ 11,000 $ — Transfers into Level III from Level II — — — — — Transfers from Level III into Level II (220,887 ) — — — — Purchases 72,736 28,226 — — — Sales and settlements (88,562 ) — — — (38 ) Principal repayments (17,698 ) (52,573 ) — — — Total net gains/losses included in net income Realized gains/(losses), net (9,356 ) — — — 38 Other loss on Mortgage-backed securities (6,737 ) — — — — Unrealized gains/(losses), net on assets (1) (5,545 ) (42 ) (775 ) — — Unrealized (gains)/losses, net on liabilities (2) — — — (341 ) 1,673 Premium and discount amortization, net (10,296 ) (2,013 ) — — — Ending balance $ 179,991 $ 192,136 $ 24,225 $ 10,659 $ 1,673 (1) For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loan classified as Level III at December 31, 2016 , the Company recorded gross unrealized gains of approximately $1.3 million , $1.2 million and $0 and gross unrealized losses of approximately $7.6 million , $663 thousand and $775 thousand , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) For securitized debt and derivative liability classified as Level III at December 31, 2016 , the Company recorded gross unrealized gains of $341 thousand and $0 and gross unrealized losses of $0 and $1.7 million , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Year ended December 31, 2015 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Beginning balance $ 343,891 $ 7,220 $ — $ — Transfers into Level III from Level II 104,748 — — — Transfers from Level III into Level II (42,952 ) — — — Purchases 179,546 217,325 25,000 11,000 Sales and settlements (88,574 ) — — — Principal repayments (11,880 ) (8,674 ) — — Total net gains / (losses) included in net income Realized gains/(losses), net 4,314 — — — Other loss on Mortgage-backed securities (7,552 ) — — — Unrealized gains/(losses), net (1) (7,386 ) 3,548 — — Premium and discount amortization, net (7,819 ) (881 ) — — Ending balance $ 466,336 $ 218,538 $ 25,000 $ 11,000 (1) For Mortgage-backed securities and other securities and Residential Whole-Loans classified as Level III at December 31, 2015 , the Company recorded gross unrealized gains of approximately $7.3 million and $3.6 million and gross unrealized losses of approximately $13.4 million and $ 8 thousand , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Transfers between hierarchy levels during operations for the years ended December 31, 2016 and December 31, 2015 were based on the availability of sufficient observable inputs to meet Level II versus Level III criteria. The leveling of these assets was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between Level I and Level II for the years ended December 31, 2016 and December 31, 2015 . Other Fair Value Disclosures "Due from counterparties" and "Due to counterparties" in the Company's Consolidated Balance Sheets are reflected at cost which approximates fair value. The fair value of the repurchase agreements is based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. At December 31, 2016 , the Company's borrowings under repurchase agreements had a carrying value of approximately $2.2 billion which approximates its fair value. Inputs used to arrive at the fair value of the repurchase agreement borrowings and receivables under reverse repurchase agreements are generally observable, and therefore, they would be considered a Level II fair value measurement.

Mortgage-Backed Securities and

Mortgage-Backed Securities and other securities	12 Months Ended
	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities and other securities	10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ — $ 498,470 30-Year mortgage — — 935,207 — 935,207 Agency RMBS Interest-Only Strips 499 10,434 8,857 — 19,790 Agency RMBS Interest-Only Strips, accounted for as derivatives 807 9,476 6,220 — 16,503 Agency CMBS 282,911 80,753 — — 363,664 Agency CMBS Interest-Only Strips 231 — — — 231 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 7,729 — 7,729 Subtotal Agency 284,448 599,133 950,284 7,729 1,841,594 Non-Agency RMBS 13 65,780 54,408 120,840 241,041 Non-Agency RMBS Interest-Only Strips — 4,955 10,724 48,437 64,116 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,043 2,042 3,085 Non-Agency CMBS 15,865 37,998 134,941 170,115 358,919 Subtotal Non-Agency 15,878 108,733 201,116 341,434 667,161 Other securities — 40,360 5,346 22,056 67,762 Total $ 300,326 $ 748,226 $ 1,156,746 $ 371,219 $ 2,576,517 December 31, 2015 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 687,272 $ — $ — $ 687,272 30-Year mortgage — — 926,459 — 926,459 Agency RMBS Interest-Only Strips — 40,900 31,054 — 71,954 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,310 10,081 33,971 — 45,362 Agency CMBS 24,690 — — — 24,690 Agency CMBS Interest-Only Strips 2,113 — — — 2,113 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 11,069 11,069 Subtotal Agency 28,113 738,253 991,484 11,069 1,768,919 Non-Agency RMBS 15 86,172 59,502 299,760 445,449 Non-Agency RMBS Interest-Only Strips — — 20,639 60,550 81,189 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,248 2,308 3,556 Non-Agency CMBS 40,523 27,849 167,355 215,188 450,915 Subtotal Non-Agency 40,538 114,021 248,744 577,806 981,109 Other securities 29,102 11,088 39,256 21,653 101,099 Total $ 97,753 $ 863,362 $ 1,279,484 $ 610,528 $ 2,851,127 The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 142,749 $ (1,935 ) 47 $ — $ — — $ 142,749 $ (1,935 ) 47 30-Year mortgage 432,949 (11,264 ) 54 22,586 (945 ) 13 455,535 (12,209 ) 67 Agency RMBS Interest-Only Strips 6,105 (227 ) 6 1,630 (94 ) 2 7,735 (321 ) 8 Agency CMBS 145,791 (260 ) 7 — — — 145,791 (260 ) 7 Subtotal Agency 727,594 (13,686 ) 114 24,216 (1,039 ) 15 751,810 (14,725 ) 129 Non-Agency RMBS 11,628 (50 ) 3 33,034 (2,185 ) 6 44,662 (2,235 ) 9 Non-Agency CMBS 59,529 (4,031 ) 17 208,288 (26,015 ) 47 267,817 (30,046 ) 64 Subtotal Non-Agency 71,157 (4,081 ) 20 241,322 (28,200 ) 53 312,479 (32,281 ) 73 Other securities 7,966 (415 ) 1 23,390 (1,179 ) 2 31,356 (1,594 ) 3 Total $ 806,717 $ (18,182 ) 135 $ 288,928 $ (30,418 ) 70 $ 1,095,645 $ (48,600 ) 205 December 31, 2015 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 113,919 $ (1,229 ) 35 $ 44,470 $ (590 ) 10 $ 158,389 $ (1,819 ) 45 30-Year mortgage 68,890 (1,325 ) 17 329,716 (10,399 ) 55 398,606 (11,724 ) 72 Agency RMBS Interest-Only Strips 39,091 (2,177 ) 18 — — — 39,091 (2,177 ) 18 Subtotal Agency 221,900 (4,731 ) 70 374,186 (10,989 ) 65 596,086 (15,720 ) 135 Non-Agency RMBS 234,897 (6,928 ) 36 19,656 (519 ) 5 254,553 (7,447 ) 41 Non-Agency CMBS 298,369 (19,888 ) 55 27,755 (1,294 ) 7 326,124 (21,182 ) 62 Subtotal Non-Agency 533,266 (26,816 ) 91 47,411 (1,813 ) 12 580,677 (28,629 ) 103 Other securities 59,610 (1,746 ) 5 11,334 (1,166 ) 1 70,944 (2,912 ) 6 Total $ 814,776 $ (33,293 ) 166 $ 432,931 $ (13,968 ) 78 $ 1,247,707 $ (47,261 ) 244 The Company identified 18 securities with an unpaid principal balance of $143.1 million which it intends to sell that were in an unrealized loss position at December 31, 2016 , and as a result, the Company recognized an impairment charge of approximately $4.4 million on Agency RMBS which is included in "Other than temporary impairment". The Company assesses its Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least 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." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the securitization trustee regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and that it is more likely than not that the Company will not be required to sell the security until recovery of its amortized cost. In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statements of Operations as "Other than temporary impairment". For Non-Agency MBS and other securities rated below AA at the time of purchase and Agency and Non-Agency Interest-Only Strips, excluding Interest-Only Strips classified as derivatives, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the beneficial interest is less than its carrying amount. Other than for "plain-vanilla" variable rate Non-Agency MBS, the Company does not bifurcate the loss between credit loss and loss attributed to change in interest rates, therefore, the entire loss is recorded as other-than-temporary. These adjustments are reflected in the Company's Consolidated Statements of Operations as "Other than temporary impairment". In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. If an other-than-temporary impairment is recognized as a result of this analysis, the yield is maintained at the current accretion rate. The last revised estimated cash flows are then used for future impairment analysis purposes. The Company's prepayment speed estimate was the primary assumption used to determine other-than temporary-impairments for Interest-Only Strips, excluding Agency and Non-Agency Interest-Only Strips accounted for as derivatives, for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 . With respect to the Company's security portfolio, OTTI is generally recorded when the credit quality of the underlying collateral deteriorates and or the schedule payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate of the underlying collateral for the loan is sold or transferred. The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Agency RMBS $ 6,090 $ 4,005 $ 4,703 Non-Agency RMBS 9,511 9,216 11,293 Non-Agency CMBS 13,025 4,061 228 Other securities 3,660 2,509 790 Total $ 32,286 $ 19,791 $ 17,014 The Company has made investments in certain Non-Agency RMBS inverse floaters. The coupon rate on these securities has an inverse relationship to a benchmark rate. When the benchmark interest rate increases the coupon payment rate will decrease because the benchmark interest rate is deducted from the coupon payment. The Company has generally purchased these securities at a premium. Accelerated prepayments on these securities could result in an economic loss, as the Company would not recover the upfront premium. The premiums are amortized into income using the effective interest rate method. As of December 31, 2016 , December 31, 2015 and December 31, 2014 , the Company held $62.3 million , $79.1 million and $93.9 million , respectively, in Non-Agency RMBS inverse floaters. The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively: For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 70,467 $ (24,836 ) $ 45,631 $ 119,789 $ (48,119 ) $ 71,670 $ 152,967 $ (57,120 ) $ 95,847 Agency CMBS 2,619 (1,701 ) 918 3,600 (2,102 ) 1,498 1,610 (796 ) 814 Non-Agency RMBS 35,221 (5,243 ) 29,978 44,473 (8,008 ) 36,465 36,370 (3,313 ) 33,057 Non-Agency CMBS 24,893 7,431 32,324 26,562 3,687 30,249 14,284 361 14,645 Other securities 2,537 2,977 5,514 6,363 2,648 9,011 3,858 857 4,715 Total $ 135,737 $ (21,372 ) $ 114,365 $ 200,787 $ (51,894 ) $ 148,893 $ 209,089 $ (60,011 ) $ 149,078 The following tables present the sales and realized gains (loss) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively: For the year ended December 31, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,239,350 $ 6,214 $ (25,818 ) $ (19,604 ) Agency CMBS 22,939 54 (66 ) (12 ) Non-Agency RMBS 177,996 6,470 (4,560 ) 1,910 Non-Agency CMBS 50,418 137 (5,810 ) (5,673 ) Other securities 764,711 3,496 (2,108 ) 1,388 Total $ 2,255,414 $ 16,371 $ (38,362 ) $ (21,991 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million , gross realized gains of $1.9 million and gross realized losses of $595 thousand . For the year ended December 31, 2015 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,293,120 $ 12,054 $ (12,449 ) $ (395 ) Non-Agency RMBS 233,257 11,066 (174 ) 10,892 Non-Agency CMBS 161,985 2,123 (171 ) 1,952 Other securities 851,714 1,188 (5,358 ) (4,170 ) Total $ 2,540,076 $ 26,431 $ (18,152 ) $ 8,279 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $7.3 million , gross realized gains of $626 thousand and gross realized losses of approximately $31 thousand . For the year ended December 31, 2014 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,574,301 $ 11,134 $ (39,353 ) $ (28,219 ) Non-Agency RMBS 414,130 20,290 (993 ) 19,297 Non-Agency CMBS 168,535 2,007 (22 ) 1,985 Other securities 180,385 4,759 — 4,759 Total (2) $ 2,337,351 $ 38,190 $ (40,368 ) $ (2,178 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $34.2 million , gross realized gains of $439 thousand and gross realized losses of approximately $1.6 million . (2) Excludes proceeds for Agency CMBS Interest-Only Strips, accounted for as derivatives, of approximately $3.7 million , gross realized gains of $389 thousand and no gross realized losses." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company's investment portfolio at December 31, 2016 and December 31, 2015 (dollars in thousands). December 31, 2016 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 470,975 $ 25,741 $ — $ 496,716 $ 3,689 $ (1,935 ) $ 498,470 3.9 % 30-Year mortgage 878,599 63,608 — 942,207 5,209 (12,209 ) 935,207 4.1 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 18,810 1,301 (321 ) 19,790 3.0 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 16,503 3.2 % (2) Agency CMBS 377,286 (15,383 ) — 361,903 2,021 (260 ) 363,664 2.6 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A 210 21 — 231 4.3 % (2) Agency CMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 7,729 0.6 % (2) Subtotal Agency MBS 1,726,860 73,966 — 1,819,846 12,241 (14,725 ) 1,841,594 3.3 % Non-Agency RMBS 340,759 (294 ) (108,399 ) 232,066 11,210 (2,235 ) 241,041 4.5 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 55,754 8,362 — 64,116 5.6 % (2) Non-Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 3,085 4.6 % (2) Non-Agency CMBS 473,024 (69,436 ) (17,787 ) 385,801 3,164 (30,046 ) 358,919 5.0 % Subtotal Non-Agency MBS 813,783 (69,730 ) (126,186 ) 673,621 22,736 (32,281 ) 667,161 5.0 % Other securities (4) 44,838 4,435 (4,298 ) 68,085 1,271 (1,594 ) 67,762 8.2 % Total $ 2,585,481 $ 8,671 $ (130,484 ) $ 2,561,552 $ 36,248 $ (48,600 ) $ 2,576,517 3.9 % December 31, 2015 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 645,313 $ 35,216 $ — $ 680,529 $ 8,562 $ (1,819 ) $ 687,272 3.9 % 30-Year mortgage 856,014 71,342 — 927,356 10,827 (11,724 ) 926,459 4.2 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 71,632 2,499 (2,177 ) 71,954 3.1 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 45,362 3.6 % (2) Agency CMBS 24,450 — — 24,450 240 — 24,690 5.2 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A 1,915 198 — 2,113 4.7 % (2) Agency CMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 11,069 0.7 % (2) Subtotal Agency MBS 1,525,777 106,558 — 1,705,882 22,326 (15,720 ) 1,768,919 3.5 % Non-Agency RMBS 601,233 (16,669 ) (141,014 ) 443,550 9,345 (7,446 ) 445,449 3.7 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 66,600 14,589 — 81,189 5.9 % (2) Non- Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 3,556 5.0 % (2) Non-Agency CMBS 550,901 (73,835 ) (9,017 ) 468,049 4,049 (21,183 ) 450,915 5.0 % Subtotal Non-Agency MBS 1,152,134 (90,504 ) (150,031 ) 978,199 27,983 (28,629 ) 981,109 4.7 % Other securities (4) 81,518 1,135 (2,719 ) 102,778 1,233 (2,912 ) 101,099 4.8 % Total $ 2,759,429 $ 17,189 $ (152,750 ) $ 2,786,859 $ 51,542 $ (47,261 ) $ 2,851,127 3.9 % (1) Net weighted average coupon as of December 31, 2016 and December 31, 2015 is presented, net of servicing and other fees. (2) Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, and Agency CMBS IOs and IIOs, accounted for as derivatives have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2016 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $201.6 million , $278.4 million , $188.1 million , $20.7 million , $221.8 million and $32.8 million , respectively. At December 31, 2015 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOS, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $593.4 million , $321.0 million , $384.1 million , $24.9 million , $246.6 million and $43.2 million , respectively. (3) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (4) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $23.1 million and $22.8 million , as of December 31, 2016 and December 31, 2015 , respectively. As of each of December 31, 2016 and December 31, 2015 , the weighted average expected remaining term of the MBS and other securities investment portfolio was 7.1 years . The following tables present the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 (dollars in thousands): Year ended December 31, 2016 Year ended December 31, 2015 Year ended December 31, 2014 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Beginning balance $ (152,750 ) $ (145,532 ) $ 56,163 $ (182,007 ) $ (105,804 ) $ 82,228 $ (79,898 ) $ (71,295 ) $ 20,625 Securities previously accounted for as linked transactions (2) — — — (2,320 ) (1,393 ) 4,587 — — — Accretion of discount — 17,431 — — 18,465 — — 17,174 — Amortization of premium — — (5,470 ) — — (9,025 ) — — (9,135 ) Realized credit losses 7,697 — — 9,534 — — 5,175 — — Purchases (15,792 ) (2,945 ) 5,266 (38,634 ) (96,380 ) 18,544 (163,082 ) (117,396 ) 92,667 Sales 39,117 35,605 (12,156 ) 60,747 44,232 (30,054 ) 46,848 73,345 (26,598 ) Net impairment losses recognized in earnings (22,413 ) — — (14,839 ) — — (11,959 ) — — Unlinking of Linked Transactions — — — — — — (13,889 ) (297 ) 32,132 Transfers/release of credit reserve (3) 13,657 (14,381 ) 724 14,769 (4,652 ) (10,117 ) 34,798 (7,335 ) (27,463 ) Ending balance $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 $ (182,007 ) $ (105,804 ) $ 82,228 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Resulting from the implementation of guidance issued by the FASB which eliminated the requirement to account for certain financial instruments as linked transactions. (3) Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium. The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ — $ 498,470 30-Year mortgage — — 935,207 — 935,207 Agency RMBS Interest-Only Strips 499 10,434 8,857 — 19,790 Agency RMBS Interest-Only Strips, accounted for as derivatives 807 9,476 6,220 — 16,503 Agency CMBS 282,911 80,753 — — 363,664 Agency CMBS Interest-Only Strips 231 — — — 231 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 7,729 — 7,729 Subtotal Agency 284,448 599,133 950,284 7,729 1,841,594 Non-Agency RMBS 13 65,780 54,408 120,840 241,041 Non-Agency RMBS Interest-Only Strips — 4,955 10,724 48,437 64,116 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,043 2,042 3,085 Non-Agency CMBS 15,865 37,998 134,941 170,115 358,919 Subtotal Non-Agency 15,878 108,733 201,116 341,434 667,161 Other securities — 40,360 5,346 22,056 67,762 Total $ 300,326 $ 748,226 $ 1,156,746 $ 371,219 $ 2,576,517 December 31, 2015 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 687,272 $ — $ — $ 687,272 30-Year mortgage — — 926,459 — 926,459 Agency RMBS Interest-Only Strips — 40,900 31,054 — 71,954 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,310 10,081 33,971 — 45,362 Agency CMBS 24,690 — — — 24,690 Agency CMBS Interest-Only Strips 2,113 — — — 2,113 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 11,069 11,069 Subtotal Agency 28,113 738,253 991,484 11,069 1,768,919 Non-Agency RMBS 15 86,172 59,502 299,760 445,449 Non-Agency RMBS Interest-Only Strips — — 20,639 60,550 81,189 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,248 2,308 3,556 Non-Agency CMBS 40,523 27,849 167,355 215,188 450,915 Subtotal Non-Agency 40,538 114,021 248,744 577,806 981,109 Other securities 29,102 11,088 39,256 21,653 101,099 Total $ 97,753 $ 863,362 $ 1,279,484 $ 610,528 $ 2,851,127 The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 142,749 $ (1,935 ) 47 $ — $ — — $ 142,749 $ (1,935 ) 47 30-Year mortgage 432,949 (11,264 ) 54 22,586 (945 ) 13 455,535 (12,209 ) 67 Agency RMBS Interest-Only Strips 6,105 (227 ) 6 1,630 (94 ) 2 7,735 (321 ) 8 Agency CMBS 145,791 (260 ) 7 — — — 145,791 (260 ) 7 Subtotal Agency 727,594 (13,686 ) 114 24,216 (1,039 ) 15 751,810 (14,725 ) 129 Non-Agency RMBS 11,628 (50 ) 3 33,034 (2,185 ) 6 44,662 (2,235 ) 9 Non-Agency CMBS 59,529 (4,031 ) 17 208,288 (26,015 ) 47 267,817 (30,046 ) 64 Subtotal Non-Agency 71,157 (4,081 ) 20 241,322 (28,200 ) 53 312,479 (32,281 ) 73 Other securities 7,966 (415 ) 1 23,390 (1,179 ) 2 31,356 (1,594 ) 3 Total $ 806,717 $ (18,182 ) 135 $ 288,928 $ (30,418 ) 70 $ 1,095,645 $ (48,600 ) 205 December 31, 2015 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 113,919 $ (1,229 ) 35 $ 44,470 $ (590 ) 10 $ 158,389 $ (1,819 ) 45 30-Year mortgage 68,890 (1,325 ) 17 329,716 (10,399 ) 55 398,606 (11,724 ) 72 Agency RMBS Interest-Only Strips 39,091 (2,177 ) 18 — — — 39,091 (2,177 ) 18 Subtotal Agency 221,900 (4,731 ) 70 374,186 (10,989 ) 65 596,086 (15,720 ) 135 Non-Agency RMBS 234,897 (6,928 ) 36 19,656 (519 ) 5 254,553 (7,447 ) 41 Non-Agency CMBS 298,369 (19,888 ) 55 27,755 (1,294 ) 7 326,124 (21,182 ) 62 Subtotal Non-Agency 533,266 (26,816 ) 91 47,411 (1,813 ) 12 580,677 (28,629 ) 103 Other securities 59,610 (1,746 ) 5 11,334 (1,166 ) 1 70,944 (2,912 ) 6 Total $ 814,776 $ (33,293 ) 166 $ 432,931 $ (13,968 ) 78 $ 1,247,707 $ (47,261 ) 244 The Company identified 18 securities with an unpaid principal balance of $143.1 million which it intends to sell that were in an unrealized loss position at December 31, 2016 , and as a result, the Company recognized an impairment charge of approximately $4.4 million on Agency RMBS which is included in "Other than temporary impairment". The Company assesses its Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least 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." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the securitization trustee regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and that it is more likely than not that the Company will not be required to sell the security until recovery of its amortized cost. In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statements of Operations as "Other than temporary impairment". For Non-Agency MBS and other securities rated below AA at the time of purchase and Agency and Non-Agency Interest-Only Strips, excluding Interest-Only Strips classified as derivatives, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the beneficial interest is less than its carrying amount. Other than for "plain-vanilla" variable rate Non-Agency MBS, the Company does not bifurcate the loss between credit loss and loss attributed to change in interest rates, therefore, the entire loss is recorded as other-than-temporary. These adjustments are reflected in the Company's Consolidated Statements of Operations as "Other than temporary impairment". In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. If an other-than-temporary impairment is recognized as a result of this analysis, the yield is maintained at the current accretion rate. The last revised estimated cash flows are then used for future impairment analysis purposes. The Company's prepayment speed estimate was the primary assumption used to determine other-than temporary-impairments for Interest-Only Strips, excluding Agency and Non-Agency Interest-Only Strips accounted for as derivatives, for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 . With respect to the Company's security portfolio, OTTI is generally recorded when the credit quality of the underlying collateral deteriorates and or the schedule payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate of the underlying collateral for the loan is sold or transferred. The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Agency RMBS $ 6,090 $ 4,005 $ 4,703 Non-Agency RMBS 9,511 9,216 11,293 Non-Agency CMBS 13,025 4,061 228 Other securities 3,660 2,509 790 Total $ 32,286 $ 19,791 $ 17,014 The Company has made investments in certain Non-Agency RMBS inverse floaters. The coupon rate on these securities has an inverse relationship to a benchmark rate. When the benchmark interest rate increases the coupon payment rate will decrease because the benchmark interest rate is deducted from the coupon payment. The Company has generally purchased these securities at a premium. Accelerated prepayments on these securities could result in an economic loss, as the Company would not recover the upfront premium. The premiums are amortized into income using the effective interest rate method. As of December 31, 2016 , December 31, 2015 and December 31, 2014 , the Company held $62.3 million , $79.1 million and $93.9 million , respectively, in Non-Agency RMBS inverse floaters. The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively: For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 70,467 $ (24,836 ) $ 45,631 $ 119,789 $ (48,119 ) $ 71,670 $ 152,967 $ (57,120 ) $ 95,847 Agency CMBS 2,619 (1,701 ) 918 3,600 (2,102 ) 1,498 1,610 (796 ) 814 Non-Agency RMBS 35,221 (5,243 ) 29,978 44,473 (8,008 ) 36,465 36,370 (3,313 ) 33,057 Non-Agency CMBS 24,893 7,431 32,324 26,562 3,687 30,249 14,284 361 14,645 Other securities 2,537 2,977 5,514 6,363 2,648 9,011 3,858 857 4,715 Total $ 135,737 $ (21,372 ) $ 114,365 $ 200,787 $ (51,894 ) $ 148,893 $ 209,089 $ (60,011 ) $ 149,078 The following tables present the sales and realized gains (loss) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively: For the year ended December 31, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,239,350 $ 6,214 $ (25,818 ) $ (19,604 ) Agency CMBS 22,939 54 (66 ) (12 ) Non-Agency RMBS 177,996 6,470 (4,560 ) 1,910 Non-Agency CMBS 50,418 137 (5,810 ) (5,673 ) Other securities 764,711 3,496 (2,108 ) 1,388 Total $ 2,255,414 $ 16,371 $ (38,362 ) $ (21,991 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million , gross realized gains of $1.9 million and gross realized losses of $595 thousand . For the year ended December 31, 2015 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,293,120 $ 12,054 $ (12,449 ) $ (395 ) Non-Agency RMBS 233,257 11,066 (174 ) 10,892 Non-Agency CMBS 161,985 2,123 (171 ) 1,952 Other securities 851,714 1,188 (5,358 ) (4,170 ) Total $ 2,540,076 $ 26,431 $ (18,152 ) $ 8,279 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $7.3 million , gross realized gains of $626 thousand and gross realized losses of approximately $31 thousand . For the year ended December 31, 2014 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,574,301 $ 11,134 $ (39,353 ) $ (28,219 ) Non-Agency RMBS 414,130 20,290 (993 ) 19,297 Non-Agency CMBS 168,535 2,007 (22 ) 1,985 Other securities 180,385 4,759 — 4,759 Total (2) $ 2,337,351 $ 38,190 $ (40,368 ) $ (2,178 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $34.2 million , gross realized gains of $439 thousand and gross realized losses of approximately $1.6 million . (2) Excludes proceeds for Agency CMBS Interest-Only Strips, accounted for as derivatives, of approximately $3.7 million , gross realized gains of $389 thousand and no gross realized losses.

Variable Interest Entities

Variable Interest Entities	12 Months Ended
	Dec. 31, 2016
Variable Interest Entities
Variable Interest Entities	Variable Interest Entities Residential Whole-Loan Trusts The consolidated financial statements also include the consolidation of certain trusts that each meet the definition of a VIE related to the acquisition of Residential Whole-Loans in which the Company has determined itself to be the primary beneficiary of each such trust. The Company determined that it was the primary beneficiary of the two residential Whole-Loan trusts, which were merged into one trust during the first quarter of 2016, because it was involved in certain aspects of the design of each trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses and the right to receive benefits from the trust that could potentially be significant to the trust. The trust has issued a trust certificate to the Company which represents the beneficial interest in pools of Residential Whole-Loans held by the trust. As of December 31, 2016 and 2015 , the Company financed the trust certificate with $154.4 million and $173.9 million , respectively, of repurchase borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Whole-Loans owned by the trust in "Residential Whole-Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. Commercial Loan Trust In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015—Longhouse MZ ("CMSC Trust"), with a fair value of $13.6 million at December 31, 2016 which is financed with $6.8 million of repurchase borrowings. The Company determined that CMSC Trust was a VIE and itself the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses and the right to receive benefits from the trust that could potentially be significant to the trust. The CMSC Trust holds a $25.0 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $25.0 million of trust certificates issued. As of December 31, 2016 , the Company classified the mezzanine loan at fair value in "Securitized commercial loan, at fair value" in the Consolidated Balance Sheets. The $25.0 million of trust certificates, of which $14.0 million was eliminated in consolidation and the remaining $11.0 million held by an affiliate is carried at fair value of $10.7 million and classified as "Securitized debt, at fair value" in the Consolidated Balance Sheets. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company's initial consolidation assessment. The two consolidated trusts hold 475 performing Residential Whole-Loans and one performing commercial loan. The following table presents a summary of the assets and liabilities of the residential and commercial loan trusts included in the Consolidated Balance Sheets as of December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Residential Whole-Loans, at fair value $ 192,136 $ 218,538 Securitized commercial loan, at fair value 24,225 25,000 Investment related receivable 1,241 — Accrued interest receivable 1,622 1,836 Total assets $ 219,224 $ 245,374 Securitized debt, at fair value $ 10,659 $ 11,000 Accrued interest payable 85 85 Accounts payable and accrued expenses 2 2 Total liabilities $ 10,746 $ 11,087 The Company's risk with respect to its investment in each trust is limited to its direct ownership in the trust. The Residential Whole-Loans and securitized commercial loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company for the trust certificates issued by the trusts. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the years ended December 31, 2016 and December 31, 2015 . The Company did not deconsolidate any trusts during the year ended December 31, 2016 . The following table presents the components of the carrying value of Residential Whole-Loans and securitized commercial loan as of December 31, 2016 and December 31, 2015 (dollars in thousands): Residential Whole-Loans Securitized Commercial Loan December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015 Principal balance $ 187,765 $ 212,647 $ 25,000 $ 25,000 Unamortized premium 1,311 2,410 — — Unamortized discount (539 ) (161 ) — — Gross unrealized gains 3,643 3,642 — — Gross unrealized losses (44 ) — (775 ) — Fair value $ 192,136 $ 218,538 $ 24,225 $ 25,000 The Residential Whole-Loans are comprised of non-qualifying, mostly adjustable rate mortgages with low loan to values (or "LTV's"). The following tables present certain information about the Company's Residential Whole-Loans investment portfolio at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 - 4.00% 59 $ 23,318 54.8 % 732 1.4 26.5 4.2 % 4.01 - 5.00% 180 69,930 57.1 % 728 1.5 27.3 4.6 % 5.01 - 6.00% 231 91,440 55.5 % 723 1.6 27.1 5.0 % 6.01 - 7.00% 5 3,077 71.2 % 738 1.3 21.1 6.3 % Total 475 $ 187,765 56.3 % 726 1.5 27.0 4.8 % (1) The original FICO score is not available for 153 loans with a principal balance of approximately $66.7 million at December 31, 2016 . The Company has excluded these loans from the weighted average computations. December 31, 2015 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 - 4.00% 2 $ 698 35.7 % 766 1.9 29.4 3.9 % 4.01 - 5.00% 211 79,696 56.6 % 728 1.4 27.5 4.5 % 5.01 - 6.00% 302 128,204 55.1 % 723 1.6 27.9 5.1 % 6.01 - 7.00% 9 4,049 71.0 % 723 1.4 23.4 6.4 % Total 524 $ 212,647 55.9 % 725 1.5 27.6 4.9 % (1) The original FICO score is not available for 139 loans with a principal balance of approximately $58.7 million at December 31, 2015 . The Company has excluded these loans from the weighted average computations. The following table presents the geographic concentration of the collateral securing the Company's Residential Whole-Loans at December 31, 2016 and December 31, 2015 , based on principal balance, is located (dollars in thousands): December 31, 2016 December 31, 2015 State Concentration Principal Balance State Principal California 85.2 % $ 159,955 83.1 % $ 176,611 Washington 5.6 % 10,591 6.8 % 14,442 Massachusetts 5.4 % 10,161 5.6 % 12,000 New York 2.4 % 4,454 2.5 % 5,399 Georgia 0.8 % 1,492 0.9 % 1,813 Other 0.6 % 1,112 1.1 % 2,382 Total 100.0 % $ 187,765 100.0 % $ 212,647 As of December 31, 2016 , the aggregate fair value of the securitized debt issued by the consolidated VIE was $10.7 million and $11 million , respectively, which is classified as "Securitized debt, at fair value" in the Company's Consolidated Balance Sheets. The cost of financing the securitized debt is approximately 8.9% for the years ended December 31, 2016 and 2015 . Unconsolidated VIEs The Company’s economic interests held in unconsolidated VIEs are limited in nature to those of a passive holder of RMBS and CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts which issued its investments in MBS. As of December 31, 2016, the Company had not consolidated for financial reporting purposes any securitization trusts in which the Company either does not have the power to direct the activities that most significantly impact the economic performance of such entities or its variable interest was insignificant to the overall securitization. Further, as of December 31, 2016, the Company had not guaranteed any obligations of unconsolidated entities or entered into any commitment or intent to provide funding to any such entities.

Borrowings under Repurchase Agr

Borrowings under Repurchase Agreements	12 Months Ended
	Dec. 31, 2016
Debt Disclosure [Abstract]
Borrowings under Repurchase Agreements	Borrowings under Repurchase Agreements Repurchase Agreements As of December 31, 2016 , the Company had master repurchase agreements with 27 counterparties. As of December 31, 2016 , the Company had borrowings under repurchase agreements with 20 counterparties. The following tables summarize certain characteristics of the Company's repurchase agreements at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Agency RMBS $ 1,427,674 0.96 % 38 $ 1,601,713 0.66 % 41 Agency CMBS 56,365 1.07 % 46 32,699 1.80 % 21 Non-Agency RMBS 218,712 2.53 % 28 380,177 1.91 % 44 Non-Agency CMBS 255,656 2.55 % 30 323,670 1.84 % 37 Whole-loans (1) 161,181 2.91 % 9 180,892 2.38 % 26 Other securities 36,056 2.32 % 17 66,650 2.33 % 60 Repurchase agreements borrowings 2,155,644 1.48 % 34 2,585,801 1.17 % 38 Less unamortized debt issuance cost — N/A N/A 134 N/A N/A Repurchase agreements borrowings, net $ 2,155,644 1.48 % 34 $ 2,585,667 1.17 % 38 (1) Whole-loans consist of Residential Whole-Loans and securitized commercial loan. Repurchase agreement borrowings on the Residential Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated in consolidation. For the years ended December 31, 2016 and December 31, 2015 , the Company had average borrowings under its repurchase agreements of approximately $2.5 billion and $3.4 billion , respectively, and had a maximum month-end balance during the periods of approximately $3.1 billion and $4.0 billion , respectively. The Company had accrued interest payable at December 31, 2016 and December 31, 2015 of approximately $3.2 million and $3.0 million , respectively. In addition, at December 31, 2016 , the Company had entered into repurchase agreement borrowings of approximately $193.7 million , which settled by January 6, 2017 , with a weighted average interest rate of 1.36% , a weighted average contractual maturity of 52 days and secured by collateral of approximately $213.0 million . These borrowings are recorded as a liability in the Company's Consolidated Balance Sheets when settled. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months. The Company's repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company's repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company's financial position, results of operations and cash flows. The Company may also rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement and interest rate swap counterparties as incremental collateral in order to increase the Company's cash position. At December 31, 2016 and December 31, 2015 , the Company did not have any rehypothecated U.S. Treasury securities. Volatility in the mortgage markets may create additional stress on the overall liquidity of the Company due to the long-term nature of its assets and the short-term nature of its liabilities. In an instance of severe volatility, or where the additional stress on liquidity resulting from volatility is sustained over an extended period of time, the Company could be required to sell assets, possibly even at a loss, to generate sufficient liquidity to satisfy collateral and margin requirements which could have a material adverse effect on the Company's financial position, results of operations and cash flows. The majority of the Company's repurchase agreement counterparties are either U.S. financial institutions or the U.S. broker-dealer subsidiaries of foreign financial institutions. Further, if the Company is unable to renew, replace or expand repurchase financing with other sources of financing on substantially similar terms it may have a material adverse effect on the Company's financial position, results of operations and cash flow, due to the long term nature of the Company's investments and relatively short-term maturities of the Company's repurchase agreements. Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company's portfolio. All the repurchase agreements with outstanding borrowings the Company was in compliance with the terms of such financial tests as of December 31, 2016 . At December 31, 2016 and December 31, 2015 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2016 December 31, 2015 Overnight $ — $ — 1 to 29 days 1,386,971 1,335,119 30 to 59 days 167,642 362,940 60 to 89 days 601,031 847,781 90 to 119 days — — Greater than or equal to 120 days — 39,961 Total (1) $ 2,155,644 $ 2,585,801 (1) Excludes unamortized debt issuance costs of $0 and $134 thousand at December 31, 2016 and December 31, 2015 , respectively. At December 31, 2016 , the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): December 31, 2016 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders' Equity Credit Suisse Securities (USA) LLC $ 74,297 18 17.3 % RBC (Barbados) Trading Bank Corporation 56,429 40 13.1 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Assets Pledged-Fair Value Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets Pledged-Fair Value Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS $ 1,465,384 $ 5,335 $ 1,470,719 $ 1,658,865 $ 7,366 $ 1,666,231 Agency CMBS 61,200 353 61,553 37,872 342 38,214 Non-Agency RMBS 308,165 682 308,847 530,110 1,053 531,163 Non-Agency CMBS 358,919 1,845 360,764 449,771 2,949 452,720 Whole-loans (1) 205,702 1,518 207,220 232,538 1,750 234,288 Other securities 67,762 57 67,819 101,099 270 101,369 Cash (2) 36,986 — 36,986 38,300 — 38,300 Total $ 2,504,118 $ 9,790 $ 2,513,908 $ 3,048,555 $ 13,730 $ 3,062,285 (1) Whole-loans which consists of residential Whole-Loans and securitized commercial loan owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2016 and December 31, 2015 , investments held by counterparties as security for repurchase agreements totaled approximately $2.5 billion and approximately $3.0 billion , respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2016 and December 31, 2015 was approximately $37.0 million and $38.3 million , respectively. Cash posted by repurchase agreement counterparties at December 31, 2016 and December 31, 2015 , was approximately $270 thousand and $550 thousand , respectively. In addition, at December 31, 2016 and December 31, 2015 , the Company held securities with a fair value of $357 thousand and $0 , respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties.

Derivative Instruments

Derivative Instruments	12 Months Ended
	Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments The Company's derivatives may include interest rate swaps, interest rate swaptions, futures contracts, currency swaps and forwards, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, and total return swaps. The following table summarizes the Company's derivative instruments at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Derivative Instrument Designation Balance Sheet Location Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Interest rate swaps, assets Non-Hedge Derivative assets, at fair value $ 2,298,300 $ 20,466 $ 1,145 $ 2,808,700 $ 9,635 $ 1,287 Interest rate swaptions, assets Non-Hedge Derivative assets, at fair value — — — 1,105,000 1,479 — Futures contracts, asset Non-Hedge Derivative assets, at fair value 56,900 71 — 201,600 63 — Foreign currency swaps, asset Non-Hedge Derivative assets, at fair value — — — 25,160 7,168 (398 ) Foreign currency forward contracts, asset Non-Hedge Derivative assets, at fair value 784 34 — 5,825 302 — TBA securities, assets Non-Hedge Derivative assets, at fair value — — — 1,650,000 3,268 — Total derivative instruments, assets 20,571 1,145 21,915 889 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 5,046,300 (177,929 ) 3,054 5,631,800 (178,305 ) 7,875 Total return swap, liability Non-Hedge Derivative liability, at fair value 47,059 (1,673 ) (94 ) — — — Futures contracts, liability Non-Hedge Derivative liability, at fair value 176,300 (2,487 ) — 279,200 (698 ) — Foreign currency forward contracts, liability Non-Hedge Derivative liability, at fair value 1,532 (69 ) — 7,671 (281 ) — TBA securities, liabilities Non-Hedge Derivative liability, at fair value — — — 825,000 (893 ) — Total derivative instruments, liabilities (182,158 ) 2,960 (180,177 ) 7,875 Total derivative instruments $ (161,587 ) $ 4,105 $ (158,262 ) $ 8,764 (1) Fair Value excludes accrued interest. The following tables summarize the effect of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 (dollars in thousands): Period End Realized Gain (Loss), net Contractual interest income(expense), net (1) Return (Recovery) of Basis Mark-to-market adjustments Total Year ended December 31, 2016 Interest rate swaps $ (33,999 ) $ (27,903 ) $ 672 $ 11,013 $ (50,217 ) Interest rate swaptions (1,035 ) — — 1,631 596 Interest-Only Strips—accounted for as derivatives 1,317 14,148 (11,438 ) (4,726 ) (699 ) Options 4,756 — — — 4,756 Futures contracts 23,609 — — (1,781 ) 21,828 Foreign currency forwards (66 ) — — (56 ) (122 ) Foreign currency swaps 6,771 283 — (7,168 ) (114 ) Total return swap 38 1,121 — (1,673 ) (514 ) TBAs 6,126 — — (2,375 ) 3,751 Total $ 7,517 $ (12,351 ) $ (10,766 ) $ (5,135 ) $ (20,735 ) Year ended December 31, 2015 Interest rate swaps $ 23,680 $ (20,366 ) $ 1,250 $ (68,843 ) $ (64,279 ) Interest rate swaptions (5,242 ) — — (1,486 ) (6,728 ) Interest-Only Strips—accounted for as derivatives 595 21,872 (17,265 ) (4,283 ) 919 Options (711 ) — — — (711 ) Futures contracts (527 ) — — 105 (422 ) Foreign currency forwards (901 ) — — 323 (578 ) Foreign currency swaps — 795 — 3,311 4,106 TBAs 1,524 — — (2,726 ) (1,202 ) Total $ 18,418 $ 2,301 $ (16,015 ) $ (73,599 ) $ (68,895 ) Year ended December 31, 2014 Interest rate swaps $ 5,440 $ (31,764 ) $ 1,818 $ (183,379 ) $ (207,885 ) Interest rate swaptions (3,606 ) — — (1,697 ) (5,303 ) Interest-Only Strips—accounted for as derivatives (753 ) 26,097 (18,868 ) (2,136 ) 4,340 Options (2,813 ) — — — (2,813 ) Futures contracts (16,495 ) — — (740 ) (17,235 ) Foreign currency forwards (1,759 ) — — (303 ) (2,062 ) Foreign currency swaps — 317 — 3,857 4,174 TBAs 40,015 — — 6,273 46,288 Total $ 20,029 $ (5,350 ) $ (17,050 ) $ (178,125 ) $ (180,496 ) (1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. At December 31, 2016 and December 31, 2015 , the Company had cash pledged as collateral for its derivatives of approximately $206.6 million and approximately $211.3 million respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company also held cash collateral against derivatives of approximately $470 thousand and $9.4 million at December 31, 2016 and December 31, 2015 , respectively, which is reported in "Due to counterparties" in the Consolidated Balance Sheets. Interest rate swaps and interest rate swaptions The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. On occasion the Company may enter into a MAC interest rate swap in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described. The Company has not elected to account for its interest rate swaps as "hedges" under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps The following tables summarize the average fixed pay rate and average maturity for the Company's interest rate swaps as of December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Remaining Interest Rate Swap Term Notional Amount Fair Value—Asset (Liability), net Average Fixed Pay Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 105,900 $ 274 0.8 % 0.8 — % Greater than 1 year and less than 3 years 993,000 1,199 1.2 1.4 88.1 % Greater than 3 years and less than 5 years 1,861,700 (148 ) 1.9 3.9 36.5 % Greater than 5 years 1,701,600 (115,927 ) 3.1 10.5 6.5 % Total $ 4,662,200 $ (114,602 ) 2.1 % 5.7 35.7 % (1) Represents the percentage of notional that is forward starting December 31, 2015 Remaining Interest Rate Swap Term Notional Amount Fair Value—Asset (Liability), net Average Fixed Pay Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 1,286,000 $ 163 0.6 % 0.6 — % Greater than 1 year and less than 3 years 1,131,800 (1,450 ) 1.1 1.4 — % Greater than 3 years and less than 5 years 1,345,200 (22,705 ) 2.1 4.6 — % Greater than 5 years 2,404,600 (131,744 ) 2.8 10.2 29.5 % Total $ 6,167,600 $ (155,736 ) 1.9 % 5.4 11.5 % (1) Represents the percentage of notional that is forward starting As of December 31, 2016 and December 31, 2015 , the Company has entered into fixed pay forward starting swaps of approximately $1.7 billion and $710.0 million respectively, which have weighted average forward starting dates of 4.5 months and 8.6 months, respectively. The following tables summarize the average variable pay rate and average maturity for the Company's interest rate swaps as of December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Remaining Interest Rate interest rate swap Term Notional Amount Fair Value—Asset (Liability), net Average Variable Pay Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,811,400 $ (24,112 ) 0.9 % 3.7 — % Greater than 5 years 871,000 (18,749 ) 0.9 12.3 — Total $ 2,682,400 $ (42,861 ) 0.9 % 6.5 — % December 31, 2015 Remaining Interest Rate interest rate swap Term Notional Amount Fair Value—Asset (Liability), net Average Variable Pay Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,170,700 $ (8,902 ) 0.4 % 4.5 — % Greater than 5 years 1,102,200 (4,032 ) 0.4 12.3 — Total $ 2,272,900 $ (12,934 ) 0.4 % 8.2 — % The Company's agreements with certain of its bilateral interest rate swap counterparties may be terminated at the option of the counterparty, and settled at fair value, if the Company does not maintain certain equity and leverage metrics. The most restrictive of which contain provisions which become more restrictive based upon portfolio composition. Through December 31, 2016 , the Company was in compliance with the terms of such financial tests. Interest Rate Swaptions At December 31, 2016 , the Company did not hold any interest rate swaption positions. The following table presents the information related to the interest rate swaption positions held at December 31, 2015 (dollars in thousands): December 31, 2015 Option Underlying Swap Fixed-Pay Rate for Underlying Swap Fair Value Weighted Average Months Until Option Expiration Notional Amount Weighted Average Swap Term (Years) 1.76 - 2.00% $ 890 2.1 $ 400,000 5.0 2.01 - 2.25% 129 2.1 100,000 5.0 2.26 - 2.50% 1 5.8 105,000 1.0 $ 1,020 2.7 $ 605,000 4.3 Variable-Pay Rate for Underlying Swap 1.26 - 1.50% $ 459 2.1 $ 500,000 5.0 $ 459 2.1 $ 500,000 5.0 Futures Contracts The Company may enter into Eurodollar, Volatility Index and U.S. Treasury futures. As of December 31, 2016 , the Company had entered into contracts to buy or long positions for U.S. Treasuries with a notional amount of $56.9 million , a fair value in an asset position of $71 thousand and an expiration date of March 2017 . In addition, as of December 31, 2016 , the Company had sale contracts or short positions for U.S. Treasuries with a notional amount of $176.3 million , a fair value in an liability position of $2.5 million and an expiration date of March 2017 . As of December 31, 2015 , the Company had entered into contracts to buy or long positions for U.S. Treasuries with a notional amount of $480.8 million , a fair value in a liability position of $635 thousand and an expiration date of March 2016 . Currency Swaps and Forwards The Company has invested in and, in the future, may invest in additional securities which are denominated in a currency or currencies other than U.S. dollars. Similarly, it has and may in the future, finance such assets in a currency or currencies other than U.S. dollars. In order to mitigate the impact to the Company, the Company may enter into derivative financial instruments, including foreign currency swaps and foreign currency forwards, to manage fluctuations in the valuation between U.S. dollars and such foreign currencies. Foreign currency swaps involve the payment of a foreign currency at fixed interest rate on a fixed notional amount and the receipt of U.S. dollars at a fixed interest rate on a fixed notional amount. Foreign currency forwards provide for the payment of a fixed amount of a foreign currency in exchange for a fixed amount of U.S. dollars at a date certain in the future. The carrying value of foreign currency swaps and forwards is included in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets with changes in valuation included in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. The following is a summary of the Company's foreign currency forwards at December 31, 2016 and December 31, 2015 (dollars and euros in thousands): December 31, 2016 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 710 $ 784 January 2017 $ 34 Currency forwards, assets € 710 $ 784 n/a $ 34 Buy EUR/Sell USD currency forward € 673 $ 735 February 2017 $ (23 ) Buy EUR/Sell USD currency forward € 710 $ 797 January 2017 $ (46 ) Currency forwards, liabilities € 1,383 $ 2,316 n/a $ (69 ) Total currency forwards € 2,093 $ 2,316 n/a $ (35 ) December 31, 2015 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 5,083 $ 5,825 January 2016 $ 302 Currency forwards, assets € 5,083 $ 5,825 n/a $ 302 Buy EUR/Sell USD currency forward € 6,800 $ 7,671 January 2016 $ (281 ) Currency forwards, liabilities € 6,800 $ 7,671 n/a $ (281 ) Total currency forwards € 11,883 $ 13,496 n/a $ 21 There were no foreign currency swaps at December 31, 2016 . The following summarizes the Company's foreign currency swaps, with a fair value of $7.2 million at December 31, 2015 (dollars and euros in thousands): December 31, 2015 Date entered Maturity Fixed Rate Denomination Notional Amount Payer June 2014 July 2024 7.25 % EUR 18,500 Receiver June 2014 July 2024 9.005 % USD 25,160 To-be-announced securities The Company purchased or sold TBAs during the years ended December 31, 2016 and 2015 . As of December 31, 2016 , the Company had no contracts to purchase ("long position") and sell ("short position") TBAs on a forward basis. The following is a summary of the Company's long and short TBA positions reported, as of December 31, 2015 , in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2015 Notional Amount Fair Value Purchase contracts, asset $ 1,650,000 $ 3,268 TBA securities, asset 1,650,000 3,268 Purchase contracts, liability — — Sale contracts, liability (825,000 ) (893 ) TBA securities, liability (825,000 ) (893 ) TBA securities, net $ 825,000 $ 2,375 The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2016 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2015 Additions Expiration or Exercise December 31, 2016 Purchase of TBAs $ 1,650,000 $ 17,111,200 $ (18,761,200 ) $ — Sale of TBAs $ 825,000 $ 17,936,200 $ (18,761,200 ) $ — Interest-Only Strips The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. Total Return Swap In 2016, the Company has entered into a total return swap and in the future may continue to enter into these types of credit derivatives. This swap transfers the total return of the referenced asset, including interim cash flows and capital appreciation or depreciation from a specified price to the Company. The total return swap has a referenced asset which is a security collateralized by residential loans with a notional amount of €51.0 million . The Company receives interest from the referenced asset equal to EURIBOR plus 2.75% and is required to pay the counterparty EURIBOR plus 0.50% through June 23, 2019, with the spread decreasing to 0.25% through December 2019, with the spread further decreasing to 0% through the maturity date of the referenced asset in December 2020. As of December 31, 2016 , the Company has posted $8.4 million in cash collateral which is recorded in "Due from counterparties" in the Consolidated Balance Sheets.

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	12 Months Ended
	Dec. 31, 2016
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets Interest-Only Strips, accounted for as derivatives included in MBS $ 27,317 $ — $ 27,317 $ (23,338 ) $ — $ 3,979 Derivative asset, at fair value (2) 20,571 — 20,571 (20,500 ) — 71 Total derivative assets $ 47,888 $ — $ 47,888 $ (43,838 ) $ — $ 4,050 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 182,158 $ — $ 182,158 $ (20,500 ) $ (161,588 ) $ 70 Repurchase Agreements (4) 2,155,644 — 2,155,644 (2,155,644 ) — — Total derivative liability $ 2,337,802 $ — $ 2,337,802 $ (2,176,144 ) $ (161,588 ) $ 70 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, total return swaps and TBAs. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $206.6 million as of December 31, 2016 . (4) The fair value of investments pledged against the Company's repurchase agreements was approximately $2.5 billion as of December 31, 2016 . December 31, 2015 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets Interest-Only Strips, accounted for as derivatives included in MBS $ 59,987 $ — $ 59,987 $ (55,372 ) $ — $ 4,615 Derivative asset, at fair value (2) 21,915 — 21,915 (10,177 ) (8,647 ) 3,091 Total derivative assets $ 81,902 $ — $ 81,902 $ (65,549 ) $ (8,647 ) $ 7,706 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 180,177 $ — $ 180,177 $ (10,177 ) $ (169,887 ) $ 113 Repurchase Agreements (4) 2,585,801 — 2,585,801 (2,585,801 ) — — Total derivative liability $ 2,765,978 $ — $ 2,765,978 $ (2,595,978 ) $ (169,887 ) $ 113 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts and TBAs. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $211.3 million as of December 31, 2015 . (4) The fair value of investments pledged against the Company's repurchase agreements was approximately $3.0 billion as of December 31, 2015 . Certain of the Company's repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.

Related Party Transactions

Related Party Transactions	12 Months Ended
	Dec. 31, 2016
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Management Agreement In connection with the Company's IPO in May 2012, the Company entered into a management agreement (the "Management Agreement") with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company's operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company's Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company's stockholders' equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, "stockholders' equity" means the sum of the net proceeds from any issuances of the Company's equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company's shares of common stock, excluding any unrealized gains, losses or other non-cash items, (including OTTI charges prior to January 1, 2016); unrealized gain (loss), net; and the non-cash portion of gain (loss) on derivative instruments, that have impacted stockholder's equity as reported in the Company's consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company's independent directors and after approval by a majority of the Company's independent directors. However, if the Company's stockholders' equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. On August 3, 2016, the Company and the Manager entered into an amendment to the Management Agreement that amended the definition of "Equity" in the Management Agreement. Under the new definition, for all periods beginning on January 1, 2016, OTTI will reduce the Company's "Equity" for any completed fiscal quarter that OTTI was recognized, which in turn will reduce the Company's management fee from what would have been payable before the amendment. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company's CFO, controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company's reimbursement obligation is not subject to any dollar limitation. Because the Manager's personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm's-length basis. The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2018 . It is automatically renewed for one year terms on each May 15th unless previously terminated as described below. The Company's independent directors review the Manager's performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company's independent directors, based upon: (i) the Manager's unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company's determination that any fees payable to the Manager are not fair, subject to the Manager's right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company's independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24 -month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company's Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company's independent directors, which is defined as: (i) the Manager's continued material breach of any provision of the Management Agreement (including the Manager's failure to comply with the Company's investment guidelines); (ii) the Manager's fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager's gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. For the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 the Company incurred approximately $10.4 million , approximately $10.9 million and approximately $9.6 million in management fees, respectively. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company, as defined in the Management Agreement. For the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , the Company recorded expenses included in general and administrative expense totaling approximately $740 thousand , $1.2 million and $624 thousand , respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company's general and administrative expense in the Consolidated Statements of Operations, or may be reflected in the Consolidated Balance Sheets and associated Consolidated Statements of Changes in Stockholders' Equity, based on the nature of the item. At December 31, 2016 and December 31, 2015 , approximately $2.5 million and approximately $2.7 million , respectively for management fees incurred but not yet paid was included in "Payable to related party" in the Consolidated Balance Sheets. In addition, at December 31, 2016 and December 31, 2015 , approximately $83 thousand and $277 thousand , respectively of reimbursable costs incurred but not yet paid was included in "Payable to related party" in the Consolidated Balance Sheets. Securitized debt At December 31, 2016 and December 31, 2015 , the Company had securitized debt related to the consolidated VIEs, with a principal balance of $11.0 million and $11.0 million , respectively (and a fair value of $10.7 million and $11.0 million , respectively) which was held by an affiliate. The securitized debt of the VIEs can only be settled with the commercial loans that serve as collateral of the VIE and is non-recourse to the Company.

Share-Based Payments

Share-Based Payments	12 Months Ended
	Dec. 31, 2016
Share-based Compensation [Abstract]
Share-Based Payments	Share-Based Payments In conjunction with the Company's IPO and concurrent private placement, the Company's Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the "Equity Plan") and the Western Asset Manager Equity Plan (the "Manager Equity Plan" and collectively the "Equity Incentive Plans"). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company's directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company's Equity Incentive Plans) under these Equity Incentive Plans. At May 15, 2012, there were 308,335 shares of common stock initially reserved for issuance under the Equity Incentive Plans. Upon the completion of the October 3, 2012 follow-on common stock offering, the stock portion of the Company's dividend declared December 19, 2013, and the April 9, 2014 follow-on offering (which includes the partial exercise of the overallotment option on May 7, 2014) and private placement of common stock, the number of shares of common stock available for issuance under the Equity Incentive Plans increased to 1,237,711 , inclusive of 681,970 shares of restricted stock granted and 25,891 shares of restricted stock issued as a result of the stock portion of the dividend declared on December 19, 2013 and restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. As of December 31, 2016 , 529,850 shares remained available for issuance under the Equity Incentive Plans. The Company made the following grants under the Equity Plan for the years ended December 31, 2016 and December 31, 2015 : On June 2, 2016, the Company granted a total of 17,132 ( 4,283 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 2, 2017, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Director Deferred Fee Plan (the "Director Deferred Fee Plan"). The Director Deferred Fee Plan permits eligible members of the Company’s board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. On March 1, 2015, the Company granted 200,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares vested on March 1, 2016, one-third will vest on March 1, 2017 and the remaining one-third will vest on March 1, 2018. On June 4, 2015, the Company granted a total of 10,500 ( 2,625 each) of restricted common stock under the Equity Plan to the Company's four independent directors. These restricted shares vested in full on June 4, 2016, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company's Director Deferred Fee Plan. On December 8, 2015, the Company's then chief financial officer passed away and the board of directors approved the accelerated vesting of 13,980 shares of restricted common stock. The Company recognized $66 thousand of compensation expense recorded in "Compensation expense" in the Consolidated Statements of Operations for the year ended December 31, 2015 . During the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , 200,983 , 175,824 and 87,819 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $1.7 million , approximately $2.3 million and approximately $2.2 million for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively. In addition, the Company had unamortized compensation expense of $67 thousand for equity awards and approximately $895 thousand for liability awards and $67 thousand for equity awards and approximately $2.4 million for liability awards at December 31, 2016 and December 31, 2015 , respectively. All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company's common stock that are credited to each participant's deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted common stock vesting dates as of December 31, 2016 and December 31, 2015 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2016 December 31, 2015 Vesting Date Shares Vesting Shares Vesting March 2016 — 188,184 June 2016 — 11,528 March 2017 133,334 133,334 June 2017 18,196 — March 2018 66,667 66,667 218,197 399,713 The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2016 and December 31, 2015 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2016 December 31, 2015 Shares of Restricted Stock Weighted Average Grant Date Fair Value(1) Shares of Restricted Stock Weighted Average Grant Date Fair Value(1) Outstanding at beginning of period 688,394 $ 17.39 476,200 $ 18.49 Granted(2) 19,467 9.40 212,194 14.93 Outstanding at end of period 707,861 $ 17.17 688,394 $ 17.39 Unvested at end of period 218,197 $ 14.98 399,713 $ 16.24 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. (2) Included in Granted are restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 2,335 shares for the year ended December 31, 2016 and 1,694 shares for the year ended December 31, 2015 .

Stockholders' Equity

Stockholders' Equity	12 Months Ended
	Dec. 31, 2016
Stockholders' Equity Note [Abstract]
Stockholders' Equity	Stockholders' Equity Warrants On May 9, 2012, the Company entered into agreements with certain institutional investors to sell 2,231,787 warrant units. Each warrant unit consists of one share of the Company's common stock and a warrant to purchase 0.5 of a share of the Company's common stock, subject to adjustment. As of December 31, 2016 , the adjusted exercise price of the warrants was $16.70 and there were a total of 1,232,916 warrant shares purchasable. The warrants expire on May 15, 2019. Stock Repurchase Program On February 25, 2016, the Board of Directors of the Company reauthorized its repurchase program of up to 2,050,000 shares of its common stock through December 31, 2017. The original authorization expired on December 31, 2015. Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Commission. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company's discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The Company has not repurchased any shares of common stock pursuant to the authorization as of December 31, 2016 . Dividends The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2016 December 22, 2016 January 3, 2017 January 26, 2017 $ 0.31 Ordinary income September 22, 2016 October 4, 2016 October 25, 2016 $ 0.31 Ordinary income June 23, 2016 July 5, 2016 July 26, 2016 $ 0.31 Ordinary income March 24, 2016 April 4, 2016 April 26, 2016 $ 0.45 Ordinary income 2015 December 17, 2015 December 28, 2015 January 26, 2016 $ 0.58 Ordinary income September 24, 2015 October 5, 2015 October 27, 2015 $ 0.60 Ordinary income June 18, 2015 June 29, 2015 July 28, 2015 $ 0.64 Ordinary income March 26, 2015 April 6, 2015 April 28, 2015 $ 0.67 Ordinary income 2014 December 18, 2014 December 29, 2014 January 27, 2015 $ 0.70 Ordinary income September 23, 2014 October 3, 2014 October 28, 2014 $ 0.70 Ordinary income June 19, 2014 June 30, 2014 July 29, 2014 $ 0.67 Ordinary income March 20, 2014 March 31, 2014 April 29, 2014 $ 0.67 Ordinary income

Net Income (Loss) per Common Sh

Net Income (Loss) per Common Share	12 Months Ended
	Dec. 31, 2016
Earnings Per Share [Abstract]
Net Income (Loss) per Common Share	Net Income (Loss) per Common Share The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (25,015 ) $ (9,484 ) $ 100,713 Less: Dividends and undistributed earnings allocated to participating securities 377 1,045 944 Net income (loss) allocable to common stockholders—basic and diluted $ (25,392 ) $ (10,529 ) $ 99,769 Denominator : Weighted average common shares outstanding for basic earnings per share 41,688,950 41,490,556 37,337,460 Weighted average common shares outstanding for diluted earnings per share 41,688,950 41,490,556 37,337,460 Basic earnings per common share $ (0.61 ) $ (0.25 ) $ 2.67 Diluted earnings per common share $ (0.61 ) $ (0.25 ) $ 2.67 For the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , the Company excluded the effects of the warrants from the computation of diluted earnings per share since the average market value per share of the Company's common stock was below the exercise price of the warrants.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2016
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company's analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of December 31, 2016 . The Company files U.S. federal and state income tax returns. As of December 31, 2016 , U.S. federal tax returns filed by the Company for 2015, 2014 and 2013 and state tax returns filed for 2015, 2014, 2013 and 2012 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company's policy is to classify them as a component of its provision for income taxes. Deferred Tax Asset As of December 31, 2016 , the Company recorded a deferred tax asset of approximately $6.5 million relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards and temporary differences may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a full valuation allowance. The following table discloses the components of the Company's deferred tax asset at December 31, 2016 and 2015 (dollars in thousands): Deferred Tax Asset December 31, 2016 December 31, 2015 Net operating loss carry-forwards $ — $ — Net capital loss carry-forwards 1,981 736 Investments 4,504 2,368 Deferred tax asset 6,485 3,104 Allowance (6,485 ) (3,104 ) Net deferred tax asset $ — $ — Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more TRS. Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. For the year ended December 31, 2016, the Company recorded a federal and state tax provision of approximately $3.2 million . In addition, on completion and filing of its 2015 federal and state tax returns in September 2016 for the TRS, the Company incurred an additional tax liability of approximately $2.0 million due to changes in the estimated taxable income from certain investments, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. The following table summarizes our income tax provision for the year ended December 31, 2016 (dollars in thousands): For the year ended December 31, 2016 Current tax provision Federal $ 2,365 State 672 Interest and Penalties 119 Total Current Provision for Income taxes 3,156 Deferred Provision for Income Taxes Federal — State — Total Deferred Provision for Income Taxes — Total Income Tax Provision $ 3,156 Reconciliation of Tax Rate to Effective Tax Rate T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2016 Federal statutory rate 34.0 % State statutory rate, net of federal benefit 3.0 % Permanent differences — % Other (9.5 )% Change in valuation allowance (15.4 )% REIT losses not subject to corporate taxes (26.5 )% Effective Tax Rate (14.4 )%

Contingencies

Contingencies	12 Months Ended
	Dec. 31, 2016
Commitments and Contingencies Disclosure [Abstract]
Contingencies	Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2016 .

Summarized Quarterly Results (u

Summarized Quarterly Results (unaudited)	12 Months Ended
	Dec. 31, 2016
Quarterly Financial Information Disclosure [Abstract]
Summarized Quarterly Results (unaudited)	Summarized Quarterly Results (unaudited) The following is a presentation of selected unaudited results of operations: Quarter Ended March 31, 2016 June 30, 2016 September 30, 2016 December 31, 2016 Net Interest Income Interest income $ 29,618 $ 29,220 $ 29,154 $ 35,764 Interest expense 7,979 7,727 7,685 9,039 Net Interest Income 21,639 21,493 21,469 26,725 Other Income (Loss) Realized gain (loss) on sale of investments, net (6,055 ) (352 ) 1,439 (17,023 ) Other than temporary impairment (10,797 ) (6,356 ) (4,978 ) (10,155 ) Unrealized gain (loss), net 10,769 21,510 15,292 (64,678 ) Gain (loss) on derivative instruments, net (45,170 ) (14,165 ) 6,121 32,479 Other, net (332 ) 234 (60 ) 338 Other Income (Loss), net (51,585 ) 871 17,814 (59,039 ) Expenses Management fee to affiliate 2,753 2,588 2,604 2,503 Other operating expenses 438 183 188 236 General and administrative Compensation expense 737 649 868 768 Professional fees 2,002 1,222 723 867 Other general and administrative expenses 428 419 379 691 Total general and administrative expenses 3,167 2,290 1,970 2,326 Total Expenses 6,358 5,061 4,762 5,065 Income (loss) before income taxes (36,304 ) 17,303 34,521 (37,379 ) Income tax provision (benefit) — — 2,239 917 Net income (loss) $ (36,304 ) $ 17,303 $ 32,282 $ (38,296 ) Net income (loss) per Common Share—Basic $ (0.88 ) $ 0.41 $ 0.77 $ (0.92 ) Net income (loss) per Common Share—Diluted $ (0.88 ) $ 0.41 $ 0.77 $ (0.92 ) Quarter Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 Net Interest Income: Interest income $ 40,806 $ 41,029 $ 35,821 $ 35,048 Interest expense 6,402 6,577 6,981 7,645 Net Interest Income 34,404 34,452 28,840 27,403 Other Income (Loss): Realized gain (loss) on sale of investments, net 7,468 4,281 (2,482 ) (988 ) Other than temporary impairment (4,651 ) (4,316 ) (5,917 ) (4,907 ) Unrealized gain (loss), net 28,410 (42,849 ) 24,723 (44,295 ) Gain (loss) on derivative instruments, net (48,302 ) 13,154 (41,363 ) 7,616 Other, net 2,384 (611 ) (29 ) 574 Other Income (Loss) (14,691 ) (30,341 ) (25,068 ) (42,000 ) Expenses: Management fee to affiliate 2,693 2,679 2,761 2,741 Other operating expenses 413 260 799 542 General and administrative: Compensation expense 973 1,176 857 756 Professional fees 1,135 1,244 882 1,107 Other general and administrative expenses 353 445 325 342 Total general and administrative expenses 2,461 2,865 2,064 2,205 Total Expenses 5,567 5,804 5,624 5,488 Income (loss) before income taxes 14,146 (1,693 ) (1,852 ) (20,085 ) Income tax provision (benefit) — — — — Net income (loss) $ 14,146 $ (1,693 ) $ (1,852 ) $ (20,085 ) Net income (loss) per Common Share—Basic $ 0.34 $ (0.05 ) $ (0.05 ) $ (0.49 ) Net income (loss) per Common Share—Diluted $ 0.34 $ (0.05 ) $ (0.05 ) $ (0.49 )

Subsequent Events

Subsequent Events	12 Months Ended
	Dec. 31, 2016
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events As discussed in Item 1 "Business - Our Investment Strategy" our Manager actively manages the Company's portfolio and reallocates capital as it believes appropriate to achieve the Company's investment objectives. The Manager has recently been increasing Agency CMBS and, to a lesser extent, Whole Loans and Other Securities and decreasing Agency and non-Agency RMBS. Subsequent to year-end through February 28, 2017, the Company sold and received proceeds of $551.4 million in Agency RMBS and $246.0 million in Non Agency RMBS and the Company reallocated capital to acquire $599.5 million in Agency CMBS, $73.6 million in Whole Loans (owned through two wholly owned trusts) and $69.0 million in Other Securities.

Schedule IV - Mortgage Loans on

Schedule IV - Mortgage Loans on Real Estate	12 Months Ended
	Dec. 31, 2016
Mortgage Loans on Real Estate [Abstract]
Schedule IV - Mortgage Loans on Real Estate	$ in thousands Asset Type Description Number of Loans Interest Rate Maturity Date Periodic Payment Terms (1) Prior Liens Face Amount of Mortgages Carrying Amount of Mortgages Principal Amount of Loans Subject to Delinquent Principal or Interest Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 118 Hybrid ARM 3.9% to 5.8% 9/1/2041 to 7/1/2045 P&I $ — $ 15,962 $ 16,343 $ — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 218 Hybrid ARM 3.9% to 5.9% 12/1/2041 to 9/1/2046 P&I — 69,664 71,395 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 52 Hybrid ARM 3.9% to 5.6% 2/1/2042 to 9/1/2046 P&I — 28,183 28,791 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 24 Hybrid ARM 3.9% to 5.0% 9/1/2042 to 8/1/2046 P&I — 18,813 19,135 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 17 Hybrid ARM 3.9% to 5.9% 5/1/2043 to 7/1/2046 P&I — 17,285 17,728 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 6 Hybrid ARM 3.9% to 5.2% 12/1/2041 to 8/1/2043 P&I — 7,841 7,952 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 9 Hybrid ARM 3.9% to 5.0% 2/1/2042 to 7/1/2046 P&I — 16,358 16,773 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 7 Variable 4.2% to 4.4% 2/1/2044 to 6/1/2044 P&I — 1,221 1,246 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 8 Variable 4.2% to 4.3% 3/1/2044 to 6/1/2044 P&I — 2,877 2,937 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 2 Variable 4.2% to 4.3% 4/1/2044 to 4/1/2044 P&I — 1,012 1,034 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 3 Variable 4.3% to 4.4% 2/1/2044 to 5/1/2044 P&I — 2,695 2,741 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 1 Variable 4.2% 4/1/2044 P&I — 1,427 1,448 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 3 Fixed 4.9% to 6.8% 9/1/2026 to 7/1/2041 P&I — 351 366 — $ in thousands Asset Type Description Number of Loans Interest Rate Maturity Date Periodic Payment Terms (1) Prior Liens Face Amount of Mortgages Carrying Amount of Mortgages Principal Amount of Loans Subject to Delinquent Principal or Interest Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 2 Fixed 5.7% to 5.9% 9/1/2026 to 11/1/2041 P&I — 403 418 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 2 Fixed 5.4% to 5.8% 8/1/2034 to 11/1/2034 P&I — 881 911 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 1 Fixed 6.3% 4/1/2040 P&I — 990 1,032 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 1 Fixed 6.3% 2/1/2036 P&I — 1,042 1,092 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 1 Fixed 6.5% 11/1/2036 P&I — 760 794 — Commercial Mezzanine Loan Held in Securitization Trust Original Loan Balance $25,000,000 1 Fixed 9.0% 7/6/2020 P&I (2) — 25,000 24,225 — $ — $ 212,765 $ 216,361 $ — (1) Principal and interest ("P&I") (2) Interest only payments for initial 2 years . After 2 years, monthly P&I payments are based on a 30 years amortization schedule and a balloon payment is due on the maturity date. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2016 2015 2014 Beginning balance $ 243,538 $ 7,220 $ — Additions during period: New mortgage loans 29,399 262,949 7,161 Unrealized gains 1,187 3,631 94 Deductions during period: Collections of principal 53,714 29,105 9 Amortization of premium and (discounts) 2,044 1,074 25 Unrealized losses 2,005 83 1 Balance at end of period $ 216,361 $ 243,538 $ 7,220

Summary of Significant Accoun25

Summary of Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2016
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation The consolidated financial statements of the Company are prepared in accordance with generally accepted accounting principles in the United States ("GAAP"). The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and variable interest entities ("VIEs") in which it is considered the primary beneficiary. Refer to Note 5—"Variable Interest Entities" for additional information regarding the impact of consolidation of theses VIE's. All intercompany amounts between the Company and its subsidiary and consolidated VIE's have been eliminated in consolidation. Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity's activities or are not exposed to the entity's losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE's economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE's capital structure; and the reasons why the interests are held by the Company. In instances when a VIE is owned by both the Company and related parties, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group does as a whole meets these two criteria, the determination of primary beneficiary within the related party group is based upon an analysis of the facts and circumstances with the objective of determining which party is most closely associated with the VIE. Determining the primary beneficiary within the related party group requires significant judgment. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity, under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE's financial assets or financial liabilities, whichever is more observable. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.
Use of Estimates	Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates.
Reclassification	Reclassification Certain prior period amounts have been reclassified in the consolidated financial statements to conform to current period presentation.
Earnings (Loss) per share	Earnings (Loss) per share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company's participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares outstanding to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares.
Offering Costs	Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital.
Cash and Cash Equivalents	Cash and Cash Equivalents The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit.
Mortgage-Backed Securities and Other Securities	Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency RMBS, Non-Agency RMBS, Agency CMBS and Non-Agency CMBS, ABS and other real estate related assets, these investments are recorded in accordance with ASC 320, “Investments – Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets” or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”. The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net”. When the Company purchases securities with evidence of credit deterioration since origination, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” line item in the Consolidated Statements of Operations. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves. Securities in an unrealized loss position on December 31, 2016 , are not considered other than temporarily impaired if the Company had the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company was not required to sell the security for regulatory or other reasons. In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security.
Residential Whole-Loans	Residential Whole-Loans Investments in Whole-Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Whole-Loan portfolio. Whole-Loans are recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value being recorded in earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Whole-Loans or committing to purchase these loans are charged to expense as incurred. The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method, based on the contractual payment terms of the loan. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged.
Valuation of financial instruments	Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820 "Fair Value Measurements and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I—Quoted prices in active markets for identical assets or liabilities. Level II—Quoted prices for similar assets and liabilities 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 III—Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. See Note 3 Fair Value of Financial Instruments.
Interest income recognition	Interest income recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company's observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Where appropriate, the Company may include in its cash flow projections the U.S. Department of Justice's settlements with the major residential mortgage originators, regarding certain lending practices. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Residential Whole-Loans Interest income on the Company's Whole-Loan portfolio is recorded in accordance with ASC 835 using the effective interest method. Any amortization or accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations.
Purchases and Sales of Investments	Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company's portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company's Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
Foreign currency transactions	Foreign currency transactions The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses, which are recorded in "Other, net" in the Consolidated Statement of Operations.
Due from counterparties/Due to counterparties	Due from counterparties/Due to counterparties Due from counterparties represents cash posted by the Company with its counterparties as collateral for the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Due to counterparties represents cash posted with the Company by its counterparties as collateral under the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in the due from counterparties and/or due to counterparties are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company's futures contracts. In addition, as provided below, Due to counterparties may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company's Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets.
Derivatives and hedging activities	Derivatives and hedging activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. If the Company's hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders' equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value, of its derivative instruments, which includes net interest rate swap payments (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In the Company's Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps, excluding interest rate swaps containing an other-than-insignificant financing element and the unamortized premium of market agreed coupon ("MAC") interest rate swaps, are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company's Consolidated Statement of Cash Flows. While payments made at the time of entering MAC interest rate swaps are included in cash flows from investing activities, payments received by the Company upon entering MAC interest rate swaps are included in either cash flows from investing activities or cash flows from financing activities, depending on whether or not the derivative instrument includes an other-than-insignificant financing element. For MAC interest rate swaps containing an other-than-insignificant financing element, all cash flows over the life of the derivative are treated as cash flows from financing activities. Return and recovery of basis activity for MAC interest rate swaps is included in cash flows from investing activities for swaps not containing an other-than-insignificant financing element in the Company's Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company's Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
Repurchase agreements and Reverse Repurchase agreements	Repurchase agreements and Reverse Repurchase agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements was recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager's view terminating the outstanding repurchase agreement is not in the Company's best interest. Cash paid to the borrower is recorded in the Company's Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties". The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statement of Cash Flows.
Securitized debt	Securitized debt Securitized debt was issued at par by a consolidated securitization trust. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt. The debt is recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net".
Share-based compensation	Share-based compensation The Company accounts for share-based compensation to its independent directors, to any employee, to its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company's independent directors and any employee of the Company including any such restricted stock which is subject to a deferred compensation program, and any employee of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested.
Warrants	Warrants For the Company's warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company's common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance.
Income taxes	Income taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company's results of operations and amounts available for distribution to stockholders. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company's taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP. The Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and for 2016 its value may not exceed 25% of the value of the Company; however, commencing in taxable year 2018 its value may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company's taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2016 , the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS. Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheets date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision (benefit)" in the Consolidated Statements of Operations.
Accounting standards applicable to emerging growth companies	Accounting standards applicable to emerging growth companies The JOBS Act contains provisions that relax certain requirements for "emerging growth companies", which includes the Company. For as long as the Company is an emerging growth company, which may be up to five full fiscal years, unlike other public companies, the Company will not be required to: (i) comply with any new or revised financial accounting standards applicable to public companies until such standards are also applicable to private companies under Section 102(b)(1) of the JOBS Act; (ii) provide an auditor's attestation report on management's assessment of the effectiveness of the Company's system of internal control over financial reporting pursuant to Section 404 of the Sarbanes-Oxley Act; (iii) comply with any new requirements adopted by the PCAOB requiring mandatory audit firm rotation or a supplement to the auditor's report in which the auditor would be required to provide additional information about the audit and the financial statements of the issuer; or (iv) comply with any new audit rules adopted by the PCAOB after April 5, 2012, unless the SEC determines otherwise. The Company currently takes advantage of some of these exemptions. The Company's qualification for remaining an emerging growth company under the five full fiscal years expires on December 31, 2017. However, the Company will no longer qualify for such exemption if its gross revenue for any year equals or exceeds $1.0 billion , the Company issues more than $1.0 billion in non-convertible debt during the three previous years, or if the Company is deemed to be a large accelerated filer.
Recent accounting pronouncements	Recent accounting pronouncements Accounting Standards Adopted in 2016 In August 2014, the FASB issued ASU 2014-15, “Presentation of Financial Statements — Going Concern (Subtopic 205-40): Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern.” The guidance requires an entity’s management to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. According to the new guidance, substantial doubt exists when conditions and events, considered in the aggregate, indicate that it is probable that the entity will be unable to meet its obligations as they become due within one year after the date the financial statements are issued. The term “probable” is used consistently with its current use in U.S. GAAP for loss contingencies. Disclosures will be required if conditions give rise to substantial doubt about the entity’s ability to continue as a going concern, including whether management’s plans that are intended to mitigate those conditions will alleviate the substantial doubt when implemented. The guidance is effective for annual periods ending after December 15, 2016. The effective date is the same for both public companies and all other entities. The 2016 adoption of the new guidance did not have a material impact on the Company’s consolidated financial statements. In January 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2015-1, “Income Statement - Extraordinary and Unusual Items.” The guidance simplifies income statement presentation by eliminating the concept of extraordinary items. U.S. GAAP currently requires that a company separately classify, disclose and present extraordinary events and transactions. The guidance eliminates the concept of extraordinary items from U.S. GAAP. Under the existing guidance, an entity is required to separately disclose extraordinary items, net of tax, in the income statement after income from continuing operations if an event or transaction is of an unusual nature and occurs infrequently. This separate, net-of-tax presentation (and corresponding earnings per share impact) will no longer be allowed. The existing requirement to separately present items that are of an unusual nature or occur infrequently on a pre-tax basis within income from continuing operations has been retained. The new guidance also requires similar separate presentation of items that are both unusual and infrequent. The standard is effective for periods beginning after December 15, 2015. The effective date is the same for both public companies and all other entities. The 2016 adoption of the new guidance did not have a material impact on the Company’s consolidated financial statements. In February 2015, the FASB issued ASU 2015-2, “Consolidation - Amendments to the Consolidation Analysis.” The guidance simplifies and reduces the number of consolidation models through the elimination of an indefinite deferral for certain entities and by placing more emphasis on risk of loss when determining a controlling financial interest. The guidance affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. All legal entities are subject to reevaluation under the revised consolidation model. The standard is effective for a public company for fiscal years, and for interim periods within fiscal years beginning after December 15, 2015. The 2016 adoption of the new guidance did not have a material impact on the Company’s consolidated financial statements. In April 2015, the FASB issued ASU 2015-3, “Interest - Imputation of Interest - Simplifying the Presentation of Debt Issuance Costs.” The guidance amends the presentation of debt issuance cost related to a recognized debt liability. Under the new guidance, the debt issuance costs were presented in the balance sheet as a direct deduction from the carrying amount of the recognized debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected under the new guidance. The standard is effective for a public company for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. The guidance should be applied on a retrospective basis. The Company’s December 31, 2015 balance sheet was adjusted to reflect the effects of applying the new guidance on a retrospective basis and resulted in a $134 thousand reduction in Borrowings under repurchase agreements and a corresponding reduction in Other assets. Upon adoption, an entity is required to comply with the applicable disclosures for a change in an accounting principle. These disclosures include the nature of and reason for the change in accounting principle, the transition method, a description of the prior-period information that has been retrospectively adjusted, and the effect of the change on the financial statement line items (i.e., debt issuance cost asset and the debt liability). The 2016 adoption of the new guidance did not have a material impact on the Company’s consolidated financial statements. Accounting Standards to be Adopted in Future Periods In May 2014, the FASB issued ASU 2014-9, “Revenue from Contracts with Customers (Topic 606).” The guidance changes an entity’s recognition of revenue from contracts with customers. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In addition, the new guidance requires improved disclosures to enable users of financial statements to understand the nature, amount, timing, and uncertainty of revenue and cash flows arising from contracts with customers. In March 2016, the FASB issued implementation guidance which clarifies principal versus agent considerations in reporting revenue gross versus net (ASU 2016-8). In April 2016, the FASB issued implementation guidance which clarifies the identification of performance obligations (ASU 2016-10). In May 2016, the FASB issued amendments that affect only the narrow aspects of Topic 606 (ASU2016-12). In applying the new guidance, an entity may use either a retrospective approach to each prior reporting period or a retrospective approach with the cumulative effect recognized at the date of initial application. For a public company, the standard is effective for annual reporting periods beginning after December 15, 2017, including interim periods within that reporting period. Early adoption is not permitted for a public entity. The Company is evaluating the new guidance and does not expect it to have a material impact on the Company’s consolidated financial statements. The Company has not yet determined the method by which it will adopt the standard in 2017. In January 2016, the FASB issued ASU 2016-1, “Financial Instruments — Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities.” The guidance improves certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The standard is effective for a public company for fiscal years beginning after December 15, 2017, and for interim periods within those fiscal years. The Company is currently assessing the impact that this guidance will have on its consolidated financial statements when adopted. It will apply the guidance by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. The guidance related to equity securities without readily determinable fair values will be applied prospectively to equity investments that exist at the date of adoption. In March 2016, the FASB issued ASU 2016-9, “Compensation - Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting.” The guidance changes the accounting for certain aspects of share-based payments to employees. The guidance requires the recognition of the income tax effects of awards in the income statement when the awards vest or are settled, thus eliminating additional paid in capital pools. The guidance also allows for the employer to repurchase more of an employee’s shares for tax withholding purposes without triggering liability accounting. In addition, the guidance allows for a policy election to account for forfeitures as they occur rather than on an estimated basis. For a public company, the standard is effective for annual reporting periods beginning after December 15, 2016, including interim periods within that reporting period. The Company does not have direct employees and is externally managed; therefore, the adoption of this guidance will not have a material impact on its consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, “Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” The guidance requires financial assets measured at amortized cost basis to be presented at the net amount expected to be collected by deducting an allowance for credit losses from the amortized cost basis of the financial assets. For available-for-sale debt securities, the new guidance aligns the income statement recognition of credit losses with the reporting period in which changes occur by recording credit losses through an allowance rather than a write-down and allowing subsequent reversals in credit loss estimates to be recognized in current income. The measurement of expected credit losses will be based on historical experience, current conditions and reasonable and supportable forecasts. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. For a public company, the standard is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption will be permitted for fiscal years beginning after December 15, 2018. The guidance should be applied through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. For certain assets, a prospective transition approach is required. The Company is currently assessing the impact that this guidance will have on its consolidated financial statements when adopted. In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments (Topic 230)." The guidance is intended to reduce diversity in practice in how certain transactions are classified on the statement of cash flows. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted, provided that all of the amendments are adopted at the same time. The Company is currently assessing the impact that this guidance will have on its consolidated financial statements when adopted. In November 2016, FASB issued ASU 2016-18 "Statement of Cash Flows (Topic 230): Restricted Cash, a consensus of the FASB's Emerging Issues Task Force." The guidance requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents as well as disclose information about the nature of the restrictions on its cash and cash equivalents. For public business entities, the guidance is effective for financial statements issued for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. The guidance should be applied using a retrospective transition method to each period presented. The Company is currently assessing the impact that this guidance will have on its consolidated financial statements when adopted.

Fair Value of Financial Instr26

Fair Value of Financial Instruments (Tables)	12 Months Ended
	Dec. 31, 2016
Fair Value Disclosures [Abstract]
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy	The following tables present the Company's financial instruments carried at fair value as of December 31, 2016 and December 31, 2015 , based upon the valuation hierarchy (dollars in thousands): December 31, 2016 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ 498,470 30-Year mortgage — 935,207 — 935,207 Agency RMBS Interest-Only Strips — 19,790 — 19,790 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 16,503 — 16,503 Agency CMBS — 290,605 73,059 363,664 Agency CMBS Interest-Only Strips — 231 — 231 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 7,729 — 7,729 Subtotal Agency MBS — 1,768,535 73,059 1,841,594 Non-Agency RMBS — 240,422 619 241,041 Non-Agency RMBS Interest-Only Strips — — 64,116 64,116 Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 3,085 3,085 Non-Agency CMBS — 351,163 7,756 358,919 Subtotal Non-Agency MBS — 591,585 75,576 667,161 Other securities — 36,406 31,356 67,762 Total mortgage-backed securities and other securities — 2,396,526 179,991 2,576,517 Residential Whole-Loans — — 192,136 192,136 Securitized commercial loan — — 24,225 24,225 Derivative assets 71 20,500 — 20,571 Total Assets $ 71 $ 2,417,026 $ 396,352 $ 2,813,449 Liabilities Derivative liabilities $ 2,487 $ 177,998 $ 1,673 $ 182,158 Securitized debt — — 10,659 10,659 Total Liabilities $ 2,487 $ 177,998 $ 12,332 $ 192,817 December 31, 2015 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 687,272 $ — $ 687,272 30-Year mortgage — 926,459 — 926,459 Agency RMBS Interest-Only Strips — 71,954 — 71,954 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 45,362 — 45,362 Agency CMBS — — 24,690 24,690 Agency CMBS Interest-Only Strips — 2,113 — 2,113 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 11,069 — 11,069 Subtotal Agency MBS — 1,744,229 24,690 1,768,919 Non-Agency RMBS — 278,885 166,564 445,449 Non-Agency RMBS Interest-Only Strips — — 81,189 81,189 Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 3,556 3,556 Non-Agency CMBS — 332,574 118,341 450,915 Subtotal Non-Agency MBS — 611,459 369,650 981,109 Other securities — 29,103 71,996 101,099 Total mortgage-backed securities and other securities — 2,384,791 466,336 2,851,127 Residential Whole-Loans — — 218,538 218,538 Securitized commercial loan — — 25,000 25,000 Derivative assets 63 21,852 — 21,915 Total Assets $ 63 $ 2,406,643 $ 709,874 $ 3,116,580 Liabilities Derivative liabilities $ 698 $ 179,479 $ — $ 180,177 Securitized debt — — 11,000 11,000 Total Liabilities $ 698 $ 179,479 $ 11,000 $ 191,177
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value	The following tables present additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Year ended December 31, 2016 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 466,336 $ 218,538 $ 25,000 $ 11,000 $ — Transfers into Level III from Level II — — — — — Transfers from Level III into Level II (220,887 ) — — — — Purchases 72,736 28,226 — — — Sales and settlements (88,562 ) — — — (38 ) Principal repayments (17,698 ) (52,573 ) — — — Total net gains/losses included in net income Realized gains/(losses), net (9,356 ) — — — 38 Other loss on Mortgage-backed securities (6,737 ) — — — — Unrealized gains/(losses), net on assets (1) (5,545 ) (42 ) (775 ) — — Unrealized (gains)/losses, net on liabilities (2) — — — (341 ) 1,673 Premium and discount amortization, net (10,296 ) (2,013 ) — — — Ending balance $ 179,991 $ 192,136 $ 24,225 $ 10,659 $ 1,673 (1) For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loan classified as Level III at December 31, 2016 , the Company recorded gross unrealized gains of approximately $1.3 million , $1.2 million and $0 and gross unrealized losses of approximately $7.6 million , $663 thousand and $775 thousand , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) For securitized debt and derivative liability classified as Level III at December 31, 2016 , the Company recorded gross unrealized gains of $341 thousand and $0 and gross unrealized losses of $0 and $1.7 million , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Year ended December 31, 2015 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Beginning balance $ 343,891 $ 7,220 $ — $ — Transfers into Level III from Level II 104,748 — — — Transfers from Level III into Level II (42,952 ) — — — Purchases 179,546 217,325 25,000 11,000 Sales and settlements (88,574 ) — — — Principal repayments (11,880 ) (8,674 ) — — Total net gains / (losses) included in net income Realized gains/(losses), net 4,314 — — — Other loss on Mortgage-backed securities (7,552 ) — — — Unrealized gains/(losses), net (1) (7,386 ) 3,548 — — Premium and discount amortization, net (7,819 ) (881 ) — — Ending balance $ 466,336 $ 218,538 $ 25,000 $ 11,000 (1) For Mortgage-backed securities and other securities and Residential Whole-Loans classified as Level III at December 31, 2015 , the Company recorded gross unrealized gains of approximately $7.3 million and $3.6 million and gross unrealized losses of approximately $13.4 million and $ 8 thousand , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.

Mortgage-Backed Securities an27

Mortgage-Backed Securities and other securities (Tables)	12 Months Ended
	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Summary of certain information about the Company's investment portfolio	The following tables present certain information about the Company's investment portfolio at December 31, 2016 and December 31, 2015 (dollars in thousands). December 31, 2016 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 470,975 $ 25,741 $ — $ 496,716 $ 3,689 $ (1,935 ) $ 498,470 3.9 % 30-Year mortgage 878,599 63,608 — 942,207 5,209 (12,209 ) 935,207 4.1 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 18,810 1,301 (321 ) 19,790 3.0 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 16,503 3.2 % (2) Agency CMBS 377,286 (15,383 ) — 361,903 2,021 (260 ) 363,664 2.6 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A 210 21 — 231 4.3 % (2) Agency CMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 7,729 0.6 % (2) Subtotal Agency MBS 1,726,860 73,966 — 1,819,846 12,241 (14,725 ) 1,841,594 3.3 % Non-Agency RMBS 340,759 (294 ) (108,399 ) 232,066 11,210 (2,235 ) 241,041 4.5 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 55,754 8,362 — 64,116 5.6 % (2) Non-Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 3,085 4.6 % (2) Non-Agency CMBS 473,024 (69,436 ) (17,787 ) 385,801 3,164 (30,046 ) 358,919 5.0 % Subtotal Non-Agency MBS 813,783 (69,730 ) (126,186 ) 673,621 22,736 (32,281 ) 667,161 5.0 % Other securities (4) 44,838 4,435 (4,298 ) 68,085 1,271 (1,594 ) 67,762 8.2 % Total $ 2,585,481 $ 8,671 $ (130,484 ) $ 2,561,552 $ 36,248 $ (48,600 ) $ 2,576,517 3.9 % December 31, 2015 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 645,313 $ 35,216 $ — $ 680,529 $ 8,562 $ (1,819 ) $ 687,272 3.9 % 30-Year mortgage 856,014 71,342 — 927,356 10,827 (11,724 ) 926,459 4.2 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 71,632 2,499 (2,177 ) 71,954 3.1 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 45,362 3.6 % (2) Agency CMBS 24,450 — — 24,450 240 — 24,690 5.2 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A 1,915 198 — 2,113 4.7 % (2) Agency CMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 11,069 0.7 % (2) Subtotal Agency MBS 1,525,777 106,558 — 1,705,882 22,326 (15,720 ) 1,768,919 3.5 % Non-Agency RMBS 601,233 (16,669 ) (141,014 ) 443,550 9,345 (7,446 ) 445,449 3.7 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 66,600 14,589 — 81,189 5.9 % (2) Non- Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 3,556 5.0 % (2) Non-Agency CMBS 550,901 (73,835 ) (9,017 ) 468,049 4,049 (21,183 ) 450,915 5.0 % Subtotal Non-Agency MBS 1,152,134 (90,504 ) (150,031 ) 978,199 27,983 (28,629 ) 981,109 4.7 % Other securities (4) 81,518 1,135 (2,719 ) 102,778 1,233 (2,912 ) 101,099 4.8 % Total $ 2,759,429 $ 17,189 $ (152,750 ) $ 2,786,859 $ 51,542 $ (47,261 ) $ 2,851,127 3.9 % (1) Net weighted average coupon as of December 31, 2016 and December 31, 2015 is presented, net of servicing and other fees. (2) Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, and Agency CMBS IOs and IIOs, accounted for as derivatives have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2016 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $201.6 million , $278.4 million , $188.1 million , $20.7 million , $221.8 million and $32.8 million , respectively. At December 31, 2015 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOS, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $593.4 million , $321.0 million , $384.1 million , $24.9 million , $246.6 million and $43.2 million , respectively. (3) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (4) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $23.1 million and $22.8 million , as of December 31, 2016 and December 31, 2015 , respectively.
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities	The following tables present the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 (dollars in thousands): Year ended December 31, 2016 Year ended December 31, 2015 Year ended December 31, 2014 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Beginning balance $ (152,750 ) $ (145,532 ) $ 56,163 $ (182,007 ) $ (105,804 ) $ 82,228 $ (79,898 ) $ (71,295 ) $ 20,625 Securities previously accounted for as linked transactions (2) — — — (2,320 ) (1,393 ) 4,587 — — — Accretion of discount — 17,431 — — 18,465 — — 17,174 — Amortization of premium — — (5,470 ) — — (9,025 ) — — (9,135 ) Realized credit losses 7,697 — — 9,534 — — 5,175 — — Purchases (15,792 ) (2,945 ) 5,266 (38,634 ) (96,380 ) 18,544 (163,082 ) (117,396 ) 92,667 Sales 39,117 35,605 (12,156 ) 60,747 44,232 (30,054 ) 46,848 73,345 (26,598 ) Net impairment losses recognized in earnings (22,413 ) — — (14,839 ) — — (11,959 ) — — Unlinking of Linked Transactions — — — — — — (13,889 ) (297 ) 32,132 Transfers/release of credit reserve (3) 13,657 (14,381 ) 724 14,769 (4,652 ) (10,117 ) 34,798 (7,335 ) (27,463 ) Ending balance $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 $ (182,007 ) $ (105,804 ) $ 82,228 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Resulting from the implementation of guidance issued by the FASB which eliminated the requirement to account for certain financial instruments as linked transactions. (3) Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium.
Schedule of the fair value and contractual maturities of the Company's investment securities	The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ — $ 498,470 30-Year mortgage — — 935,207 — 935,207 Agency RMBS Interest-Only Strips 499 10,434 8,857 — 19,790 Agency RMBS Interest-Only Strips, accounted for as derivatives 807 9,476 6,220 — 16,503 Agency CMBS 282,911 80,753 — — 363,664 Agency CMBS Interest-Only Strips 231 — — — 231 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 7,729 — 7,729 Subtotal Agency 284,448 599,133 950,284 7,729 1,841,594 Non-Agency RMBS 13 65,780 54,408 120,840 241,041 Non-Agency RMBS Interest-Only Strips — 4,955 10,724 48,437 64,116 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,043 2,042 3,085 Non-Agency CMBS 15,865 37,998 134,941 170,115 358,919 Subtotal Non-Agency 15,878 108,733 201,116 341,434 667,161 Other securities — 40,360 5,346 22,056 67,762 Total $ 300,326 $ 748,226 $ 1,156,746 $ 371,219 $ 2,576,517 December 31, 2015 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 687,272 $ — $ — $ 687,272 30-Year mortgage — — 926,459 — 926,459 Agency RMBS Interest-Only Strips — 40,900 31,054 — 71,954 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,310 10,081 33,971 — 45,362 Agency CMBS 24,690 — — — 24,690 Agency CMBS Interest-Only Strips 2,113 — — — 2,113 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 11,069 11,069 Subtotal Agency 28,113 738,253 991,484 11,069 1,768,919 Non-Agency RMBS 15 86,172 59,502 299,760 445,449 Non-Agency RMBS Interest-Only Strips — — 20,639 60,550 81,189 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,248 2,308 3,556 Non-Agency CMBS 40,523 27,849 167,355 215,188 450,915 Subtotal Non-Agency 40,538 114,021 248,744 577,806 981,109 Other securities 29,102 11,088 39,256 21,653 101,099 Total $ 97,753 $ 863,362 $ 1,279,484 $ 610,528 $ 2,851,127
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position	The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 142,749 $ (1,935 ) 47 $ — $ — — $ 142,749 $ (1,935 ) 47 30-Year mortgage 432,949 (11,264 ) 54 22,586 (945 ) 13 455,535 (12,209 ) 67 Agency RMBS Interest-Only Strips 6,105 (227 ) 6 1,630 (94 ) 2 7,735 (321 ) 8 Agency CMBS 145,791 (260 ) 7 — — — 145,791 (260 ) 7 Subtotal Agency 727,594 (13,686 ) 114 24,216 (1,039 ) 15 751,810 (14,725 ) 129 Non-Agency RMBS 11,628 (50 ) 3 33,034 (2,185 ) 6 44,662 (2,235 ) 9 Non-Agency CMBS 59,529 (4,031 ) 17 208,288 (26,015 ) 47 267,817 (30,046 ) 64 Subtotal Non-Agency 71,157 (4,081 ) 20 241,322 (28,200 ) 53 312,479 (32,281 ) 73 Other securities 7,966 (415 ) 1 23,390 (1,179 ) 2 31,356 (1,594 ) 3 Total $ 806,717 $ (18,182 ) 135 $ 288,928 $ (30,418 ) 70 $ 1,095,645 $ (48,600 ) 205 December 31, 2015 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 113,919 $ (1,229 ) 35 $ 44,470 $ (590 ) 10 $ 158,389 $ (1,819 ) 45 30-Year mortgage 68,890 (1,325 ) 17 329,716 (10,399 ) 55 398,606 (11,724 ) 72 Agency RMBS Interest-Only Strips 39,091 (2,177 ) 18 — — — 39,091 (2,177 ) 18 Subtotal Agency 221,900 (4,731 ) 70 374,186 (10,989 ) 65 596,086 (15,720 ) 135 Non-Agency RMBS 234,897 (6,928 ) 36 19,656 (519 ) 5 254,553 (7,447 ) 41 Non-Agency CMBS 298,369 (19,888 ) 55 27,755 (1,294 ) 7 326,124 (21,182 ) 62 Subtotal Non-Agency 533,266 (26,816 ) 91 47,411 (1,813 ) 12 580,677 (28,629 ) 103 Other securities 59,610 (1,746 ) 5 11,334 (1,166 ) 1 70,944 (2,912 ) 6 Total $ 814,776 $ (33,293 ) 166 $ 432,931 $ (13,968 ) 78 $ 1,247,707 $ (47,261 ) 244
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio	The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Agency RMBS $ 6,090 $ 4,005 $ 4,703 Non-Agency RMBS 9,511 9,216 11,293 Non-Agency CMBS 13,025 4,061 228 Other securities 3,660 2,509 790 Total $ 32,286 $ 19,791 $ 17,014
Summary of the components of interest income on the Company's MBS and other securities	The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively: For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/ Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 70,467 $ (24,836 ) $ 45,631 $ 119,789 $ (48,119 ) $ 71,670 $ 152,967 $ (57,120 ) $ 95,847 Agency CMBS 2,619 (1,701 ) 918 3,600 (2,102 ) 1,498 1,610 (796 ) 814 Non-Agency RMBS 35,221 (5,243 ) 29,978 44,473 (8,008 ) 36,465 36,370 (3,313 ) 33,057 Non-Agency CMBS 24,893 7,431 32,324 26,562 3,687 30,249 14,284 361 14,645 Other securities 2,537 2,977 5,514 6,363 2,648 9,011 3,858 857 4,715 Total $ 135,737 $ (21,372 ) $ 114,365 $ 200,787 $ (51,894 ) $ 148,893 $ 209,089 $ (60,011 ) $ 149,078
Schedule of sales and realized gains (loss) of the Company's MBS and other securities	The following tables present the sales and realized gains (loss) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2016 , December 31, 2015 and December 31, 2014 , respectively: For the year ended December 31, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,239,350 $ 6,214 $ (25,818 ) $ (19,604 ) Agency CMBS 22,939 54 (66 ) (12 ) Non-Agency RMBS 177,996 6,470 (4,560 ) 1,910 Non-Agency CMBS 50,418 137 (5,810 ) (5,673 ) Other securities 764,711 3,496 (2,108 ) 1,388 Total $ 2,255,414 $ 16,371 $ (38,362 ) $ (21,991 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million , gross realized gains of $1.9 million and gross realized losses of $595 thousand . For the year ended December 31, 2015 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,293,120 $ 12,054 $ (12,449 ) $ (395 ) Non-Agency RMBS 233,257 11,066 (174 ) 10,892 Non-Agency CMBS 161,985 2,123 (171 ) 1,952 Other securities 851,714 1,188 (5,358 ) (4,170 ) Total $ 2,540,076 $ 26,431 $ (18,152 ) $ 8,279 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $7.3 million , gross realized gains of $626 thousand and gross realized losses of approximately $31 thousand . For the year ended December 31, 2014 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,574,301 $ 11,134 $ (39,353 ) $ (28,219 ) Non-Agency RMBS 414,130 20,290 (993 ) 19,297 Non-Agency CMBS 168,535 2,007 (22 ) 1,985 Other securities 180,385 4,759 — 4,759 Total (2) $ 2,337,351 $ 38,190 $ (40,368 ) $ (2,178 ) (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $34.2 million , gross realized gains of $439 thousand and gross realized losses of approximately $1.6 million . (2) Excludes proceeds for Agency CMBS Interest-Only Strips, accounted for as derivatives, of approximately $3.7 million , gross realized gains of $389 thousand and no gross realized losses.

Variable Interest Entities (Tab

Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 2016
Variable Interest Entities
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets	The following table presents a summary of the assets and liabilities of the residential and commercial loan trusts included in the Consolidated Balance Sheets as of December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Residential Whole-Loans, at fair value $ 192,136 $ 218,538 Securitized commercial loan, at fair value 24,225 25,000 Investment related receivable 1,241 — Accrued interest receivable 1,622 1,836 Total assets $ 219,224 $ 245,374 Securitized debt, at fair value $ 10,659 $ 11,000 Accrued interest payable 85 85 Accounts payable and accrued expenses 2 2 Total liabilities $ 10,746 $ 11,087
Schedule of components of the carrying value of Residential Whole-Loans and Securitized commercial loan	The following table presents the components of the carrying value of Residential Whole-Loans and securitized commercial loan as of December 31, 2016 and December 31, 2015 (dollars in thousands): Residential Whole-Loans Securitized Commercial Loan December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015 Principal balance $ 187,765 $ 212,647 $ 25,000 $ 25,000 Unamortized premium 1,311 2,410 — — Unamortized discount (539 ) (161 ) — — Gross unrealized gains 3,643 3,642 — — Gross unrealized losses (44 ) — (775 ) — Fair value $ 192,136 $ 218,538 $ 24,225 $ 25,000
Schedule of certain information about the Residential Whole-Loans investment portfolio	The following tables present certain information about the Company's Residential Whole-Loans investment portfolio at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 - 4.00% 59 $ 23,318 54.8 % 732 1.4 26.5 4.2 % 4.01 - 5.00% 180 69,930 57.1 % 728 1.5 27.3 4.6 % 5.01 - 6.00% 231 91,440 55.5 % 723 1.6 27.1 5.0 % 6.01 - 7.00% 5 3,077 71.2 % 738 1.3 21.1 6.3 % Total 475 $ 187,765 56.3 % 726 1.5 27.0 4.8 % (1) The original FICO score is not available for 153 loans with a principal balance of approximately $66.7 million at December 31, 2016 . The Company has excluded these loans from the weighted average computations. December 31, 2015 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 - 4.00% 2 $ 698 35.7 % 766 1.9 29.4 3.9 % 4.01 - 5.00% 211 79,696 56.6 % 728 1.4 27.5 4.5 % 5.01 - 6.00% 302 128,204 55.1 % 723 1.6 27.9 5.1 % 6.01 - 7.00% 9 4,049 71.0 % 723 1.4 23.4 6.4 % Total 524 $ 212,647 55.9 % 725 1.5 27.6 4.9 % (1) The original FICO score is not available for 139 loans with a principal balance of approximately $58.7 million at December 31, 2015 . The Company has excluded these loans from the weighted average computations.
Schedule of the US states represented in Residential Whole-Loans based on principal balance	The following table presents the geographic concentration of the collateral securing the Company's Residential Whole-Loans at December 31, 2016 and December 31, 2015 , based on principal balance, is located (dollars in thousands): December 31, 2016 December 31, 2015 State Concentration Principal Balance State Principal California 85.2 % $ 159,955 83.1 % $ 176,611 Washington 5.6 % 10,591 6.8 % 14,442 Massachusetts 5.4 % 10,161 5.6 % 12,000 New York 2.4 % 4,454 2.5 % 5,399 Georgia 0.8 % 1,492 0.9 % 1,813 Other 0.6 % 1,112 1.1 % 2,382 Total 100.0 % $ 187,765 100.0 % $ 212,647

Borrowings under Repurchase A29

Borrowings under Repurchase Agreements (Tables)	12 Months Ended
	Dec. 31, 2016
Debt Disclosure [Abstract]
Summary of certain characteristics of the Company's repurchase agreements	The following tables summarize certain characteristics of the Company's repurchase agreements at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Agency RMBS $ 1,427,674 0.96 % 38 $ 1,601,713 0.66 % 41 Agency CMBS 56,365 1.07 % 46 32,699 1.80 % 21 Non-Agency RMBS 218,712 2.53 % 28 380,177 1.91 % 44 Non-Agency CMBS 255,656 2.55 % 30 323,670 1.84 % 37 Whole-loans (1) 161,181 2.91 % 9 180,892 2.38 % 26 Other securities 36,056 2.32 % 17 66,650 2.33 % 60 Repurchase agreements borrowings 2,155,644 1.48 % 34 2,585,801 1.17 % 38 Less unamortized debt issuance cost — N/A N/A 134 N/A N/A Repurchase agreements borrowings, net $ 2,155,644 1.48 % 34 $ 2,585,667 1.17 % 38 (1) Whole-loans consist of Residential Whole-Loans and securitized commercial loan. Repurchase agreement borrowings on the Residential Whole-Loans and securitized commercial loan owned through trust certificates. The trust certificates are eliminated in consolidation.
Schedule of repurchase agreements collateralized by investments	At December 31, 2016 and December 31, 2015 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2016 December 31, 2015 Overnight $ — $ — 1 to 29 days 1,386,971 1,335,119 30 to 59 days 167,642 362,940 60 to 89 days 601,031 847,781 90 to 119 days — — Greater than or equal to 120 days — 39,961 Total (1) $ 2,155,644 $ 2,585,801 (1) Excludes unamortized debt issuance costs of $0 and $134 thousand at December 31, 2016 and December 31, 2015 , respectively.
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty	At December 31, 2016 , the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): December 31, 2016 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders' Equity Credit Suisse Securities (USA) LLC $ 74,297 18 17.3 % RBC (Barbados) Trading Bank Corporation 56,429 40 13.1 %
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account	The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Assets Pledged-Fair Value Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets Pledged-Fair Value Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS $ 1,465,384 $ 5,335 $ 1,470,719 $ 1,658,865 $ 7,366 $ 1,666,231 Agency CMBS 61,200 353 61,553 37,872 342 38,214 Non-Agency RMBS 308,165 682 308,847 530,110 1,053 531,163 Non-Agency CMBS 358,919 1,845 360,764 449,771 2,949 452,720 Whole-loans (1) 205,702 1,518 207,220 232,538 1,750 234,288 Other securities 67,762 57 67,819 101,099 270 101,369 Cash (2) 36,986 — 36,986 38,300 — 38,300 Total $ 2,504,118 $ 9,790 $ 2,513,908 $ 3,048,555 $ 13,730 $ 3,062,285 (1) Whole-loans which consists of residential Whole-Loans and securitized commercial loan owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets.

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 2016
Derivative instruments
Schedule of interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts and TBA derivative instruments, options and linked transactions	The following table summarizes the Company's derivative instruments at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Derivative Instrument Designation Balance Sheet Location Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Interest rate swaps, assets Non-Hedge Derivative assets, at fair value $ 2,298,300 $ 20,466 $ 1,145 $ 2,808,700 $ 9,635 $ 1,287 Interest rate swaptions, assets Non-Hedge Derivative assets, at fair value — — — 1,105,000 1,479 — Futures contracts, asset Non-Hedge Derivative assets, at fair value 56,900 71 — 201,600 63 — Foreign currency swaps, asset Non-Hedge Derivative assets, at fair value — — — 25,160 7,168 (398 ) Foreign currency forward contracts, asset Non-Hedge Derivative assets, at fair value 784 34 — 5,825 302 — TBA securities, assets Non-Hedge Derivative assets, at fair value — — — 1,650,000 3,268 — Total derivative instruments, assets 20,571 1,145 21,915 889 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 5,046,300 (177,929 ) 3,054 5,631,800 (178,305 ) 7,875 Total return swap, liability Non-Hedge Derivative liability, at fair value 47,059 (1,673 ) (94 ) — — — Futures contracts, liability Non-Hedge Derivative liability, at fair value 176,300 (2,487 ) — 279,200 (698 ) — Foreign currency forward contracts, liability Non-Hedge Derivative liability, at fair value 1,532 (69 ) — 7,671 (281 ) — TBA securities, liabilities Non-Hedge Derivative liability, at fair value — — — 825,000 (893 ) — Total derivative instruments, liabilities (182,158 ) 2,960 (180,177 ) 7,875 Total derivative instruments $ (161,587 ) $ 4,105 $ (158,262 ) $ 8,764 (1) Fair Value excludes accrued interest
Summary of the effect of interest rate swaps, swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on the Statements of Operations	The following tables summarize the effect of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 (dollars in thousands): Period End Realized Gain (Loss), net Contractual interest income(expense), net (1) Return (Recovery) of Basis Mark-to-market adjustments Total Year ended December 31, 2016 Interest rate swaps $ (33,999 ) $ (27,903 ) $ 672 $ 11,013 $ (50,217 ) Interest rate swaptions (1,035 ) — — 1,631 596 Interest-Only Strips—accounted for as derivatives 1,317 14,148 (11,438 ) (4,726 ) (699 ) Options 4,756 — — — 4,756 Futures contracts 23,609 — — (1,781 ) 21,828 Foreign currency forwards (66 ) — — (56 ) (122 ) Foreign currency swaps 6,771 283 — (7,168 ) (114 ) Total return swap 38 1,121 — (1,673 ) (514 ) TBAs 6,126 — — (2,375 ) 3,751 Total $ 7,517 $ (12,351 ) $ (10,766 ) $ (5,135 ) $ (20,735 ) Year ended December 31, 2015 Interest rate swaps $ 23,680 $ (20,366 ) $ 1,250 $ (68,843 ) $ (64,279 ) Interest rate swaptions (5,242 ) — — (1,486 ) (6,728 ) Interest-Only Strips—accounted for as derivatives 595 21,872 (17,265 ) (4,283 ) 919 Options (711 ) — — — (711 ) Futures contracts (527 ) — — 105 (422 ) Foreign currency forwards (901 ) — — 323 (578 ) Foreign currency swaps — 795 — 3,311 4,106 TBAs 1,524 — — (2,726 ) (1,202 ) Total $ 18,418 $ 2,301 $ (16,015 ) $ (73,599 ) $ (68,895 ) Year ended December 31, 2014 Interest rate swaps $ 5,440 $ (31,764 ) $ 1,818 $ (183,379 ) $ (207,885 ) Interest rate swaptions (3,606 ) — — (1,697 ) (5,303 ) Interest-Only Strips—accounted for as derivatives (753 ) 26,097 (18,868 ) (2,136 ) 4,340 Options (2,813 ) — — — (2,813 ) Futures contracts (16,495 ) — — (740 ) (17,235 ) Foreign currency forwards (1,759 ) — — (303 ) (2,062 ) Foreign currency swaps — 317 — 3,857 4,174 TBAs 40,015 — — 6,273 46,288 Total $ 20,029 $ (5,350 ) $ (17,050 ) $ (178,125 ) $ (180,496 ) (1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.
Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheets	ollowing is a summary of the Company's long and short TBA positions reported, as of December 31, 2015 , in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2015 Notional Amount Fair Value Purchase contracts, asset $ 1,650,000 $ 3,268 TBA securities, asset 1,650,000 3,268 Purchase contracts, liability — — Sale contracts, liability (825,000 ) (893 ) TBA securities, liability (825,000 ) (893 ) TBA securities, net $ 825,000 $ 2,375
Schedule of additional information about the contracts to purchase and sell TBAs	The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2016 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2015 Additions Expiration or Exercise December 31, 2016 Purchase of TBAs $ 1,650,000 $ 17,111,200 $ (18,761,200 ) $ — Sale of TBAs $ 825,000 $ 17,936,200 $ (18,761,200 ) $ —
Interest rate swaption
Derivative instruments
Summary of interest rate swaps or interest rate swaptions	At December 31, 2016 , the Company did not hold any interest rate swaption positions. The following table presents the information related to the interest rate swaption positions held at December 31, 2015 (dollars in thousands): December 31, 2015 Option Underlying Swap Fixed-Pay Rate for Underlying Swap Fair Value Weighted Average Months Until Option Expiration Notional Amount Weighted Average Swap Term (Years) 1.76 - 2.00% $ 890 2.1 $ 400,000 5.0 2.01 - 2.25% 129 2.1 100,000 5.0 2.26 - 2.50% 1 5.8 105,000 1.0 $ 1,020 2.7 $ 605,000 4.3 Variable-Pay Rate for Underlying Swap 1.26 - 1.50% $ 459 2.1 $ 500,000 5.0 $ 459 2.1 $ 500,000 5.0
Foreign currency forwards
Derivative instruments
Summary of foreign currency forwards or foreign currency swaps	The following is a summary of the Company's foreign currency forwards at December 31, 2016 and December 31, 2015 (dollars and euros in thousands): December 31, 2016 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 710 $ 784 January 2017 $ 34 Currency forwards, assets € 710 $ 784 n/a $ 34 Buy EUR/Sell USD currency forward € 673 $ 735 February 2017 $ (23 ) Buy EUR/Sell USD currency forward € 710 $ 797 January 2017 $ (46 ) Currency forwards, liabilities € 1,383 $ 2,316 n/a $ (69 ) Total currency forwards € 2,093 $ 2,316 n/a $ (35 ) December 31, 2015 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 5,083 $ 5,825 January 2016 $ 302 Currency forwards, assets € 5,083 $ 5,825 n/a $ 302 Buy EUR/Sell USD currency forward € 6,800 $ 7,671 January 2016 $ (281 ) Currency forwards, liabilities € 6,800 $ 7,671 n/a $ (281 ) Total currency forwards € 11,883 $ 13,496 n/a $ 21
Foreign currency swaps
Derivative instruments
Summary of foreign currency forwards or foreign currency swaps	The following summarizes the Company's foreign currency swaps, with a fair value of $7.2 million at December 31, 2015 (dollars and euros in thousands): December 31, 2015 Date entered Maturity Fixed Rate Denomination Notional Amount Payer June 2014 July 2024 7.25 % EUR 18,500 Receiver June 2014 July 2024 9.005 % USD 25,160
Variable Pay Rate | Interest rate swaps
Derivative instruments
Summary of interest rate swaps or interest rate swaptions	The following tables summarize the average variable pay rate and average maturity for the Company's interest rate swaps as of December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Remaining Interest Rate interest rate swap Term Notional Amount Fair Value—Asset (Liability), net Average Variable Pay Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,811,400 $ (24,112 ) 0.9 % 3.7 — % Greater than 5 years 871,000 (18,749 ) 0.9 12.3 — Total $ 2,682,400 $ (42,861 ) 0.9 % 6.5 — % December 31, 2015 Remaining Interest Rate interest rate swap Term Notional Amount Fair Value—Asset (Liability), net Average Variable Pay Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,170,700 $ (8,902 ) 0.4 % 4.5 — % Greater than 5 years 1,102,200 (4,032 ) 0.4 12.3 — Total $ 2,272,900 $ (12,934 ) 0.4 % 8.2 — % The following tables summarize the average fixed pay rate and average maturity for the Company's interest rate swaps as of December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Remaining Interest Rate Swap Term Notional Amount Fair Value—Asset (Liability), net Average Fixed Pay Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 105,900 $ 274 0.8 % 0.8 — % Greater than 1 year and less than 3 years 993,000 1,199 1.2 1.4 88.1 % Greater than 3 years and less than 5 years 1,861,700 (148 ) 1.9 3.9 36.5 % Greater than 5 years 1,701,600 (115,927 ) 3.1 10.5 6.5 % Total $ 4,662,200 $ (114,602 ) 2.1 % 5.7 35.7 % (1) Represents the percentage of notional that is forward starting December 31, 2015 Remaining Interest Rate Swap Term Notional Amount Fair Value—Asset (Liability), net Average Fixed Pay Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 1,286,000 $ 163 0.6 % 0.6 — % Greater than 1 year and less than 3 years 1,131,800 (1,450 ) 1.1 1.4 — % Greater than 3 years and less than 5 years 1,345,200 (22,705 ) 2.1 4.6 — % Greater than 5 years 2,404,600 (131,744 ) 2.8 10.2 29.5 % Total $ 6,167,600 $ (155,736 ) 1.9 % 5.4 11.5 % (1) Represents the percentage of notional that is forward starting

Offsetting Assets and Liabili31

Offsetting Assets and Liabilities (Tables)	12 Months Ended
	Dec. 31, 2016
Offsetting [Abstract]
Schedule of gross and net information about the Company's assets and liabilities subject to master netting arrangements	The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2016 and December 31, 2015 (dollars in thousands): December 31, 2016 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets Interest-Only Strips, accounted for as derivatives included in MBS $ 27,317 $ — $ 27,317 $ (23,338 ) $ — $ 3,979 Derivative asset, at fair value (2) 20,571 — 20,571 (20,500 ) — 71 Total derivative assets $ 47,888 $ — $ 47,888 $ (43,838 ) $ — $ 4,050 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 182,158 $ — $ 182,158 $ (20,500 ) $ (161,588 ) $ 70 Repurchase Agreements (4) 2,155,644 — 2,155,644 (2,155,644 ) — — Total derivative liability $ 2,337,802 $ — $ 2,337,802 $ (2,176,144 ) $ (161,588 ) $ 70 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, total return swaps and TBAs. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $206.6 million as of December 31, 2016 . (4) The fair value of investments pledged against the Company's repurchase agreements was approximately $2.5 billion as of December 31, 2016 . December 31, 2015 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Description Financial Instruments (1) Cash Collateral (1) Net Amount Derivative Assets Interest-Only Strips, accounted for as derivatives included in MBS $ 59,987 $ — $ 59,987 $ (55,372 ) $ — $ 4,615 Derivative asset, at fair value (2) 21,915 — 21,915 (10,177 ) (8,647 ) 3,091 Total derivative assets $ 81,902 $ — $ 81,902 $ (65,549 ) $ (8,647 ) $ 7,706 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 180,177 $ — $ 180,177 $ (10,177 ) $ (169,887 ) $ 113 Repurchase Agreements (4) 2,585,801 — 2,585,801 (2,585,801 ) — — Total derivative liability $ 2,765,978 $ — $ 2,765,978 $ (2,595,978 ) $ (169,887 ) $ 113 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts and TBAs. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $211.3 million as of December 31, 2015 . (4) The fair value of investments pledged against the Company's repurchase agreements was approximately $3.0 billion as of December 31, 2015 .

Share-Based Payments (Tables)

Share-Based Payments (Tables)	12 Months Ended
	Dec. 31, 2016
Share-based Compensation [Abstract]
Summary of restricted common stock vesting dates	The following is a summary of restricted common stock vesting dates as of December 31, 2016 and December 31, 2015 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2016 December 31, 2015 Vesting Date Shares Vesting Shares Vesting March 2016 — 188,184 June 2016 — 11,528 March 2017 133,334 133,334 June 2017 18,196 — March 2018 66,667 66,667 218,197 399,713
Schedule of restricted stock activity	The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2016 and December 31, 2015 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2016 December 31, 2015 Shares of Restricted Stock Weighted Average Grant Date Fair Value(1) Shares of Restricted Stock Weighted Average Grant Date Fair Value(1) Outstanding at beginning of period 688,394 $ 17.39 476,200 $ 18.49 Granted(2) 19,467 9.40 212,194 14.93 Outstanding at end of period 707,861 $ 17.17 688,394 $ 17.39 Unvested at end of period 218,197 $ 14.98 399,713 $ 16.24 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. (2) Included in Granted are restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 2,335 shares for the year ended December 31, 2016 and 1,694 shares for the year ended December 31, 2015 .

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	12 Months Ended
	Dec. 31, 2016
Stockholders' Equity Note [Abstract]
Schedule of cash dividends declared and paid on common stock	Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2016 December 22, 2016 January 3, 2017 January 26, 2017 $ 0.31 Ordinary income September 22, 2016 October 4, 2016 October 25, 2016 $ 0.31 Ordinary income June 23, 2016 July 5, 2016 July 26, 2016 $ 0.31 Ordinary income March 24, 2016 April 4, 2016 April 26, 2016 $ 0.45 Ordinary income 2015 December 17, 2015 December 28, 2015 January 26, 2016 $ 0.58 Ordinary income September 24, 2015 October 5, 2015 October 27, 2015 $ 0.60 Ordinary income June 18, 2015 June 29, 2015 July 28, 2015 $ 0.64 Ordinary income March 26, 2015 April 6, 2015 April 28, 2015 $ 0.67 Ordinary income 2014 December 18, 2014 December 29, 2014 January 27, 2015 $ 0.70 Ordinary income September 23, 2014 October 3, 2014 October 28, 2014 $ 0.70 Ordinary income June 19, 2014 June 30, 2014 July 29, 2014 $ 0.67 Ordinary income March 20, 2014 March 31, 2014 April 29, 2014 $ 0.67 Ordinary income

Net Income (Loss) per Common 34

Net Income (Loss) per Common Share (Tables)	12 Months Ended
	Dec. 31, 2016
Earnings Per Share [Abstract]
Schedule of basic and diluted net income (loss) per share of common stock	The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2016 , December 31, 2015 and December 31, 2014 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2016 For the year ended December 31, 2015 For the year ended December 31, 2014 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (25,015 ) $ (9,484 ) $ 100,713 Less: Dividends and undistributed earnings allocated to participating securities 377 1,045 944 Net income (loss) allocable to common stockholders—basic and diluted $ (25,392 ) $ (10,529 ) $ 99,769 Denominator : Weighted average common shares outstanding for basic earnings per share 41,688,950 41,490,556 37,337,460 Weighted average common shares outstanding for diluted earnings per share 41,688,950 41,490,556 37,337,460 Basic earnings per common share $ (0.61 ) $ (0.25 ) $ 2.67 Diluted earnings per common share $ (0.61 ) $ (0.25 ) $ 2.67

Income Taxes (Tables)

Income Taxes (Tables)	12 Months Ended
	Dec. 31, 2016
Income Tax Disclosure [Abstract]
Schedule of Deferred Tax Assets and Liabilities	The following table discloses the components of the Company's deferred tax asset at December 31, 2016 and 2015 (dollars in thousands): Deferred Tax Asset December 31, 2016 December 31, 2015 Net operating loss carry-forwards $ — $ — Net capital loss carry-forwards 1,981 736 Investments 4,504 2,368 Deferred tax asset 6,485 3,104 Allowance (6,485 ) (3,104 ) Net deferred tax asset $ — $ —
Schedule of Components of Income Tax Expense (Benefit)	The following table summarizes our income tax provision for the year ended December 31, 2016 (dollars in thousands): For the year ended December 31, 2016 Current tax provision Federal $ 2,365 State 672 Interest and Penalties 119 Total Current Provision for Income taxes 3,156 Deferred Provision for Income Taxes Federal — State — Total Deferred Provision for Income Taxes — Total Income Tax Provision $ 3,156
Schedule of Effective Income Tax Rate Reconciliation	T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2016 Federal statutory rate 34.0 % State statutory rate, net of federal benefit 3.0 % Permanent differences — % Other (9.5 )% Change in valuation allowance (15.4 )% REIT losses not subject to corporate taxes (26.5 )% Effective Tax Rate (14.4 )%

Summarized Quarterly Results 36

Summarized Quarterly Results (unaudited) (Tables)	12 Months Ended
	Dec. 31, 2016
Quarterly Financial Information Disclosure [Abstract]
Schedule of presentation of selected unaudited results of operations	The following is a presentation of selected unaudited results of operations: Quarter Ended March 31, 2016 June 30, 2016 September 30, 2016 December 31, 2016 Net Interest Income Interest income $ 29,618 $ 29,220 $ 29,154 $ 35,764 Interest expense 7,979 7,727 7,685 9,039 Net Interest Income 21,639 21,493 21,469 26,725 Other Income (Loss) Realized gain (loss) on sale of investments, net (6,055 ) (352 ) 1,439 (17,023 ) Other than temporary impairment (10,797 ) (6,356 ) (4,978 ) (10,155 ) Unrealized gain (loss), net 10,769 21,510 15,292 (64,678 ) Gain (loss) on derivative instruments, net (45,170 ) (14,165 ) 6,121 32,479 Other, net (332 ) 234 (60 ) 338 Other Income (Loss), net (51,585 ) 871 17,814 (59,039 ) Expenses Management fee to affiliate 2,753 2,588 2,604 2,503 Other operating expenses 438 183 188 236 General and administrative Compensation expense 737 649 868 768 Professional fees 2,002 1,222 723 867 Other general and administrative expenses 428 419 379 691 Total general and administrative expenses 3,167 2,290 1,970 2,326 Total Expenses 6,358 5,061 4,762 5,065 Income (loss) before income taxes (36,304 ) 17,303 34,521 (37,379 ) Income tax provision (benefit) — — 2,239 917 Net income (loss) $ (36,304 ) $ 17,303 $ 32,282 $ (38,296 ) Net income (loss) per Common Share—Basic $ (0.88 ) $ 0.41 $ 0.77 $ (0.92 ) Net income (loss) per Common Share—Diluted $ (0.88 ) $ 0.41 $ 0.77 $ (0.92 ) Quarter Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 Net Interest Income: Interest income $ 40,806 $ 41,029 $ 35,821 $ 35,048 Interest expense 6,402 6,577 6,981 7,645 Net Interest Income 34,404 34,452 28,840 27,403 Other Income (Loss): Realized gain (loss) on sale of investments, net 7,468 4,281 (2,482 ) (988 ) Other than temporary impairment (4,651 ) (4,316 ) (5,917 ) (4,907 ) Unrealized gain (loss), net 28,410 (42,849 ) 24,723 (44,295 ) Gain (loss) on derivative instruments, net (48,302 ) 13,154 (41,363 ) 7,616 Other, net 2,384 (611 ) (29 ) 574 Other Income (Loss) (14,691 ) (30,341 ) (25,068 ) (42,000 ) Expenses: Management fee to affiliate 2,693 2,679 2,761 2,741 Other operating expenses 413 260 799 542 General and administrative: Compensation expense 973 1,176 857 756 Professional fees 1,135 1,244 882 1,107 Other general and administrative expenses 353 445 325 342 Total general and administrative expenses 2,461 2,865 2,064 2,205 Total Expenses 5,567 5,804 5,624 5,488 Income (loss) before income taxes 14,146 (1,693 ) (1,852 ) (20,085 ) Income tax provision (benefit) — — — — Net income (loss) $ 14,146 $ (1,693 ) $ (1,852 ) $ (20,085 ) Net income (loss) per Common Share—Basic $ 0.34 $ (0.05 ) $ (0.05 ) $ (0.49 ) Net income (loss) per Common Share—Diluted $ 0.34 $ (0.05 ) $ (0.05 ) $ (0.49 )

Summary of Significant Accoun37

Summary of Significant Accounting Policies - (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Accounting Policies [Abstract]
Number of taxable years for which entity may be precluded from qualifying as REIT following year of disqualification	4 years
Taxable REIT subsidiaries value expressed as percentage of entity value maximum	25.00%
Emerging growth company qualification revenue lower limit	$ 1,000,000
Emerging growth company qualification debt limit	$ 1,000,000
Emerging growth company qualification debt limit exclusion period	3 years
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Borrowings under repurchase agreements, net	$ 2,155,644	$ 2,585,667
Other assets	$ 398	382
Adjustments | Accounting Standards Update 2015-03
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Borrowings under repurchase agreements, net		(134)
Other assets		$ (134)

Fair Value of Financial Instr38

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Fair Value of Financial Instruments
Derivative credit risk valuation adjustment, derivative assets	$ 0				$ 0				$ 0	$ 0
Derivative credit risk valuation adjustment, derivative liabilities					0					0
Assets
Estimated fair value	2,576,517				2,851,127				2,576,517	2,851,127
Derivative assets	20,571				21,915				20,571	21,915
Liabilities
Derivative liabilities	182,158				180,177				182,158	180,177
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other loss on Mortgage-backed securities	(10,155)	$ (4,978)	$ (6,356)	$ (10,797)	(4,907)	$ (5,917)	$ (4,316)	$ (4,651)	(32,286)	(19,791)	$ (17,014)
Premium and discount amortization, net									548	(5,086)	(10,257)
Residential Whole-Loans
Assets
Fair value	192,136				218,538				192,136	218,538
Securitized commercial loan
Assets
Fair value	24,225				25,000				24,225	25,000
Agency RMBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other loss on Mortgage-backed securities									(6,090)	(4,005)	(4,703)
Premium and discount amortization, net									(24,836)	(48,119)	(57,120)
20 Year Mortgage
Assets
Estimated fair value	498,470				687,272				498,470	687,272
30 Year Mortgage
Assets
Estimated fair value	935,207				926,459				935,207	926,459
Agency RMBS Interest Only Strips
Assets
Estimated fair value	19,790				71,954				19,790	71,954
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other loss on Mortgage-backed securities									(4,400)
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	16,503				45,362				16,503	45,362
Agency CMBS
Assets
Estimated fair value	363,664				24,690				363,664	24,690
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net									(1,701)	(2,102)	(796)
Agency CMBS Interest-Only Strips
Assets
Estimated fair value	231				2,113				231	2,113
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	7,729				11,069				7,729	11,069
Subtotal Agency MBS
Assets
Estimated fair value	1,841,594				1,768,919				1,841,594	1,768,919
Non-Agency RMBS
Assets
Estimated fair value	241,041				445,449				241,041	445,449
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other loss on Mortgage-backed securities									(9,511)	(9,216)	(11,293)
Premium and discount amortization, net									(5,243)	(8,008)	(3,313)
Non-Agency RMBS Interest-Only Strips
Assets
Estimated fair value	64,116				81,189				64,116	81,189
Non-Agency CMBS
Assets
Estimated fair value	358,919				450,915				358,919	450,915
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other loss on Mortgage-backed securities									(13,025)	(4,061)	(228)
Premium and discount amortization, net									7,431	3,687	361
Subtotal Non-Agency MBS
Assets
Estimated fair value	667,161				981,109				667,161	981,109
Other securities
Assets
Estimated fair value	67,762				101,099				67,762	101,099
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other loss on Mortgage-backed securities									(3,660)	(2,509)	(790)
Premium and discount amortization, net									2,977	2,648	857
Mortgage-backed securities and other securities
Assets
Estimated fair value	2,576,517				2,851,127				2,576,517	2,851,127
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net									(21,372)	(51,894)	(60,011)
Level I
Assets
Derivative assets	71				63				71	63
Total	71				63				71	63
Liabilities
Derivative liabilities	2,487				698				2,487	698
Total Liabilities	2,487				698				2,487	698
Level II
Assets
Derivative assets	20,500				21,852				20,500	21,852
Total	2,417,026				2,406,643				2,417,026	2,406,643
Liabilities
Derivative liabilities	177,998				179,479				177,998	179,479
Total Liabilities	177,998				179,479				177,998	179,479
Level II | 20 Year Mortgage
Assets
Estimated fair value	498,470				687,272				498,470	687,272
Level II | 30 Year Mortgage
Assets
Estimated fair value	935,207				926,459				935,207	926,459
Level II | Agency RMBS Interest Only Strips
Assets
Estimated fair value	19,790				71,954				19,790	71,954
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	16,503				45,362				16,503	45,362
Level II | Agency CMBS
Assets
Estimated fair value	290,605								290,605
Level II | Agency CMBS Interest-Only Strips
Assets
Estimated fair value	231				2,113				231	2,113
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	7,729				11,069				7,729	11,069
Level II | Subtotal Agency MBS
Assets
Estimated fair value	1,768,535				1,744,229				1,768,535	1,744,229
Level II | Non-Agency RMBS
Assets
Estimated fair value	240,422				278,885				240,422	278,885
Level II | Non-Agency RMBS Interest-Only Strips
Assets
Estimated fair value	0								0
Level II | Non-Agency CMBS
Assets
Estimated fair value	351,163				332,574				351,163	332,574
Level II | Subtotal Non-Agency MBS
Assets
Estimated fair value	591,585				611,459				591,585	611,459
Level II | Other securities
Assets
Estimated fair value	36,406				29,103				36,406	29,103
Level II | Mortgage-backed securities and other securities
Assets
Estimated fair value	2,396,526				2,384,791				2,396,526	2,384,791
Level III
Assets
Derivative assets	0				0				0	0
Total	396,352				709,874				396,352	709,874
Liabilities
Derivative liabilities	1,673								1,673
Securitized debt	10,659				11,000				10,659	11,000
Total Liabilities	12,332				11,000				12,332	11,000
Level III | Residential Whole-Loans
Assets
Fair value	192,136				218,538				192,136	218,538
Level III | Securitized commercial loan
Assets
Fair value	24,225				25,000				24,225	25,000
Level III | Agency CMBS
Assets
Estimated fair value	73,059				24,690				73,059	24,690
Level III | Subtotal Agency MBS
Assets
Estimated fair value	73,059				24,690				73,059	24,690
Level III | Non-Agency RMBS
Assets
Estimated fair value	619				166,564				619	166,564
Level III | Non-Agency RMBS Interest-Only Strips
Assets
Estimated fair value	64,116				81,189				64,116	81,189
Level III | Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	3,085				3,556				3,085	3,556
Level III | Non-Agency CMBS
Assets
Estimated fair value	7,756				118,341				7,756	118,341
Level III | Subtotal Non-Agency MBS
Assets
Estimated fair value	75,576				369,650				75,576	369,650
Level III | Other securities
Assets
Estimated fair value	31,356				71,996				31,356	71,996
Level III | Mortgage-backed securities and other securities
Assets
Estimated fair value	179,991				466,336				179,991	466,336
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				466,336					466,336
Ending balance					466,336					466,336
Level III | Recurring basis | Securitized debt
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Purchases										11,000
Unrealized gains (losses), net									(341)
Gross unrealized gains									341
Gross unrealized losses									0
Beginning balance				11,000					11,000
Ending balance	10,659				11,000				10,659	11,000
Level III | Recurring basis | Derivative liability
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Sales and settlements									(38)
Realized gains/(losses), net									38
Unrealized gains (losses), net									1,673
Gross unrealized gains									0
Gross unrealized losses									1,673
Beginning balance				0					0
Ending balance	1,673				0				1,673	0
Level III | Recurring basis | Residential Whole-Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				218,538				7,220	218,538	7,220
Purchases									28,226	217,325
Principal repayments									(52,573)	(8,674)
Unrealized gains/(losses), net									(42)	3,548
Premium and discount amortization, net									(2,013)	(881)
Ending balance	192,136				218,538				192,136	218,538	7,220
Gross unrealized gains									1,200	3,600
Gross unrealized losses									663	8
Level III | Recurring basis | Securitized commercial loan
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				25,000					25,000
Purchases									0	25,000
Unrealized gains/(losses), net									(775)
Ending balance	24,225				25,000				24,225	25,000
Gross unrealized gains									0
Gross unrealized losses									775
Level III | Recurring basis | Mortgage-backed securities and other securities
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				$ 466,336				$ 343,891	466,336	343,891
Transfers into Level III from Level II									0	104,748
Transfers out level III into Level II									(220,887)	(42,952)
Purchases									72,736	179,546
Sales and settlements									(88,562)	(88,574)
Principal repayments									(17,698)	(11,880)
Realized gains/(losses), net									(9,356)	4,314
Other loss on Mortgage-backed securities									(6,737)	(7,552)
Unrealized gains/(losses), net									(5,545)	(7,386)
Premium and discount amortization, net									(10,296)	(7,819)
Ending balance	179,991				466,336				179,991	466,336	$ 343,891
Gross unrealized gains									1,300	7,300
Gross unrealized losses									7,600	13,400
Estimated Fair Value
Assets
Derivative assets	20,571				21,915				20,571	21,915
Total	2,813,449				3,116,580				2,813,449	3,116,580
Liabilities
Derivative liabilities	182,158				180,177				182,158	180,177
Securitized debt	10,659				11,000				10,659	11,000
Total Liabilities	192,817				191,177				192,817	191,177
Estimated Fair Value | Residential Whole-Loans
Assets
Fair value	192,136				218,538				192,136	218,538
Estimated Fair Value | Securitized commercial loan
Assets
Fair value	24,225				25,000				24,225	25,000
Estimated Fair Value | 20 Year Mortgage
Assets
Estimated fair value	498,470				687,272				498,470	687,272
Estimated Fair Value | 30 Year Mortgage
Assets
Estimated fair value	935,207				926,459				935,207	926,459
Estimated Fair Value | Agency RMBS Interest Only Strips
Assets
Estimated fair value	19,790				71,954				19,790	71,954
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	16,503				45,362				16,503	45,362
Estimated Fair Value | Agency CMBS
Assets
Estimated fair value	363,664				24,690				363,664	24,690
Estimated Fair Value | Agency CMBS Interest-Only Strips
Assets
Estimated fair value	231				2,113				231	2,113
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	7,729				11,069				7,729	11,069
Estimated Fair Value | Subtotal Agency MBS
Assets
Estimated fair value	1,841,594				1,768,919				1,841,594	1,768,919
Estimated Fair Value | Non-Agency RMBS
Assets
Estimated fair value	241,041				445,449				241,041	445,449
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips
Assets
Estimated fair value	64,116				81,189				64,116	81,189
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated fair value	3,085				3,556				3,085	3,556
Estimated Fair Value | Non-Agency CMBS
Assets
Estimated fair value	358,919				450,915				358,919	450,915
Estimated Fair Value | Subtotal Non-Agency MBS
Assets
Estimated fair value	667,161				981,109				667,161	981,109
Estimated Fair Value | Other securities
Assets
Estimated fair value	67,762				101,099				67,762	101,099
Estimated Fair Value | Mortgage-backed securities and other securities
Assets
Estimated fair value	$ 2,576,517				$ 2,851,127				$ 2,576,517	$ 2,851,127

Fair Value of Financial Instr39

Fair Value of Financial Instruments (Details 2) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Financial Liabilities:
Repurchase agreements	$ 2,155,644	$ 2,585,667
Estimated Fair Value
Financial Liabilities:
Repurchase agreements	$ 2,200,000

Mortgage-Backed Securities an40

Mortgage-Backed Securities and other securities (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015
Mortgage-Backed Securities and other securities
Estimated fair value		$ 2,576,517	$ 2,851,127
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Principal balance		2,585,481	2,759,429
Unamortized Premium (Discount), net		8,671	17,189
Discount Designated as Credit Reserve and OTTI		(130,484)	(152,750)
Amortized Cost		2,561,552	2,786,859
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		36,248	51,542
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(48,600)	(47,261)
Estimated fair value		$ 2,576,517	$ 2,851,127
Net Weighted Average Coupon (as a percent)		3.90%	3.90%
Weighted average expected remaining term to the expected maturity of investment portfolio	7 years 1 month 6 days	7 years 1 month 6 days
20 Year Mortgage
Mortgage-Backed Securities and other securities
Principal balance		$ 470,975	$ 645,313
Unamortized Premium (Discount), net		25,741	35,216
Amortized Cost		496,716	680,529
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		3,689	8,562
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(1,935)	(1,819)
Estimated fair value		$ 498,470	$ 687,272
Net Weighted Average Coupon (as a percent)		3.90%	3.90%
30 Year Mortgage
Mortgage-Backed Securities and other securities
Principal balance		$ 878,599	$ 856,014
Unamortized Premium (Discount), net		63,608	71,342
Amortized Cost		942,207	927,356
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		5,209	10,827
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(12,209)	(11,724)
Estimated fair value		$ 935,207	$ 926,459
Net Weighted Average Coupon (as a percent)		4.10%	4.20%
Agency RMBS Interest Only Strips
Mortgage-Backed Securities and other securities
Principal balance		$ 143,100
Amortized Cost		18,810	$ 71,632
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		1,301	2,499
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(321)	(2,177)
Estimated fair value		$ 19,790	$ 71,954
Net Weighted Average Coupon (as a percent)		3.00%	3.10%
Notional balance		$ 201,600	$ 593,400
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated fair value		$ 16,503	$ 45,362
Net Weighted Average Coupon (as a percent)		3.20%	3.60%
Notional balance		$ 188,100	$ 384,100
Agency CMBS
Mortgage-Backed Securities and other securities
Principal balance		377,286	24,450
Unamortized Premium (Discount), net		(15,383)
Amortized Cost		361,903	24,450
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		2,021	240
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(260)
Estimated fair value		$ 363,664	$ 24,690
Net Weighted Average Coupon (as a percent)		2.60%	5.20%
Agency CMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost		$ 210	$ 1,915
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		21	198
Estimated fair value		$ 231	$ 2,113
Net Weighted Average Coupon (as a percent)		4.30%	4.70%
Notional balance		$ 32,800	$ 43,200
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated fair value		$ 7,729	$ 11,069
Net Weighted Average Coupon (as a percent)		0.60%	0.70%
Notional balance		$ 221,800	$ 246,600
Subtotal Agency MBS
Mortgage-Backed Securities and other securities
Principal balance		1,726,860	1,525,777
Unamortized Premium (Discount), net		73,966	106,558
Amortized Cost		1,819,846	1,705,882
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		12,241	22,326
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(14,725)	(15,720)
Estimated fair value		$ 1,841,594	$ 1,768,919
Net Weighted Average Coupon (as a percent)		3.30%	3.50%
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Principal balance		$ 340,759	$ 601,233
Unamortized Premium (Discount), net		(294)	(16,669)
Discount Designated as Credit Reserve and OTTI		(108,399)	(141,014)
Amortized Cost		232,066	443,550
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		11,210	9,345
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(2,235)	(7,446)
Estimated fair value		$ 241,041	$ 445,449
Net Weighted Average Coupon (as a percent)		4.50%	3.70%
Non-Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost		$ 55,754	$ 66,600
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		8,362	14,589
Estimated fair value		$ 64,116	$ 81,189
Net Weighted Average Coupon (as a percent)		5.60%	5.90%
Notional balance		$ 278,400	$ 321,000
Non-Agency RMBS Interest Only Strips Accounted For As Derivatives Issued By Private Enterprises
Mortgage-Backed Securities and other securities
Estimated fair value		$ 3,085	$ 3,556
Net Weighted Average Coupon (as a percent)		4.60%	5.00%
Notional balance		$ 20,700	$ 24,900
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Principal balance		473,024	550,901
Unamortized Premium (Discount), net		(69,436)	(73,835)
Discount Designated as Credit Reserve and OTTI		(17,787)	(9,017)
Amortized Cost		385,801	468,049
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		3,164	4,049
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(30,046)	(21,183)
Estimated fair value		$ 358,919	$ 450,915
Net Weighted Average Coupon (as a percent)		5.00%	5.00%
Subtotal Non-Agency MBS
Mortgage-Backed Securities and other securities
Principal balance		$ 813,783	$ 1,152,134
Unamortized Premium (Discount), net		(69,730)	(90,504)
Discount Designated as Credit Reserve and OTTI		(126,186)	(150,031)
Amortized Cost		673,621	978,199
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		22,736	27,983
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(32,281)	(28,629)
Estimated fair value		$ 667,161	$ 981,109
Net Weighted Average Coupon (as a percent)		5.00%	4.70%
Other securities
Mortgage-Backed Securities and other securities
Principal balance		$ 44,838	$ 81,518
Unamortized Premium (Discount), net		4,435	1,135
Discount Designated as Credit Reserve and OTTI		(4,298)	(2,719)
Amortized Cost		68,085	102,778
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax		1,271	1,233
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax		(1,594)	(2,912)
Estimated fair value		$ 67,762	$ 101,099
Net Weighted Average Coupon (as a percent)		8.20%	4.80%
Residual interests in asset-backed securities
Mortgage-Backed Securities and other securities
Principal balance		$ 0	$ 0
Amortized Cost		$ 23,100	$ 22,800

Mortgage-Backed Securities an41

Mortgage-Backed Securities and other securities (Details 3) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Discount Designated as Credit Reserve and OTTI
Other than temporary impairment	$ (10,155)	$ (4,978)	$ (6,356)	$ (10,797)	$ (4,907)	$ (5,917)	$ (4,316)	$ (4,651)	$ (32,286)	$ (19,791)	$ (17,014)
Non-Agency RMBS and Non-Agency CMBS and other securities
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period				(152,750)				(182,007)	(152,750)	(182,007)	(79,898)
Realized credit losses									7,697	9,534	5,175
Purchases									(15,792)	(38,634)	(163,082)
Sales									39,117	60,747	46,848
Other than temporary impairment									(22,413)	(14,839)	(11,959)
Unlinking of Linked Transactions											(13,889)
Transfers/release of credit reserve									13,657	14,769	34,798
Balance at end of period	(130,484)				(152,750)				(130,484)	(152,750)	(182,007)
Accretable Discount
Balance at beginning of period				(145,532)				(105,804)	(145,532)	(105,804)	(71,295)
Accretion of discount									17,431	18,465	17,174
Purchases									(2,945)	(96,380)	(117,396)
Sales									35,605	44,232	73,345
Transfers/release of credit reserve									(14,381)		(297)
Unlinking of Linked Transactions										(4,652)	(7,335)
Balance at end of period	(109,822)				(145,532)				(109,822)	(145,532)	(105,804)
Amortizable Premium
Balance at beginning of period				$ 56,163				82,228	56,163	82,228	20,625
Amortization of premium									(5,470)	(9,025)	(9,135)
Purchases									5,266	18,544	92,667
Sales									(12,156)	(30,054)	(26,598)
Unlinking of Linked Transactions											32,132
Transfers/release of credit reserve									724	(10,117)	(27,463)
Balance at end of period	$ 44,527				$ 56,163				$ 44,527	56,163	82,228
Adjustments | Non-Agency RMBS and Non-Agency CMBS and other securities | Accounting Standards Update 2014-11
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period								(2,320)		(2,320)
Balance at end of period											(2,320)
Accretable Discount
Balance at beginning of period								(1,393)		(1,393)
Balance at end of period											(1,393)
Amortizable Premium
Balance at beginning of period								$ 4,587		$ 4,587
Balance at end of period											$ 4,587

Mortgage-Backed Securities an42

Mortgage-Backed Securities and other securities (Details 4) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Mortgage-Backed Securities and other securities
Estimated fair value	$ 2,576,517	$ 2,851,127
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Estimated fair value	2,576,517	2,851,127
Mortgage-backed securities and other securities | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	300,326	97,753
Mortgage-backed securities and other securities | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	748,226	863,362
Mortgage-backed securities and other securities | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	1,156,746	1,279,484
Mortgage-backed securities and other securities | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	371,219	610,528
20 Year Mortgage
Mortgage-Backed Securities and other securities
Estimated fair value	498,470	687,272
20 Year Mortgage | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	498,470	687,272
30 Year Mortgage
Mortgage-Backed Securities and other securities
Estimated fair value	935,207	926,459
30 Year Mortgage | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	935,207	926,459
Agency RMBS Interest Only Strips
Mortgage-Backed Securities and other securities
Estimated fair value	19,790	71,954
Agency RMBS Interest Only Strips | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	499
Agency RMBS Interest Only Strips | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	10,434	40,900
Agency RMBS Interest Only Strips | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	8,857	31,054
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated fair value	16,503	45,362
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	807	1,310
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	9,476	10,081
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	6,220	33,971
Agency CMBS
Mortgage-Backed Securities and other securities
Estimated fair value	363,664	24,690
Agency CMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	282,911	24,690
Agency CMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	80,753
Agency CMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated fair value	231	2,113
Agency CMBS Interest-Only Strips | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	231	2,113
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated fair value	7,729	11,069
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	7,729	11,069
Subtotal Agency MBS
Mortgage-Backed Securities and other securities
Estimated fair value	1,841,594	1,768,919
Subtotal Agency MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	284,448	28,113
Subtotal Agency MBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	599,133	738,253
Subtotal Agency MBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	950,284	991,484
Subtotal Agency MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	7,729	11,069
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Estimated fair value	241,041	445,449
Non-Agency RMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	13	15
Non-Agency RMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	65,780	86,172
Non-Agency RMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	54,408	59,502
Non-Agency RMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	120,840	299,760
Non-Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated fair value	64,116	81,189
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	4,955
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	10,724	20,639
Non-Agency RMBS Interest-Only Strips | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	48,437	60,550
Non-Agency RMBS Interest Only Strips Accounted For As Derivatives Issued By Private Enterprises
Mortgage-Backed Securities and other securities
Estimated fair value	3,085	3,556
Non-Agency RMBS Interest Only Strips Accounted For As Derivatives Issued By Private Enterprises | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	1,043	1,248
Non-Agency RMBS Interest Only Strips Accounted For As Derivatives Issued By Private Enterprises | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	2,042	2,308
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Estimated fair value	358,919	450,915
Non-Agency CMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	15,865	40,523
Non-Agency CMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	37,998	27,849
Non-Agency CMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	134,941	167,355
Non-Agency CMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	170,115	215,188
Subtotal Non-Agency MBS
Mortgage-Backed Securities and other securities
Estimated fair value	667,161	981,109
Subtotal Non-Agency MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value	15,878	40,538
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	108,733	114,021
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	201,116	248,744
Subtotal Non-Agency MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	341,434	577,806
Other securities
Mortgage-Backed Securities and other securities
Estimated fair value	67,762	101,099
Other securities | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated fair value		29,102
Other securities | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated fair value	40,360	11,088
Other securities | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	5,346	39,256
Other securities | More than 30 years
Mortgage-Backed Securities and other securities
Estimated fair value	$ 22,056	$ 21,653

Mortgage-Backed Securities an43

Mortgage-Backed Securities and other securities (Details 5) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016USD ($)	Sep. 30, 2016USD ($)	Jun. 30, 2016USD ($)	Mar. 31, 2016USD ($)	Dec. 31, 2015USD ($)item	Sep. 30, 2015USD ($)	Jun. 30, 2015USD ($)	Mar. 31, 2015USD ($)	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)item	Dec. 31, 2014USD ($)	Dec. 31, 2016item	Dec. 31, 2016security
Fair Value
Fair value - Less than 12 months	$ 806,717				$ 814,776				$ 806,717	$ 814,776
12 Months or More Fair Value	288,928				432,931				288,928	432,931
Total Fair Value	1,095,645				1,247,707				1,095,645	1,247,707
Unrealized Losses
Less than 12 Months Unrealized Losses	(18,182)				(33,293)				(18,182)	(33,293)
12 Months or More Unrealized Losses	(30,418)				(13,968)				(30,418)	(13,968)
Total Unrealized Losses	(48,600)				$ (47,261)				(48,600)	$ (47,261)
Number of Securities
Less than 12 Months Number of Securities | item					166					166		135
12 Months or More Number of Securities | item					78					78		70
Total Number of Securities | item					244					244		205
Other than temporary impairment	10,155	$ 4,978	$ 6,356	$ 10,797	$ 4,907	$ 5,917	$ 4,316	$ 4,651	32,286	$ 19,791	$ 17,014
Mortgage-backed securities and other securities
Number of Securities
Principal balance	2,585,481				2,759,429				2,585,481	2,759,429
Agency RMBS
Number of Securities
Other than temporary impairment									6,090	4,005	4,703
20 Year Mortgage
Fair Value
Fair value - Less than 12 months	142,749				113,919				142,749	113,919
12 Months or More Fair Value	0				44,470				0	44,470
Total Fair Value	142,749				158,389				142,749	158,389
Unrealized Losses
Less than 12 Months Unrealized Losses	(1,935)				(1,229)				(1,935)	(1,229)
12 Months or More Unrealized Losses	0				(590)				0	(590)
Total Unrealized Losses	(1,935)				$ (1,819)				(1,935)	$ (1,819)
Number of Securities
Less than 12 Months Number of Securities | item					35					35		47
12 Months or More Number of Securities | item					10					10		0
Total Number of Securities | item					45					45		47
Principal balance	470,975				$ 645,313				470,975	$ 645,313
30 Year Mortgage
Fair Value
Fair value - Less than 12 months	432,949				68,890				432,949	68,890
12 Months or More Fair Value	22,586				329,716				22,586	329,716
Total Fair Value	455,535				398,606				455,535	398,606
Unrealized Losses
Less than 12 Months Unrealized Losses	(11,264)				(1,325)				(11,264)	(1,325)
12 Months or More Unrealized Losses	(945)				(10,399)				(945)	(10,399)
Total Unrealized Losses	(12,209)				$ (11,724)				(12,209)	$ (11,724)
Number of Securities
Less than 12 Months Number of Securities | item					17					17		54
12 Months or More Number of Securities | item					55					55		13
Total Number of Securities | item					72					72		67
Principal balance	878,599				$ 856,014				878,599	$ 856,014
Agency RMBS Interest Only Strips
Fair Value
Fair value - Less than 12 months	6,105				39,091				6,105	39,091
12 Months or More Fair Value	1,630								1,630
Total Fair Value	7,735				39,091				7,735	39,091
Unrealized Losses
Less than 12 Months Unrealized Losses	(227)				(2,177)				(227)	(2,177)
12 Months or More Unrealized Losses	(94)								(94)
Total Unrealized Losses	(321)				$ (2,177)				(321)	$ (2,177)
Number of Securities
Less than 12 Months Number of Securities | item					18					18		6
12 Months or More Number of Securities | item												2
Total Number of Securities					18					18		8	18
Principal balance	143,100								143,100
Other than temporary impairment									4,400
Agency CMBS
Fair Value
Fair value - Less than 12 months	145,791								145,791
Total Fair Value	145,791								145,791
Unrealized Losses
Less than 12 Months Unrealized Losses	(260)								(260)
Total Unrealized Losses	(260)								(260)
Number of Securities
Less than 12 Months Number of Securities | item												7
Total Number of Securities | item												7
Principal balance	377,286				$ 24,450				377,286	$ 24,450
Subtotal Agency MBS
Fair Value
Fair value - Less than 12 months	727,594				221,900				727,594	221,900
12 Months or More Fair Value	24,216				374,186				24,216	374,186
Total Fair Value	751,810				596,086				751,810	596,086
Unrealized Losses
Less than 12 Months Unrealized Losses	(13,686)				(4,731)				(13,686)	(4,731)
12 Months or More Unrealized Losses	(1,039)				(10,989)				(1,039)	(10,989)
Total Unrealized Losses	(14,725)				$ (15,720)				(14,725)	$ (15,720)
Number of Securities
Less than 12 Months Number of Securities | item					70					70		114
12 Months or More Number of Securities | item					65					65		15
Total Number of Securities | item					135					135		129
Principal balance	1,726,860				$ 1,525,777				1,726,860	$ 1,525,777
Non-Agency RMBS
Fair Value
Fair value - Less than 12 months	11,628				234,897				11,628	234,897
12 Months or More Fair Value	33,034				19,656				33,034	19,656
Total Fair Value	44,662				254,553				44,662	254,553
Unrealized Losses
Less than 12 Months Unrealized Losses	(50)				(6,928)				(50)	(6,928)
12 Months or More Unrealized Losses	(2,185)				(519)				(2,185)	(519)
Total Unrealized Losses	(2,235)				$ (7,447)				(2,235)	$ (7,447)
Number of Securities
Less than 12 Months Number of Securities | item					36					36		3
12 Months or More Number of Securities | item					5					5		6
Total Number of Securities | item					41					41		9
Principal balance	340,759				$ 601,233				340,759	$ 601,233
Other than temporary impairment									9,511	9,216	11,293
Non-Agency CMBS
Fair Value
Fair value - Less than 12 months	59,529				298,369				59,529	298,369
12 Months or More Fair Value	208,288				27,755				208,288	27,755
Total Fair Value	267,817				326,124				267,817	326,124
Unrealized Losses
Less than 12 Months Unrealized Losses	(4,031)				(19,888)				(4,031)	(19,888)
12 Months or More Unrealized Losses	(26,015)				(1,294)				(26,015)	(1,294)
Total Unrealized Losses	(30,046)				$ (21,182)				(30,046)	$ (21,182)
Number of Securities
Less than 12 Months Number of Securities | item					55					55		17
12 Months or More Number of Securities | item					7					7		47
Total Number of Securities | item					62					62		64
Principal balance	473,024				$ 550,901				473,024	$ 550,901
Other than temporary impairment									13,025	4,061	228
Subtotal Non-Agency MBS
Fair Value
Fair value - Less than 12 months	71,157				533,266				71,157	533,266
12 Months or More Fair Value	241,322				47,411				241,322	47,411
Total Fair Value	312,479				580,677				312,479	580,677
Unrealized Losses
Less than 12 Months Unrealized Losses	(4,081)				(26,816)				(4,081)	(26,816)
12 Months or More Unrealized Losses	(28,200)				(1,813)				(28,200)	(1,813)
Total Unrealized Losses	(32,281)				$ (28,629)				(32,281)	$ (28,629)
Number of Securities
Less than 12 Months Number of Securities | item					91					91		20
12 Months or More Number of Securities | item					12					12		53
Total Number of Securities | item					103					103		73
Principal balance	813,783				$ 1,152,134				813,783	$ 1,152,134
Other securities
Fair Value
Fair value - Less than 12 months	7,966				59,610				7,966	59,610
12 Months or More Fair Value	23,390				11,334				23,390	11,334
Total Fair Value	31,356				70,944				31,356	70,944
Unrealized Losses
Less than 12 Months Unrealized Losses	(415)				(1,746)				(415)	(1,746)
12 Months or More Unrealized Losses	(1,179)				(1,166)				(1,179)	(1,166)
Total Unrealized Losses	(1,594)				$ (2,912)				(1,594)	$ (2,912)
Number of Securities
Less than 12 Months Number of Securities | item					5					5		1
12 Months or More Number of Securities | item					1					1		2
Total Number of Securities | item					6					6		3
Principal balance	$ 44,838				$ 81,518				44,838	$ 81,518
Other than temporary impairment									$ 3,660	$ 2,509	$ 790

Mortgage-Backed Securities an44

Mortgage-Backed Securities and other securities (Details 6) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Mortgage-Backed Securities and other securities
Other than temporary impairment	$ 10,155	$ 4,978	$ 6,356	$ 10,797	$ 4,907	$ 5,917	$ 4,316	$ 4,651	$ 32,286	$ 19,791	$ 17,014
Estimated fair value	2,576,517				2,851,127				2,576,517	2,851,127
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Amortization									548	(5,086)	(10,257)
Interest Income	35,764	$ 29,154	$ 29,220	$ 29,618	35,048	$ 35,821	$ 41,029	$ 40,806	123,756	152,704	149,110
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Estimated fair value	2,576,517				2,851,127				2,576,517	2,851,127
Components of interest income
Coupon Interest									135,737	200,787	209,089
Net (Premium Amortization/Amortization Basis) Discount Amortization									(21,372)	(51,894)	(60,011)
Interest Income									114,365	148,893	149,078
Agency RMBS
Mortgage-Backed Securities and other securities
Other than temporary impairment									6,090	4,005	4,703
Components of interest income
Coupon Interest									70,467	119,789	152,967
Net (Premium Amortization/Amortization Basis) Discount Amortization									(24,836)	(48,119)	(57,120)
Interest Income									45,631	71,670	95,847
Agency CMBS
Mortgage-Backed Securities and other securities
Estimated fair value	363,664				24,690				363,664	24,690
Components of interest income
Coupon Interest									2,619	3,600	1,610
Net (Premium Amortization/Amortization Basis) Discount Amortization									(1,701)	(2,102)	(796)
Interest Income									918	1,498	814
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Other than temporary impairment									9,511	9,216	11,293
Estimated fair value	241,041				445,449				241,041	445,449
Components of interest income
Coupon Interest									35,221	44,473	36,370
Net (Premium Amortization/Amortization Basis) Discount Amortization									(5,243)	(8,008)	(3,313)
Interest Income									29,978	36,465	33,057
Non-Agency RMBS inverse floaters
Mortgage-Backed Securities and other securities
Estimated fair value	62,300				79,100				62,300	79,100	93,900
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Other than temporary impairment									13,025	4,061	228
Estimated fair value	358,919				450,915				358,919	450,915
Components of interest income
Coupon Interest									24,893	26,562	14,284
Net (Premium Amortization/Amortization Basis) Discount Amortization									7,431	3,687	361
Interest Income									32,324	30,249	14,645
Other securities
Mortgage-Backed Securities and other securities
Other than temporary impairment									3,660	2,509	790
Estimated fair value	$ 67,762				$ 101,099				67,762	101,099
Components of interest income
Coupon Interest									2,537	6,363	3,858
Net (Premium Amortization/Amortization Basis) Discount Amortization									2,977	2,648	857
Interest Income									$ 5,514	$ 9,011	$ 4,715

Mortgage-Backed Securities an45

Mortgage-Backed Securities and other securities (Details 7) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Mortgage-Backed Securities and other securities
Net Gain (Loss)	$ (17,023,000)	$ 1,439,000	$ (352,000)	$ (6,055,000)	$ (988,000)	$ (2,482,000)	$ 4,281,000	$ 7,468,000	$ (21,991,000)	$ 8,279,000	$ (2,178,000)
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Proceeds									2,255,414,000	2,540,076,000	2,337,351,000
Gross Gains									16,371,000	26,431,000	38,190,000
Gross Losses									(38,362,000)	(18,152,000)	(40,368,000)
Net Gain (Loss)									(21,991,000)	8,279,000	(2,178,000)
Agency RMBS
Mortgage-Backed Securities and other securities
Proceeds									1,239,350,000	1,293,120,000	1,574,301,000
Gross Gains									6,214,000	12,054,000	11,134,000
Gross Losses									(25,818,000)	(12,449,000)	(39,353,000)
Net Gain (Loss)									(19,604,000)	(395,000)	(28,219,000)
Agency RMBS | Agency interest only strips accounted for as derivatives
Mortgage-Backed Securities and other securities
Proceeds									18,500,000	7,300,000	34,200,000
Gross Gains									1,900,000	626,000	439,000
Gross Losses									(595,000)	(31,000)	(1,600,000)
Agency CMBS
Mortgage-Backed Securities and other securities
Proceeds									22,939,000
Gross Gains									54,000
Gross Losses									(66,000)
Net Gain (Loss)									(12,000)
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Proceeds									177,996,000	233,257,000	414,130,000
Gross Gains									6,470,000	11,066,000	20,290,000
Gross Losses									(4,560,000)	(174,000)	(993,000)
Net Gain (Loss)									1,910,000	10,892,000	19,297,000
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Proceeds									50,418,000	161,985,000	168,535,000
Gross Gains									137,000	2,123,000	2,007,000
Gross Losses									(5,810,000)	(171,000)	(22,000)
Net Gain (Loss)									(5,673,000)	1,952,000	1,985,000
Other securities
Mortgage-Backed Securities and other securities
Proceeds									764,711,000	851,714,000	180,385,000
Gross Gains									3,496,000	1,188,000	4,759,000
Gross Losses									(2,108,000)	(5,358,000)
Net Gain (Loss)									$ 1,388,000	$ (4,170,000)	4,759,000
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Proceeds											3,700,000
Gross Gains											389,000
Gross Losses											$ 0

Variable Interest Entities (Det

Variable Interest Entities (Details) $ in Thousands	1 Months Ended	12 Months Ended
	Nov. 30, 2015USD ($)	Dec. 31, 2016USD ($)entityloan	Dec. 31, 2015USD ($)loan
Variable Interest Entity [Line Items]
Repurchase agreements		$ 2,155,644	$ 2,585,667
Securitized commercial loan, at fair value		24,225	25,000
Securitized debt, at fair value		$ 10,659	$ 11,000
Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of VIEs, as primary beneficiary | entity		2
Number of Loans | loan		475	524
VIE
Variable Interest Entity [Line Items]
Securitized commercial loan, at fair value		$ 24,225	$ 25,000
Securitized debt, at fair value		$ 10,659	11,000
VIE | Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		475
VIE | Securitized commercial loan
Variable Interest Entity [Line Items]
Number of Loans | loan		1
CMSC Trust
Variable Interest Entity [Line Items]
Securitized commercial loan, at fair value		$ 25,000
Trust certificates issued		25,000
VIE | Residential Whole-Loans
Variable Interest Entity [Line Items]
Repurchase agreements		154,400	$ 173,900
CMSC Trust | Securitized commercial loan
Variable Interest Entity [Line Items]
Repurchase agreements		6,800
Amount acquired, eliminated in consolidation	$ 14,000	14,000
Variable interest entity, fair value		13,600
Securitized debt, at fair value		11,000
VIE | Securitized debt | Securitized commercial loan
Variable Interest Entity [Line Items]
Securitized debt, at fair value		$ 10,700

Variable Interest Entities Summ

Variable Interest Entities Summary (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Variable Interest Entity [Line Items]
Residential Whole-Loans, at fair value ($192,136 and $218,538 pledged as collateral, at fair value, respectively)	$ 192,136	$ 218,538
Securitized commercial loan, at fair value	24,225	25,000
Investment related receivable	33,600	572
Accrued interest receivable	18,812	22,621
Total assets	3,156,016	3,414,429
Securitized debt, at fair value	10,659	11,000
Accrued interest payable	16,041	20,431
Accounts payable and accrued expenses	3,255	2,078
Total liabilities	2,725,534	2,902,781
VIE
Variable Interest Entity [Line Items]
Residential Whole-Loans, at fair value ($192,136 and $218,538 pledged as collateral, at fair value, respectively)	192,136	218,538
Securitized commercial loan, at fair value	24,225	25,000
Investment related receivable	1,241	0
Accrued interest receivable	1,622	1,836
Total assets	219,224	245,374
Securitized debt, at fair value	10,659	11,000
Accrued interest payable	85	85
Accounts payable and accrued expenses	2	2
Total liabilities	$ 10,746	$ 11,087

Variable Interest Entities Carr

Variable Interest Entities Carrying Value Components (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Residential Whole-Loans
Variable Interest Entity [Line Items]
Principal balance	$ 187,765	$ 212,647
Unamortized premium	1,311	2,410
Unamortized discount	(539)	(161)
Gross unrealized gains	3,643	3,642
Gross unrealized losses	(44)	0
Fair value	192,136	218,538
Securitized commercial loan
Variable Interest Entity [Line Items]
Principal balance	25,000	25,000
Gross unrealized losses	(775)	0
Fair value	$ 24,225	$ 25,000

Variable Interest Entities Resi

Variable Interest Entities Residential Whole-Loans (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)itemloan	Dec. 31, 2015USD ($)itemloan
Residential Portfolio Segment Current Coupon Rate Six
Variable Interest Entity [Line Items]
Number of Loans | loan	59
Principal balance | $	$ 23,318
Original LTV	54.80%
Original FICO Score | item	732
Expected Life (in years)	1 year 4 months 24 days
Contractual maturity (in years)	26 years 6 months
Interest Rate	4.20%
Residential Portfolio Segment Current Coupon Rate One
Variable Interest Entity [Line Items]
Number of Loans | loan	180	2
Principal balance | $	$ 69,930	$ 698
Original LTV	57.10%	35.70%
Original FICO Score | item	728	766
Expected Life (in years)	1 year 6 months	1 year 10 months 24 days
Contractual maturity (in years)	27 years 3 months 18 days	29 years 4 months 24 days
Interest Rate	4.60%	3.90%
Residential Portfolio Segment Current Coupon Rate Two
Variable Interest Entity [Line Items]
Number of Loans | loan	231	211
Principal balance | $	$ 91,440	$ 79,696
Original LTV	55.50%	56.60%
Original FICO Score | item	723	728
Expected Life (in years)	1 year 7 months 6 days	1 year 4 months 24 days
Contractual maturity (in years)	27 years 1 month 6 days	27 years 6 months
Interest Rate	5.00%	4.50%
Residential Portfolio Segment Current Coupon Rate Three
Variable Interest Entity [Line Items]
Number of Loans | loan	5	302
Principal balance | $	$ 3,077	$ 128,204
Original LTV	71.20%	55.10%
Original FICO Score | item	738	723
Expected Life (in years)	1 year 3 months 18 days	1 year 7 months 6 days
Contractual maturity (in years)	21 years 1 month 6 days	27 years 10 months 24 days
Interest Rate	6.30%	5.10%
Residential Portfolio Segment Current Coupon Rate Four
Variable Interest Entity [Line Items]
Number of Loans | loan		9
Principal balance | $		$ 4,049
Original LTV		71.00%
Original FICO Score | item		723
Expected Life (in years)		1 year 4 months 24 days
Contractual maturity (in years)		23 years 4 months 24 days
Interest Rate		6.40%
Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of Loans | loan	475	524
Principal balance | $	$ 187,765	$ 212,647
Original LTV	56.30%	55.90%
Original FICO Score | item	726	725
Expected Life (in years)	1 year 6 months	1 year 6 months
Contractual maturity (in years)	27 years	27 years 7 months 6 days
Interest Rate	4.80%	4.90%
Residential Portfolio Segment With No Fico Score
Variable Interest Entity [Line Items]
Number of Loans | loan	153	139
Principal balance | $	$ 66,700	$ 58,700

Variable Interest Entities Geog

Variable Interest Entities Geographic Concentration (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Variable Interest Entity [Line Items]
Securitized debt, at fair value	$ 10,659	$ 11,000
VIE
Variable Interest Entity [Line Items]
Securitized debt, at fair value	$ 10,659	$ 11,000
VIE
Variable Interest Entity [Line Items]
Interest rate, effective percentage	8.90%	8.90%
Residential Whole-Loans
Variable Interest Entity [Line Items]
Principal balance	$ 187,765	$ 212,647
Geographic Concentration Risk | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	100.00%	100.00%
Principal balance	$ 187,765	$ 212,647
Geographic Concentration Risk | California | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	85.20%	83.10%
Principal balance	$ 159,955	$ 176,611
Geographic Concentration Risk | Washington | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	5.60%	6.80%
Principal balance	$ 10,591	$ 14,442
Geographic Concentration Risk | Massachusetts | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	5.40%	5.60%
Principal balance	$ 10,161	$ 12,000
Geographic Concentration Risk | New York | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	2.40%	2.50%
Principal balance	$ 4,454	$ 5,399
Geographic Concentration Risk | Georgia | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	0.80%	0.90%
Principal balance	$ 1,492	$ 1,813
Geographic Concentration Risk | Other | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration Risk, Percentage	0.60%	1.10%
Principal balance	$ 1,112	$ 2,382

Variable Interest Entities Unco

Variable Interest Entities Unconsolidated VIEs (Details)	12 Months Ended
	Dec. 31, 2015entity
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]
Variable Interest Entity [Line Items]
Variable Interest Entity, Nonconsolidated, Number of Entity	3

Borrowings under Repurchase A52

Borrowings under Repurchase Agreements (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)item	Dec. 31, 2015USD ($)
Borrowings Under Repurchase Agreements
Number of counterparties to master repurchase agreement | item	27
Number of counterparties from whom the Company had borrowings | item	20
Certain characteristics of the Company's repurchase agreements
Repurchase agreements borrowings	$ 2,155,644	$ 2,585,801
Less unamortized debt issuance cost	0	134
Borrowings under repurchase agreements	$ 2,155,644	$ 2,585,667
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	1.48%	1.17%
Weighted Average Remaining Maturity (days)	34 days	38 days
Accrued interest payable	$ 16,041	$ 20,431
VIE
Certain characteristics of the Company's repurchase agreements
Accrued interest payable	85	85
VIE | Agency CMBS
Certain characteristics of the Company's repurchase agreements
Amount of secured collateral	61,200	37,872
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Average borrowings under repurchase agreements	2,500,000	3,400,000
Maximum balance	3,100,000	4,000,000
Accrued interest payable	3,200	3,000
Amount of secured collateral	2,500,000	3,000,000
Repurchase agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 1,427,674	$ 1,601,713
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	0.96%	0.66%
Weighted Average Remaining Maturity (days)	38 days	41 days
Amount of secured collateral	$ 1,465,384	$ 1,658,865
Repurchase agreements | Agency CMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 56,365	$ 32,699
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	1.07%	1.80%
Weighted Average Remaining Maturity (days)	46 days	21 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 218,712	$ 380,177
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.53%	1.91%
Weighted Average Remaining Maturity (days)	28 days	44 days
Amount of secured collateral	$ 308,165	$ 530,110
Repurchase agreements | Agency and Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 255,656	$ 323,670
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.55%	1.84%
Weighted Average Remaining Maturity (days)	30 days	37 days
Repurchase agreements | Whole-Loans and securitized commercial loan
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 161,181	$ 180,892
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.91%	2.38%
Weighted Average Remaining Maturity (days)	9 days	26 days
Amount of secured collateral	$ 205,702	$ 232,538
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 36,056	$ 66,650
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.32%	2.33%
Weighted Average Remaining Maturity (days)	17 days	60 days
Amount of secured collateral	$ 67,762	$ 101,099
Repurchase agreements | Minimum
Certain characteristics of the Company's repurchase agreements
Term of repurchase agreements	1 month
Repurchase agreements | Maximum
Certain characteristics of the Company's repurchase agreements
Term of repurchase agreements	3 months
Repurchase agreements entered at balance sheet date and with subsequent settlement
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 193,700
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	1.36%
Weighted Average Remaining Maturity (days)	52 days
Amount of secured collateral	$ 213,000

Borrowings under Repurchase A53

Borrowings under Repurchase Agreements (Details 2) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	$ 2,155,644	$ 2,585,667
Repurchase agreements borrowings	2,155,644	2,585,801
Unamortized Debt Issuance Cost	0	134
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	1,386,971	1,335,119
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	167,642	362,940
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	601,031	847,781
90 to 119 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	0	0
Greater than or equal to 120 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	$ 0	$ 39,961

Borrowings under Repurchase A54

Borrowings under Repurchase Agreements (Details 3) $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)
Credit Suisse Securities (USA) LLC
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty
Amount Collateral at Risk, at fair value	$ 74,297
Weighted Average Remaining Maturity	18 days
Percentage of Stockholders' Equity (as a percent)	17.30%
RBC (Barbados) Trading Bank Corporation
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty
Amount Collateral at Risk, at fair value	$ 56,429
Weighted Average Remaining Maturity	40 days
Percentage of Stockholders' Equity (as a percent)	13.10%

Borrowings under Repurchase A55

Borrowings under Repurchase Agreements Collateral Positions (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Collateral Positions
Accrued interest	$ 9,790	$ 13,730
Pledged Assets Including Accrued Interest	2,513,908	3,062,285
Assets Pledged- Fair Value	2,504,118	3,048,555
Due from counterparties	37,000	38,300
Due to counterparties	270	550
Securities received as collateral	357	0
Repurchase agreements
Collateral Positions
Amount of secured collateral	2,500,000	3,000,000
Repurchase agreements | Agency RMBS
Collateral Positions
Amount of secured collateral	1,465,384	1,658,865
Accrued interest	5,335	7,366
Pledged Assets Including Accrued Interest	1,470,719	1,666,231
Repurchase agreements | Non-Agency CMBS
Collateral Positions
Amount of secured collateral	358,919	449,771
Accrued interest	1,845	2,949
Pledged Assets Including Accrued Interest	360,764	452,720
Repurchase agreements | Non-Agency RMBS
Collateral Positions
Amount of secured collateral	308,165	530,110
Accrued interest	682	1,053
Pledged Assets Including Accrued Interest	308,847	531,163
Repurchase agreements | Whole-Loans and securitized commercial loan
Collateral Positions
Amount of secured collateral	205,702	232,538
Accrued interest	1,518	1,750
Pledged Assets Including Accrued Interest	207,220	234,288
Repurchase agreements | Other securities
Collateral Positions
Amount of secured collateral	67,762	101,099
Accrued interest	57	270
Pledged Assets Including Accrued Interest	67,819	101,369
Repurchase agreements | Cash
Collateral Positions
Pledged Assets Including Accrued Interest	36,986	38,300
Assets Pledged- Fair Value	36,986	38,300
VIE | Agency CMBS
Collateral Positions
Amount of secured collateral	61,200	37,872
Accrued interest	353	342
Pledged Assets Including Accrued Interest	$ 61,553	$ 38,214

Derivative Instruments- Summary

Derivative Instruments- Summary (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Estimated Fair Value
Estimated Fair value, assets	$ 20,571	$ 21,915
Estimated Fair value, liabilities	(182,158)	(180,177)
Accrued Interest Payable
Total derivative instruments	16,041	20,431
Derivative instruments not accounted as hedges under GAAP
Estimated Fair Value
Estimated Fair value, assets	20,571	21,915
Estimated Fair value, liabilities	(182,158)	(180,177)
Total derivative instruments	(161,587)	(158,262)
Accrued Interest Payable
Accrued Interest, assets	1,145	889
Accrued Interest, liabilities	2,960	7,875
Total derivative instruments	4,105	8,764
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional Amount, assets	2,298,300	2,808,700
Notional Amount, liabilities	5,046,300	5,631,800
Estimated Fair Value
Estimated Fair value, assets	20,466	9,635
Estimated Fair value, liabilities	(177,929)	(178,305)
Accrued Interest Payable
Accrued Interest, assets	1,145	1,287
Accrued Interest, liabilities	3,054	7,875
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional Amount, assets	0	1,105,000
Notional Amount, liabilities	47,059	0
Estimated Fair Value
Estimated Fair value, assets	0	1,479
Estimated Fair value, liabilities	(1,673)	0
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	(94)	0
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional Amount, assets	56,900	201,600
Notional Amount, liabilities	176,300	279,200
Estimated Fair Value
Estimated Fair value, assets	71	63
Estimated Fair value, liabilities	(2,487)	(698)
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	0	0
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional Amount, assets	0	25,160
Estimated Fair Value
Estimated Fair value, assets	0	7,168
Total derivative instruments		7,200
Accrued Interest Payable
Accrued Interest, assets	0	(398)
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional Amount, assets	784	5,825
Notional Amount, liabilities	1,532	7,671
Estimated Fair Value
Estimated Fair value, assets	34	302
Estimated Fair value, liabilities	(69)	(281)
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	0	0
TBAs | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional Amount, assets	0	1,650,000
Notional Amount, liabilities	0	825,000
Estimated Fair Value
Estimated Fair value, assets	0	3,268
Estimated Fair value, liabilities	0	(893)
Total derivative instruments		2,375
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	$ 0	$ 0

Derivative Instruments - Gains

Derivative Instruments - Gains and Losses (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net											$ 20,029
Contractual interest income (expense), net											(5,350)
Basis Recovery											(17,050)
Mark-to-market adjustments									$ (5,135)	$ (73,599)	(178,125)
Total	$ 32,479	$ 6,121	$ (14,165)	$ (45,170)	$ 7,616	$ (41,363)	$ 13,154	$ (48,302)	(20,735)	(68,895)	(180,496)
Collateral already posted, aggregate fair value	206,600				211,300				206,600	211,300
Cash pledged as collateral	$ 470				$ 9,400				470	9,400
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									7,517	18,418
Contractual interest income (expense), net									(12,351)	2,301
Basis Recovery									(10,766)	(16,015)
Mark-to-market adjustments									(5,135)	(73,599)
Total									(20,735)	(68,895)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									(33,999)	23,680	5,440
Contractual interest income (expense), net									(27,903)	(20,366)	(31,764)
Basis Recovery									672	1,250	1,818
Mark-to-market adjustments									11,013	(68,843)	(183,379)
Total									(50,217)	(64,279)	(207,885)
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									(1,035)	(5,242)	(3,606)
Contractual interest income (expense), net									0	0	0
Basis Recovery									0	0	0
Mark-to-market adjustments									1,631	(1,486)	(1,697)
Total									596	(6,728)	(5,303)
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									1,317	595	(753)
Contractual interest income (expense), net									14,148	21,872	26,097
Basis Recovery									(11,438)	(17,265)	(18,868)
Mark-to-market adjustments									(4,726)	(4,283)	(2,136)
Total									(699)	919	4,340
Option | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									4,756	(711)	(2,813)
Contractual interest income (expense), net									0	0	0
Basis Recovery									0	0	0
Mark-to-market adjustments									0	0	0
Total									4,756	(711)	(2,813)
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									23,609	(527)	(16,495)
Contractual interest income (expense), net									0	0	0
Basis Recovery									0	0	0
Mark-to-market adjustments									(1,781)	105	(740)
Total									21,828	(422)	(17,235)
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									(66)	(901)	(1,759)
Contractual interest income (expense), net									0	0	0
Basis Recovery									0	0	0
Mark-to-market adjustments									(56)	323	(303)
Total									(122)	(578)	(2,062)
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									6,771	0	0
Contractual interest income (expense), net									283	795	317
Basis Recovery									0	0	0
Mark-to-market adjustments									(7,168)	3,311	3,857
Total									(114)	4,106	4,174
Total Return Swap | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									38
Contractual interest income (expense), net									1,121
Basis Recovery									0
Mark-to-market adjustments									(1,673)
Total									(514)
TBAs | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Realized Gain (Loss), net									6,126	1,524	40,015
Contractual interest income (expense), net									0	0	0
Basis Recovery									0	0	0
Mark-to-market adjustments									(2,375)	(2,726)	6,273
Total									$ 3,751	$ (1,202)	$ 46,288

Derivative Instruments - Intere

Derivative Instruments - Interest Rate Swaps (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Fair Value - Asset (Liability), net	$ (161,587)	$ (158,262)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate
Currency swaps and forwards
Notional Amount	2,682,400	2,272,900
Fair Value - Asset (Liability), net	$ (42,861)	$ (12,934)
Average Variable Pay Rate	0.90%	0.40%
Average Maturity	6 years 6 months	8 years 2 months 12 days
Forward Starting (as a percent)	0.00%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 4,662,200	$ 6,167,600
Fair Value - Asset (Liability), net	$ (114,602)	$ (155,736)
Average Fixed Pay Rate (as a percent)	2.10%	1.90%
Average Maturity	5 years 8 months 12 days	5 years 4 months 24 days
Forward Starting (as a percent)	35.70%	11.50%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 Year or Less | Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 105,900	$ 1,286,000
Fair Value - Asset (Liability), net	$ 274	$ 163
Average Fixed Pay Rate (as a percent)	0.80%	0.60%
Average Maturity	9 months 18 days	7 months 6 days
Forward Starting (as a percent)	0.00%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 993,000	$ 1,131,800
Fair Value - Asset (Liability), net	$ 1,199	$ (1,450)
Average Fixed Pay Rate (as a percent)	1.20%	1.10%
Average Maturity	1 year 4 months 24 days	1 year 4 months 24 days
Forward Starting (as a percent)	88.10%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Fixed Pay Rate
Currency swaps and forwards
Notional Amount	$ 1,811,400	$ 1,170,700
Fair Value - Asset (Liability), net	$ (24,112)	$ (8,902)
Average Variable Pay Rate	0.90%	0.40%
Average Maturity	3 years 8 months 12 days	4 years 6 months
Forward Starting (as a percent)	0.00%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 1,861,700	$ 1,345,200
Fair Value - Asset (Liability), net	$ (148)	$ (22,705)
Average Fixed Pay Rate (as a percent)	1.90%	2.10%
Average Maturity	3 years 10 months 24 days	4 years 7 months 6 days
Forward Starting (as a percent)	36.50%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate
Currency swaps and forwards
Notional Amount	$ 871,000	$ 1,102,200
Fair Value - Asset (Liability), net	$ (18,749)	$ (4,032)
Average Variable Pay Rate	0.90%	0.40%
Average Maturity	12 years 3 months 18 days	12 years 3 months 18 days
Forward Starting (as a percent)	0.00%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 1,701,600	$ 2,404,600
Fair Value - Asset (Liability), net	$ (115,927)	$ (131,744)
Average Fixed Pay Rate (as a percent)	3.10%	2.80%
Average Maturity	10 years 6 months	10 years 2 months 12 days
Forward Starting (as a percent)	6.50%	29.50%
Forward starting interest rate swap
Currency swaps and forwards
Notional Amount	$ 1,700,000	$ 710,000
Derivative instrument, weighted average forward starting date	4 months 15 days	8 months 18 days

Derivative Instruments- Interes

Derivative Instruments- Interest Rate Swaptions (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2016
Derivative [Line Items]
Derivative assets	$ 21,915	$ 20,571
Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	21,915	20,571
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	1,479	$ 0
Fixed Pay Rate | Interest Rate Swaption 1.76%-2.00% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	890
Notional Amount	$ 400,000
Weighted Average Swap Term (Years)	5 years
Fixed Pay Rate | Interest Rate Swaption 2.01%-2.25% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	$ 129
Notional Amount	$ 100,000
Weighted Average Swap Term (Years)	5 years
Fixed Pay Rate | Interest Rate Swaption 2.26%-2.50% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	$ 1
Notional Amount	$ 105,000
Weighted Average Swap Term (Years)	1 year
Fixed Pay Rate | Interest Rate Swaps 1.26%-1.50% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity	2 months 3 days
Fixed Pay Rate | Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	$ 1,020
Average Maturity	2 months 3 days
Notional Amount	$ 605,000
Weighted Average Swap Term (Years)	4 years 3 months 18 days
Variable Pay Rate | Interest Rate Swaption 1.76%-2.00% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity	2 months 3 days
Variable Pay Rate | Interest Rate Swaption 2.01%-2.25% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity	2 months 3 days
Variable Pay Rate | Interest Rate Swaption 2.26%-2.50% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity	5 months 24 days
Variable Pay Rate | Interest Rate Swaps 1.26%-1.50% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	$ 459
Notional Amount	$ 500,000
Weighted Average Swap Term (Years)	5 years
Variable Pay Rate | Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	$ 459
Average Maturity	2 months 21 days
Notional Amount	$ 500,000
Weighted Average Swap Term (Years)	5 years

Derivative Instruments- Currenc

Derivative Instruments- Currency Swaps and Forwards (Details) € in Thousands, $ in Thousands	Dec. 31, 2016USD ($)	Dec. 31, 2016EUR (€)	Dec. 31, 2015USD ($)	Dec. 31, 2015EUR (€)
Derivative [Line Items]
Derivative assets	$ 20,571		$ 21,915
Fair value of liability	(182,158)		(180,177)
Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	20,571		21,915
Fair value of liability	(182,158)		(180,177)
Total derivative instruments	(161,587)		(158,262)
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, assets	784		5,825
Notional Amount, liabilities	1,532		7,671
Derivative assets	34		302
Fair value of liability	(69)		(281)
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, assets	0		25,160
Derivative assets	0		7,168
Total derivative instruments			7,200
Euro Member Countries, Euro | Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, assets	784	€ 710	5,825	€ 5,083
Notional Amount, liabilities		1,383	7,671	6,800
Derivative assets	34		302
Fair value of liability	(69)		(281)
Derivative Notional Amount Net	2,316	2,093	13,496	11,883
Total derivative instruments	(35)		21
Euro Member Countries, Euro | Buy USD/Sell EUR currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, assets	784	710
Derivative assets	34
Euro Member Countries, Euro | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, liabilities	735	673
Fair value of liability	(23)
Euro Member Countries, Euro | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, liabilities	797	€ 710
Fair value of liability	$ (46)
Euro Member Countries, Euro | Buy USD/Sell EUR currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, assets			5,825	5,083
Derivative assets			302
Euro Member Countries, Euro | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional Amount, liabilities			7,671	€ 6,800
Fair value of liability			$ (281)
Euro Member Countries, Euro | Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative, Fixed Interest Rate			7.25%	7.25%
Notional Amount			$ 18,500
United States of America, Dollars | Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative, Fixed Interest Rate			9.005%	9.005%
Notional Amount			$ 25,160

Derivative Instruments - TBAs (

Derivative Instruments - TBAs (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Currency swaps and forwards
Derivative Asset	$ 20,571	$ 21,915
Derivative liability, at fair value	182,158	180,177
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative Asset	20,571	21,915
Derivative liability, at fair value	182,158	180,177
Derivative, Fair Value, Net	(161,587)	(158,262)
TBAs | Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Notional Amount, assets	0	1,650,000
Derivative Asset Notional Amount Net		1,650,000
Notional Amount, liabilities	0	(825,000)
Derivative Liability Notional Amount Net		(825,000)
Derivative Notional Amount Net		825,000
Derivative Asset	0	3,268
Derivative liability, at fair value	0	893
Derivative, Fair Value, Net		2,375
TBAs | Derivative instruments not accounted as hedges under GAAP | Long
Currency swaps and forwards
Notional Amount, assets		1,650,000
Derivative Asset		3,268
Changes in notional amount
Notional Amount at the beginning of the period	1,650,000
Additions	17,111,200
Settlement, Termination, Expiration or Exercise	(18,761,200)
Notional Amount at the end of the period	0
TBAs | Derivative instruments not accounted as hedges under GAAP | Short
Currency swaps and forwards
Notional Amount, liabilities		(825,000)
Derivative liability, at fair value		$ (893)
Changes in notional amount
Notional Amount at the beginning of the period	825,000
Additions	17,936,200
Settlement, Termination, Expiration or Exercise	(18,761,200)
Notional Amount at the end of the period	$ 0

Derivative Instruments- Futures

Derivative Instruments- Futures Contracts (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Derivative [Line Items]
Derivative liabilities	$ 182,158	$ 180,177
Derivative Asset	20,571	21,915
Us Treasury Futures | Long
Derivative [Line Items]
Notional Amount	(56,900)	(480,800)
Derivative liabilities	(2,487)	$ 635
Derivative Asset	71
Us Treasury Futures | Short
Derivative [Line Items]
Notional Amount	$ (176,300)

Derivative Instruments- Total R

Derivative Instruments- Total Return Swap (Details) - Total Return Swap € in Millions, $ in Millions	9 Months Ended
	Sep. 30, 2016EUR (€)	Dec. 31, 2016USD ($)
Derivative [Line Items]
Notional Amount, assets | €	€ 51
Cash Collateral from Counterparties | $		$ 8.4
Euro Interbank Offer Rate
Derivative [Line Items]
Derivative, Basis Spread on Variable Rate	2.75%
Derivative Basis Spread on Variable Rate for Payment to Counterparty	0.50%
Derivative Instrument Period Through December 2019 | Euro Interbank Offer Rate
Derivative [Line Items]
Derivative Basis Spread on Variable Rate for Payment to Counterparty	0.25%
Derivative Instrument Period In December 2020 | Euro Interbank Offer Rate
Derivative [Line Items]
Derivative Basis Spread on Variable Rate for Payment to Counterparty	0.00%

Offsetting Assets and Liabili64

Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Offsetting of Derivative Assets
Gross Amounts of Recognized Assets	$ 47,888	$ 81,902
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	47,888	81,902
Gross Amounts Not Offset in the Consolidated Balance Sheets
Financial Instruments	(43,838)	(65,549)
Cash Collateral Received	0	(8,647)
Net Amount	4,050	7,706
Gross Amounts of Recognized Liabilities	182,158	180,177
Derivative Liability	182,158	180,177
Derivative, Collateral, Right to Reclaim Securities	(20,500)	(10,177)
Derivative, Collateral, Right to Reclaim Cash	(161,588)	(169,887)
Net Amount	70	113
Gross Amounts of Recognized Liabilities	2,155,644	2,585,801
Repurchase agreements borrowings	2,155,644	2,585,801
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities	(2,155,644)	(2,585,801)
Gross Amounts of Recognized Liabilities	2,337,802	2,765,978
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned	2,337,802	2,765,978
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Securities	(2,176,144)	(2,595,978)
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Amount Offset Against Collateral	70	113
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Cash	206,600	211,300
Fair value of investments pledged against repurchase agreements	2,500,000	3,000,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Offsetting of Derivative Assets
Gross Amounts of Recognized Assets	27,317	59,987
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	27,317	59,987
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities	(23,338)	(55,372)
Gross Amounts Not Offset in the Consolidated Balance Sheets
Net Amount	3,979	4,615
Derivative asset
Offsetting of Derivative Assets
Gross Amounts of Recognized Assets	20,571	21,915
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	20,571	21,915
Gross Amounts Not Offset in the Consolidated Balance Sheets
Financial Instruments	(20,500)	(10,177)
Cash Collateral Received	0	(8,647)
Net Amount	$ 71	$ 3,091

Related Party Transactions (Det

Related Party Transactions (Details)	3 Months Ended								9 Months Ended	12 Months Ended
	Dec. 31, 2016USD ($)	Sep. 30, 2016USD ($)	Jun. 30, 2016USD ($)	Mar. 31, 2016USD ($)	Dec. 31, 2015USD ($)	Sep. 30, 2015USD ($)	Jun. 30, 2015USD ($)	Mar. 31, 2015USD ($)	Sep. 30, 2016	Dec. 31, 2016USD ($)item	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Related Party Transactions
Management fees	$ 2,503,000	$ 2,604,000	$ 2,588,000	$ 2,753,000	$ 2,741,000	$ 2,761,000	$ 2,679,000	$ 2,693,000
Estimated Fair Value
Related Party Transactions
Securitized debt, Fair value	10,659,000				11,000,000					$ 10,659,000	$ 11,000,000
Western Asset Management Company
Related Party Transactions
Management fees (as a percent)										1.50%
Renewal term of management agreement										1 year
Notice period to terminate the Management Agreement following initial term										180 days
Multiple of average annual management fees used to calculate termination fee | item										3
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement										24 months
Notice period to terminate the Management Agreement for cause										30 days
Management fees										$ 10,400,000	10,900,000	$ 9,600,000
Reimbursable employee costs										740,000	1,200,000	$ 624,000
Management fees incurred but not yet paid	2,500,000				2,700,000					2,500,000	2,700,000
Accounts payable, related parties	83,000				277,000					83,000	277,000
Western Asset Management Company | Minimum
Related Party Transactions
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent)									67.00%
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent)									67.00%
Securitized debt | VIE | Estimated Fair Value
Related Party Transactions
Securitized debt, Fair value	10,700,000				11,000,000					10,700,000	11,000,000
Securitized commercial loan | Securitized debt | VIE
Related Party Transactions
Securitized debt	$ 11,000,000				$ 11,000,000					$ 11,000,000	$ 11,000,000

Share-Based Payments (Details)

Share-Based Payments (Details) $ / shares in Units, $ in Thousands	Jun. 02, 2016shares	Mar. 01, 2016	Dec. 08, 2015USD ($)shares	Jun. 04, 2015directorshares	Mar. 01, 2015shares	Jan. 01, 2015$ / sharesshares	Mar. 12, 2014	Dec. 19, 2013shares	Dec. 31, 2015USD ($)$ / sharesshares	Dec. 31, 2016USD ($)$ / sharesshares	Dec. 31, 2015USD ($)$ / sharesshares	Dec. 31, 2014USD ($)$ / sharesshares	Jun. 30, 2016shares	May 15, 2012shares
Share-Based Payments
Shares authorized (as a percent)										3.00%
Shares reserved for issuance under the Equity plan (in shares)										1,237,711				308,335
Number of shares remained available for issuance (in shares)										529,850
Stock-based compensation expense recognized | $										$ 1,699	$ 2,301	$ 2,203
Restricted common stock
Share-Based Payments
Number of shares with accelerated vesting			13,980
Compensation expense recognized for accelerated vesting shares | $			$ 66
Vested (in shares)										200,983	175,824	87,819
Shares of Restricted Stock
Restricted Stock Shares Outstanding, beginning of period						476,200				688,394	476,200
Granted (in shares)										19,467	212,194		681,970
Unvested at end of year (in shares)									399,713	218,197	399,713
Restricted Stock Shares Outstanding, end of period									688,394	707,861	688,394	476,200
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares						$ 18.49				$ 17.39	$ 18.49
Granted (in dollars per share) | $ / shares										9.40	14.93
Outstanding at end of year (in dollars per share) | $ / shares									$ 17.39	17.17	17.39	$ 18.49
Unvested at end of year (in dollars per share) | $ / shares									$ 16.24	$ 14.98	$ 16.24
Restricted common stock | Director Deferred Fee Plan
Share-Based Payments
Stock dividends granted (in shares)								25,891
Shares of Restricted Stock
Granted (in shares)										2,335	1,694
Restricted common stock | March 2016
Shares of Restricted Stock
Unvested at end of year (in shares)									188,184	0	188,184
Restricted common stock | June 2016
Shares of Restricted Stock
Unvested at end of year (in shares)									11,528	0	11,528
Restricted common stock | March 2017
Shares of Restricted Stock
Unvested at end of year (in shares)									133,334	133,334	133,334
Restricted common stock | June 2017
Shares of Restricted Stock
Unvested at end of year (in shares)										18,196
Restricted common stock | March 2018
Shares of Restricted Stock
Unvested at end of year (in shares)									66,667	66,667	66,667
Restricted common stock | Director
Share-Based Payments
Awards granted to each of the entity's independent directors (in shares)	4,283			2,625
Number of independent directors to whom awards were granted | director				4
Shares of Restricted Stock
Granted (in shares)	17,132			10,500
Restricted common stock | CFO
Share-Based Payments
Awards vested or to be vested (as a percent)						33.00%			67.00%
Restricted common stock | Western Asset Management Company
Share-Based Payments
Awards vested or to be vested (as a percent)		33.00%			33.00%
Shares of Restricted Stock
Granted (in shares)					200,000
Restricted common stock | Western Asset Management Company | March 2017
Share-Based Payments
Awards vested or to be vested (as a percent)					33.00%		33.00%
Restricted common stock | Western Asset Management Company | March 2018
Share-Based Payments
Awards vested or to be vested (as a percent)					33.00%
Equity awards
Share-Based Payments
Unamortized compensation expense | $									$ 67	$ 67	$ 67
Liability awards
Share-Based Payments
Unamortized compensation expense | $									$ 2,400	$ 895	$ 2,400

Stockholders' Equity (Details)

Stockholders' Equity (Details) - $ / shares	Dec. 22, 2016	Sep. 22, 2016	Jun. 23, 2016	Mar. 24, 2016	Dec. 17, 2015	Sep. 24, 2015	Jun. 18, 2015	Mar. 26, 2015	Dec. 18, 2014	Sep. 23, 2014	Jun. 19, 2014	Mar. 20, 2014	Dec. 31, 2016	May 09, 2012
Shareholders equity
Number of shares of common stock for each warrant unit														1
Number of common shares that can be acquired upon exercise of each warrant unit														0.5
Exercise price of outstanding warrants (in dollars per share)													$ 16.70
Number of warrant shares purchasable (in shares)													1,232,916
Shares authorized to be repurchased													2,050,000
Dividends declared per Share of Common Stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.31	$ 0.45	$ 0.58	$ 0.60	$ 0.64	$ 0.67	$ 0.70	$ 0.70	$ 0.67	$ 0.67
Dividends paid per Share of Common Stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.31	$ 0.45	$ 0.58	$ 0.6	$ 0.64	$ 0.67	$ 0.7	$ 0.7	$ 0.67	$ 0.67
Institutional investors
Shareholders equity
Number of warrant units authorized to be sold														2,231,787

Net Income (Loss) per Common 68

Net Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Numerator:
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share	$ (38,296)	$ 32,282	$ 17,303	$ (36,304)	$ (20,085)	$ (1,852)	$ (1,693)	$ 14,146	$ (25,015)	$ (9,484)	$ 100,713
Less: Dividends and undistributed earnings allocated to participating securities									377	1,045	944
Net income (loss) allocable to common stockholders - basic and diluted									$ (25,392)	$ (10,529)	$ 99,769
Denominator:
Weighted average common shares outstanding for basic earnings per share									41,688,950	41,490,556	37,337,460
Weighted average common shares outstanding for diluted earnings per share									41,688,950	41,490,556	37,337,460
Basic earnings per common share (in dollars per share)	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ (0.49)	$ (0.05)	$ (0.05)	$ 0.34	$ (0.61)	$ (0.25)	$ 2.67
Diluted earnings per common share (in dollars per share)	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ (0.49)	$ (0.05)	$ (0.05)	$ 0.34	$ (0.61)	$ (0.25)	$ 2.67

Income Taxes (Details)

Income Taxes (Details)	3 Months Ended								12 Months Ended
	Dec. 31, 2016USD ($)subsidiary	Sep. 30, 2016USD ($)	Jun. 30, 2016USD ($)	Mar. 31, 2016USD ($)	Dec. 31, 2015USD ($)	Sep. 30, 2015USD ($)	Jun. 30, 2015USD ($)	Mar. 31, 2015USD ($)	Dec. 31, 2016USD ($)subsidiary	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Income Tax Disclosure [Abstract]
Deferred tax assets, gross	$ 6,485,000				$ 3,104,000				$ 6,485,000	$ 3,104,000
Maximum ownership percentage permitted in TRS	100.00%								100.00%
Number of TRS owned | subsidiary	1								1
Current income tax expense (benefit)									$ 3,156,000
Excise tax expense									339,000
Income Tax Contingency [Line Items]
Income tax provision (benefit)	$ 917,000	$ 2,239,000	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	3,156,000	$ 0	$ 0
Tax Year 2015 [Member]
Income Tax Contingency [Line Items]
Income tax provision (benefit)									$ 2,000,000

Income Taxes Deferred Tax Asset

Income Taxes Deferred Tax Asset (Details) - USD ($)	Dec. 31, 2016	Dec. 31, 2015
Income Tax Disclosure [Abstract]
Net operating loss carry-forwards	$ 0	$ 0
Net capital loss carry-forwards	1,981,000	736,000
Investments	4,504,000	2,368,000
Deferred tax asset	6,485,000	3,104,000
Allowance	(6,485,000)	(3,104,000)
Net deferred tax asset	$ 0	$ 0

Income Taxes Components of Inco

Income Taxes Components of Income Tax Expense (Details) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Current tax provision
Federal									$ 2,365,000
State									672,000
Interest and Penalties									119,000
Total Current Provision for Income taxes									3,156,000
Deferred Provision for Income Taxes
Federal									0
State									0
Total Deferred Provision for Income Taxes									0
Income Tax Expense (Benefit)	$ 917,000	$ 2,239,000	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ 3,156,000	$ 0	$ 0

Income Taxes Effective Income T

Income Taxes Effective Income Tax Rate Reconciliation (Details)	12 Months Ended
	Dec. 31, 2016
Effective Income Tax Rate Reconciliation, Percent [Abstract]
Federal statutory rate	34.00%
State statutory rate, net of federal benefit	3.00%
Permanent differences	0.00%
Other	(9.50%)
Change in valuation allowance	(15.40%)
REIT losses not subject to corporate taxes	(26.50%)
Effective Tax Rate	(14.40%)

Summarized Quarterly Results 73

Summarized Quarterly Results (unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Net Interest Income
Interest income	$ 35,764	$ 29,154	$ 29,220	$ 29,618	$ 35,048	$ 35,821	$ 41,029	$ 40,806	$ 123,756	$ 152,704	$ 149,110
Interest expense	9,039	7,685	7,727	7,979	7,645	6,981	6,577	6,402	32,430	27,605	22,263
Net Interest Income	26,725	21,469	21,493	21,639	27,403	28,840	34,452	34,404	91,326	125,099	126,847
Other Income (Loss)
Realized gain (loss) on sale of investments, net	(17,023)	1,439	(352)	(6,055)	(988)	(2,482)	4,281	7,468	(21,991)	8,279	(2,178)
Other than temporary impairment	(10,155)	(4,978)	(6,356)	(10,797)	(4,907)	(5,917)	(4,316)	(4,651)	(32,286)	(19,791)	(17,014)
Unrealized gain (loss), net	(64,678)	15,292	21,510	10,769	(44,295)	24,723	(42,849)	28,410
Gain (loss) on derivative instruments, net	32,479	6,121	(14,165)	(45,170)	7,616	(41,363)	13,154	(48,302)	(20,735)	(68,895)	(180,496)
Gain on linked transactions, net									0	0	1,870
Other, net	338	(60)	234	(332)	574	(29)	(611)	2,384
Other Income (Loss), net	(59,039)	17,814	871	(51,585)	(42,000)	(25,068)	(30,341)	(14,691)	180	2,318	1,433
Expenses
Management fee to affiliate	2,503	2,604	2,588	2,753	2,741	2,761	2,679	2,693
Other operating expenses	236	188	183	438	542	799	260	413	1,045	2,014	761
Compensation expense	768	868	649	737	756	857	1,176	973	3,022	3,762	3,330
Professional fees	867	723	1,222	2,002	1,107	882	1,244	1,135	4,814	4,368	3,495
Other general and administrative expenses	691	379	419	428	342	325	445	353	1,917	1,465	1,541
Total general and administrative expenses	2,326	1,970	2,290	3,167	2,205	2,064	2,865	2,461	9,753	9,595	8,366
Total Expenses	5,065	4,762	5,061	6,358	5,488	5,624	5,804	5,567	21,246	22,483	18,760
Income (loss) before income taxes	(37,379)	34,521	17,303	(36,304)	(20,085)	(1,852)	(1,693)	14,146	(21,859)	(9,484)	100,713
Income tax provision (benefit)	917	2,239	0	0	0	0	0	0	3,156	0	0
Income (loss) before income taxes	$ (38,296)	$ 32,282	$ 17,303	$ (36,304)	$ (20,085)	$ (1,852)	$ (1,693)	$ 14,146	$ (25,015)	$ (9,484)	$ 100,713
Basic earnings per common share (in dollars per share)	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ (0.49)	$ (0.05)	$ (0.05)	$ 0.34	$ (0.61)	$ (0.25)	$ 2.67
Diluted earnings per common share (in dollars per share)	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ (0.49)	$ (0.05)	$ (0.05)	$ 0.34	$ (0.61)	$ (0.25)	$ 2.67

Subsequent Events (Details)

Subsequent Events (Details) - USD ($) $ in Thousands	2 Months Ended	12 Months Ended
	Feb. 28, 2017	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Agency RMBS
Subsequent Event [Line Items]
Proceeds		$ 1,239,350	$ 1,293,120	$ 1,574,301
Agency RMBS | Subsequent Event [Member]
Subsequent Event [Line Items]
Proceeds	$ 551,400
Non-Agency RMBS
Subsequent Event [Line Items]
Proceeds		177,996	233,257	414,130
Non-Agency RMBS | Subsequent Event [Member]
Subsequent Event [Line Items]
Proceeds	246,000
Whole Loans [Member] | Subsequent Event [Member]
Subsequent Event [Line Items]
Payments to acquire available-for-sale securities	73,600
Agency CMBS
Subsequent Event [Line Items]
Proceeds		22,939
Agency CMBS | Subsequent Event [Member]
Subsequent Event [Line Items]
Payments to acquire available-for-sale securities	599,500
Other securities
Subsequent Event [Line Items]
Proceeds		$ 764,711	$ 851,714	$ 180,385
Other securities | Subsequent Event [Member]
Subsequent Event [Line Items]
Payments to acquire available-for-sale securities	$ 69,000

Schedule IV Mortgage Loans on R

Schedule IV Mortgage Loans on Real Estate (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)loan	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Beginning balance	$ 243,538	$ 7,220	$ 0
New mortgage loans	29,399	262,949	7,161
Unrealized gains	1,187	3,631	94
Collections of principal	53,714	29,105	9
Amortization of premium and (discounts)	2,044	1,074	25
Unrealized losses	2,005	83	1
Balance at end of period	216,361	$ 243,538	$ 7,220
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal balance	212,765
Carrying Amount of Mortgages	$ 216,361
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans | loan	118
Principal balance	$ 15,962
Carrying Amount of Mortgages	$ 16,343
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.80%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans | loan	218
Principal balance	$ 69,664
Carrying Amount of Mortgages	$ 71,395
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans | loan	52
Principal balance	$ 28,183
Carrying Amount of Mortgages	$ 28,791
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.60%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Number of Loans | loan	24
Principal balance	$ 18,813
Carrying Amount of Mortgages	$ 19,135
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.00%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Number of Loans | loan	17
Principal balance	$ 17,285
Carrying Amount of Mortgages	$ 17,728
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans | loan	6
Principal balance	$ 7,841
Carrying Amount of Mortgages	$ 7,952
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.20%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Number of Loans | loan	9
Principal balance	$ 16,358
Carrying Amount of Mortgages	$ 16,773
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum
Mortgage Loans on Real Estate
Interest Rate	3.90%
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.00%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans | loan	7
Principal balance	$ 1,221
Carrying Amount of Mortgages	$ 1,246
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.20%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.40%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans | loan	8
Principal balance	$ 2,877
Carrying Amount of Mortgages	$ 2,937
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.20%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.30%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans | loan	2
Principal balance	$ 1,012
Carrying Amount of Mortgages	$ 1,034
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.20%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.30%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans | loan	3
Principal balance	$ 2,695
Carrying Amount of Mortgages	$ 2,741
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.30%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.40%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Number of Loans | loan	1
Interest Rate	4.20%
Principal balance	$ 1,427
Carrying Amount of Mortgages	$ 1,448
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans | loan	3
Principal balance	$ 351
Carrying Amount of Mortgages	$ 366
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.90%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	6.80%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans | loan	2
Principal balance	$ 403
Carrying Amount of Mortgages	$ 418
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	5.70%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.90%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans | loan	2
Principal balance	$ 881
Carrying Amount of Mortgages	$ 911
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	5.40%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.80%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Number of Loans | loan	1
Interest Rate	6.30%
Principal balance	$ 990
Carrying Amount of Mortgages	$ 1,032
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans | loan	1
Interest Rate	6.30%
Principal balance	$ 1,042
Carrying Amount of Mortgages	$ 1,092
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Number of Loans | loan	1
Interest Rate	6.50%
Principal balance	$ 760
Carrying Amount of Mortgages	$ 794
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance $25,000,000
Mortgage Loans on Real Estate
Number of Loans | loan	1
Interest Rate	9.00%
Principal balance	$ 25,000
Carrying Amount of Mortgages	$ 24,225
Period for interest only payments	2 years
Amortization schedule	30 years