Western Asset Mortgage Capital (WMC) 10-K 29 Mar 18 2017 FY Annual report Financial data

Document and Entity Information

Document and Entity Information - USD ($)	12 Months Ended
	Dec. 31, 2017	Mar. 28, 2018	Jun. 30, 2017
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, 2017
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			$ 416,414,035
Entity Common Stock, Shares Outstanding		41,679,679
Document Fiscal Year Focus	2,017
Document Fiscal Period Focus	FY

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Assets:
Cash and cash equivalents	$ 48,024	$ 46,172
Residential Whole-Loans, at fair value ($237,423 and $192,136 pledged as collateral, at fair value, respectively)	237,423	192,136
Residential Bridge Loans ($64,526 and $0 at fair value and $106,673 and $0 pledged as collateral, respectively)	106,673	0
Securitized commercial loan, at fair value	24,876	24,225
Investment related receivable	7,665	33,600
Accrued interest receivable	13,603	18,812
Due from counterparties	86,930	243,585
Derivative assets, at fair value	728	20,571
Other assets	2,161	398
Total Assets	3,886,906	3,156,016
Liabilities:
Borrowings under repurchase agreements, net	3,251,686	2,155,644
Convertible senior unsecured notes, net	108,743	0
Securitized debt, at fair value	10,945	10,659
Accrued interest payable	8,322	16,041
Investment related payables	17,217	341,458
Due to counterparties	1,490	740
Derivative liability, at fair value	4,346	182,158
Accounts payable and accrued expenses	3,118	3,255
Payable to affiliate	2,041	2,584
Dividend payable	12,960	12,995
Total Liabilities	3,420,868	2,725,534
Commitments and contingencies
Stockholders' Equity:
Common stock, $0.01 par value, 500,000,000 shares authorized, and 41,794,079 and 41,919,801 outstanding, respectively	419	419
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding	0	0
Treasury stock, at cost 125,722 and 0 shares held, respectively	(1,232)	0
Additional paid-in capital	768,763	765,042
Retained earnings (accumulated deficit)	(301,912)	(334,979)
Total Stockholders' Equity	466,038	430,482
Total Liabilities and Stockholders' Equity	3,886,906	3,156,016
Subtotal Agency MBS
Assets:
Mortgage-backed securities and other securities, at fair value	2,858,600	1,841,594
Non-Agency Mortgage-Backed Securities [Member]
Assets:
Mortgage-backed securities and other securities, at fair value	378,158	667,161
Other securities
Assets:
Mortgage-backed securities and other securities, at fair value	$ 122,065	$ 67,762

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Residential bridge loan. at fair value	$ 64,526	$ 0
Residential bridge loans	$ 106,673	$ 0
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	41,794,079	41,919,801
Common stock, shares outstanding	41,794,079	41,919,801
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
Treasury stock, shares held	125,722	0
Residential Whole-Loans, at fair value ($237,423 and $192,136 pledged as collateral, at fair value, respectively)	$ 237,423	$ 192,136
Securitized commercial loan, at fair value	24,876	24,225
Investment related receivable	7,665	33,600
Accrued interest receivable	13,603	18,812
Total Assets	3,886,906	3,156,016
Securitized debt, at fair value	10,945	10,659
Accrued interest payable	8,322	16,041
Accounts payable and accrued expenses	3,118	3,255
Total Liabilities	3,420,868	2,725,534
VIE
Fair value of residential whole-loans pledged as collateral	237,423	192,136
Residential Whole-Loans, at fair value ($237,423 and $192,136 pledged as collateral, at fair value, respectively)	237,423	192,136
Amount of secured collateral	106,673	0
Securitized commercial loan, at fair value	24,876	24,225
Investment related receivable	7,665	1,241
Accrued interest receivable	3,358	1,622
Total Assets	379,995	219,224
Securitized debt, at fair value	10,945	10,659
Accrued interest payable	70	85
Accounts payable and accrued expenses	189	2
Total Liabilities	11,204	10,746
Subtotal Agency MBS
Fair value of mortgage-backed securities pledged as collateral	2,833,595	1,526,584
Non-Agency Mortgage-Backed Securities [Member]
Fair value of mortgage-backed securities pledged as collateral	266,189	667,084
Other securities
Fair value of mortgage-backed securities pledged as collateral	$ 89,823	$ 67,762

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Net Interest Income
Interest income	$ 124,291	$ 123,756	$ 152,704
Interest expense	48,373	32,430	27,605
Net Interest Income	75,918	91,326	125,099
Other Income (Loss)
Realized gain (loss) on sale of investments, net	20,598	(21,991)	8,279
Other than temporary impairment	(22,873)	(32,286)	(19,791)
Unrealized gain (loss), net	28,396	(17,107)	(34,011)
Gain (loss) on derivative instruments, net	3,292	(20,735)	(68,895)
Other, net	1,031	180	2,318
Other Income (Loss)	30,444	(91,939)	(112,100)
Expenses
Management fee to affiliate	8,100	10,448	10,874
Other operating expenses	2,419	1,045	2,014
Compensation expense	2,692	3,022	3,762
Professional fees	3,242	4,814	4,368
Other general and administrative expenses	1,325	1,917	1,465
Total general and administrative expenses	7,259	9,753	9,595
Total Expenses	17,778	21,246	22,483
Income (loss) before income taxes	88,584	(21,859)	(9,484)
Income tax provision (benefit)	3,487	3,156	0
Net income (loss)	$ 85,097	$ (25,015)	$ (9,484)
Net income (loss) per common share - basic (in dollars per share)	$ 2.03	$ (0.61)	$ (0.25)
Net income (loss) per common share - diluted (in dollars per share)	$ 2.03	$ (0.61)	$ (0.25)

Consolidated Statements of Chan

Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands	Total	Common Stock Outstanding	Additional Paid-In Capital	Retained Earnings (Accumulated) Deficit	Treasury Stock
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	0	$ 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 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		41,919,801
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	1,699		1,699
Net income (loss)	(25,015)			(25,015)
Dividends on common stock	(57,850)		60	(57,910)
Balance at Dec. 31, 2016	$ 430,482	$ 419	765,042	(334,979)	$ 0
Balance (in shares) at Dec. 31, 2016	41,919,801	41,919,801
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	$ 981		981
Net income (loss)	85,097			85,097
Dividends on common stock	(51,946)		84	(52,030)
Equity component of convertible senior unsecured notes	2,656		2,656
Treasury Stock	(1,232)				(1,232)
Treasury stock (in shares)		(125,722)
Balance at Dec. 31, 2017	$ 466,038	$ 419	$ 768,763	$ (301,912)	$ (1,232)
Balance (in shares) at Dec. 31, 2017	41,794,079	41,794,079

Consolidated Statements of Cash

Consolidated Statements of Cash Flows $ in Thousands	12 Months Ended
	Dec. 31, 2017USD ($)	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)
Statement of Cash Flows [Abstract]
Net income (loss)	$ 85,097	$ (25,015)	$ (9,484)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Premium amortization and (discount accretion) on investments, net	(2,070)	(548)	5,086
Interest income earned added to principal of securities	(46)	(413)	(207)
Amortization of deferred financing costs	192	191	486
Amortization of discount on convertible senior unsecured notes	137	0	0
Restricted stock amortization	981	1,699	2,301
Premium amortization for MAC interest rate swaps	0	(658)	(1,250)
Interest payments and basis recovered on MAC interest rate swaps	525	658	1,595
Premium on purchase of Residential Whole-Loans	(1,239)	(574)	(3,329)
Premium on purchase of Residential Bridge Loans	(753)	0	0
Unrealized (gain) loss, net	(28,396)	17,107	34,011
Unrealized loss on derivative instruments, net	(148,308)	5,135	73,599
Other than temporary impairment	22,873	32,286	19,791
Realized (gain) loss on sale of investments, net	(20,598)	21,991	(8,279)
(Gain) loss on derivatives, net	156,076	(41,516)	13,920
Loss (gain) on foreign currency transactions, net	1	758	(2,130)
Changes in operating assets and liabilities:
Decrease (increase) in accrued interest receivable	5,209	3,809	4,688
Decrease (increase) in other assets	(1,763)	(16)	(56)
Increase (decrease) in accrued interest payable	(7,719)	(4,390)	2,858
Increase (decrease) in accounts payable and accrued expenses	(274)	1,477	(16)
Increase (decrease) in payable to related party	(543)	(435)	314
Net cash provided by operating activities	59,382	11,546	133,898
Cash flows from investing activities:
Purchase of securities	(2,881,276)	(2,172,623)	(1,354,274)
Proceeds from sale of securities	1,593,914	2,273,922	2,547,364
Principal repayments and basis recovered on securities	240,785	344,937	397,073
Purchase of Residential Whole-Loans	(87,640)	(28,825)	(225,870)
Principal repayments on Residential Whole-Loans	42,176	52,473	20,355
Purchase of Commercial Whole-Loans	0	0	(8,750)
Principal repayments on Commercial Whole-Loans	0	0	8,750
Purchase of securitized commercial loan	0	0	(14,000)
Principal repayments on securitized commercial loan	154	0	0
Purchase of Residential Bridge Loans	(142,913)	0	0
Purchase of Residential Bridge Loans	31,794	0	0
Payment of premium for option derivatives	(16,355)	(17,951)	(16,064)
Premium received from option derivatives	14,553	22,707	15,354
Premium received from credit default swap	74	0	0
Net settlements of TBAs	4,035	6,140	3,710
Proceeds from (Payments on) termination of futures, net	(9,130)	23,609	(527)
Proceeds from sale of interest rate swaptions	0	2,075	32,186
Premium for MAC interest rate swaps, net	0	465	(3,858)
Payments on termination of MAC interest rate swaps	0	0	(186)
Due from counterparties	8,449	(8,449)	0
Proceeds from termination of foreign currency swaps	0	6,771	0
Payments on total return swaps	(552)	38	0
Interest payments and basis recovered on MAC interest rate swaps	(525)	(658)	(1,193)
Premium for interest rate swaptions, net	(115)	0	(40,215)
Net cash provided by (used in) investing activities	(1,202,572)	504,631	1,359,855
Cash flows from financing activities:
Payment of offering costs	(94)	0	0
Repurchase of common stock	(1,094)	0	0
Proceeds from repurchase agreement borrowings	18,438,166	15,977,505	17,544,060
Proceeds from convertible note offering	115,000	0	0
Repayments of repurchase agreement borrowings	(17,342,124)	(16,407,929)	(18,863,913)
Proceeds from (Repayment of) cash overdraft	0	(300)	300
Repayments of securitized debt	(68)	0	0
Proceeds from forward contracts	8,246	112,574	242,279
Repayments of forward contracts	(8,214)	(112,640)	(243,180)
Payments on termination of MAC interest rate swaps containing an other-than-insignificant financing element	0	0	(18,655)
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element	0	0	(402)
Payments made for deferred financing costs	(3,837)	(58)	(620)
Due from counterparties, net	(9,707)	14,427	(64,806)
Due to counterparties, net	750	(9,210)	(2,230)
Dividends paid on common stock	(51,981)	(69,168)	(109,272)
Net cash provided by (used in) financing activities	1,145,043	(494,799)	(1,516,439)
Effect of exchange rate changes on cash and cash equivalents	(1)	83	175
Net increase (decrease) in cash and cash equivalents	1,852	21,461	(22,511)
Cash and cash equivalents beginning of period	46,172	24,711	47,222
Cash and cash equivalents end of period	48,024	46,172	24,711
Supplemental disclosure of operating cash flow information:
Interest paid	43,032	32,041	27,515
Income taxes paid	4,966	2,093	0
Supplemental disclosure of non-cash financing/investing activities:
Repurchase of common stock, not settled	(137)	0	0
Principal payments of securities, not settled	0	0	572
Securities purchased, not settled	(17,217)	(309,086)	(66,146)
Assets of CSMC Trust	0	0	11,000
Liabilities of CSMC Trust	0	0	(11,000)
Net unsettled TBAs	0	(14)	0
Derivative collateral offset against derivatives	(157,913)	0	0
Dividends and distributions declared, not paid	12,960	12,995	24,313
Principal payments of Residential Whole-Loans, not settled	2,286	1,241	0
Principal payments of Residential Bridge Loans, not settled	$ 5,381	$ 0	$ 0

Organization

Organization	12 Months Ended
	Dec. 31, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Western Asset Mortgage Capital Corporation, is a Delaware corporation, and its subsidiary (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 CMBS, Agency RMBS (including TBAs), Non-Agency RMBS, 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, 2017
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 accounts of the Company and its wholly -owned subsidiary 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 these VIE's. All intercompany amounts between the Company and its subsidiary and consolidate 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. 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 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. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete a equity offering. 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 Measurement 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. Refer to 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, 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”. If the Company purchases securities with evidence of credit deterioration, 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 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, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. 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” in the Consolidated Statements of Operations. 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. 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 Residential 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 our entire Residential Whole-Loan portfolio . Residential Whole-Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Residential Whole-Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluate 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 we 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 we have 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. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount . Commencing with purchases on October 25, 2017, the Company decided to elected the fair value option pursuant to ASC 825 to be consistent with the accounting of its other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. 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. The Company evaluates each of its Residential Bridge Loans that it did not elect the fair value option on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral, since these loans are collateral dependent. Upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. The Company will not record an allowance for loan loss for the Residential Bridge Loans that it has elected the fair value option. 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 it is 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, 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 and Residential Bridge Loans Interest income on the Company's residential loan portfolio is recorded in accordance with ASC 835 using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount 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 or 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 Statements 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 "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. However, commencing in 2017, daily variation margin on only the Company's centrally cleared derivatives will be treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. 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 as part of its hedging strategy, we may enter into, but not limited to, interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and foreign current swaps and forwards 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. The Company does not necessarily seek to hedge all such risks. In addition, 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/receipts (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 January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties", but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net". Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its 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 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 have 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 all the criteria for 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 is 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 Consolidate

Fair Value of Financial Instrum

Fair Value of Financial Instruments	12 Months Ended
	Dec. 31, 2017
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, 2017 and December 31, 2016 , based upon the valuation hierarchy (dollars in thousands): December 31, 2017 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 53,783 $ — $ 53,783 30-Year mortgage — 241,642 — 241,642 40-Year mortgage — 376,752 — 376,752 Agency RMBS Interest-Only Strips — 15,437 — 15,437 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 10,419 — 10,419 Agency CMBS — 2,137,583 17,217 2,154,800 Agency CMBS Interest-Only Strips — 10 — 10 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 5,757 — 5,757 Subtotal Agency MBS — 2,841,383 17,217 2,858,600 Non-Agency RMBS — 90,819 13 90,832 Non-Agency RMBS Interest-Only Strips — — 8,722 8,722 Non-Agency CMBS — 278,604 — 278,604 Subtotal Non-Agency MBS — 369,423 8,735 378,158 Other securities — 112,826 9,239 122,065 Total mortgage-backed securities and other securities — 3,323,632 35,191 3,358,823 Residential Whole-Loans — — 237,423 237,423 Residential Bridge Loans — — 64,526 64,526 Securitized commercial loan — — 24,876 24,876 Derivative assets 728 — — 728 Total Assets $ 728 $ 3,323,632 $ 362,016 $ 3,686,376 Liabilities Derivative liabilities $ 50 $ 4,296 $ — $ 4,346 Securitized debt — — 10,945 10,945 Total Liabilities $ 50 $ 4,296 $ 10,945 $ 15,291 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 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 the Company considers the amount of available observable market data for each security. Agency RMBS, given the amount of available observable market data, are 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 and Residential Bridge Loans Values for the Company's Residential Whole-Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in 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 of the fair value of the securitized commercial loan or the securitized debt. 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. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the years ended December 31, 2017 and December 31, 2016 . 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, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Residential Bridge Loans Securitized Commercial Loan Securitized Debt Derivative Liability Beginning balance $ 73,059 $ 75,576 $ 31,356 $ 192,136 $ — $ 24,225 $ 10,659 $ 1,673 Transfers into Level III from Level II — — 9,470 — — — — — Transfers from Level III into Level II (73,714 ) (7,433 ) (33,080 ) — — — — — Purchases 17,217 8,937 — 86,921 63,969 — — — Sales and settlements — (60,132 ) — — — — — 552 Principal repayments — (378 ) (425 ) (41,312 ) — (154 ) (68 ) — Total net gains/losses included in net income Realized gains/(losses), net — 2,623 — — — — — (552 ) Other than temporary impairment — — (1,823 ) — — — — — Unrealized gains/(losses), net on assets (1) 635 (9,415 ) 1,522 724 571 805 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 354 (1,673 ) Premium and discount amortization, net 20 (1,043 ) 2,219 (1,046 ) (14 ) — — — Ending balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ 24,876 $ 10,945 $ — (1) For Agency MBS, Non-Agency MBS, other securities, Residential Whole-Loans, Residential Bridge Loans and Securitized commercial loan classified as Level III at December 31, 2017 , the Company recorded gross unrealized gains of approximately $0 , $0 , $43 thousand , $1.8 million , $655 thousand and $805 thousand and gross unrealized losses of approximately $0 , $16 thousand , $0 , $400 thousand , $84 thousand and $0 , 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, 2017 , the Company recorded gross unrealized gains of $0 and $0 and gross unrealized losses of $354 thousand and $0 , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Year ended December 31, 2016 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 24,690 $ 369,650 $ 71,996 $ 218,538 $ 25,000 $ 11,000 $ — Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II (16,730 ) (198,078 ) (6,079 ) — — — — Purchases 72,642 94 — 28,226 — — — Sales and settlements (6,776 ) (49,560 ) (32,226 ) — — — (38 ) Principal repayments (141 ) (15,508 ) (2,049 ) (52,573 ) — — — Total net gains / (losses) included in net income Realized gains/(losses), net (56 ) (9,345 ) 45 — — — 38 Other than temporary impairment — (3,436 ) (3,301 ) — — — — Unrealized gains/(losses), net on assets (1) (570 ) (4,889 ) (86 ) (42 ) (775 ) — — Unrealized (gains)/losses, net on liabilities (2) — — — — — (341 ) 1,673 Premium and discount amortization, net — (13,352 ) 3,056 (2,013 ) — — — Ending balance $ 73,059 $ 75,576 $ 31,356 $ 192,136 $ 24,225 $ 10,659 $ 1,673 (1) For Agency MBS, Non-Agency MBS, 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 $417 thousand , $492 thousand , $420 thousand , $1.2 million and $0 and gross unrealized losses of approximately $0 , $6.8 million , $823 thousand , $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. Transfers between hierarchy levels during operations for the years ended December 31, 2017 and December 31, 2016 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, 2017 and December 31, 2016 . Other Fair Value Disclosures Certain Residential Bridge Loans, repurchase agreement borrowings and convertible senior unsecured notes are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2017 , in the consolidated financial statements (dollars in thousands): Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 42,147 $ 42,881 Total $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 108,743 114,819 Total $ 3,360,429 $ 3,372,775 "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. Residential Bridge Loans The fair values of the Residential Bridge 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 bridge 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. Borrowings under repurchase agreements The fair values of the borrowings under repurchase agreements are 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. This fair value measurement is based on observable inputs, and as such, are classified as Level II. Convertible senior unsecured notes The fair value of the convertible senior unsecured notes are based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I.

Mortgage-Backed Securities and

Mortgage-Backed Securities and other securities	12 Months Ended
	Dec. 31, 2017
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 $ — $ 53,783 $ — $ — $ 53,783 30-Year mortgage — 2,445 239,197 — 241,642 40-Year mortgage — — — 376,752 376,752 Agency RMBS Interest-Only Strips 3,920 4,591 6,926 — 15,437 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,686 5,139 3,594 — 10,419 Agency CMBS 1,599,620 555,180 — — 2,154,800 Agency CMBS Interest-Only Strips 10 — — — 10 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 5,757 — 5,757 Subtotal Agency 1,605,236 621,138 249,717 382,509 2,858,600 Non-Agency RMBS 13 51,092 4,184 35,543 90,832 Non-Agency RMBS Interest-Only Strips — — — 8,722 8,722 Non-Agency CMBS — 60,583 139,209 78,812 278,604 Subtotal Non-Agency 13 111,675 143,393 123,077 378,158 Other securities — 99,062 — 23,003 122,065 Total $ 1,605,249 $ 831,875 $ 393,110 $ 528,589 $ 3,358,823 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 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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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 $ 3,000 $ (12 ) 3 $ — $ — — $ 3,000 $ (12 ) 3 30-Year mortgage 44,072 (291 ) 7 1,632 (135 ) 5 45,704 (426 ) 12 40-Year mortgage 283,187 (1,876 ) 1 — — — 283,187 (1,876 ) 1 Agency RMBS Interest-Only Strips 3,095 (142 ) 6 1,703 (49 ) 3 4,798 (191 ) 9 Agency CMBS 955,559 (9,394 ) 57 — — — 955,559 (9,394 ) 57 Subtotal Agency 1,288,913 (11,715 ) 74 3,335 (184 ) 8 1,292,248 (11,899 ) 82 Non-Agency RMBS 28,508 (161 ) 3 — — — 28,508 (161 ) 3 Non-Agency RMBS Interest-Only Strips 8,722 (16 ) 3 — — — 8,722 (16 ) 3 Non-Agency CMBS 69,661 (1,753 ) 15 119,729 (13,379 ) 35 189,390 (15,132 ) 50 Subtotal Non-Agency 106,891 (1,930 ) 21 119,729 (13,379 ) 35 226,620 (15,309 ) 56 Other securities 23,800 (187 ) 3 — — — 23,800 (187 ) 3 Total $ 1,419,604 $ (13,832 ) 98 $ 123,064 $ (13,563 ) 43 $ 1,542,668 $ (27,395 ) 141 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 At December 31, 2017 , the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity. Generally, the Company records OTTI when the credit quality of the underlying collateral deteriorates, and or the scheduled 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 or the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities" The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 Agency RMBS $ 5,774 $ 6,090 $ 4,005 Non-Agency RMBS — 9,511 9,216 Non-Agency CMBS 15,117 13,025 4,061 Other securities 1,982 3,660 2,509 Total $ 22,873 $ 32,286 $ 19,791 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, 2017 , December 31, 2016 and December 31, 2015 , respectively: For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 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 $ 38,108 $ (13,058 ) $ 25,050 $ 70,467 $ (24,836 ) $ 45,631 $ 119,789 $ (48,119 ) $ 71,670 Agency CMBS 40,064 507 40,571 2,619 (1,701 ) 918 3,600 (2,102 ) 1,498 Non-Agency RMBS 5,602 525 6,127 35,221 (5,243 ) 29,978 44,473 (8,008 ) 36,465 Non-Agency CMBS 19,179 8,276 27,455 24,893 7,431 32,324 26,562 3,687 30,249 Other securities 8,280 1,559 9,839 2,537 2,977 5,514 6,363 2,648 9,011 Total $ 111,233 $ (2,191 ) $ 109,042 $ 135,737 $ (21,372 ) $ 114,365 $ 200,787 $ (51,894 ) $ 148,893 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2017 , December 31, 2016 and December 31, 2015 , respectively: For the year ended December 31, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,251,985 $ 5,020 $ (7,936 ) $ (2,916 ) Non-Agency RMBS (2) 243,838 24,356 (2,241 ) 22,115 Non-Agency CMBS 54,875 2,543 (1,803 ) 740 Other securities 38,447 713 (54 ) 659 Total $ 1,589,145 $ 32,632 $ (12,034 ) $ 20,598 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million , gross realized gains of $432 thousand and gross realized losses of $0 . (2) Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million , gross realized gains of $274 thousand and gross realized losses of $180 thousand . 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 approximately $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) $ 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 $31 thousand ." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company's investment portfolio at December 31, 2017 and December 31, 2016 (dollars in thousands). December 31, 2017 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 $ 50,825 $ 2,378 $ — $ 53,203 $ 592 $ (12 ) $ 53,783 4.0 % 30-Year mortgage 224,041 15,710 — 239,751 2,317 (426 ) 241,642 4.4 % 40-Year mortgage 366,178 10,788 376,966 1,662 (1,876 ) 376,752 3.5 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 14,750 878 (191 ) 15,437 2.9 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 10,419 2.9 % (2) Agency CMBS 2,145,139 2,142 — 2,147,281 16,913 (9,394 ) 2,154,800 2.9 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A — 10 — 10 3.2 % (2) Agency CMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 5,757 0.5 % (2) Subtotal Agency MBS 2,786,183 31,018 — 2,831,951 22,372 (11,899 ) 2,858,600 3.0 % Non-Agency RMBS 119,748 5,263 (39,491 ) 85,520 5,473 (161 ) 90,832 3.8 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 8,738 — (16 ) 8,722 0.9 % (2) Non-Agency CMBS 379,183 (59,129 ) (28,020 ) 292,034 1,702 (15,132 ) 278,604 4.8 % Subtotal Non-Agency MBS 498,931 (53,866 ) (67,511 ) 386,292 7,175 (15,309 ) 378,158 3.3 % Other securities (4) 86,305 6,300 (5,404 ) 110,091 12,161 (187 ) 122,065 7.8 % Total $ 3,371,419 $ (16,548 ) $ (72,915 ) $ 3,328,334 $ 41,708 $ (27,395 ) $ 3,358,823 3.1 % 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 % (1) Net weighted average coupon as of December 31, 2017 and December 31, 2016 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, 2017 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, 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 $165.5 million , $278.4 million , $122.0 million , $192.5 million and $3.3 million , respectively. 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. (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 $22.9 million and $23.1 million , as of December 31, 2017 and December 31, 2016 , respectively. As of December 31, 2017 and December 31, 2016 , the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.6 years and 7.1 years , respectively. The following table presents 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, 2017 , December 31, 2016 and December 31, 2015 (dollars in thousands): Year ended December 31, 2017 Year ended December 31, 2016 Year ended December 31, 2015 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 $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 $ (182,007 ) $ (105,804 ) $ 82,228 Securities previously accounted for as linked transactions (2) — — — — — — (2,320 ) (1,393 ) 4,587 Accretion of discount — 10,715 — — 17,431 — — 18,465 — Amortization of premium — — (843 ) — — (5,470 ) — — (9,025 ) Realized credit losses 2,391 — — 7,697 — — 9,534 — — Purchases (19,385 ) (1,205 ) 7,259 (15,792 ) (2,945 ) 5,266 (38,634 ) (96,380 ) 18,544 Sales 89,628 33,166 (31,118 ) 39,117 35,605 (12,156 ) 60,747 44,232 (30,054 ) Net impairment losses recognized in earnings (15,310 ) — — (22,413 ) — — (14,839 ) — — Transfers/release of credit reserve (3) 245 (1,292 ) 1,047 13,657 (14,381 ) 724 14,769 (4,652 ) (10,117 ) Ending balance $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 (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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 < 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 $ — $ 53,783 $ — $ — $ 53,783 30-Year mortgage — 2,445 239,197 — 241,642 40-Year mortgage — — — 376,752 376,752 Agency RMBS Interest-Only Strips 3,920 4,591 6,926 — 15,437 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,686 5,139 3,594 — 10,419 Agency CMBS 1,599,620 555,180 — — 2,154,800 Agency CMBS Interest-Only Strips 10 — — — 10 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 5,757 — 5,757 Subtotal Agency 1,605,236 621,138 249,717 382,509 2,858,600 Non-Agency RMBS 13 51,092 4,184 35,543 90,832 Non-Agency RMBS Interest-Only Strips — — — 8,722 8,722 Non-Agency CMBS — 60,583 139,209 78,812 278,604 Subtotal Non-Agency 13 111,675 143,393 123,077 378,158 Other securities — 99,062 — 23,003 122,065 Total $ 1,605,249 $ 831,875 $ 393,110 $ 528,589 $ 3,358,823 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 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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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 $ 3,000 $ (12 ) 3 $ — $ — — $ 3,000 $ (12 ) 3 30-Year mortgage 44,072 (291 ) 7 1,632 (135 ) 5 45,704 (426 ) 12 40-Year mortgage 283,187 (1,876 ) 1 — — — 283,187 (1,876 ) 1 Agency RMBS Interest-Only Strips 3,095 (142 ) 6 1,703 (49 ) 3 4,798 (191 ) 9 Agency CMBS 955,559 (9,394 ) 57 — — — 955,559 (9,394 ) 57 Subtotal Agency 1,288,913 (11,715 ) 74 3,335 (184 ) 8 1,292,248 (11,899 ) 82 Non-Agency RMBS 28,508 (161 ) 3 — — — 28,508 (161 ) 3 Non-Agency RMBS Interest-Only Strips 8,722 (16 ) 3 — — — 8,722 (16 ) 3 Non-Agency CMBS 69,661 (1,753 ) 15 119,729 (13,379 ) 35 189,390 (15,132 ) 50 Subtotal Non-Agency 106,891 (1,930 ) 21 119,729 (13,379 ) 35 226,620 (15,309 ) 56 Other securities 23,800 (187 ) 3 — — — 23,800 (187 ) 3 Total $ 1,419,604 $ (13,832 ) 98 $ 123,064 $ (13,563 ) 43 $ 1,542,668 $ (27,395 ) 141 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 At December 31, 2017 , the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity. Generally, the Company records OTTI when the credit quality of the underlying collateral deteriorates, and or the scheduled 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 or the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities" The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 Agency RMBS $ 5,774 $ 6,090 $ 4,005 Non-Agency RMBS — 9,511 9,216 Non-Agency CMBS 15,117 13,025 4,061 Other securities 1,982 3,660 2,509 Total $ 22,873 $ 32,286 $ 19,791 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, 2017 , December 31, 2016 and December 31, 2015 , respectively: For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 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 $ 38,108 $ (13,058 ) $ 25,050 $ 70,467 $ (24,836 ) $ 45,631 $ 119,789 $ (48,119 ) $ 71,670 Agency CMBS 40,064 507 40,571 2,619 (1,701 ) 918 3,600 (2,102 ) 1,498 Non-Agency RMBS 5,602 525 6,127 35,221 (5,243 ) 29,978 44,473 (8,008 ) 36,465 Non-Agency CMBS 19,179 8,276 27,455 24,893 7,431 32,324 26,562 3,687 30,249 Other securities 8,280 1,559 9,839 2,537 2,977 5,514 6,363 2,648 9,011 Total $ 111,233 $ (2,191 ) $ 109,042 $ 135,737 $ (21,372 ) $ 114,365 $ 200,787 $ (51,894 ) $ 148,893 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2017 , December 31, 2016 and December 31, 2015 , respectively: For the year ended December 31, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,251,985 $ 5,020 $ (7,936 ) $ (2,916 ) Non-Agency RMBS (2) 243,838 24,356 (2,241 ) 22,115 Non-Agency CMBS 54,875 2,543 (1,803 ) 740 Other securities 38,447 713 (54 ) 659 Total $ 1,589,145 $ 32,632 $ (12,034 ) $ 20,598 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million , gross realized gains of $432 thousand and gross realized losses of $0 . (2) Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million , gross realized gains of $274 thousand and gross realized losses of $180 thousand . 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 approximately $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) $ 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 $31 thousand .

Variable Interest Entities

Variable Interest Entities	12 Months Ended
	Dec. 31, 2017
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 to the extent of its ownership interest 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 entire beneficial interest in pools of Residential Whole-Loans held by the trust. As of December 31, 2017 and 2016 , the Company financed the trust certificate with $189.3 million and $154.4 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. Residential Bridge Loan Trust In February 2017, Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI Trust") issued a trust certificate to the Company, which represents the beneficial interest in pools of Residential Bridge Loans held by the trust. Residential Bridge Loans are mortgage loans secured by non owner occupied residences, typically short-term. The Company determined that RMI 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 to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2017 , the Company financed the trust certificate with $100.2 million of repurchase borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" in the Consolidated Balance Sheets. The Company 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 $13.9 million at December 31, 2017 . 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 to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. The CMSC Trust holds a $24.8 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.8 million of trust certificates issued. As of December 31, 2017 , the Company classified the mezzanine loan at fair value in "Securitized commercial loan, at fair value" in the Consolidated Balance Sheets. The $24.8 million of trust certificates, of which $13.9 million was eliminated in consolidation and the remaining $10.9 million held by an affiliate is carried at fair value of $10.9 million and classified as "Securitized debt, at fair value" in the Consolidated Balance Sheets. As of December 31, 2017 and December 31, 2016 , the aggregate fair value of the securitized debt issued by the consolidated VIE was $10.9 million and $10.7 million 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 each of the years ended December 31, 2017 and December 31, 2016 . Consolidated Loan Trusts 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 three consolidated trusts hold 616 Residential Whole-Loans, 340 Residential Bridge Loans and one commercial loan as of December 31, 2017 . The following table presents a summary of the assets and liabilities of the consolidated loan trusts included in the Consolidated Balance Sheets as of December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 Residential Whole-Loans, at fair value $ 237,423 $ 192,136 Residential Bridge Loans (1) 106,673 — Securitized commercial loan, at fair value 24,876 24,225 Investment related receivable 7,665 1,241 Accrued interest receivable 3,358 1,622 Total assets $ 379,995 $ 219,224 Securitized debt, at fair value $ 10,945 $ 10,659 Accrued interest payable 70 85 Accounts payable and accrued expenses 189 2 Total liabilities $ 11,204 $ 10,746 (1) Includes both Residential bridge loans for $64.5 million which are carried at fair value and 42.1 million which are carried at amortized cost. 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, Residential Bridge 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, 2017 and December 31, 2016 . The Company did not deconsolidate any trusts during the years ended December 31, 2017 and December 31, 2016 . The following table presents the components of the carrying value of Residential Whole-Loans, Residential Bridge Loans and securitized commercial loan as of December 31, 2017 and December 31, 2016 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) Securitized Commercial Loan, at Fair Value December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016 Principal balance $ 232,270 $ 187,765 $ 63,802 $ — $ 42,066 $ — $ 24,846 $ 25,000 Unamortized premium 2,021 1,311 293 — 122 — — — Unamortized discount (1,190 ) (539 ) (128 ) — (41 ) — — — Amortized cost 233,101 188,537 63,967 — 42,147 — 24,846 25,000 Gross unrealized gains 4,463 3,643 655 — N/A N/A 30 — Gross unrealized losses (141 ) (44 ) (96 ) — N/A N/A — (775 ) Fair value $ 237,423 $ 192,136 $ 64,526 $ — N/A N/A $ 24,876 $ 24,225 (1) These loans are classified in Residential Bridge Loans in the consolidated balance sheets Residential Whole-Loans 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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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% 142 $ 55,593 55.5 % 751 1.7 29.1 3.9 % 4.01 - 5.00% 338 125,860 56.9 % 725 1.4 26.5 4.5 % 5.01 - 6.00% 132 48,553 58.2 % 728 1.6 27.0 5.2 % 6.01 - 7.00% 4 2,264 71.1 % 758 1.3 20.5 6.3 % Total 616 $ 232,270 57.0 % 734 1.5 27.1 4.5 % (1) The original FICO score is not available for 141 loans with a principal balance of approximately $56.5 million at December 31, 2017 . The Company has excluded these loans from the weighted average computations. 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. The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole-Loans at December 31, 2017 and December 31, 2016 , based on principal balance, is located (dollars in thousands): December 31, 2017 December 31, 2016 State Concentration Principal Balance State Principal California 62.2 % $ 144,321 California 85.2 % $ 159,955 New York 24.4 % 56,631 Washington 5.6 % 10,591 Georgia 4.3 % 10,061 Massachusetts 5.4 % 10,161 Washington 4.0 % 9,244 New York 2.4 % 4,454 Massachusetts 3.9 % 9,114 Georgia 0.8 % 1,492 Other 1.2 % 2,899 Other 0.6 % 1,112 Total 100.0 % $ 232,270 Total 100.0 % $ 187,765 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85% . The following table presents certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2017 (dollars in thousands): December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 5.01 - 6.00% 9 $ 4,016 64.5 % 10.8 5.9 % 6.01 - 7.00% 64 18,420 67.8 % 10.6 6.7 % 7.01 – 8.00% 98 25,608 66.4 % 9.5 7.6 % 8.01 – 9.00% 56 19,728 70.3 % 11.9 8.9 % 9.01 – 10.00% 67 25,001 73.3 % 6.8 9.7 % 10.01 – 11.00% 36 10,656 75.4 % 5.0 10.8 % 11.01 - 12.00% 2 919 89.8 % 8.2 11.4 % 17.01 – 18.00% 8 1,520 73.8 % 5.9 18.0 % Total 340 $ 105,868 70.1 % 9.0 8.6 % The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2017 State Concentration Principal Balance California 48.2 % $ 51,080 Florida 13.4 % 14,199 Washington 6.3 % 6,645 New York 4.4 % 4,703 Texas 4.4 % 4,660 Other 23.3 % 24,581 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole Loans As of December 31, 2017 , there was one Residential Whole-Loan over 90-days past due with a current unpaid principal balance of $579 thousand and a fair value of $570 thousand . This non-performing loan represents approximately 0.2% of the total outstanding principal balance. No allowance and provision for credit losses was recorded for this loan as of and for the year ended December 31, 2017 , since the Company elected the fair value option. The Company stopped accruing interest income for this loan when it became contractually 90 days delinquent. Residential Bridge Loans As of December 31, 2017 , there were 9 Residential Bridge Loans, which are carried at amortized cost, over 90-days past due with an unpaid principal balance of approximately $1.8 million . These nonperforming loans represent approximately 1.7% of the total outstanding principal balance, respectively. These loans are collateral dependent with a weighted average original LTV of 74% . No allowance and provision for credit losses was recorded for these loans as of and for the year ended December 31, 2017 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. 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, 2017 and December 31, 2016 , the Company had three investments in VIEs in which it was not the primary beneficiary, and accordingly, the VIEs were not consolidated in the Company’s consolidated financial statements. As of December 31, 2017 and December 31, 2016 , the Company’s maximum exposure to loss from these investments did not exceed the sum of the $62.1 million and $60.5 million carrying value of the investments, respectively, which are classified in "Mortgage-backed securities and other securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of December 31, 2017 and 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

Borrowings	12 Months Ended
	Dec. 31, 2017
Debt Disclosure [Abstract]
Borrowings	Borrowings Repurchase agreements The Company primarily finances its investment acquisitions with repurchase agreements. 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. Under the terms of the repurchase agreements the Company may rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement as incremental collateral in order to increase the Company’s cash position. At December 31, 2017 and December 31, 2016 , the Company did not have any rehypothecated U.S. Treasury securities. 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. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of December 31, 2017 . As of December 31, 2017 , the Company had master repurchase agreements with 28 counterparties. As of December 31, 2017 , the Company had borrowings under repurchase agreements with 16 counterparties. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 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 $ 665,919 1.62 % 61 $ 1,427,674 0.96 % 38 Agency CMBS 2,035,222 1.53 % 53 56,365 1.07 % 46 Non-Agency RMBS 46,530 2.76 % 41 218,712 2.53 % 28 Non-Agency CMBS 154,325 2.98 % 40 255,656 2.55 % 30 Whole-loans (1)(2) 189,270 3.66 % 8 161,181 2.91 % 9 Residential Bridge Loans (1) 100,183 4.05 % 59 — — % 0 Other securities 60,237 2.94 % 23 36,056 2.32 % 17 Repurchase agreements borrowings 3,251,686 1.86 % 51 2,155,644 1.48 % 34 Less unamortized debt issuance cost — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 3,251,686 1.86 % 51 $ 2,155,644 1.48 % 34 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. (2) Whole-loans consist of Residential Whole-Loans and securitized commercial loan. For the years ended December 31, 2017 and December 31, 2016 , the Company had average borrowings under its repurchase agreements of approximately $2.7 billion and $2.5 billion , respectively, and had a maximum month-end balance during the periods of approximately $3.3 billion and $3.1 billion , respectively. The Company had accrued interest payable at December 31, 2017 and December 31, 2016 of approximately $6.3 million and $3.2 million , respectively. At December 31, 2017 and December 31, 2016 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2017 December 31, 2016 Overnight $ — $ — 1 to 29 days 1,387,599 1,386,971 30 to 59 days 665,656 167,642 60 to 89 days 871,819 601,031 90 to 119 days — — Greater than or equal to 120 days 326,612 — Total $ 3,251,686 $ 2,155,644 At December 31, 2017 , 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, 2017 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders' Equity UBS AG, London Branch $ 65,532 22 14.1 % Credit Suisse AG, Cayman Islands Branch 49,455 8 10.6 % 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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 690,255 $ 2,601 $ 692,856 $ 1,465,384 $ 5,335 $ 1,470,719 Agency CMBS, at fair value 2,143,340 5,454 2,148,794 61,200 353 61,553 Non-Agency RMBS, at fair value 58,127 160 58,287 308,165 682 308,847 Non-Agency CMBS, at fair value 208,062 1,100 209,162 358,919 1,845 360,764 Whole-loans, at fair value (1)(2) 237,423 1,754 239,177 205,702 1,518 207,220 Residential Bridge Loans (1) 106,673 1,443 108,116 — — — Other securities, at fair value 89,823 105 89,928 67,762 57 67,819 Cash (3) 23,591 — 23,591 36,986 — 36,986 Total $ 3,557,294 $ 12,617 $ 3,569,911 $ 2,504,118 $ 9,790 $ 2,513,908 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Whole-loans consist of Residential Whole-Loans and securitized commercial loan. (3) 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, 2017 and December 31, 2016 , investments held by counterparties as security for repurchase agreements totaled approximately $3.5 billion and approximately $2.5 billion , respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2017 and December 31, 2016 was approximately $23.6 million and $37.0 million , respectively. Cash posted by repurchase agreement counterparties at December 31, 2017 and December 31, 2016 , was approximately $1.5 million and $270 thousand , respectively. In addition, at December 31, 2017 and December 31, 2016 , the Company held securities with a fair value of $306 thousand and $357 thousand , 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. Convertible Senior Unsecured Notes In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes, which included the underwriter’s option to purchase $15.0 million aggregate principal amount of the notes for net proceeds of $111.1 million . The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity. The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock.

Derivative Instruments

Derivative Instruments	12 Months Ended
	Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments The Company's derivatives may include interest rate swaps, options, futures contracts, currency swaps and forwards, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps. The following table summarizes the Company's derivative instruments at December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 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, asset Non-Hedge Derivative assets, at fair value $ — $ — $ — $ 2,298,300 $ 20,466 $ 1,145 Options, asset Non-Hedge Derivative assets, at fair value 320,000 100 — — — — Futures contracts, asset Non-Hedge Derivative assets, at fair value 480,000 628 — 56,900 71 — Foreign currency forward contracts, asset Non-Hedge Derivative assets, at fair value — — — 784 34 — Total derivative instruments, assets 728 — 20,571 1,145 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 3,252,200 (4,191 ) — 5,046,300 (177,929 ) 3,054 Options, liability Non-Hedge Derivative liability, at fair value 320,000 (50 ) — — — — 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 ) — Foreign currency forward contracts, liability Non-Hedge Derivative liability, at fair value — — — 1,532 (69 ) — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 14,815 (95 ) — — — — TBA securities, liability Non-Hedge Derivative liability, at fair value 125,000 (10 ) — — — — Total derivative instruments, liabilities (4,346 ) — (182,158 ) 2,960 Total derivative instruments, net $ (3,618 ) $ — $ (161,587 ) $ 4,105 (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, 2017 , December 31, 2016 and December 31, 2015 (dollars in thousands): Realized Gain (Loss), net Period End Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-market adjustments Contractual interest income (expense), net (1) Total Year ended December 31, 2017 Interest rate swaps $ (150,607 ) $ 20,258 $ 524 $ 148,947 $ (14,606 ) $ 4,516 Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips—accounted for as derivatives 526 — (5,995 ) (902 ) 7,438 1,067 Options (1,453 ) — — (300 ) — (1,753 ) Futures contracts (9,130 ) — — 3,044 — (6,086 ) Foreign currency forwards 32 — — 35 — 67 Total return swap (552 ) — — 1,673 469 1,590 Credit default swaps (11 ) — — (22 ) — (33 ) TBAs 4,049 — — (10 ) — 4,039 Total $ (157,261 ) $ 20,258 $ (5,471 ) $ 152,465 $ (6,699 ) $ 3,292 Year ended December 31, 2016 Interest rate swaps $ (33,999 ) $ — $ 672 $ 11,013 $ (27,903 ) $ (50,217 ) Interest rate swaptions (1,035 ) — — 1,631 — 596 Interest-Only Strips—accounted for as derivatives 1,317 — (11,438 ) (4,726 ) 14,148 (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 — — (7,168 ) 283 (114 ) Total return swap 38 — — (1,673 ) 1,121 (514 ) TBAs 6,126 — — (2,375 ) — 3,751 Total $ 7,517 $ — $ (10,766 ) $ (5,135 ) $ (12,351 ) $ (20,735 ) Year ended December 31, 2015 Interest rate swaps $ 23,680 $ — $ 1,250 $ (68,843 ) $ (20,366 ) $ (64,279 ) Interest rate swaptions (5,242 ) — — (1,486 ) — (6,728 ) Interest-Only Strips—accounted for as derivatives 595 — (17,265 ) (4,283 ) 21,872 919 Options (711 ) — — — — (711 ) Futures contracts (527 ) — — 105 — (422 ) Foreign currency forwards (901 ) — — 323 — (578 ) Foreign currency swaps — — — 3,311 795 4,106 TBAs 1,524 — — (2,726 ) — (1,202 ) Total $ 18,418 $ — $ (16,015 ) $ (73,599 ) $ 2,301 $ (68,895 ) (1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. At December 31, 2017 and December 31, 2016 , the Company had cash pledged as collateral for its derivatives of approximately $63.3 million and approximately $206.6 million respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Effective in January 2017, variation margin of CME cleared derivatives are treated as settlements of the derivative contract as opposed to cash collateral. The December 31, 2017 cash collateral balance of $63.3 million represents upfront cash collateral upon the Company entering into the derivative transaction and cash collateral for derivatives not cleared through the CME. As a result of the change in the CME rules, the $157.9 million of previously posted cash collateral is now recorded as a reduction in the derivative liability. The Company also held cash collateral against derivatives of $0 and approximately $470 thousand at December 31, 2017 and December 31, 2016 , 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 In April 2017, we restructured our hedge positions, effectively terminating fix-pay interest rate swaps with a notional value of approximately $3.2 billion and variable-pay interest rate swaps with a notional value of approximately $2.0 billion to effectively hedge our debt and reduce swap related interest expense. The following tables summarize the average fixed pay rate, average floating receive rate and average maturity for the Company's interest rate swaps as of December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) Greater than 1 year and less than 3 years $ 600,000 1.6 % 1.5 % 1.8 — % Greater than 3 years and less than 5 years 960,000 2.0 % 1.4 % 4.3 — % Greater than 5 years 1,692,200 2.5 % 1.4 % 10.5 90.2 % Total $ 3,252,200 2.2 % 1.4 % 7.1 46.9 % (1) Represents the percentage of notional that is forward starting December 31, 2016 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 105,900 0.8 % 0.8 % 0.8 — % Greater than 1 year and less than 3 years 993,000 1.2 % 0.9 % 1.4 88.1 % Greater than 3 years and less than 5 years 1,861,700 1.9 % 0.9 % 3.9 36.5 % Greater than 5 years 1,701,600 3.1 % 0.9 % 10.5 6.5 % Total $ 4,662,200 2.1 % 0.9 % 5.7 35.7 % (1) Represents the percentage of notional that is forward starting As of December 31, 2017 and December 31, 2016 , the Company has entered into fixed pay forward starting swaps of approximately $1.5 billion and $1.7 billion respectively, which have weighted average forward starting dates of 4 months and 4.5 months, respectively. There were no variable pay-rate interest rate swaps as of December 31, 2017 . The following table summarizes the average variable pay rate, average fixed pay receive rate and average maturity for the Company's interest rate swaps as of December 31, 2016 (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 Fixed Received Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,811,400 $ (24,112 ) 0.9 % 1.4 % 3.7 — % Greater than 5 years 871,000 (18,749 ) 0.9 % 2.2 % 12.3 — Total $ 2,682,400 $ (42,861 ) 0.9 % 1.7 % 6.5 — % Options The Company may enter into options on U.S. Treasuries. As of December 31, 2017 , the Company had long position options on U.S. Treasuries with a notional amount of $320.0 million and a fair value in an asset position of $100 thousand and short position options on U.S. Treasuries with a notional amount of $320.0 million and a fair value in a liability position of $50 thousand . As of December 31, 2016, the Company had no option contracts on U.S. Treasuries. Futures Contracts The Company may enter into Eurodollar, Volatility Index and U.S. Treasury futures. As of December 31, 2017 , the Company had entered into contracts to sell or short positions for U.S. Treasuries with a notional amount of $480.0 million , a fair value in an asset position of $628 thousand and an expiration date of March 2018 . 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 . 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 Company had no foreign currency swaps at December 31, 2017 . The following is a summary of the Company's foreign currency forwards at December 31, 2016 (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 $ 1,532 n/a $ (69 ) Total currency forwards € 2,093 $ 2,316 n/a $ (35 ) To-be-announced securities The Company purchased or sold TBAs during the years ended December 31, 2017 and 2016 . 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, 2017 , reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2017 Notional Amount Fair Value Purchase contracts, liability $ 125,000 $ (10 ) TBA securities, liability 125,000 (10 ) TBA securities, net $ 125,000 $ (10 ) The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2017 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2016 Additions Expiration or Exercise December 31, 2017 Purchase of TBAs $ — $ 5,843,200 $ (5,718,200 ) $ 125,000 Sale of TBAs $ — $ 5,718,200 $ (5,718,200 ) $ — 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 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. In 2017, the Company terminated its position realizing a loss of approximately $569 thousand , which is reported in "Gain (loss) on derivative instruments, net" for the year ended December 31, 2017 . The Company had no total return swaps at December 31, 2017 . Credit Default Swaps In 2017, the Company entered into credit default swaps and, in the future, may continue to enter into these type of credit derivatives. As of December 31, 2017 , the Company had entered into credit default swaps with a notional amount of approximately $14.8 million , a fair value in a liability position of $95 thousand and a maturity date of May 2063 . Under these instruments, the Company makes a monthly premium payment over the term of the contract in exchange for the counterparty making a payment to the Company for losses of the reference securities, upon the occurrence of a specified credit event.

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	12 Months Ended
	Dec. 31, 2017
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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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 $ 16,176 $ — $ 16,176 $ (11,633 ) $ — $ 4,543 Derivative asset, at fair value (2) 728 — 728 (50 ) — 678 Total derivative assets $ 16,904 $ — $ 16,904 $ (11,683 ) $ — $ 5,221 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 4,346 $ — $ 4,346 $ (50 ) $ (4,270 ) $ 26 Repurchase Agreements (4) 3,251,686 — 3,251,686 (3,251,686 ) — — Total derivative liability $ 3,256,032 $ — $ 3,256,032 $ (3,251,736 ) $ (4,270 ) $ 26 (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 $63.3 million as of December 31, 2017 . (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.5 billion as of December 31, 2017 . 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 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 . 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, 2017
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 or losses on our investments and derivatives and other non-cash items, (including OTTI charges prior to January 1, 2016) 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, 2019 . 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, 2017 , December 31, 2016 and December 31, 2015 the Company incurred $8.1 million , $10.4 million and $10.9 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, 2017 , December 31, 2016 and December 31, 2015 , the Company recorded expenses included in general and administrative expense totaling approximately $1.4 million , $740 thousand and $1.2 million , 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. At December 31, 2017 and December 31, 2016 , approximately $1.9 million and approximately $2.5 million , respectively, for management fees incurred but not yet paid was included in "Payable to affiliates" in the Consolidated Balance Sheets. In addition, at December 31, 2017 and December 31, 2016 , approximately $99 thousand and $83 thousand , respectively of reimbursable costs incurred but not yet paid was included in "Payable to affiliates" in the consolidated balance sheets. Securitized debt At December 31, 2017 and December 31, 2016 , the Company had securitized debt related to the consolidated VIEs, with a principal balance of $10.9 million and $11.0 million , respectively (and a fair value of $10.9 million and $10.7 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, 2017
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 follow-on offerings, the number of shares of common stock available for issuance under the Equity Incentive Plans increased to 1,237,711 . Approximately 725,449 of shares have been issued under the Equity Plans with 512,262 shares available for issuance as of December 31, 2017 . Under the Equity Plan, the Company made the following grants during the years ended December 31, 2017 and December 31, 2016 : On June 1, 2017, the Company granted a total of 15,536 ( 3,884 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 1, 2018, 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 (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 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 vested 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 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. During the years ended December 31, 2017 , December 31, 2016 and December 31, 2015 , 152,630 , 200,983 and 175,824 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 $981 thousand , approximately $1.7 million and approximately $2.3 million for the years ended December 31, 2017 , December 31, 2016 and December 31, 2015 , respectively. In addition, the Company had unamortized compensation expense of $66 thousand for equity awards and approximately $111 thousand for liability awards and $67 thousand for equity awards and approximately $895 thousand for liability awards at December 31, 2017 and December 31, 2016 , 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, 2017 and December 31, 2016 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2017 December 31, 2016 Vesting Date Shares Vesting Shares Vesting March 2017 — 133,334 June 2017 — 18,196 March 2018 66,667 66,667 June 2018 16,488 — 83,155 218,197 The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2017 and December 31, 2016 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2017 December 31, 2016 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 707,861 $ 17.17 688,394 $ 17.39 Granted (2) 17,588 10.30 19,467 9.40 Outstanding at end of period 725,449 $ 17.00 707,861 $ 17.17 Unvested at end of period 83,155 $ 14.07 218,197 $ 14.98 (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 2,052 shares and 2,335 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2017 and December 31, 2016 , respectively.

Stockholders' Equity

Stockholders' Equity	12 Months Ended
	Dec. 31, 2017
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, 2017 , 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. At-The-Market Program In April 2017, the Company entered into an equity distribution agreement with JMP Securities LLC under which the Company may offer and sell up to $100.0 million of common stock in an At-The-Market equity offering, We did not sell any shares under this agreement during 2017. Stock Repurchase Program On December 21, 2017, the Board of Directors of the Company reauthorized its repurchase program of up to 2,100,000 shares of its common stock through December 31, 2019. The previous reauthorization announced on February 25, 2016 of the Company's repurchase program of up to 2,050,000 shares of its common stock expired on 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 repurchased 125,722 shares of common stock pursuant to the authorization as of December 31, 2017 . The repurchased stock was not retired and will be accounted for as treasury stock. 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 2017 December 21, 2017 January 2, 2018 January 26, 2018 $ 0.31 Return of capital September 21, 2017 October 2, 2017 October 26, 2017 $ 0.31 Return of capital June 20, 2017 June 30, 2017 July 26, 2017 $ 0.31 Return of capital March 23, 2017 April 3, 2017 April 26, 2017 $ 0.31 Ordinary income 2015 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

Net Income (Loss) per Common Sh

Net Income (Loss) per Common Share	12 Months Ended
	Dec. 31, 2017
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, 2017 , December 31, 2016 and December 31, 2015 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ 85,097 $ (25,015 ) $ (9,484 ) Less: Dividends and undistributed earnings allocated to participating securities 312 377 1,045 Net income (loss) allocable to common stockholders—basic and diluted $ 84,785 $ (25,392 ) $ (10,529 ) Denominator : Weighted average common shares outstanding for basic earnings per share 41,817,455 41,688,950 41,490,556 Weighted average common shares outstanding for diluted earnings per share 41,817,455 41,688,950 41,490,556 Basic earnings per common share $ 2.03 $ (0.61 ) $ (0.25 ) Diluted earnings per common share $ 2.03 $ (0.61 ) $ (0.25 ) For the years ended December 31, 2017 , December 31, 2016 and December 31, 2015 , the Company excluded the effects of the warrants and the convertible senior unsecured notes 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 and the convertible senior unsecured notes.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2017
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, 2017 . The Company files U.S. federal and state income tax returns. As of December 31, 2017 , U.S. federal tax returns filed by the Company for 2016, 2015 and 2014 and state tax returns filed for 2016, 2015, 2014 and 2013 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. 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 years ended December 31, 2017 and December 31, 2016 , the Company recorded a federal and state tax provision of approximately $3.5 million and approximately $3.2 million , respectively. 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 for the year ended December 31, 2016 . The following table summarizes the Company's income tax provision for the years ended December 31, 2017 and December 31, 2016 (dollars in thousands): For the year ended December 31, 2017 For the year ended December 31, 2016 Current tax provision (benefit) Federal $ 4,076 $ 2,365 State (267 ) 672 Interest and Penalties — 119 Total Current Provision for Income taxes, net 3,809 3,156 Deferred Provision (Benefit) for Income Taxes Federal 85 — State (407 ) — Total Deferred Benefit for Income Taxes, net (322 ) — Total Income Tax Provision, net $ 3,487 $ 3,156 Deferred Tax Asset and Deferred Tax Liability As of December 31, 2017 , the Company recorded a deferred tax asset of approximately $6.1 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. In addition, the REIT generated net operating losses related to its swap terminations and for the California return a portion of the NOL's is apportioned to the TRS. The Company recorded a deferred state tax asset of $8.8 million in the REIT and $765 thousand in the TRS. The TRS can carryback the NOL's to each of the two preceding years and receive a refund for taxes paid. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $9.2 million . The Company also recorded a deferred federal tax liability of $85 thousand in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2017 and 2016 (dollars in thousands): Deferred Tax Asset December 31, 2017 December 31, 2016 Net operating loss available for carry-back and carry-forward $ 9,604 $ — Net capital loss carry-forward 4,158 1,981 Investments 1,948 4,504 Deferred tax asset 15,710 6,485 Allowance (15,303 ) (6,485 ) Net deferred tax asset $ 407 $ — Deferred Tax Liability December 31, 2017 December 31, 2016 Net operating loss available for carry-back and carry-forward $ 85 $ — Net deferred tax liability $ 85 $ — 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, 2017 For the year ended December 31, 2016 Federal statutory rate 34.3 % 34.0 % State statutory rate, net of federal benefit (1.3 )% 3.0 % Other (1.0 )% (9.5 )% Change in valuation allowance 0.8 % (15.4 )% Effect of statutory rate changes 2.9 % — % REIT earnings not subject to corporate taxes (31.8 )% (26.5 )% Effective Tax Rate 3.9 % (14.4 )% Excise Tax For the years ended December 31, 2017 and December 31, 2016 , the Company recorded excise tax expense of $0 and $339 thousand , respectively. Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. Tax Cuts and Jobs Act On December 15, 2017, a House of Representatives and Senate Conference Committee released a unified version of the Tax Cuts and Jobs Act (the "TCJA"). This followed passage of the Tax Cuts and Jobs Act by the House of Representatives on November 16, 2017, and by the Senate on December 2, 2017. The Tax Cuts and Jobs Act would reform the individual income tax code by lowering tax rates on wages, investment, and business income; broadening the tax base; and simplifying the tax code. The plan would lower the corporate income tax rate to 21 percent. In addition, the alternative minimum tax was repealed net operating loss are limited to 80% of taxable income and a real estate business is not subject to the interest expense limitation upon making an irrevocable exemption election. The Company has made its best estimate on how TCJA will impact its existing deferred tax balances.

Contingencies

Contingencies	12 Months Ended
	Dec. 31, 2017
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, 2017 .

Summarized Quarterly Results (u

Summarized Quarterly Results (unaudited)	12 Months Ended
	Dec. 31, 2017
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, 2017 June 30, 2017 September 30, 2017 December 31, 2017 Net Interest Income Interest income $ 28,430 $ 30,055 $ 30,928 $ 34,878 Interest expense 8,737 10,407 12,363 16,866 Net Interest Income 19,693 19,648 18,565 18,012 Other Income (Loss) Realized gain (loss) on sale of investments, net 21,258 (2,488 ) 1,830 (2 ) Other than temporary impairment (6,097 ) (6,579 ) (7,225 ) (2,972 ) Unrealized gain (loss), net (5,140 ) 35,017 5,249 (6,730 ) Gain (loss) on derivative instruments, net (4,697 ) (18,555 ) 7,217 19,327 Other, net 403 222 216 190 Other Income (Loss) 5,727 7,617 7,287 9,813 Expenses Management fee to affiliate 2,476 1,830 1,853 1,941 Other operating expenses 417 736 702 564 General and administrative expenses: Compensation expense 740 664 660 628 Professional fees 888 832 781 741 Other general and administrative expenses 345 404 244 332 Total general and administrative expenses 1,973 1,900 1,685 1,701 Total Expenses 4,866 4,466 4,240 4,206 Income (loss) before income taxes 20,554 22,799 21,612 23,619 Income tax provision (benefit) 312 2,115 (1,155 ) 2,215 Net income (loss) $ 20,242 $ 20,684 $ 22,767 $ 21,404 Net income (loss) per Common Share—Basic $ 0.48 $ 0.49 $ 0.54 $ 0.51 Net income (loss) per Common Share—Diluted $ 0.48 $ 0.49 $ 0.54 $ 0.51 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) (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 expenses: 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 )

Schedule IV - Mortgage Loans on

Schedule IV - Mortgage Loans on Real Estate	12 Months Ended
	Dec. 31, 2017
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 - $249,999 152 Hybrid ARM 3.9% to 5.8% 11/1/2041 to 12/1/2047 P&I $ — $ 22,929 $ 23,457 $ — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 303 Hybrid ARM 3.9% to 5.9% 1/1/2042 to 12/1/2047 P&I — 98,802 100,973 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 76 Hybrid ARM 3.9% to 5.6% 2/1/2042 to 12/1/2047 P&I — 42,406 43,278 579 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 29 Hybrid ARM 3.9% to 5.5% 9/1/2042 to 11/1/2047 P&I — 23,342 22,697 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 11 Hybrid ARM 4.4% to 5.9% 5/1/2043 to 11/1/2047 P&I — 11,125 12,457 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 5 Hybrid ARM 4.0% to 4.9% 12/1/2041 to 8/1/2043 P&I — 6,534 6,669 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 8 Hybrid ARM 4.3% to 5.3% 2/1/2042 to 12/1/2047 P&I — 13,987 14,355 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 7 Variable 4.5% to 4.7% 2/1/2044 to 6/1/2044 P&I — 1,198 1,229 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 6 Variable 4.4% to 4.7% 4/1/2044 to 6/1/2044 P&I — 2,124 2,185 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 2 Variable 4.4% to 4.7% 4/1/2044 to 5/1/2044 P&I — 993 1,022 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 3 Variable 4.5% to 4.7% 2/1/2044 to 5/1/2044 P&I — 2,634 2,700 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 1 Variable 4.4% 4/1/2044 P&I — 1,400 1,432 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 5 Fixed 4.9% to 6.8% 9/1/2026 to 12/1/2047 P&I — 624 647 — $ 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 3 Fixed 5.0% to 5.9% 9/1/2026 to 11/1/2041 P&I — 659 683 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 3 Fixed 5.4% to 5.5% 8/1/2034 to 12/1/2047 P&I — 1,529 1,577 — 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 — 970 1,007 — 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 — 1,014 1,055 — Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $0 - $249,999 200 Fixed 5.8% to 18.0% December 1, 2017 Interest Only (3) — 30,624 30,960 1,042 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 76 Fixed 5.8% to 18.0% September 1, 2017 Interest Only (3) — 26,024 26,275 728 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 35 Fixed 6.0% to 11.0% January 1, 2018 Interest Only (3) — 20,714 20,819 — Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 21 Fixed 5.8% to 11.3% January 1, 2018 Interest Only (3) — 18,351 18,431 — Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 6 Fixed 9.0% to 11.0% June 1, 2018 Interest Only (3) — 4,875 4,882 — Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,500,000 and above 2 Fixed 8.0% to 10.0% January 1, 2018 Interest Only (3) — 5,280 5,306 — Commercial Mezzanine Loan Held in Securitization Trust Original Loan Balance $25,000,000 1 Fixed 9.0% 7/6/2020 P&I (2) — 24,846 24,876 — $ — $ 362,984 $ 368,972 $ 2,349 (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. (3) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2017 2016 2015 Beginning balance $ 216,361 $ 243,538 $ 7,220 Additions during period: New mortgage loans 232,545 29,399 262,949 Unrealized gains 3,167 1,187 3,631 Deductions during period: Collections of principal 80,550 53,714 29,105 Amortization of premium and (discounts) 1,470 2,044 1,074 Unrealized losses 1,081 2,005 83 Balance at end of period $ 368,972 $ 216,361 $ 243,538

Summary of Significant Accoun23

Summary of Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2017
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 accounts of the Company and its wholly -owned subsidiary 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 these VIE's. All intercompany amounts between the Company and its subsidiary and consolidate VIE's have been eliminated in consolidation.
Variable Interest Entity	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.
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 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. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete a equity offering.
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.
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 Measurement 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. Refer to Note 3 - "Fair Value of Financial Instruments".
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, 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”. If the Company purchases securities with evidence of credit deterioration, 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 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, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. 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” in the Consolidated Statements of Operations. 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. 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 Bridge Loans	Residential Whole-Loans Investments in Residential 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 our entire Residential Whole-Loan portfolio . Residential Whole-Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Residential Whole-Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluate 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 we 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 we have 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. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount . Commencing with purchases on October 25, 2017, the Company decided to elected the fair value option pursuant to ASC 825 to be consistent with the accounting of its other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. 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. The Company evaluates each of its Residential Bridge Loans that it did not elect the fair value option on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral, since these loans are collateral dependent. Upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. The Company will not record an allowance for loan loss for the Residential Bridge Loans that it has elected the fair value option. 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 it is legally discharged.
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, 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 and Residential Bridge Loans Interest income on the Company's residential loan portfolio is recorded in accordance with ASC 835 using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount 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 or 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 Statements 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 "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. However, commencing in 2017, daily variation margin on only the Company's centrally cleared derivatives will be treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. 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 as part of its hedging strategy, we may enter into, but not limited to, interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and foreign current swaps and forwards 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. The Company does not necessarily seek to hedge all such risks. In addition, 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/receipts (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 January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties", but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net". Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its 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 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 have 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 all the criteria for 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 is 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 Statements of Cash Flows.
Securitized Debt	Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes. 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, 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 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. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. 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 2017 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, 2017 , 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 Sheet 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.
Recently adopted accounting pronouncements	Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In March 2016, the FASB issued ASU 2016-9, “Compensation - Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting.” This ASU is intended to simplify several aspects of accounting for share-based payments, including income tax consequences, classification of awards as either equity or liabilities and classification on the statement of cash flows. First quarter 2017. The adoption of this guidance did not have a material impact on the Company's consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements 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). First quarter 2018 and permits the use of either the full retrospective or modified retrospective method. The Company's revenue is mainly derived from interest income on our investments and to a lesser extent gains on sales of investments, which are not impacted by this standard. Therefore, the adoption of this standard is not expected to have a material impact on the Company's consolidated financial statements. 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. First quarter 2018. The standard does not change the guidance for classifying and measuring investments in debt securities and loans as well nonrecourse liabilities of consolidated collateralized financing entities. Therefore, the adoption of this standard is not expected to have a material impact on the Company's consolidated financial statements when adopted. In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. First quarter 2020. The Company is currently evaluating the impact the standard may 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. First quarter 2018 and requires retrospective adoption. The Company does not believe the adoption of this standard will have a material impact on its consolidated Statement of Cash Flows. In November 2016, the 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. First quarter 2018 and requires retrospective adoption. The Company currently does not have restricted cash. Therefore, the adoption of this standard will not have a material impact on its Consolidated Statements of Cash Flows. In January 2017, the FASB issued ASU 2017-01 "Business Combinations (Topic 805): Clarifying the Definition of a Business." This ASU provides a more robust framework to use in determining when a set of assets and activities constitutes a business. First quarter 2018. The guidance should be applied prospectively on or after the effective date. The Company does not believe the adoption of this standard will have a material impact on its consolidated financial statements. In May 2017, the FASB issued ASU 2017-09 "Compensation-Stock Compensation (Topic 718): Scope of Modification Accounting." The amendments in this update provide guidance about which changes to the terms or conditions of a shared-based payment award require an entity to apply modification accounting in Topic 718. First quarter 2018. The Company does not believe the adoption of this standard will have a material impact on its consolidated financial statements. In July 2017, the FASB issued ASU 2017-11 "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements.

Fair Value of Financial Instr24

Fair Value of Financial Instruments (Tables)	12 Months Ended
	Dec. 31, 2017
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, 2017 and December 31, 2016 , based upon the valuation hierarchy (dollars in thousands): December 31, 2017 Fair Value Assets Level I Level II Level III Total Agency RMBS: 20-Year mortgage $ — $ 53,783 $ — $ 53,783 30-Year mortgage — 241,642 — 241,642 40-Year mortgage — 376,752 — 376,752 Agency RMBS Interest-Only Strips — 15,437 — 15,437 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 10,419 — 10,419 Agency CMBS — 2,137,583 17,217 2,154,800 Agency CMBS Interest-Only Strips — 10 — 10 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 5,757 — 5,757 Subtotal Agency MBS — 2,841,383 17,217 2,858,600 Non-Agency RMBS — 90,819 13 90,832 Non-Agency RMBS Interest-Only Strips — — 8,722 8,722 Non-Agency CMBS — 278,604 — 278,604 Subtotal Non-Agency MBS — 369,423 8,735 378,158 Other securities — 112,826 9,239 122,065 Total mortgage-backed securities and other securities — 3,323,632 35,191 3,358,823 Residential Whole-Loans — — 237,423 237,423 Residential Bridge Loans — — 64,526 64,526 Securitized commercial loan — — 24,876 24,876 Derivative assets 728 — — 728 Total Assets $ 728 $ 3,323,632 $ 362,016 $ 3,686,376 Liabilities Derivative liabilities $ 50 $ 4,296 $ — $ 4,346 Securitized debt — — 10,945 10,945 Total Liabilities $ 50 $ 4,296 $ 10,945 $ 15,291 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
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, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Residential Bridge Loans Securitized Commercial Loan Securitized Debt Derivative Liability Beginning balance $ 73,059 $ 75,576 $ 31,356 $ 192,136 $ — $ 24,225 $ 10,659 $ 1,673 Transfers into Level III from Level II — — 9,470 — — — — — Transfers from Level III into Level II (73,714 ) (7,433 ) (33,080 ) — — — — — Purchases 17,217 8,937 — 86,921 63,969 — — — Sales and settlements — (60,132 ) — — — — — 552 Principal repayments — (378 ) (425 ) (41,312 ) — (154 ) (68 ) — Total net gains/losses included in net income Realized gains/(losses), net — 2,623 — — — — — (552 ) Other than temporary impairment — — (1,823 ) — — — — — Unrealized gains/(losses), net on assets (1) 635 (9,415 ) 1,522 724 571 805 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 354 (1,673 ) Premium and discount amortization, net 20 (1,043 ) 2,219 (1,046 ) (14 ) — — — Ending balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ 24,876 $ 10,945 $ — (1) For Agency MBS, Non-Agency MBS, other securities, Residential Whole-Loans, Residential Bridge Loans and Securitized commercial loan classified as Level III at December 31, 2017 , the Company recorded gross unrealized gains of approximately $0 , $0 , $43 thousand , $1.8 million , $655 thousand and $805 thousand and gross unrealized losses of approximately $0 , $16 thousand , $0 , $400 thousand , $84 thousand and $0 , 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, 2017 , the Company recorded gross unrealized gains of $0 and $0 and gross unrealized losses of $354 thousand and $0 , respectively. These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Year ended December 31, 2016 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 24,690 $ 369,650 $ 71,996 $ 218,538 $ 25,000 $ 11,000 $ — Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II (16,730 ) (198,078 ) (6,079 ) — — — — Purchases 72,642 94 — 28,226 — — — Sales and settlements (6,776 ) (49,560 ) (32,226 ) — — — (38 ) Principal repayments (141 ) (15,508 ) (2,049 ) (52,573 ) — — — Total net gains / (losses) included in net income Realized gains/(losses), net (56 ) (9,345 ) 45 — — — 38 Other than temporary impairment — (3,436 ) (3,301 ) — — — — Unrealized gains/(losses), net on assets (1) (570 ) (4,889 ) (86 ) (42 ) (775 ) — — Unrealized (gains)/losses, net on liabilities (2) — — — — — (341 ) 1,673 Premium and discount amortization, net — (13,352 ) 3,056 (2,013 ) — — — Ending balance $ 73,059 $ 75,576 $ 31,356 $ 192,136 $ 24,225 $ 10,659 $ 1,673 (1) For Agency MBS, Non-Agency MBS, 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 $417 thousand , $492 thousand , $420 thousand , $1.2 million and $0 and gross unrealized losses of approximately $0 , $6.8 million , $823 thousand , $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.
Schedule of Other Fair Value Disclosures	The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2017 , in the consolidated financial statements (dollars in thousands): Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 42,147 $ 42,881 Total $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 108,743 114,819 Total $ 3,360,429 $ 3,372,775

Mortgage-Backed Securities an25

Mortgage-Backed Securities and other securities (Tables)	12 Months Ended
	Dec. 31, 2017
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, 2017 and December 31, 2016 (dollars in thousands). December 31, 2017 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 $ 50,825 $ 2,378 $ — $ 53,203 $ 592 $ (12 ) $ 53,783 4.0 % 30-Year mortgage 224,041 15,710 — 239,751 2,317 (426 ) 241,642 4.4 % 40-Year mortgage 366,178 10,788 376,966 1,662 (1,876 ) 376,752 3.5 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 14,750 878 (191 ) 15,437 2.9 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 10,419 2.9 % (2) Agency CMBS 2,145,139 2,142 — 2,147,281 16,913 (9,394 ) 2,154,800 2.9 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A — 10 — 10 3.2 % (2) Agency CMBS Interest-Only Strips, accounted for as derivatives (2)(3) N/A N/A N/A N/A N/A N/A 5,757 0.5 % (2) Subtotal Agency MBS 2,786,183 31,018 — 2,831,951 22,372 (11,899 ) 2,858,600 3.0 % Non-Agency RMBS 119,748 5,263 (39,491 ) 85,520 5,473 (161 ) 90,832 3.8 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 8,738 — (16 ) 8,722 0.9 % (2) Non-Agency CMBS 379,183 (59,129 ) (28,020 ) 292,034 1,702 (15,132 ) 278,604 4.8 % Subtotal Non-Agency MBS 498,931 (53,866 ) (67,511 ) 386,292 7,175 (15,309 ) 378,158 3.3 % Other securities (4) 86,305 6,300 (5,404 ) 110,091 12,161 (187 ) 122,065 7.8 % Total $ 3,371,419 $ (16,548 ) $ (72,915 ) $ 3,328,334 $ 41,708 $ (27,395 ) $ 3,358,823 3.1 % 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 % (1) Net weighted average coupon as of December 31, 2017 and December 31, 2016 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, 2017 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, 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 $165.5 million , $278.4 million , $122.0 million , $192.5 million and $3.3 million , respectively. 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. (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 $22.9 million and $23.1 million , as of December 31, 2017 and December 31, 2016 , 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 table presents 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, 2017 , December 31, 2016 and December 31, 2015 (dollars in thousands): Year ended December 31, 2017 Year ended December 31, 2016 Year ended December 31, 2015 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 $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 $ (182,007 ) $ (105,804 ) $ 82,228 Securities previously accounted for as linked transactions (2) — — — — — — (2,320 ) (1,393 ) 4,587 Accretion of discount — 10,715 — — 17,431 — — 18,465 — Amortization of premium — — (843 ) — — (5,470 ) — — (9,025 ) Realized credit losses 2,391 — — 7,697 — — 9,534 — — Purchases (19,385 ) (1,205 ) 7,259 (15,792 ) (2,945 ) 5,266 (38,634 ) (96,380 ) 18,544 Sales 89,628 33,166 (31,118 ) 39,117 35,605 (12,156 ) 60,747 44,232 (30,054 ) Net impairment losses recognized in earnings (15,310 ) — — (22,413 ) — — (14,839 ) — — Transfers/release of credit reserve (3) 245 (1,292 ) 1,047 13,657 (14,381 ) 724 14,769 (4,652 ) (10,117 ) Ending balance $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 (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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 < 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 $ — $ 53,783 $ — $ — $ 53,783 30-Year mortgage — 2,445 239,197 — 241,642 40-Year mortgage — — — 376,752 376,752 Agency RMBS Interest-Only Strips 3,920 4,591 6,926 — 15,437 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,686 5,139 3,594 — 10,419 Agency CMBS 1,599,620 555,180 — — 2,154,800 Agency CMBS Interest-Only Strips 10 — — — 10 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 5,757 — 5,757 Subtotal Agency 1,605,236 621,138 249,717 382,509 2,858,600 Non-Agency RMBS 13 51,092 4,184 35,543 90,832 Non-Agency RMBS Interest-Only Strips — — — 8,722 8,722 Non-Agency CMBS — 60,583 139,209 78,812 278,604 Subtotal Non-Agency 13 111,675 143,393 123,077 378,158 Other securities — 99,062 — 23,003 122,065 Total $ 1,605,249 $ 831,875 $ 393,110 $ 528,589 $ 3,358,823 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
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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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 $ 3,000 $ (12 ) 3 $ — $ — — $ 3,000 $ (12 ) 3 30-Year mortgage 44,072 (291 ) 7 1,632 (135 ) 5 45,704 (426 ) 12 40-Year mortgage 283,187 (1,876 ) 1 — — — 283,187 (1,876 ) 1 Agency RMBS Interest-Only Strips 3,095 (142 ) 6 1,703 (49 ) 3 4,798 (191 ) 9 Agency CMBS 955,559 (9,394 ) 57 — — — 955,559 (9,394 ) 57 Subtotal Agency 1,288,913 (11,715 ) 74 3,335 (184 ) 8 1,292,248 (11,899 ) 82 Non-Agency RMBS 28,508 (161 ) 3 — — — 28,508 (161 ) 3 Non-Agency RMBS Interest-Only Strips 8,722 (16 ) 3 — — — 8,722 (16 ) 3 Non-Agency CMBS 69,661 (1,753 ) 15 119,729 (13,379 ) 35 189,390 (15,132 ) 50 Subtotal Non-Agency 106,891 (1,930 ) 21 119,729 (13,379 ) 35 226,620 (15,309 ) 56 Other securities 23,800 (187 ) 3 — — — 23,800 (187 ) 3 Total $ 1,419,604 $ (13,832 ) 98 $ 123,064 $ (13,563 ) 43 $ 1,542,668 $ (27,395 ) 141 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
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, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 Agency RMBS $ 5,774 $ 6,090 $ 4,005 Non-Agency RMBS — 9,511 9,216 Non-Agency CMBS 15,117 13,025 4,061 Other securities 1,982 3,660 2,509 Total $ 22,873 $ 32,286 $ 19,791
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, 2017 , December 31, 2016 and December 31, 2015 , respectively: For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 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 $ 38,108 $ (13,058 ) $ 25,050 $ 70,467 $ (24,836 ) $ 45,631 $ 119,789 $ (48,119 ) $ 71,670 Agency CMBS 40,064 507 40,571 2,619 (1,701 ) 918 3,600 (2,102 ) 1,498 Non-Agency RMBS 5,602 525 6,127 35,221 (5,243 ) 29,978 44,473 (8,008 ) 36,465 Non-Agency CMBS 19,179 8,276 27,455 24,893 7,431 32,324 26,562 3,687 30,249 Other securities 8,280 1,559 9,839 2,537 2,977 5,514 6,363 2,648 9,011 Total $ 111,233 $ (2,191 ) $ 109,042 $ 135,737 $ (21,372 ) $ 114,365 $ 200,787 $ (51,894 ) $ 148,893
Schedule of sales and realized gains (loss) of the Company's MBS and other securities	The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2017 , December 31, 2016 and December 31, 2015 , respectively: For the year ended December 31, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 1,251,985 $ 5,020 $ (7,936 ) $ (2,916 ) Non-Agency RMBS (2) 243,838 24,356 (2,241 ) 22,115 Non-Agency CMBS 54,875 2,543 (1,803 ) 740 Other securities 38,447 713 (54 ) 659 Total $ 1,589,145 $ 32,632 $ (12,034 ) $ 20,598 (1) Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million , gross realized gains of $432 thousand and gross realized losses of $0 . (2) Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million , gross realized gains of $274 thousand and gross realized losses of $180 thousand . 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 approximately $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) $ 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 $31 thousand .

Variable Interest Entities (Tab

Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 2017
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 consolidated loan trusts included in the Consolidated Balance Sheets as of December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 Residential Whole-Loans, at fair value $ 237,423 $ 192,136 Residential Bridge Loans (1) 106,673 — Securitized commercial loan, at fair value 24,876 24,225 Investment related receivable 7,665 1,241 Accrued interest receivable 3,358 1,622 Total assets $ 379,995 $ 219,224 Securitized debt, at fair value $ 10,945 $ 10,659 Accrued interest payable 70 85 Accounts payable and accrued expenses 189 2 Total liabilities $ 11,204 $ 10,746 (1) Includes both Residential bridge loans for $64.5 million which are carried at fair value and 42.1 million which are carried at amortized cost.
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, Residential Bridge Loans and securitized commercial loan as of December 31, 2017 and December 31, 2016 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) Securitized Commercial Loan, at Fair Value December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016 Principal balance $ 232,270 $ 187,765 $ 63,802 $ — $ 42,066 $ — $ 24,846 $ 25,000 Unamortized premium 2,021 1,311 293 — 122 — — — Unamortized discount (1,190 ) (539 ) (128 ) — (41 ) — — — Amortized cost 233,101 188,537 63,967 — 42,147 — 24,846 25,000 Gross unrealized gains 4,463 3,643 655 — N/A N/A 30 — Gross unrealized losses (141 ) (44 ) (96 ) — N/A N/A — (775 ) Fair value $ 237,423 $ 192,136 $ 64,526 $ — N/A N/A $ 24,876 $ 24,225 (1) These loans are classified in Residential Bridge Loans in the consolidated balance sheets
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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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% 142 $ 55,593 55.5 % 751 1.7 29.1 3.9 % 4.01 - 5.00% 338 125,860 56.9 % 725 1.4 26.5 4.5 % 5.01 - 6.00% 132 48,553 58.2 % 728 1.6 27.0 5.2 % 6.01 - 7.00% 4 2,264 71.1 % 758 1.3 20.5 6.3 % Total 616 $ 232,270 57.0 % 734 1.5 27.1 4.5 % (1) The original FICO score is not available for 141 loans with a principal balance of approximately $56.5 million at December 31, 2017 . The Company has excluded these loans from the weighted average computations. 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.
Schedule of the US states represented in Residential Whole-Loans based on principal balance	The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole-Loans at December 31, 2017 and December 31, 2016 , based on principal balance, is located (dollars in thousands): December 31, 2017 December 31, 2016 State Concentration Principal Balance State Principal California 62.2 % $ 144,321 California 85.2 % $ 159,955 New York 24.4 % 56,631 Washington 5.6 % 10,591 Georgia 4.3 % 10,061 Massachusetts 5.4 % 10,161 Washington 4.0 % 9,244 New York 2.4 % 4,454 Massachusetts 3.9 % 9,114 Georgia 0.8 % 1,492 Other 1.2 % 2,899 Other 0.6 % 1,112 Total 100.0 % $ 232,270 Total 100.0 % $ 187,765
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans	The following table presents certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2017 (dollars in thousands): December 31, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 5.01 - 6.00% 9 $ 4,016 64.5 % 10.8 5.9 % 6.01 - 7.00% 64 18,420 67.8 % 10.6 6.7 % 7.01 – 8.00% 98 25,608 66.4 % 9.5 7.6 % 8.01 – 9.00% 56 19,728 70.3 % 11.9 8.9 % 9.01 – 10.00% 67 25,001 73.3 % 6.8 9.7 % 10.01 – 11.00% 36 10,656 75.4 % 5.0 10.8 % 11.01 - 12.00% 2 919 89.8 % 8.2 11.4 % 17.01 – 18.00% 8 1,520 73.8 % 5.9 18.0 % Total 340 $ 105,868 70.1 % 9.0 8.6 %
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans	The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2017 , based on principal balance, is located (dollars in thousands): December 31, 2017 State Concentration Principal Balance California 48.2 % $ 51,080 Florida 13.4 % 14,199 Washington 6.3 % 6,645 New York 4.4 % 4,703 Texas 4.4 % 4,660 Other 23.3 % 24,581 Total 100.0 % $ 105,868

Borrowings (Tables)

Borrowings (Tables)	12 Months Ended
	Dec. 31, 2017
Debt Disclosure [Abstract]
Summary of certain characteristics of the Company's repurchase agreements	The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 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 $ 665,919 1.62 % 61 $ 1,427,674 0.96 % 38 Agency CMBS 2,035,222 1.53 % 53 56,365 1.07 % 46 Non-Agency RMBS 46,530 2.76 % 41 218,712 2.53 % 28 Non-Agency CMBS 154,325 2.98 % 40 255,656 2.55 % 30 Whole-loans (1)(2) 189,270 3.66 % 8 161,181 2.91 % 9 Residential Bridge Loans (1) 100,183 4.05 % 59 — — % 0 Other securities 60,237 2.94 % 23 36,056 2.32 % 17 Repurchase agreements borrowings 3,251,686 1.86 % 51 2,155,644 1.48 % 34 Less unamortized debt issuance cost — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 3,251,686 1.86 % 51 $ 2,155,644 1.48 % 34 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. (2) Whole-loans consist of Residential Whole-Loans and securitized commercial loan.
Schedule of repurchase agreements collateralized by investments	At December 31, 2017 and December 31, 2016 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2017 December 31, 2016 Overnight $ — $ — 1 to 29 days 1,387,599 1,386,971 30 to 59 days 665,656 167,642 60 to 89 days 871,819 601,031 90 to 119 days — — Greater than or equal to 120 days 326,612 — Total $ 3,251,686 $ 2,155,644
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, 2017 , 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, 2017 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders' Equity UBS AG, London Branch $ 65,532 22 14.1 % Credit Suisse AG, Cayman Islands Branch 49,455 8 10.6 %
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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 690,255 $ 2,601 $ 692,856 $ 1,465,384 $ 5,335 $ 1,470,719 Agency CMBS, at fair value 2,143,340 5,454 2,148,794 61,200 353 61,553 Non-Agency RMBS, at fair value 58,127 160 58,287 308,165 682 308,847 Non-Agency CMBS, at fair value 208,062 1,100 209,162 358,919 1,845 360,764 Whole-loans, at fair value (1)(2) 237,423 1,754 239,177 205,702 1,518 207,220 Residential Bridge Loans (1) 106,673 1,443 108,116 — — — Other securities, at fair value 89,823 105 89,928 67,762 57 67,819 Cash (3) 23,591 — 23,591 36,986 — 36,986 Total $ 3,557,294 $ 12,617 $ 3,569,911 $ 2,504,118 $ 9,790 $ 2,513,908 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Whole-loans consist of Residential Whole-Loans and securitized commercial loan. (3) 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, 2017
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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 December 31, 2016 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, asset Non-Hedge Derivative assets, at fair value $ — $ — $ — $ 2,298,300 $ 20,466 $ 1,145 Options, asset Non-Hedge Derivative assets, at fair value 320,000 100 — — — — Futures contracts, asset Non-Hedge Derivative assets, at fair value 480,000 628 — 56,900 71 — Foreign currency forward contracts, asset Non-Hedge Derivative assets, at fair value — — — 784 34 — Total derivative instruments, assets 728 — 20,571 1,145 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 3,252,200 (4,191 ) — 5,046,300 (177,929 ) 3,054 Options, liability Non-Hedge Derivative liability, at fair value 320,000 (50 ) — — — — 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 ) — Foreign currency forward contracts, liability Non-Hedge Derivative liability, at fair value — — — 1,532 (69 ) — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 14,815 (95 ) — — — — TBA securities, liability Non-Hedge Derivative liability, at fair value 125,000 (10 ) — — — — Total derivative instruments, liabilities (4,346 ) — (182,158 ) 2,960 Total derivative instruments, net $ (3,618 ) $ — $ (161,587 ) $ 4,105 (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, 2017 , December 31, 2016 and December 31, 2015 (dollars in thousands): Realized Gain (Loss), net Period End Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-market adjustments Contractual interest income (expense), net (1) Total Year ended December 31, 2017 Interest rate swaps $ (150,607 ) $ 20,258 $ 524 $ 148,947 $ (14,606 ) $ 4,516 Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips—accounted for as derivatives 526 — (5,995 ) (902 ) 7,438 1,067 Options (1,453 ) — — (300 ) — (1,753 ) Futures contracts (9,130 ) — — 3,044 — (6,086 ) Foreign currency forwards 32 — — 35 — 67 Total return swap (552 ) — — 1,673 469 1,590 Credit default swaps (11 ) — — (22 ) — (33 ) TBAs 4,049 — — (10 ) — 4,039 Total $ (157,261 ) $ 20,258 $ (5,471 ) $ 152,465 $ (6,699 ) $ 3,292 Year ended December 31, 2016 Interest rate swaps $ (33,999 ) $ — $ 672 $ 11,013 $ (27,903 ) $ (50,217 ) Interest rate swaptions (1,035 ) — — 1,631 — 596 Interest-Only Strips—accounted for as derivatives 1,317 — (11,438 ) (4,726 ) 14,148 (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 — — (7,168 ) 283 (114 ) Total return swap 38 — — (1,673 ) 1,121 (514 ) TBAs 6,126 — — (2,375 ) — 3,751 Total $ 7,517 $ — $ (10,766 ) $ (5,135 ) $ (12,351 ) $ (20,735 ) Year ended December 31, 2015 Interest rate swaps $ 23,680 $ — $ 1,250 $ (68,843 ) $ (20,366 ) $ (64,279 ) Interest rate swaptions (5,242 ) — — (1,486 ) — (6,728 ) Interest-Only Strips—accounted for as derivatives 595 — (17,265 ) (4,283 ) 21,872 919 Options (711 ) — — — — (711 ) Futures contracts (527 ) — — 105 — (422 ) Foreign currency forwards (901 ) — — 323 — (578 ) Foreign currency swaps — — — 3,311 795 4,106 TBAs 1,524 — — (2,726 ) — (1,202 ) Total $ 18,418 $ — $ (16,015 ) $ (73,599 ) $ 2,301 $ (68,895 ) (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	The following is a summary of the Company's long and short TBA positions reported, as of December 31, 2017 , reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2017 Notional Amount Fair Value Purchase contracts, liability $ 125,000 $ (10 ) TBA securities, liability 125,000 (10 ) TBA securities, net $ 125,000 $ (10 )
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, 2017 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2016 Additions Expiration or Exercise December 31, 2017 Purchase of TBAs $ — $ 5,843,200 $ (5,718,200 ) $ 125,000 Sale of TBAs $ — $ 5,718,200 $ (5,718,200 ) $ —
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 (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 $ 1,532 n/a $ (69 ) Total currency forwards € 2,093 $ 2,316 n/a $ (35 )
Fixed Pay Rate | Interest rate swaps
Derivative instruments
Summary of interest rate swaps or interest rate swaptions	The following tables summarize the average fixed pay rate, average floating receive rate and average maturity for the Company's interest rate swaps as of December 31, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) Greater than 1 year and less than 3 years $ 600,000 1.6 % 1.5 % 1.8 — % Greater than 3 years and less than 5 years 960,000 2.0 % 1.4 % 4.3 — % Greater than 5 years 1,692,200 2.5 % 1.4 % 10.5 90.2 % Total $ 3,252,200 2.2 % 1.4 % 7.1 46.9 % (1) Represents the percentage of notional that is forward starting December 31, 2016 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting (1) 1 year or less $ 105,900 0.8 % 0.8 % 0.8 — % Greater than 1 year and less than 3 years 993,000 1.2 % 0.9 % 1.4 88.1 % Greater than 3 years and less than 5 years 1,861,700 1.9 % 0.9 % 3.9 36.5 % Greater than 5 years 1,701,600 3.1 % 0.9 % 10.5 6.5 % Total $ 4,662,200 2.1 % 0.9 % 5.7 35.7 % (1) Represents the percentage of notional that is forward starting The following table summarizes the average variable pay rate, average fixed pay receive rate and average maturity for the Company's interest rate swaps as of December 31, 2016 (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 Fixed Received Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,811,400 $ (24,112 ) 0.9 % 1.4 % 3.7 — % Greater than 5 years 871,000 (18,749 ) 0.9 % 2.2 % 12.3 — Total $ 2,682,400 $ (42,861 ) 0.9 % 1.7 % 6.5 — %

Offsetting Assets and Liabili29

Offsetting Assets and Liabilities (Tables)	12 Months Ended
	Dec. 31, 2017
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, 2017 and December 31, 2016 (dollars in thousands): December 31, 2017 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 $ 16,176 $ — $ 16,176 $ (11,633 ) $ — $ 4,543 Derivative asset, at fair value (2) 728 — 728 (50 ) — 678 Total derivative assets $ 16,904 $ — $ 16,904 $ (11,683 ) $ — $ 5,221 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 4,346 $ — $ 4,346 $ (50 ) $ (4,270 ) $ 26 Repurchase Agreements (4) 3,251,686 — 3,251,686 (3,251,686 ) — — Total derivative liability $ 3,256,032 $ — $ 3,256,032 $ (3,251,736 ) $ (4,270 ) $ 26 (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 $63.3 million as of December 31, 2017 . (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.5 billion as of December 31, 2017 . 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 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 .

Share-Based Payments (Tables)

Share-Based Payments (Tables)	12 Months Ended
	Dec. 31, 2017
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, 2017 and December 31, 2016 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2017 December 31, 2016 Vesting Date Shares Vesting Shares Vesting March 2017 — 133,334 June 2017 — 18,196 March 2018 66,667 66,667 June 2018 16,488 — 83,155 218,197
Schedule of restricted stock activity	The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2017 and December 31, 2016 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2017 December 31, 2016 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 707,861 $ 17.17 688,394 $ 17.39 Granted (2) 17,588 10.30 19,467 9.40 Outstanding at end of period 725,449 $ 17.00 707,861 $ 17.17 Unvested at end of period 83,155 $ 14.07 218,197 $ 14.98 (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 2,052 shares and 2,335 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2017 and December 31, 2016 , respectively.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	12 Months Ended
	Dec. 31, 2017
Stockholders' Equity Note [Abstract]
Schedule of cash dividends declared and paid on common stock	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 2017 December 21, 2017 January 2, 2018 January 26, 2018 $ 0.31 Return of capital September 21, 2017 October 2, 2017 October 26, 2017 $ 0.31 Return of capital June 20, 2017 June 30, 2017 July 26, 2017 $ 0.31 Return of capital March 23, 2017 April 3, 2017 April 26, 2017 $ 0.31 Ordinary income 2015 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

Net Income (Loss) per Common 32

Net Income (Loss) per Common Share (Tables)	12 Months Ended
	Dec. 31, 2017
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, 2017 , December 31, 2016 and December 31, 2015 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2017 For the year ended December 31, 2016 For the year ended December 31, 2015 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ 85,097 $ (25,015 ) $ (9,484 ) Less: Dividends and undistributed earnings allocated to participating securities 312 377 1,045 Net income (loss) allocable to common stockholders—basic and diluted $ 84,785 $ (25,392 ) $ (10,529 ) Denominator : Weighted average common shares outstanding for basic earnings per share 41,817,455 41,688,950 41,490,556 Weighted average common shares outstanding for diluted earnings per share 41,817,455 41,688,950 41,490,556 Basic earnings per common share $ 2.03 $ (0.61 ) $ (0.25 ) Diluted earnings per common share $ 2.03 $ (0.61 ) $ (0.25 )

Income Taxes (Tables)

Income Taxes (Tables)	12 Months Ended
	Dec. 31, 2017
Income Tax Disclosure [Abstract]
Schedule of Components of Income Tax Expense (Benefit)	The following table summarizes the Company's income tax provision for the years ended December 31, 2017 and December 31, 2016 (dollars in thousands): For the year ended December 31, 2017 For the year ended December 31, 2016 Current tax provision (benefit) Federal $ 4,076 $ 2,365 State (267 ) 672 Interest and Penalties — 119 Total Current Provision for Income taxes, net 3,809 3,156 Deferred Provision (Benefit) for Income Taxes Federal 85 — State (407 ) — Total Deferred Benefit for Income Taxes, net (322 ) — Total Income Tax Provision, net $ 3,487 $ 3,156
Schedule of Deferred Tax Assets and Liabilities	The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2017 and 2016 (dollars in thousands): Deferred Tax Asset December 31, 2017 December 31, 2016 Net operating loss available for carry-back and carry-forward $ 9,604 $ — Net capital loss carry-forward 4,158 1,981 Investments 1,948 4,504 Deferred tax asset 15,710 6,485 Allowance (15,303 ) (6,485 ) Net deferred tax asset $ 407 $ —
Summary of Operating Loss Carryforwards	Deferred Tax Liability December 31, 2017 December 31, 2016 Net operating loss available for carry-back and carry-forward $ 85 $ — Net deferred tax liability $ 85 $ —
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, 2017 For the year ended December 31, 2016 Federal statutory rate 34.3 % 34.0 % State statutory rate, net of federal benefit (1.3 )% 3.0 % Other (1.0 )% (9.5 )% Change in valuation allowance 0.8 % (15.4 )% Effect of statutory rate changes 2.9 % — % REIT earnings not subject to corporate taxes (31.8 )% (26.5 )% Effective Tax Rate 3.9 % (14.4 )%

Summarized Quarterly Results 34

Summarized Quarterly Results (unaudited) (Tables)	12 Months Ended
	Dec. 31, 2017
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, 2017 June 30, 2017 September 30, 2017 December 31, 2017 Net Interest Income Interest income $ 28,430 $ 30,055 $ 30,928 $ 34,878 Interest expense 8,737 10,407 12,363 16,866 Net Interest Income 19,693 19,648 18,565 18,012 Other Income (Loss) Realized gain (loss) on sale of investments, net 21,258 (2,488 ) 1,830 (2 ) Other than temporary impairment (6,097 ) (6,579 ) (7,225 ) (2,972 ) Unrealized gain (loss), net (5,140 ) 35,017 5,249 (6,730 ) Gain (loss) on derivative instruments, net (4,697 ) (18,555 ) 7,217 19,327 Other, net 403 222 216 190 Other Income (Loss) 5,727 7,617 7,287 9,813 Expenses Management fee to affiliate 2,476 1,830 1,853 1,941 Other operating expenses 417 736 702 564 General and administrative expenses: Compensation expense 740 664 660 628 Professional fees 888 832 781 741 Other general and administrative expenses 345 404 244 332 Total general and administrative expenses 1,973 1,900 1,685 1,701 Total Expenses 4,866 4,466 4,240 4,206 Income (loss) before income taxes 20,554 22,799 21,612 23,619 Income tax provision (benefit) 312 2,115 (1,155 ) 2,215 Net income (loss) $ 20,242 $ 20,684 $ 22,767 $ 21,404 Net income (loss) per Common Share—Basic $ 0.48 $ 0.49 $ 0.54 $ 0.51 Net income (loss) per Common Share—Diluted $ 0.48 $ 0.49 $ 0.54 $ 0.51 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) (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 expenses: 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 )

Fair Value of Financial Instr35

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Fair Value of Financial Instruments
Derivative credit risk valuation adjustment, derivative assets					$ 0					$ 0
Assets
Derivative assets	$ 728				20,571				$ 728	20,571
Liabilities
Derivative liabilities	4,346				182,158				4,346	182,158
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(2,972)	$ (7,225)	$ (6,579)	$ (6,097)	(10,155)	$ (4,978)	$ (6,356)	$ (10,797)	(22,873)	(32,286)	$ (19,791)
Premium and discount amortization, net									2,070	548	(5,086)
Residential Whole-Loans
Assets
Fair value	237,423				192,136				237,423	192,136
Securitized commercial loan
Assets
Fair value	24,876				24,225				24,876	24,225
Agency RMBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment									(5,774)	(6,090)	(4,005)
Premium and discount amortization, net									(13,058)	(24,836)	(48,119)
20 Year Mortgage
Assets
Estimated Fair Value	53,783				498,470				53,783	498,470
30 Year Mortgage
Assets
Estimated Fair Value	241,642				935,207				241,642	935,207
40 Years Mortgage
Assets
Estimated Fair Value	376,752								376,752
Agency RMBS Interest Only Strips
Assets
Estimated Fair Value	15,437				19,790				15,437	19,790
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	10,419				16,503				10,419	16,503
Agency CMBS
Assets
Estimated Fair Value	2,154,800				363,664				2,154,800	363,664
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									507	(1,701)	(2,102)
Agency CMBS Interest-Only Strips
Assets
Estimated Fair Value	10				231				10	231
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,757				7,729				5,757	7,729
Subtotal Agency MBS
Assets
Estimated Fair Value	2,858,600				1,841,594				2,858,600	1,841,594
Non-Agency Mortgage-Backed Securities [Member]
Assets
Estimated Fair Value	378,158				667,161				378,158	667,161
Non-Agency RMBS
Assets
Estimated Fair Value	90,832				241,041				90,832	241,041
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment									0	(9,511)	(9,216)
Premium and discount amortization, net									525	(5,243)	(8,008)
Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	8,722				64,116				8,722	64,116
Non-Agency CMBS
Assets
Estimated Fair Value	278,604				358,919				278,604	358,919
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment									(15,117)	(13,025)	(4,061)
Premium and discount amortization, net									8,276	7,431	3,687
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	378,158				667,161				378,158	667,161
Other securities
Assets
Estimated Fair Value	122,065				67,762				122,065	67,762
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment									(1,982)	(3,660)	(2,509)
Premium and discount amortization, net									1,559	2,977	2,648
Mortgage-backed securities and other securities
Assets
Estimated Fair Value	3,358,823				2,576,517				3,358,823	2,576,517
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									(2,191)	(21,372)	(51,894)
Level I
Assets
Derivative assets	728				71				728	71
Total	728				71				728	71
Liabilities
Derivative liabilities	50				2,487				50	2,487
Total Liabilities	50				2,487				50	2,487
Level II
Assets
Derivative assets	0				20,500				0	20,500
Total	3,323,632				2,417,026				3,323,632	2,417,026
Liabilities
Derivative liabilities	4,296				177,998				4,296	177,998
Total Liabilities	4,296				177,998				4,296	177,998
Level II | 20 Year Mortgage
Assets
Estimated Fair Value	53,783				498,470				53,783	498,470
Level II | 30 Year Mortgage
Assets
Estimated Fair Value	241,642				935,207				241,642	935,207
Level II | 40 Years Mortgage
Assets
Estimated Fair Value	376,752								376,752
Level II | Agency RMBS Interest Only Strips
Assets
Estimated Fair Value	15,437				19,790				15,437	19,790
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	10,419				16,503				10,419	16,503
Level II | Agency CMBS
Assets
Estimated Fair Value	2,137,583				290,605				2,137,583	290,605
Level II | Agency CMBS Interest-Only Strips
Assets
Estimated Fair Value	10				231				10	231
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,757				7,729				5,757	7,729
Level II | Subtotal Agency MBS
Assets
Estimated Fair Value	2,841,383				1,768,535				2,841,383	1,768,535
Level II | Non-Agency RMBS
Assets
Estimated Fair Value	90,819				240,422				90,819	240,422
Level II | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0								0
Level II | Non-Agency CMBS
Assets
Estimated Fair Value	278,604				351,163				278,604	351,163
Level II | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	369,423				591,585				369,423	591,585
Level II | Other securities
Assets
Estimated Fair Value	112,826				36,406				112,826	36,406
Level II | Mortgage-backed securities and other securities
Assets
Estimated Fair Value	3,323,632				2,396,526				3,323,632	2,396,526
Level III
Assets
Derivative assets	0				0				0	0
Total	362,016				396,352				362,016	396,352
Liabilities
Derivative liabilities	0				1,673				0	1,673
Securitized debt	10,945				10,659				10,945	10,659
Total Liabilities	10,945				12,332				10,945	12,332
Level III | Residential Whole-Loans
Assets
Fair value	237,423				192,136				237,423	192,136
Level III | Residential Bridge Loans
Assets
Fair value	64,526								64,526
Level III | Securitized commercial loan
Assets
Fair value	24,876				24,225				24,876	24,225
Level III | Agency CMBS
Assets
Estimated Fair Value	17,217				73,059				17,217	73,059
Level III | Subtotal Agency MBS
Assets
Estimated Fair Value	17,217				73,059				17,217	73,059
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				73,059					73,059
Ending balance	17,217				73,059				17,217	73,059
Level III | Non-Agency Mortgage-Backed Securities [Member]
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				75,576				369,650	75,576	369,650
Ending balance	8,735				75,576				8,735	75,576	369,650
Level III | Non-Agency RMBS
Assets
Estimated Fair Value	13				619				13	619
Level III | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	8,722				64,116				8,722	64,116
Level III | Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value					3,085					3,085
Level III | Non-Agency CMBS
Assets
Estimated Fair Value	0				7,756				0	7,756
Level III | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	8,735				75,576				8,735	75,576
Level III | Other securities
Assets
Estimated Fair Value	9,239				31,356				9,239	31,356
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				31,356				71,996	31,356	71,996
Ending balance	9,239				31,356				9,239	31,356	71,996
Level III | Mortgage-backed securities and other securities
Assets
Estimated Fair Value	35,191				179,991				35,191	179,991
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
Principal repayments									(68)
Unrealized gains (losses), net									354	(341)
Gross unrealized gains									0	341
Gross unrealized losses									(354)	0
Beginning balance				10,659				11,000	10,659	11,000
Ending balance	10,945				10,659				10,945	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)
Sales and settlements									552
Realized gains/(losses), net										38
Realized gains/(losses), net									(552)
Unrealized gains (losses), net									(1,673)	1,673
Gross unrealized gains									0	0
Gross unrealized losses									0	(1,700)
Beginning balance				1,673				0	1,673	0
Ending balance	0				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				192,136				218,538	192,136	218,538
Purchases									86,921	28,226
Principal repayments									(41,312)	(52,573)
Unrealized gains/(losses), net									724	(42)
Premium and discount amortization, net									(1,046)	(2,013)
Ending balance	237,423				192,136				237,423	192,136	218,538
Gross unrealized gains									1,800	1,200
Gross unrealized losses									(400)	(663)
Level III | Recurring basis | Residential Bridge Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				0					0
Purchases									63,969
Unrealized gains/(losses), net									571
Premium and discount amortization, net									(14)
Ending balance	64,526				0				64,526	0
Gross unrealized gains									655
Gross unrealized losses									(84)
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				24,225				25,000	24,225	25,000
Principal repayments									(154)
Unrealized gains/(losses), net									805	(775)
Ending balance	24,876				24,225				24,876	24,225	25,000
Gross unrealized gains									805	0
Gross unrealized losses									0	(775)
Level III | Recurring basis | Subtotal Agency MBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance				$ 73,059				$ 24,690	73,059	24,690
Transfers out level III into Level II									(73,714)	(16,730)
Purchases									17,217	72,642
Sales and settlements										(6,776)
Principal repayments										(141)
Realized gains/(losses), net										(56)
Unrealized gains/(losses), net									635	(570)
Premium and discount amortization, net									20
Ending balance					73,059					73,059	$ 24,690
Gross unrealized gains									0	417
Gross unrealized losses									0	0
Level III | Recurring basis | Non-Agency Mortgage-Backed Securities [Member]
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers out level III into Level II									(7,433)	(198,078)
Purchases									8,937	94
Sales and settlements									(60,132)	(49,560)
Principal repayments									(378)	(15,508)
Realized gains/(losses), net									2,623	(9,345)
Other than temporary impairment										3,436
Unrealized gains/(losses), net									(9,415)	(4,889)
Premium and discount amortization, net									(1,043)	(13,352)
Gross unrealized gains									0	492
Gross unrealized losses									(16)	(6,800)
Level III | Recurring basis | Other securities
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers into Level III from Level II									9,470
Transfers out level III into Level II									(33,080)	(6,079)
Sales and settlements										(32,226)
Principal repayments									(425)	(2,049)
Realized gains/(losses), net										45
Other than temporary impairment									(1,823)	3,301
Unrealized gains/(losses), net									1,522	(86)
Premium and discount amortization, net									2,219	3,056
Gross unrealized gains									43	420
Gross unrealized losses									0	(823)
Estimated Fair Value
Assets
Derivative assets	728				20,571				728	20,571
Total	3,686,376				2,813,449				3,686,376	2,813,449
Liabilities
Derivative liabilities	4,346				182,158				4,346	182,158
Securitized debt	10,945				10,659				10,945	10,659
Total Liabilities	15,291				192,817				15,291	192,817
Estimated Fair Value | Residential Whole-Loans
Assets
Fair value	237,423				192,136				237,423	192,136
Estimated Fair Value | Residential Bridge Loans
Assets
Fair value	64,526								64,526
Estimated Fair Value | Securitized commercial loan
Assets
Fair value	24,876				24,225				24,876	24,225
Estimated Fair Value | 20 Year Mortgage
Assets
Estimated Fair Value	53,783				498,470				53,783	498,470
Estimated Fair Value | 30 Year Mortgage
Assets
Estimated Fair Value	241,642				935,207				241,642	935,207
Estimated Fair Value | 40 Years Mortgage
Assets
Estimated Fair Value	376,752								376,752
Estimated Fair Value | Agency RMBS Interest Only Strips
Assets
Estimated Fair Value	15,437				19,790				15,437	19,790
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	10,419				16,503				10,419	16,503
Estimated Fair Value | Agency CMBS
Assets
Estimated Fair Value	2,154,800				363,664				2,154,800	363,664
Estimated Fair Value | Agency CMBS Interest-Only Strips
Assets
Estimated Fair Value	10				231				10	231
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,757				7,729				5,757	7,729
Estimated Fair Value | Subtotal Agency MBS
Assets
Estimated Fair Value	2,858,600				1,841,594				2,858,600	1,841,594
Estimated Fair Value | Non-Agency RMBS
Assets
Estimated Fair Value	90,832				241,041				90,832	241,041
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	8,722				64,116				8,722	64,116
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value					3,085					3,085
Estimated Fair Value | Non-Agency CMBS
Assets
Estimated Fair Value	278,604				358,919				278,604	358,919
Estimated Fair Value | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	378,158				667,161				378,158	667,161
Estimated Fair Value | Other securities
Assets
Estimated Fair Value	122,065				67,762				122,065	67,762
Estimated Fair Value | Mortgage-backed securities and other securities
Assets
Estimated Fair Value	$ 3,358,823				$ 2,576,517				$ 3,358,823	$ 2,576,517

Fair Value of Financial Instr36

Fair Value of Financial Instruments Carrying Value and Estimated Fair Value of Financial Instruments (Details) $ in Thousands	Dec. 31, 2017USD ($)
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans on Real Estate, Carrying Amount of Mortgages	$ 42,147
Borrowings under repurchase agreements	3,251,686
Convertible senior unsecured notes	108,743
Total	3,360,429
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans on Real Estate, Carrying Amount of Mortgages	42,881
Borrowings under repurchase agreements	3,257,956
Convertible senior unsecured notes	114,819
Total	3,372,775
Residential Bridge Loans
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans on Real Estate, Carrying Amount of Mortgages	42,147
Residential Bridge Loans | Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage Loans on Real Estate, Carrying Amount of Mortgages	$ 42,881

Mortgage-Backed Securities an37

Mortgage-Backed Securities and other securities (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Principal Balance	$ 3,371,419	$ 2,585,481
Unamortized Premium (Discount), net	(16,548)	8,671
Discount Designated as Credit Reserve and OTTI	(72,915)	(130,484)
Amortized Cost	3,328,334	2,561,552
Unrealized Gain	41,708	36,248
Unrealized Loss	(27,395)	(48,600)
Estimated Fair Value	$ 3,358,823	$ 2,576,517
Net Weighted Average Coupon (as a percent)	3.10%	3.90%
Weighted average expected remaining term to the expected maturity of investment portfolio	8 years 7 months 6 days	7 years 1 month 6 days
20 Year Mortgage
Mortgage-Backed Securities and other securities
Principal Balance	$ 50,825	$ 470,975
Unamortized Premium (Discount), net	2,378	25,741
Amortized Cost	53,203	496,716
Unrealized Gain	592	3,689
Unrealized Loss	(12)	(1,935)
Estimated Fair Value	$ 53,783	$ 498,470
Net Weighted Average Coupon (as a percent)	4.00%	3.90%
30 Year Mortgage
Mortgage-Backed Securities and other securities
Principal Balance	$ 224,041	$ 878,599
Unamortized Premium (Discount), net	15,710	63,608
Amortized Cost	239,751	942,207
Unrealized Gain	2,317	5,209
Unrealized Loss	(426)	(12,209)
Estimated Fair Value	$ 241,642	$ 935,207
Net Weighted Average Coupon (as a percent)	4.40%	4.10%
40 Years Mortgage
Mortgage-Backed Securities and other securities
Principal Balance	$ 366,178
Unamortized Premium (Discount), net	10,788
Amortized Cost	376,966
Unrealized Gain	1,662
Unrealized Loss	(1,876)
Estimated Fair Value	$ 376,752
Net Weighted Average Coupon (as a percent)	3.50%
Agency RMBS Interest Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost	$ 14,750	$ 18,810
Unrealized Gain	878	1,301
Unrealized Loss	(191)	(321)
Estimated Fair Value	$ 15,437	$ 19,790
Net Weighted Average Coupon (as a percent)	2.90%	3.00%
Notional balance	$ 165,500	$ 201,600
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 10,419	$ 16,503
Net Weighted Average Coupon (as a percent)	2.90%	3.20%
Notional balance	$ 122,000	$ 188,100
Agency CMBS
Mortgage-Backed Securities and other securities
Principal Balance	2,145,139	377,286
Unamortized Premium (Discount), net	2,142	(15,383)
Amortized Cost	2,147,281	361,903
Unrealized Gain	16,913	2,021
Unrealized Loss	(9,394)	(260)
Estimated Fair Value	$ 2,154,800	$ 363,664
Net Weighted Average Coupon (as a percent)	2.90%	2.60%
Agency CMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost	$ 0	$ 210
Unrealized Gain	10	21
Estimated Fair Value	$ 10	$ 231
Net Weighted Average Coupon (as a percent)	3.20%	4.30%
Notional balance	$ 3,300	$ 32,800
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 5,757	$ 7,729
Net Weighted Average Coupon (as a percent)	0.50%	0.60%
Notional balance	$ 192,500	$ 221,800
Subtotal Agency MBS
Mortgage-Backed Securities and other securities
Principal Balance	2,786,183	1,726,860
Unamortized Premium (Discount), net	31,018	73,966
Amortized Cost	2,831,951	1,819,846
Unrealized Gain	22,372	12,241
Unrealized Loss	(11,899)	(14,725)
Estimated Fair Value	$ 2,858,600	$ 1,841,594
Net Weighted Average Coupon (as a percent)	3.00%	3.30%
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 119,748	$ 340,759
Unamortized Premium (Discount), net	5,263	(294)
Discount Designated as Credit Reserve and OTTI	(39,491)	(108,399)
Amortized Cost	85,520	232,066
Unrealized Gain	5,473	11,210
Unrealized Loss	(161)	(2,235)
Estimated Fair Value	$ 90,832	$ 241,041
Net Weighted Average Coupon (as a percent)	3.80%	4.50%
Non-Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost	$ 8,738	$ 55,754
Unrealized Gain	0	8,362
Unrealized Loss	(16)
Estimated Fair Value	$ 8,722	$ 64,116
Net Weighted Average Coupon (as a percent)	0.90%	5.60%
Notional balance	$ 278,400	$ 278,400
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
Net Weighted Average Coupon (as a percent)		4.60%
Notional balance		$ 20,700
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Principal Balance	379,183	473,024
Unamortized Premium (Discount), net	(59,129)	(69,436)
Discount Designated as Credit Reserve and OTTI	(28,020)	(17,787)
Amortized Cost	292,034	385,801
Unrealized Gain	1,702	3,164
Unrealized Loss	(15,132)	(30,046)
Estimated Fair Value	$ 278,604	$ 358,919
Net Weighted Average Coupon (as a percent)	4.80%	5.00%
Subtotal Non-Agency MBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 498,931	$ 813,783
Unamortized Premium (Discount), net	(53,866)	(69,730)
Discount Designated as Credit Reserve and OTTI	(67,511)	(126,186)
Amortized Cost	386,292	673,621
Unrealized Gain	7,175	22,736
Unrealized Loss	(15,309)	(32,281)
Estimated Fair Value	$ 378,158	$ 667,161
Net Weighted Average Coupon (as a percent)	3.30%	5.00%
Other securities
Mortgage-Backed Securities and other securities
Principal Balance	$ 86,305	$ 44,838
Unamortized Premium (Discount), net	6,300	4,435
Discount Designated as Credit Reserve and OTTI	(5,404)	(4,298)
Amortized Cost	110,091	68,085
Unrealized Gain	12,161	1,271
Unrealized Loss	(187)	(1,594)
Estimated Fair Value	$ 122,065	$ 67,762
Net Weighted Average Coupon (as a percent)	7.80%	8.20%
Residual interests in asset-backed securities
Mortgage-Backed Securities and other securities
Principal Balance		$ 0
Amortized Cost	$ 22,900	$ 23,100

Mortgage-Backed Securities an38

Mortgage-Backed Securities and other securities (Details 3) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Discount Designated as Credit Reserve and OTTI
Other than temporary impairment	$ (2,972)	$ (7,225)	$ (6,579)	$ (6,097)	$ (10,155)	$ (4,978)	$ (6,356)	$ (10,797)	$ (22,873)	$ (32,286)	$ (19,791)
Non-Agency RMBS and Non-Agency CMBS and other securities
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period				(130,484)				(152,750)	(130,484)	(152,750)	(182,007)
Realized credit losses									2,391	7,697	9,534
Purchases									(19,385)	(15,792)	(38,634)
Sales									89,628	39,117	60,747
Other than temporary impairment									(15,310)	(22,413)	(14,839)
Transfers/release of credit reserve									245	13,657	14,769
Balance at end of period	(72,915)				(130,484)				(72,915)	(130,484)	(152,750)
Accretable Discount
Balance at beginning of period				(109,822)				(145,532)	(109,822)	(145,532)	(105,804)
Accretion of discount									10,715	17,431	18,465
Purchases									(1,205)	(2,945)	(96,380)
Sales									33,166	35,605	44,232
Transfers/release of credit reserve									(1,292)	(14,381)	(4,652)
Balance at end of period	(68,438)				(109,822)				(68,438)	(109,822)	(145,532)
Amortizable Premium
Balance at beginning of period				$ 44,527				56,163	44,527	56,163	82,228
Amortization of premium									(843)	(5,470)	(9,025)
Purchases									7,259	5,266	18,544
Sales									(31,118)	(12,156)	(30,054)
Transfers/release of credit reserve									1,047	724	(10,117)
Balance at end of period	$ 20,872				$ 44,527				$ 20,872	44,527	56,163
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 an39

Mortgage-Backed Securities and other securities (Details 4) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 3,358,823	$ 2,576,517
Mortgage-backed securities and other securities | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	1,605,249	300,326
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	831,875	748,226
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	393,110	1,156,746
Mortgage-backed securities and other securities | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	528,589	371,219
20 Year Mortgage
Mortgage-Backed Securities and other securities
Estimated Fair Value	53,783	498,470
20 Year Mortgage | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	53,783	498,470
30 Year Mortgage
Mortgage-Backed Securities and other securities
Estimated Fair Value	241,642	935,207
30 Year Mortgage | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	2,445
30 Year Mortgage | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	239,197	935,207
40 Years Mortgage
Mortgage-Backed Securities and other securities
Estimated Fair Value	376,752
40 Years Mortgage | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	376,752
Agency RMBS Interest Only Strips
Mortgage-Backed Securities and other securities
Estimated Fair Value	15,437	19,790
Agency RMBS Interest Only Strips | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	3,920	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	4,591	10,434
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	6,926	8,857
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	10,419	16,503
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	1,686	807
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	5,139	9,476
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	3,594	6,220
Agency CMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	2,154,800	363,664
Agency CMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	1,599,620	282,911
Agency CMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	555,180	80,753
Agency CMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated Fair Value	10	231
Agency CMBS Interest-Only Strips | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	10	231
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	5,757	7,729
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	5,757	7,729
Subtotal Agency MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	2,858,600	1,841,594
Subtotal Agency MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	1,605,236	284,448
Subtotal Agency MBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	621,138	599,133
Subtotal Agency MBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	249,717	950,284
Subtotal Agency MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	382,509	7,729
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	90,832	241,041
Non-Agency RMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	13	13
Non-Agency RMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	51,092	65,780
Non-Agency RMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	4,184	54,408
Non-Agency RMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	35,543	120,840
Non-Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated Fair Value	8,722	64,116
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	0	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	0	10,724
Non-Agency RMBS Interest-Only Strips | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	8,722	48,437
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
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
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
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	278,604	358,919
Non-Agency CMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	15,865
Non-Agency CMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	60,583	37,998
Non-Agency CMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	139,209	134,941
Non-Agency CMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	78,812	170,115
Subtotal Non-Agency MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	378,158	667,161
Subtotal Non-Agency MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	13	15,878
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	111,675	108,733
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	143,393	201,116
Subtotal Non-Agency MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	123,077	341,434
Other securities
Mortgage-Backed Securities and other securities
Estimated Fair Value	122,065	67,762
Other securities | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value		0
Other securities | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	99,062	40,360
Other securities | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	5,346
Other securities | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 23,003	$ 22,056

Mortgage-Backed Securities an40

Mortgage-Backed Securities and other securities (Details 5) $ in Thousands	Dec. 31, 2017USD ($)item	Dec. 31, 2016USD ($)item
Fair Value
Fair value - Less than 12 months	$ 1,419,604	$ 806,717
12 Months or More Fair Value	123,064	288,928
Total Fair Value	1,542,668	1,095,645
Unrealized Losses
Less than 12 Months Unrealized Losses	(13,832)	(18,182)
12 Months or More Unrealized Losses	(13,563)	(30,418)
Total Unrealized Losses	$ (27,395)	$ (48,600)
Number of Securities
Less than 12 Months Number of Securities | item	98	135
12 Months or More Number of Securities | item	43	70
Total Number of Securities | item	141	205
20 Year Mortgage
Fair Value
Fair value - Less than 12 months	$ 3,000	$ 142,749
12 Months or More Fair Value	0	0
Total Fair Value	3,000	142,749
Unrealized Losses
Less than 12 Months Unrealized Losses	(12)	(1,935)
12 Months or More Unrealized Losses	0	0
Total Unrealized Losses	$ (12)	$ (1,935)
Number of Securities
Less than 12 Months Number of Securities | item	3	47
12 Months or More Number of Securities | item	0	0
Total Number of Securities | item	3	47
30 Year Mortgage
Fair Value
Fair value - Less than 12 months	$ 44,072	$ 432,949
12 Months or More Fair Value	1,632	22,586
Total Fair Value	45,704	455,535
Unrealized Losses
Less than 12 Months Unrealized Losses	(291)	(11,264)
12 Months or More Unrealized Losses	(135)	(945)
Total Unrealized Losses	$ (426)	$ (12,209)
Number of Securities
Less than 12 Months Number of Securities | item	7	54
12 Months or More Number of Securities | item	5	13
Total Number of Securities | item	12	67
40 Years Mortgage
Fair Value
Fair value - Less than 12 months	$ 283,187
12 Months or More Fair Value	0
Total Fair Value	283,187
Unrealized Losses
Less than 12 Months Unrealized Losses	(1,876)
12 Months or More Unrealized Losses	0
Total Unrealized Losses	$ (1,876)
Number of Securities
Less than 12 Months Number of Securities | item	1
12 Months or More Number of Securities | item	0
Total Number of Securities | item	1
Agency RMBS Interest Only Strips
Fair Value
Fair value - Less than 12 months	$ 3,095	$ 6,105
12 Months or More Fair Value	1,703	1,630
Total Fair Value	4,798	7,735
Unrealized Losses
Less than 12 Months Unrealized Losses	(142)	(227)
12 Months or More Unrealized Losses	(49)	(94)
Total Unrealized Losses	$ (191)	$ (321)
Number of Securities
Less than 12 Months Number of Securities | item	6	6
12 Months or More Number of Securities | item	3	2
Total Number of Securities | item	9	8
Agency CMBS
Fair Value
Fair value - Less than 12 months	$ 955,559	$ 145,791
Total Fair Value	955,559	145,791
Unrealized Losses
Less than 12 Months Unrealized Losses	(9,394)	(260)
Total Unrealized Losses	$ (9,394)	$ (260)
Number of Securities
Less than 12 Months Number of Securities | item	57	7
Total Number of Securities | item	57	7
Subtotal Agency MBS
Fair Value
Fair value - Less than 12 months	$ 1,288,913	$ 727,594
12 Months or More Fair Value	3,335	24,216
Total Fair Value	1,292,248	751,810
Unrealized Losses
Less than 12 Months Unrealized Losses	(11,715)	(13,686)
12 Months or More Unrealized Losses	(184)	(1,039)
Total Unrealized Losses	$ (11,899)	$ (14,725)
Number of Securities
Less than 12 Months Number of Securities | item	74	114
12 Months or More Number of Securities | item	8	15
Total Number of Securities | item	82	129
Non-Agency RMBS
Fair Value
Fair value - Less than 12 months	$ 28,508	$ 11,628
12 Months or More Fair Value	0	33,034
Total Fair Value	28,508	44,662
Unrealized Losses
Less than 12 Months Unrealized Losses	(161)	(50)
12 Months or More Unrealized Losses	0	(2,185)
Total Unrealized Losses	$ (161)	$ (2,235)
Number of Securities
Less than 12 Months Number of Securities | item	3	3
12 Months or More Number of Securities | item	0	6
Total Number of Securities | item	3	9
Non-Agency RMBS Interest-Only Strips
Fair Value
Fair value - Less than 12 months	$ 8,722
12 Months or More Fair Value	0
Total Fair Value	8,722
Unrealized Losses
Less than 12 Months Unrealized Losses	(16)
12 Months or More Unrealized Losses	0
Total Unrealized Losses	$ (16)
Number of Securities
Less than 12 Months Number of Securities | item	3
12 Months or More Number of Securities | item	0
Total Number of Securities | item	3
Non-Agency CMBS
Fair Value
Fair value - Less than 12 months	$ 69,661	$ 59,529
12 Months or More Fair Value	119,729	208,288
Total Fair Value	189,390	267,817
Unrealized Losses
Less than 12 Months Unrealized Losses	(1,753)	(4,031)
12 Months or More Unrealized Losses	(13,379)	(26,015)
Total Unrealized Losses	$ (15,132)	$ (30,046)
Number of Securities
Less than 12 Months Number of Securities | item	15	17
12 Months or More Number of Securities | item	35	47
Total Number of Securities | item	50	64
Subtotal Non-Agency MBS
Fair Value
Fair value - Less than 12 months	$ 106,891	$ 71,157
12 Months or More Fair Value	119,729	241,322
Total Fair Value	226,620	312,479
Unrealized Losses
Less than 12 Months Unrealized Losses	(1,930)	(4,081)
12 Months or More Unrealized Losses	(13,379)	(28,200)
Total Unrealized Losses	$ (15,309)	$ (32,281)
Number of Securities
Less than 12 Months Number of Securities | item	21	20
12 Months or More Number of Securities | item	35	53
Total Number of Securities | item	56	73
Other securities
Fair Value
Fair value - Less than 12 months	$ 23,800	$ 7,966
12 Months or More Fair Value	0	23,390
Total Fair Value	23,800	31,356
Unrealized Losses
Less than 12 Months Unrealized Losses	(187)	(415)
12 Months or More Unrealized Losses	0	(1,179)
Total Unrealized Losses	$ (187)	$ (1,594)
Number of Securities
Less than 12 Months Number of Securities | item	3	1
12 Months or More Number of Securities | item	0	2
Total Number of Securities | item	3	3

Mortgage-Backed Securities an41

Mortgage-Backed Securities and other securities (Details 6) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Mortgage-Backed Securities and other securities
Other than temporary impairment	$ 2,972	$ 7,225	$ 6,579	$ 6,097	$ 10,155	$ 4,978	$ 6,356	$ 10,797	$ 22,873	$ 32,286	$ 19,791
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Amortization									2,070	548	(5,086)
Interest Income	$ 34,878	$ 30,928	$ 30,055	$ 28,430	$ 35,764	$ 29,154	$ 29,220	$ 29,618	124,291	123,756	152,704
Mortgage-backed securities and other securities
Components of interest income
Coupon Interest									111,233	135,737	200,787
Net (Premium Amortization/Amortization Basis) Discount Amortization									(2,191)	(21,372)	(51,894)
Interest Income									109,042	114,365	148,893
Agency RMBS
Mortgage-Backed Securities and other securities
Other than temporary impairment									5,774	6,090	4,005
Components of interest income
Coupon Interest									38,108	70,467	119,789
Net (Premium Amortization/Amortization Basis) Discount Amortization									(13,058)	(24,836)	(48,119)
Interest Income									25,050	45,631	71,670
Agency CMBS
Components of interest income
Coupon Interest									40,064	2,619	3,600
Net (Premium Amortization/Amortization Basis) Discount Amortization									507	(1,701)	(2,102)
Interest Income									40,571	918	1,498
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Other than temporary impairment									0	9,511	9,216
Components of interest income
Coupon Interest									5,602	35,221	44,473
Net (Premium Amortization/Amortization Basis) Discount Amortization									525	(5,243)	(8,008)
Interest Income									6,127	29,978	36,465
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Other than temporary impairment									15,117	13,025	4,061
Components of interest income
Coupon Interest									19,179	24,893	26,562
Net (Premium Amortization/Amortization Basis) Discount Amortization									8,276	7,431	3,687
Interest Income									27,455	32,324	30,249
Other securities
Mortgage-Backed Securities and other securities
Other than temporary impairment									1,982	3,660	2,509
Components of interest income
Coupon Interest									8,280	2,537	6,363
Net (Premium Amortization/Amortization Basis) Discount Amortization									1,559	2,977	2,648
Interest Income									$ 9,839	$ 5,514	$ 9,011

Mortgage-Backed Securities an42

Mortgage-Backed Securities and other securities (Details 7) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Mortgage-Backed Securities and other securities
Net Gain (Loss)	$ (2)	$ 1,830	$ (2,488)	$ 21,258	$ (17,023)	$ 1,439	$ (352)	$ (6,055)	$ 20,598	$ (21,991)	$ 8,279
Mortgage-backed securities and other securities
Mortgage-Backed Securities and other securities
Proceeds									1,589,145	2,255,414	2,540,076
Gross Gains									32,632	16,371	26,431
Gross Losses									(12,034)	(38,362)	(18,152)
Net Gain (Loss)									20,598	(21,991)	8,279
Agency RMBS
Mortgage-Backed Securities and other securities
Proceeds									1,251,985	1,239,350	1,293,120
Gross Gains									5,020	6,214	12,054
Gross Losses									(7,936)	(25,818)	(12,449)
Net Gain (Loss)									(2,916)	(19,604)	(395)
Agency RMBS | Agency interest only strips accounted for as derivatives
Mortgage-Backed Securities and other securities
Proceeds									2,600	18,500	7,300
Gross Gains									432	1,900	626
Gross Losses									0	(595)	(31)
Agency RMBS | Non Agency RMBS Interest Only Strips Accounted For As Derivatives
Mortgage-Backed Securities and other securities
Proceeds									2,200
Gross Gains									274
Gross Losses									(180)
Agency CMBS
Mortgage-Backed Securities and other securities
Proceeds										22,939
Gross Gains										54
Gross Losses										(66)
Net Gain (Loss)										(12)
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Proceeds									243,838	177,996	233,257
Gross Gains									24,356	6,470	11,066
Gross Losses									(2,241)	(4,560)	(174)
Net Gain (Loss)									22,115	1,910	10,892
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Proceeds									54,875	50,418	161,985
Gross Gains									2,543	137	2,123
Gross Losses									(1,803)	(5,810)	(171)
Net Gain (Loss)									740	(5,673)	1,952
Other securities
Mortgage-Backed Securities and other securities
Proceeds									38,447	764,711	851,714
Gross Gains									713	3,496	1,188
Gross Losses									(54)	(2,108)	(5,358)
Net Gain (Loss)									$ 659	$ 1,388	$ (4,170)

Variable Interest Entities (Det

Variable Interest Entities (Details) $ in Thousands	1 Months Ended	12 Months Ended
	Nov. 30, 2015USD ($)	Dec. 31, 2017USD ($)loanentity	Dec. 31, 2016USD ($)loanentity
Variable Interest Entity [Line Items]
Repurchase agreements		$ 3,251,686	$ 2,155,644
Securitized commercial loan, at fair value		24,876	24,225
Securitized debt, at fair value		$ 10,945	$ 10,659
Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of VIEs, as primary beneficiary | entity		2
Number of Loans | loan		616	475
CMSC Trust
Variable Interest Entity [Line Items]
Securitized commercial loan, at fair value		$ 24,800
Trust certificates issued		$ 24,800
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Number of trusts | entity		3	3
VIE
Variable Interest Entity [Line Items]
Securitized commercial loan, at fair value		$ 24,876	$ 24,225
Securitized debt, at fair value		$ 10,945	$ 10,659
Debt Instrument, Interest Rate, Effective Percentage		8.90%	8.90%
VIE | Residential Whole-Loans
Variable Interest Entity [Line Items]
Repurchase agreements		$ 189,300	$ 154,400
Mortgage loans on real estate, number of loans | loan		1
Principal Amount of Loans Subject to Delinquent Principal or Interest		$ 579
Mortgage loans on real estate, fair value amount of delinquent loans		$ 570
Mortgage loans on real estate, number of loans, nonperforming, percentage		0.20%
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Repurchase agreements		$ 100,200
Mortgage loans on real estate, number of loans | loan		9
Principal Amount of Loans Subject to Delinquent Principal or Interest		$ 1,800
Mortgage loans on real estate, number of loans, nonperforming, percentage		1.70%
Original LTV, collateral dependent		74.00%
Number of Loans | loan		340
VIE | Securitized commercial loan
Variable Interest Entity [Line Items]
Number of Loans | loan		1
CMSC Trust | Securitized commercial loan
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation	$ 14,000	$ 13,900
Variable interest entity, fair value		13,900
Securitized debt, at fair value		10,900
VIE | Securitized debt | Securitized commercial loan
Variable Interest Entity [Line Items]
Securitized debt, at fair value		$ 10,900	$ 10,700

Variable Interest Entities Summ

Variable Interest Entities Summary of the Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Variable Interest Entity [Line Items]
Residential Whole-Loans, at fair value	$ 237,423	$ 192,136
Securitized commercial loan, at fair value	24,876	24,225
Investment related receivable	7,665	33,600
Accrued interest receivable	13,603	18,812
Total assets	3,886,906	3,156,016
Securitized debt, at fair value	10,945	10,659
Accrued interest payable	8,322	16,041
Accounts payable and accrued expenses	3,118	3,255
Total liabilities	3,420,868	2,725,534
VIE
Variable Interest Entity [Line Items]
Residential Whole-Loans, at fair value	237,423	192,136
Residential Bridge Loans	106,673	0
Securitized commercial loan, at fair value	24,876	24,225
Investment related receivable	7,665	1,241
Accrued interest receivable	3,358	1,622
Total assets	379,995	219,224
Securitized debt, at fair value	10,945	10,659
Accrued interest payable	70	85
Accounts payable and accrued expenses	189	2
Total liabilities	11,204	$ 10,746
Residential Bridge Loans, at Fair Value
Variable Interest Entity [Line Items]
Fair value	64,526
Amortized cost	63,967
Residential Bridge Loans, at Amortized Cost
Variable Interest Entity [Line Items]
Amortized cost	$ 42,147

Variable Interest Entities Carr

Variable Interest Entities Carrying Value Components (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Residential Whole-Loans
Variable Interest Entity [Line Items]
Principal balance	$ 232,270	$ 187,765
Unamortized premium	2,021	1,311
Unamortized discount	(1,190)	(539)
Amortized cost	233,101	188,537
Gross unrealized gains	4,463	3,643
Gross unrealized losses	(141)	(44)
Fair value	237,423	192,136
Residential Bridge Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	63,802
Unamortized premium	293
Unamortized discount	(128)
Amortized cost	63,967
Gross unrealized gains	655
Gross unrealized losses	(96)
Fair value	64,526
Residential Bridge Loans, at Amortized Cost
Variable Interest Entity [Line Items]
Principal balance	42,066
Unamortized premium	122
Unamortized discount	(41)
Amortized cost	42,147
Securitized commercial loan
Variable Interest Entity [Line Items]
Principal balance	24,846	25,000
Amortized cost	24,846	25,000
Gross unrealized gains	30
Gross unrealized losses	0	(775)
Fair value	$ 24,876	$ 24,225

Variable Interest Entities Inve

Variable Interest Entities Investment Portfolio (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2017USD ($)itemloan	Dec. 31, 2016USD ($)itemloan
Residential Portfolio Segment Current Coupon Rate One
Variable Interest Entity [Line Items]
Number of Loans | loan	142	59
Principal balance | $	$ 55,593	$ 23,318
Original LTV	55.50%	54.80%
Original FICO Score | item	751	732
Expected Life (in years)	1 year 8 months 12 days	1 year 4 months 24 days
Contractual maturity (in years)	29 years 1 month 6 days	26 years 6 months
Interest Rate	3.90%	4.20%
Residential Portfolio Segment Current Coupon Rate Two
Variable Interest Entity [Line Items]
Number of Loans | loan	338	180
Principal balance | $	$ 125,860	$ 69,930
Original LTV	56.90%	57.10%
Original FICO Score | item	725	728
Expected Life (in years)	1 year 4 months 24 days	1 year 6 months
Contractual maturity (in years)	26 years 6 months	27 years 3 months 18 days
Interest Rate	4.50%	4.60%
Residential Portfolio Segment Current Coupon Rate Three
Variable Interest Entity [Line Items]
Number of Loans | loan	132	231
Principal balance | $	$ 48,553	$ 91,440
Original LTV	58.20%	55.50%
Original FICO Score | item	728	723
Expected Life (in years)	1 year 7 months 6 days	1 year 7 months 6 days
Contractual maturity (in years)	27 years	27 years 1 month 6 days
Interest Rate	5.20%	5.00%
Residential Portfolio Segment Current Coupon Rate Four
Variable Interest Entity [Line Items]
Number of Loans | loan	4	5
Principal balance | $	$ 2,264	$ 3,077
Original LTV	71.10%	71.20%
Original FICO Score | item	758	738
Expected Life (in years)	1 year 3 months 18 days	1 year 3 months 18 days
Contractual maturity (in years)	20 years 6 months	21 years 1 month 6 days
Interest Rate	6.30%	6.30%
Residential Bridge Loan Current Coupon Rate One
Variable Interest Entity [Line Items]
Number of Loans | loan	9
Principal balance | $	$ 4,016
Original LTV	64.50%
Contractual maturity (in years)	10 months 24 days
Interest Rate	5.90%
Residential Bridge Loan Current Coupon Rate Two
Variable Interest Entity [Line Items]
Number of Loans | loan	64
Principal balance | $	$ 18,420
Original LTV	67.80%
Contractual maturity (in years)	10 months 17 days
Interest Rate	6.70%
Residential Bridge Loan Current Coupon Rate Three
Variable Interest Entity [Line Items]
Number of Loans | loan	98
Principal balance | $	$ 25,608
Original LTV	66.40%
Contractual maturity (in years)	9 months 15 days
Interest Rate	7.60%
Residential Bridge Loan Current Coupon Rate Four
Variable Interest Entity [Line Items]
Number of Loans | loan	56
Principal balance | $	$ 19,728
Original LTV	70.30%
Contractual maturity (in years)	11 months 27 days
Interest Rate	8.90%
Residential Bridge Loan Current Coupon Rate Five
Variable Interest Entity [Line Items]
Number of Loans | loan	67
Principal balance | $	$ 25,001
Original LTV	73.30%
Contractual maturity (in years)	6 months 24 days
Interest Rate	9.70%
Residential Bridge Loan Current Coupon Rate Six
Variable Interest Entity [Line Items]
Number of Loans | loan	36
Principal balance | $	$ 10,656
Original LTV	75.40%
Contractual maturity (in years)	5 months
Interest Rate	10.80%
Residential Bridge Loan Current Coupon Rate Seven
Variable Interest Entity [Line Items]
Number of Loans | loan	2
Principal balance | $	$ 919
Original LTV	89.80%
Contractual maturity (in years)	8 months 6 days
Interest Rate	11.40%
Residential Bridge Loan Current Coupon Rate Eight
Variable Interest Entity [Line Items]
Number of Loans | loan	8
Principal balance | $	$ 1,520
Original LTV	73.80%
Contractual maturity (in years)	5 months 27 days
Interest Rate	18.00%
Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of Loans | loan	616	475
Principal balance | $	$ 232,270	$ 187,765
Original LTV	57.00%	56.30%
Original FICO Score | item	734	726
Expected Life (in years)	1 year 6 months	1 year 6 months
Contractual maturity (in years)	27 years 1 month 6 days	27 years
Interest Rate	4.50%	4.80%
Residential Portfolio Segment With No Fico Score
Variable Interest Entity [Line Items]
Number of Loans | loan	141	153
Principal balance | $	$ 56,500	$ 66,700
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of Loans | loan	340
Principal balance | $	$ 105,868
Original LTV	70.10%
Contractual maturity (in years)	9 months
Interest Rate	8.60%
Maximum | Residential Portfolio Segment Current Coupon Rate One
Variable Interest Entity [Line Items]
Interest Rate	4.00%	4.00%
Maximum | Residential Portfolio Segment Current Coupon Rate Two
Variable Interest Entity [Line Items]
Interest Rate	5.00%	5.00%
Maximum | Residential Portfolio Segment Current Coupon Rate Three
Variable Interest Entity [Line Items]
Interest Rate	6.00%	6.00%
Maximum | Residential Portfolio Segment Current Coupon Rate Four
Variable Interest Entity [Line Items]
Interest Rate	7.00%	7.00%
Maximum | Residential Bridge Loan Current Coupon Rate One
Variable Interest Entity [Line Items]
Interest Rate	6.00%
Maximum | Residential Bridge Loan Current Coupon Rate Two
Variable Interest Entity [Line Items]
Interest Rate	7.00%
Maximum | Residential Bridge Loan Current Coupon Rate Three
Variable Interest Entity [Line Items]
Interest Rate	8.00%
Maximum | Residential Bridge Loan Current Coupon Rate Four
Variable Interest Entity [Line Items]
Interest Rate	9.00%
Maximum | Residential Bridge Loan Current Coupon Rate Five
Variable Interest Entity [Line Items]
Interest Rate	10.00%
Maximum | Residential Bridge Loan Current Coupon Rate Six
Variable Interest Entity [Line Items]
Interest Rate	11.00%
Maximum | Residential Bridge Loan Current Coupon Rate Seven
Variable Interest Entity [Line Items]
Interest Rate	12.00%
Maximum | Residential Bridge Loan Current Coupon Rate Eight
Variable Interest Entity [Line Items]
Interest Rate	18.00%
Minimum | Residential Portfolio Segment Current Coupon Rate One
Variable Interest Entity [Line Items]
Interest Rate	3.01%	3.01%
Minimum | Residential Portfolio Segment Current Coupon Rate Two
Variable Interest Entity [Line Items]
Interest Rate	4.01%	4.01%
Minimum | Residential Portfolio Segment Current Coupon Rate Three
Variable Interest Entity [Line Items]
Interest Rate	5.01%	5.01%
Minimum | Residential Portfolio Segment Current Coupon Rate Four
Variable Interest Entity [Line Items]
Interest Rate	6.01%	6.01%
Minimum | Residential Bridge Loan Current Coupon Rate One
Variable Interest Entity [Line Items]
Interest Rate	5.01%
Minimum | Residential Bridge Loan Current Coupon Rate Two
Variable Interest Entity [Line Items]
Interest Rate	6.01%
Minimum | Residential Bridge Loan Current Coupon Rate Three
Variable Interest Entity [Line Items]
Interest Rate	7.01%
Minimum | Residential Bridge Loan Current Coupon Rate Four
Variable Interest Entity [Line Items]
Interest Rate	8.01%
Minimum | Residential Bridge Loan Current Coupon Rate Five
Variable Interest Entity [Line Items]
Interest Rate	9.01%
Minimum | Residential Bridge Loan Current Coupon Rate Six
Variable Interest Entity [Line Items]
Interest Rate	10.01%
Minimum | Residential Bridge Loan Current Coupon Rate Seven
Variable Interest Entity [Line Items]
Interest Rate	11.01%
Minimum | Residential Bridge Loan Current Coupon Rate Eight
Variable Interest Entity [Line Items]
Interest Rate	17.01%

Variable Interest Entities Geog

Variable Interest Entities Geographic Concentration (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016
Residential Whole-Loans
Variable Interest Entity [Line Items]
Principal balance	$ 232,270	$ 187,765
Geographic Concentration Risk | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal balance	$ 232,270	$ 187,765
Geographic Concentration Risk | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	100.00%
Principal balance	$ 105,868
Geographic Concentration Risk | California | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	62.20%	85.20%
Principal balance	$ 144,321	$ 159,955
Geographic Concentration Risk | California | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	48.20%
Principal balance	$ 51,080
Geographic Concentration Risk | Florida | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	13.40%
Principal balance	$ 14,199
Geographic Concentration Risk | Washington | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	4.00%	5.60%
Principal balance	$ 9,244	$ 10,591
Geographic Concentration Risk | Washington | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	6.30%
Principal balance	$ 6,645
Geographic Concentration Risk | Massachusetts | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	3.90%	5.40%
Principal balance	$ 9,114	$ 10,161
Geographic Concentration Risk | New York | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	24.40%	2.40%
Principal balance	$ 56,631	$ 4,454
Geographic Concentration Risk | New York | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	4.40%
Principal balance	$ 4,703
Geographic Concentration Risk | Georgia | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	4.30%	0.80%
Principal balance	$ 10,061	$ 1,492
Geographic Concentration Risk | Texas | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	4.40%
Principal balance	$ 4,660
Geographic Concentration Risk | Other | Residential Whole-Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	1.20%	0.60%
Principal balance	$ 2,899	$ 1,112
Geographic Concentration Risk | Other | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	23.30%
Principal balance	$ 24,581

Variable Interest Entities Unco

Variable Interest Entities Unconsolidated VIEs (Details) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure $ in Millions	12 Months Ended
	Dec. 31, 2017USD ($)entity	Dec. 31, 2016USD ($)entity
Variable Interest Entity [Line Items]
Number of trusts | entity	3	3
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 62.1	$ 60.5

Borrowings - Repurchase Agreeme

Borrowings - Repurchase Agreements (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2017USD ($)item	Dec. 31, 2016USD ($)
Borrowings Under Repurchase Agreements
Number of counterparties to master repurchase agreement | item	28
Number of counterparties from whom the Company had borrowings | item	16
Certain characteristics of the Company's repurchase agreements
Repurchase agreements borrowings	$ 3,251,686	$ 2,155,644
Less unamortized debt issuance cost	0	0
Borrowings under repurchase agreements	$ 3,251,686	$ 2,155,644
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	1.86%	1.48%
Weighted Average Remaining Maturity (days)	51 days	34 days
Accrued interest payable	$ 8,322	$ 16,041
VIE
Certain characteristics of the Company's repurchase agreements
Accrued interest payable	70	85
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Average borrowings under repurchase agreements	2,700,000	2,500,000
Maximum balance	3,300,000	3,100,000
Accrued interest payable	6,300	3,200
Repurchase agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 665,919	$ 1,427,674
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	1.62%	0.96%
Weighted Average Remaining Maturity (days)	61 days	38 days
Repurchase agreements | Agency CMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 2,035,222	$ 56,365
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	1.53%	1.07%
Weighted Average Remaining Maturity (days)	53 days	46 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 46,530	$ 218,712
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.76%	2.53%
Weighted Average Remaining Maturity (days)	41 days	28 days
Repurchase agreements | Agency and Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 154,325	$ 255,656
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.98%	2.55%
Weighted Average Remaining Maturity (days)	40 days	30 days
Repurchase agreements | Whole-Loans and securitized commercial loan
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 189,270	$ 161,181
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	3.66%	2.91%
Weighted Average Remaining Maturity (days)	8 days	9 days
Repurchase agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase agreements borrowings	$ 100,183	$ 0
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	4.05%	0.00%
Weighted Average Remaining Maturity (days)	59 days	0 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 60,237	$ 36,056
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.94%	2.32%
Weighted Average Remaining Maturity (days)	23 days	17 days
Residential Whole-Loans | VIE
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements	$ 189,300	$ 154,400

Borrowings - Repurchase Agree50

Borrowings - Repurchase Agreements Remaining Maturities (Details 2) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	$ 3,251,686	$ 2,155,644
Repurchase agreements borrowings	3,251,686	2,155,644
Overnight
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	0	0
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	1,387,599	1,386,971
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	665,656	167,642
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	871,819	601,031
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	$ 326,612	$ 0

Borrowings (Details 3)

Borrowings (Details 3) $ in Thousands	12 Months Ended
	Dec. 31, 2017USD ($)
UBS AG, London Branch
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	$ 65,532
Weighted Average Remaining Maturity	22 days
Percentage of Stockholders' Equity (as a percent)	14.10%
Credit Suisse AG, Cayman Islands Branch
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	$ 49,455
Weighted Average Remaining Maturity	8 days
Percentage of Stockholders' Equity (as a percent)	10.60%

Borrowings - Collateral Positio

Borrowings - Collateral Positions (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Collateral Positions
Accrued interest	$ 12,617	$ 9,790
Pledged Assets Including Accrued Interest	3,569,911	2,513,908
Assets Pledged- Fair Value	3,557,294	2,504,118
Due from counterparties	23,600	37,000
Due to counterparties	1,500	270
Securities received as collateral	306	357
Repurchase agreements
Collateral Positions
Amount of secured collateral	3,500,000	2,500,000
Repurchase agreements | Agency RMBS
Collateral Positions
Amount of secured collateral	690,255	1,465,384
Accrued interest	2,601	5,335
Pledged Assets Including Accrued Interest	692,856	1,470,719
Repurchase agreements | Non-Agency CMBS
Collateral Positions
Amount of secured collateral	208,062	358,919
Accrued interest	1,100	1,845
Pledged Assets Including Accrued Interest	209,162	360,764
Repurchase agreements | Non-Agency RMBS
Collateral Positions
Amount of secured collateral	58,127	308,165
Accrued interest	160	682
Pledged Assets Including Accrued Interest	58,287	308,847
Repurchase agreements | Whole-Loans and securitized commercial loan
Collateral Positions
Amount of secured collateral	237,423	205,702
Accrued interest	1,754	1,518
Pledged Assets Including Accrued Interest	239,177	207,220
Repurchase agreements | Residential Bridge Loans
Collateral Positions
Amount of secured collateral	106,673	0
Accrued interest	1,443	0
Pledged Assets Including Accrued Interest	108,116	0
Repurchase agreements | Other securities
Collateral Positions
Amount of secured collateral	89,823	67,762
Accrued interest	105	57
Pledged Assets Including Accrued Interest	89,928	67,819
Repurchase agreements | Cash
Collateral Positions
Pledged Assets Including Accrued Interest	23,591	36,986
Assets Pledged- Fair Value	23,591	36,986
VIE
Collateral Positions
Amount of secured collateral	106,673	0
VIE | Agency CMBS
Collateral Positions
Amount of secured collateral	2,143,340	61,200
Accrued interest	5,454	353
Pledged Assets Including Accrued Interest	$ 2,148,794	$ 61,553

Borrowings - Convertible Senior

Borrowings - Convertible Senior Unsecured Notes (Details) - Convertible Debt - 6.75% Convertible Senior Unsecured Notes	1 Months Ended
	Oct. 31, 2017USD ($)$ / shares
Debt Instrument [Line Items]
Aggregate principal amount of 6.75% convertible senior unsecured notes	$ 115,000,000
Interest rate, stated percentage	6.75%
Convertible notes, carrying amount of equity component	$ 15,000,000
Proceeds from issuance of long-term debt	$ 111,100,000
Convertible senior unsecured notes, earliest redemption period by company	3 months
Redemption price, percentage	100.00%
Convertible senior unsecured notes, conversion ratio	0.0831947
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares	$ 12.02

Derivative Instruments- Summary

Derivative Instruments- Summary (Details) $ in Thousands, € in Millions	12 Months Ended
	Dec. 31, 2017USD ($)	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)	Dec. 31, 2017EUR (€)
Derivative Instruments
Derivative collateral offset against derivatives	$ (157,913)	$ 0	$ 0
Estimated Fair Value
Estimated Fair value, assets	728	20,571
Derivative liabilities	(4,346)	(182,158)
Accrued Interest Payable
Total derivative instruments	8,322	16,041
Derivative instruments not accounted as hedges under GAAP
Estimated Fair Value
Estimated Fair value, assets	728	20,571
Derivative liabilities	(4,346)	(182,158)
Total derivative instruments	(3,618)	(161,587)
Accrued Interest Payable
Accrued Interest, assets	0	1,145
Accrued Interest, liabilities	0	2,960
Total derivative instruments	0	4,105
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	0	2,298,300
Notional amount, liabilities	3,252,200	5,046,300
Estimated Fair Value
Estimated Fair value, assets	0	20,466
Derivative liabilities	(4,191)	(177,929)
Accrued Interest Payable
Accrued Interest, assets	0	1,145
Accrued Interest, liabilities	0	3,054
Equity Option | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	320,000	0
Notional amount, liabilities	320,000	0
Estimated Fair Value
Estimated Fair value, assets	100	0
Derivative liabilities	(50)	0
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	0	0
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	480,000	56,900
Notional amount, liabilities	0	176,300
Estimated Fair Value
Estimated Fair value, assets	628	71
Derivative liabilities	0	(2,487)
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	0	0
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	0	784
Notional amount, liabilities	0	1,532
Estimated Fair Value
Estimated Fair value, assets	0	34
Derivative liabilities	0	(69)
Accrued Interest Payable
Accrued Interest, assets	0	0
Accrued Interest, liabilities	0	0
Total Return Swap
Notional Amount
Notional amount, assets | €				€ 51
Total Return Swap | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, liabilities	0	47,059
Estimated Fair Value
Derivative liabilities	0	(1,673)
Accrued Interest Payable
Accrued Interest, liabilities	0	(94)
Credit Default Swap | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	14,800
Notional amount, liabilities	14,815	0
Estimated Fair Value
Derivative liabilities	(95)	0
Accrued Interest Payable
Accrued Interest, liabilities	0	0
TBAs | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, liabilities	125,000	0
Estimated Fair Value
Derivative liabilities	(10)	0
Total derivative instruments	(10)
Accrued Interest Payable
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, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations											$ 18,418
Variation Margin Settlement											0
Return (Recovery) of Basis											(16,015)
Mark-to-market adjustments									$ 148,308	$ (5,135)	(73,599)
Contractual interest income (expense), net(1)											2,301
Total	$ 19,327	$ 7,217	$ (18,555)	$ (4,697)	$ 32,479	$ 6,121	$ (14,165)	$ (45,170)	3,292	(20,735)	(68,895)
Collateral already posted, aggregate fair value	63,300				206,600				63,300	206,600
Derivative collateral offset against derivatives									(157,913)	0	0
Cash pledged as collateral	$ 0				$ 470				0	470
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(157,261)	7,517
Variation Margin Settlement									20,258	0
Return (Recovery) of Basis									(5,471)	(10,766)
Mark-to-market adjustments									152,465	(5,135)
Contractual interest income (expense), net(1)									(6,699)	(12,351)
Total									3,292	(20,735)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(150,607)	(33,999)	23,680
Variation Margin Settlement									20,258	0	0
Return (Recovery) of Basis									524	672	1,250
Mark-to-market adjustments									148,947	11,013	(68,843)
Contractual interest income (expense), net(1)									(14,606)	(27,903)	(20,366)
Total									4,516	(50,217)	(64,279)
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(115)	(1,035)	(5,242)
Variation Margin Settlement									0	0	0
Return (Recovery) of Basis									0	0	0
Mark-to-market adjustments									0	1,631	(1,486)
Contractual interest income (expense), net(1)									0	0	0
Total									(115)	596	(6,728)
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
Other Settlements / Expirations									526	1,317	595
Variation Margin Settlement									0	0	0
Return (Recovery) of Basis									(5,995)	(11,438)	(17,265)
Mark-to-market adjustments									(902)	(4,726)	(4,283)
Contractual interest income (expense), net(1)									7,438	14,148	21,872
Total									1,067	(699)	919
Option | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(1,453)	4,756	(711)
Variation Margin Settlement									0	0	0
Return (Recovery) of Basis									0	0	0
Mark-to-market adjustments									(300)	0	0
Contractual interest income (expense), net(1)									0	0	0
Total									(1,753)	4,756	(711)
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(9,130)	23,609	(527)
Variation Margin Settlement									0	0	0
Return (Recovery) of Basis									0	0	0
Mark-to-market adjustments									3,044	(1,781)	105
Contractual interest income (expense), net(1)									0	0	0
Total									(6,086)	21,828	(422)
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									32	(66)	(901)
Variation Margin Settlement									0	0	0
Return (Recovery) of Basis									0	0	0
Mark-to-market adjustments									35	(56)	323
Contractual interest income (expense), net(1)									0	0	0
Total									67	(122)	(578)
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations										6,771	0
Variation Margin Settlement										0	0
Return (Recovery) of Basis										0	0
Mark-to-market adjustments										(7,168)	3,311
Contractual interest income (expense), net(1)										283	795
Total										(114)	4,106
Total Return Swap | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(552)	38
Variation Margin Settlement									0	0
Return (Recovery) of Basis									0	0
Mark-to-market adjustments									1,673	(1,673)
Contractual interest income (expense), net(1)									469	1,121
Total									1,590	(514)
Credit Default Swap | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(11)
Variation Margin Settlement									0
Return (Recovery) of Basis									0
Mark-to-market adjustments									(22)
Contractual interest income (expense), net(1)									0
Total									(33)
TBAs | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									4,049	6,126	1,524
Variation Margin Settlement									0	0	0
Return (Recovery) of Basis									0	0	0
Mark-to-market adjustments									(10)	(2,375)	(2,726)
Contractual interest income (expense), net(1)									0	0	0
Total									$ 4,039	$ 3,751	$ (1,202)

Derivative Instruments - Intere

Derivative Instruments - Interest Rate Swaps (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016	Apr. 30, 2017
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Fair Value—Asset (Liability), net	$ (3,618)	$ (161,587)
Interest rate swaps | Designated as hedging instrument | Fixed Pay Rate
Currency swaps and forwards
Notional Amount			$ 3,200,000
Interest rate swaps | Designated as hedging instrument | Variable Pay Rate
Currency swaps and forwards
Notional Amount			$ 2,000,000
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate
Currency swaps and forwards
Notional Amount	$ 3,252,200	$ 4,662,200
Average Fixed Pay Rate	2.20%	2.10%
Average Floating Receive Rate	1.40%	0.90%
Average Maturity (Years)	7 years 1 month 6 days	5 years 8 months 12 days
Forward starting (as a percent)	46.90%	35.70%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate
Currency swaps and forwards
Notional Amount		$ 2,682,400
Average Fixed Pay Rate		1.70%
Average Floating Receive Rate		0.90%
Average Maturity (Years)		6 years 6 months
Forward starting (as a percent)		0.00%
Fair Value—Asset (Liability), net		$ (42,861)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 Year or Less | Fixed Pay Rate
Currency swaps and forwards
Notional Amount		$ 105,900
Average Fixed Pay Rate		0.80%
Average Floating Receive Rate		0.80%
Average Maturity (Years)		9 months 18 days
Forward starting (as a percent)		0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Fixed Pay Rate
Currency swaps and forwards
Notional Amount	$ 600,000	$ 993,000
Average Fixed Pay Rate	1.60%	1.20%
Average Floating Receive Rate	1.50%	0.90%
Average Maturity (Years)	1 year 9 months 18 days	1 year 4 months 24 days
Forward starting (as a percent)	0.00%	88.10%
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	$ 960,000	$ 1,861,700
Average Fixed Pay Rate	2.00%	1.90%
Average Floating Receive Rate	1.40%	0.90%
Average Maturity (Years)	4 years 3 months 18 days	3 years 10 months 24 days
Forward starting (as a percent)	0.00%	36.50%
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		$ 1,811,400
Average Fixed Pay Rate		1.40%
Average Floating Receive Rate		0.90%
Average Maturity (Years)		3 years 8 months 12 days
Forward starting (as a percent)		0.00%
Fair Value—Asset (Liability), net		$ (24,112)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate
Currency swaps and forwards
Notional Amount	$ 1,692,200	$ 1,701,600
Average Fixed Pay Rate	2.50%	3.10%
Average Floating Receive Rate	1.40%	0.90%
Average Maturity (Years)	10 years 6 months	10 years 6 months
Forward starting (as a percent)	90.20%	6.50%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate
Currency swaps and forwards
Notional Amount		$ 871,000
Average Fixed Pay Rate		2.20%
Average Floating Receive Rate		0.90%
Average Maturity (Years)		12 years 3 months 18 days
Forward starting (as a percent)		0.00%
Fair Value—Asset (Liability), net		$ (18,749)
Forward starting interest rate swap
Currency swaps and forwards
Notional Amount	$ 1,500,000	$ 1,700,000
Derivative instrument, weighted average forward starting date	4 months	4 months 16 days

Derivative Instruments- Interes

Derivative Instruments- Interest Rate Swaptions (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2017
Derivative [Line Items]
Derivative assets	$ 20,571	$ 728
Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	$ 20,571	$ 728
Variable Pay Rate | Interest Rate Swaps 1.26%-1.50% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity (Years)	2 months 3 days
Variable Pay Rate | Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity (Years)	2 months 3 days
Fixed Pay Rate | Interest Rate Swaption 1.76%-2.00% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity (Years)	2 months 3 days
Fixed Pay Rate | Interest Rate Swaption 2.01%-2.25% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity (Years)	2 months 3 days
Fixed Pay Rate | Interest Rate Swaption 2.26%-2.50% | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity (Years)	5 months 24 days
Fixed Pay Rate | Interest rate swaption | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Average Maturity (Years)	2 months 21 days

Derivative Instruments- Currenc

Derivative Instruments- Currency Swaps and Forwards (Details) € in Thousands, $ in Thousands	Dec. 31, 2017USD ($)	Dec. 31, 2016USD ($)	Dec. 31, 2016EUR (€)
Derivative [Line Items]
Derivative assets	$ 728	$ 20,571
Derivative liability, at fair value	(4,346)	(182,158)
Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative assets	728	20,571
Derivative liability, at fair value	(4,346)	(182,158)
Total derivative instruments	(3,618)	(161,587)
Equity Option | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets	320,000	0
Notional amount, liabilities	(320,000)	0
Derivative assets	100	0
Derivative liability, at fair value	(50)	0
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets	0	784
Notional amount, liabilities	0	(1,532)
Derivative assets	0	34
Derivative liability, at fair value	0	(69)
Euro Member Countries, Euro | Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets | €			€ 710
Notional amount, liabilities | €			(1,383)
Derivative notional amount, net | €			2,093
Euro Member Countries, Euro | Buy USD/Sell EUR currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets | €			710
Euro Member Countries, Euro | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets | €			673
Euro Member Countries, Euro | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, liabilities | €			€ (710)
United States of America, Dollars | Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets		784
Notional amount, liabilities		(1,532)
Derivative assets		34
Derivative liability, at fair value		(69)
Derivative notional amount, net		2,316
Total derivative instruments		(35)
United States of America, Dollars | Buy USD/Sell EUR currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets		784
Total derivative instruments		34
United States of America, Dollars | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, assets		735
Total derivative instruments		(23)
United States of America, Dollars | Buy EUR/Sell USD currency forward | Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Notional amount, liabilities		(797)
Total derivative instruments		(46)
Long | Equity Option
Derivative [Line Items]
Notional amount, assets	320,000
Derivative assets	100
Long | Us Treasury Futures
Derivative [Line Items]
Derivative assets	628	71
Derivative liability, at fair value		2,500
Notional Amount	480,000	56,900
Short | Equity Option
Derivative [Line Items]
Notional amount, liabilities	(320,000)
Derivative liability, at fair value	$ (50)
Short | Us Treasury Futures
Derivative [Line Items]
Notional Amount		$ 176,300

Derivative Instruments - TBAs (

Derivative Instruments - TBAs (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016
Currency swaps and forwards
Derivative assets	$ 728	$ 20,571
Derivative liability, at fair value	(4,346)	(182,158)
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative assets	728	20,571
Derivative liability, at fair value	(4,346)	(182,158)
Derivative, fair value, net	(3,618)	(161,587)
TBAs | Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Notional amount, liabilities	125,000	0
Derivative liability, notional amount, net	125,000
Derivative notional amount, net	125,000
Derivative liability, at fair value	(10)	$ 0
Derivative, fair value, net	(10)
TBAs | Derivative instruments not accounted as hedges under GAAP | Long
Changes in notional amount
Notional Amount at the beginning of the period	0
Additions	5,843,200
Settlement, Termination, Expiration or Exercise	(5,718,200)
Notional Amount at the end of the period	125,000
TBAs | Derivative instruments not accounted as hedges under GAAP | Short
Changes in notional amount
Notional Amount at the beginning of the period	0
Additions	5,718,200
Settlement, Termination, Expiration or Exercise	(5,718,200)
Notional Amount at the end of the period	0
To Be Announced Purchase Contracts | Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative liability, notional amount, net	125,000
Derivative liability, at fair value	$ (10)

Derivative Instruments- Futures

Derivative Instruments- Futures Contracts (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Derivative liabilities	$ 4,346	$ 182,158
Derivative assets	728	20,571
Us Treasury Futures | Long
Derivative [Line Items]
Notional Amount	(480,000)	(56,900)
Derivative liabilities		(2,500)
Derivative assets	$ 628	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 Thousands, € in Millions	12 Months Ended
	Dec. 31, 2016USD ($)	Dec. 31, 2017EUR (€)
Derivative [Line Items]
Notional amount, assets | €		€ 51
Cash collateral from counterparties | $	$ 569
Euro Interbank Offer Rate
Derivative [Line Items]
Derivative, basis spread on variable rate (percent)	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%

Derivative Instruments Derivati

Derivative Instruments Derivative Instruments - Credit Default Swaps (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Derivative liabilities	$ (4,346)	$ (182,158)
Derivative instruments not accounted as hedges under GAAP
Derivative [Line Items]
Derivative liabilities	(4,346)	(182,158)
Derivative instruments not accounted as hedges under GAAP | Credit Default Swap
Derivative [Line Items]
Notional amount, assets	14,800
Derivative liabilities	$ (95)	$ 0

Offsetting Assets and Liabili63

Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Offsetting of Derivative Assets
Gross Amounts	$ 16,904	$ 47,888
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	16,904	47,888
Gross Amounts Not Offset in the Consolidated Balance Sheets
Financial Instruments	(11,683)	(43,838)
Cash Collateral	0	0
Net Amount	5,221	4,050
Gross amounts of derivative liability, fair value, gross liability	4,346	182,158
Derivative liabilities, net amounts of assets presented in consolidated balance sheets	4,346	182,158
Financial instruments, derivative liability, at fair value	(50)	(20,500)
Cash collateral, derivative liability, at fair value	(4,270)	(161,588)
Net Amount	26	70
Gross amounts of repurchase agreements	3,251,686	2,155,644
Repurchase agreement, net amounts of assets presented in consolidated balance sheets	3,251,686	2,155,644
Financial instruments, repurchase agreements	(3,251,686)	(2,155,644)
Gross amounts of derivative liability	3,256,032	2,337,802
Derivative liability, net amounts of assets presented in consolidated balance sheets	3,256,032	2,337,802
Derivative liability, financial instruments	(3,251,736)	(2,176,144)
Derivative liability, net amount	26	70
Derivative liability, cash collateral pledged	63,300	206,600
Fair value of investments pledged against repurchase agreements	3,500,000	2,500,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Offsetting of Derivative Assets
Gross Amounts	16,176	27,317
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	16,176	27,317
Financial Instruments	(11,633)	(23,338)
Gross Amounts Not Offset in the Consolidated Balance Sheets
Net Amount	4,543	3,979
Derivative asset
Offsetting of Derivative Assets
Gross Amounts	728	20,571
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	728	20,571
Gross Amounts Not Offset in the Consolidated Balance Sheets
Financial Instruments	(50)	(20,500)
Cash Collateral	0	0
Net Amount	$ 678	$ 71

Related Party Transactions (Det

Related Party Transactions (Details)	3 Months Ended								12 Months Ended
	Dec. 31, 2017USD ($)	Sep. 30, 2017USD ($)	Jun. 30, 2017USD ($)	Mar. 31, 2017USD ($)	Dec. 31, 2016USD ($)	Sep. 30, 2016USD ($)	Jun. 30, 2016USD ($)	Mar. 31, 2016USD ($)	Dec. 31, 2017USD ($)item	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)
Related Party Transactions
Management fees	$ 1,941,000	$ 1,853,000	$ 1,830,000	$ 2,476,000	$ 2,503,000	$ 2,604,000	$ 2,588,000	$ 2,753,000
Estimated Fair Value
Related Party Transactions
Securitized debt, Fair value	10,945,000				10,659,000				$ 10,945,000	$ 10,659,000
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									$ 8,100,000	10,400,000	$ 10,900,000
Reimbursable employee costs									1,400,000	740,000	$ 1,200,000
Management fees incurred but not yet paid	1,900,000				2,500,000				1,900,000	2,500,000
Accounts payable, related parties	99,000				83,000				$ 99,000	83,000
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	10,900,000				10,700,000				$ 10,900,000	10,700,000
Securitized commercial loan | Securitized debt | VIE
Related Party Transactions
Securitized debt	$ 10,932,000				$ 11,000,000				$ 10,932,000	$ 11,000,000

Share-Based Payments (Details)

Share-Based Payments (Details) $ / shares in Units, $ in Thousands	Jun. 01, 2017shares	Jun. 02, 2016shares	Jun. 04, 2015director	Dec. 31, 2017USD ($)$ / sharesshares	Dec. 31, 2016USD ($)$ / sharesshares	Dec. 31, 2015USD ($)$ / 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)					512,262
Stock-based compensation expense recognized | $				$ 981	$ 1,700	$ 2,300
Restricted common stock
Share-Based Payments
Vested (in shares)				152,630	200,983	175,824
Shares of Restricted Stock
Restricted Stock Shares Outstanding, beginning of period				707,861	688,394
Granted (in shares)				17,588	19,467		725,449
Restricted Stock Shares Outstanding, end of period				725,449	707,861	688,394
Unvested at end of year (in shares)				83,155	218,197
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares				$ 17.17	$ 17.39
Granted (in dollars per share) | $ / shares				10.30	9.40
Outstanding at end of year (in dollars per share) | $ / shares				17	17.17	$ 17.39
Unvested at end of year (in dollars per share) | $ / shares				$ 14.07	$ 14.98
Restricted common stock | Director Deferred Fee Plan
Shares of Restricted Stock
Granted (in shares)				2,052	2,335
Restricted common stock | March 2017
Shares of Restricted Stock
Unvested at end of year (in shares)				0	133,334
Restricted common stock | June 2017
Shares of Restricted Stock
Unvested at end of year (in shares)				0	18,196
Restricted common stock | March 2018
Shares of Restricted Stock
Unvested at end of year (in shares)				66,667	66,667
Restricted common stock | June 2018
Shares of Restricted Stock
Unvested at end of year (in shares)				16,488	0
Restricted common stock | Director
Share-Based Payments
Awards granted to each of the entity's independent directors (in shares)	3,884	4,283
Number of independent directors to whom awards were granted | director			4
Shares of Restricted Stock
Granted (in shares)	15,536	17,132
Equity awards
Share-Based Payments
Unamortized compensation expense | $				$ 66	$ 67
Liability awards
Share-Based Payments
Unamortized compensation expense | $				$ 111	$ 895

Stockholders' Equity (Details)

Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Millions	Dec. 21, 2017	Sep. 21, 2017	Jun. 30, 2017	Mar. 23, 2017	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. 31, 2017	Apr. 30, 2017	Feb. 25, 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													2,100,000		2,050,000
Dividends declared per Share of Common Stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.45	$ 0.58	$ 0.60	$ 0.64	$ 0.67
Dividends paid per Share of Common Stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.45	$ 0.58	$ 0.6	$ 0.64	$ 0.67
Institutional investors
Shareholders equity
Number of warrant units authorized to be sold																2,231,787
Common Stock
Shareholders equity
Treasury stock (in shares)													125,722
Common Stock
Shareholders equity
Equity distribution agreement, maximum value														$ 100
Treasury stock (in shares)													125,722

Net Income (Loss) per Common 67

Net Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Numerator:
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share	$ 21,404	$ 22,767	$ 20,684	$ 20,242	$ (38,296)	$ 32,282	$ 17,303	$ (36,304)	$ 85,097	$ (25,015)	$ (9,484)
Less: Dividends and undistributed earnings allocated to participating securities									312	377	1,045
Net income (loss) allocable to common stockholders - basic and diluted									$ 84,785	$ (25,392)	$ (10,529)
Denominator:
Weighted average common shares outstanding for basic earnings per share									41,817,455	41,688,950	41,490,556
Weighted average common shares outstanding for diluted earnings per share									41,817,455	41,688,950	41,490,556
Net income (loss) per common share - basic (in dollars per share)	$ 0.51	$ 0.54	$ 0.49	$ 0.48	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ 2.03	$ (0.61)	$ (0.25)
Net income (loss) per common share - diluted (in dollars per share)	$ 0.51	$ 0.54	$ 0.49	$ 0.48	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ 2.03	$ (0.61)	$ (0.25)

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Income Tax Disclosure [Abstract]
Current income tax expense (benefit)									$ 3,809	$ 3,156
Excise tax expense									0	339
Income Tax Contingency [Line Items]
Income tax provision (benefit)	$ 2,215	$ (1,155)	$ 2,115	$ 312	$ 917	$ 2,239	$ 0	$ 0	3,487	3,156	$ 0
Net capital loss carry-forward	4,158				1,981				4,158	1,981
Net operating loss available for carry-back and carry-forward	9,604				0				9,604	0
Deferred Tax Assets, Valuation Allowance	15,303				6,485				15,303	6,485
Net deferred tax liability	85				$ 0				85	0
Tax Year 2015 [Member]
Income Tax Contingency [Line Items]
Income tax provision (benefit)										$ 2,000
State and Local Jurisdiction [Member]
Income Tax Contingency [Line Items]
Net operating loss available for carry-back and carry-forward	8,800								8,800
Domestic Tax Authority [Member]
Income Tax Contingency [Line Items]
Net deferred tax liability	85								85
Taxable REIT Subsidiary [Member]
Income Tax Contingency [Line Items]
Net capital loss carry-forward	6,100								6,100
Taxable REIT Subsidiary [Member] | State and Local Jurisdiction [Member]
Income Tax Contingency [Line Items]
Net operating loss available for carry-back and carry-forward	765								765
Operating Loss Carryforwards [Member]
Income Tax Contingency [Line Items]
Deferred Tax Assets, Valuation Allowance	$ 9,200								$ 9,200

Income Taxes Deferred Tax Asset

Income Taxes Deferred Tax Asset/Liability (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Deferred Tax Assets, Net [Abstract]
Net operating loss available for carry-back and carry-forward	$ 9,604	$ 0
Net capital loss carry-forward	4,158	1,981
Investments	1,948	4,504
Deferred tax asset	15,710	6,485
Allowance	(15,303)	(6,485)
Net deferred tax asset	407	0
Deferred Tax Liabilities, Net [Abstract]
Net operating loss available for carry-back and carry-forward	85	0
Net deferred tax liability	$ 85	$ 0

Income Taxes Components of Inco

Income Taxes Components of Income Tax Expense (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Current tax provision (benefit)
Federal									$ 4,076	$ 2,365
State									(267)	672
Interest and Penalties									0	119
Total Current Provision for Income taxes, net									3,809	3,156
Deferred Provision (Benefit) for Income Taxes
Federal									85	0
State									(407)	0
Total Deferred Benefit for Income Taxes, net									(322)	0
Income Tax Expense (Benefit)	$ 2,215	$ (1,155)	$ 2,115	$ 312	$ 917	$ 2,239	$ 0	$ 0	$ 3,487	$ 3,156	$ 0

Income Taxes Effective Income T

Income Taxes Effective Income Tax Rate Reconciliation (Details)	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016
Effective Income Tax Rate Reconciliation, Percent [Abstract]
Federal statutory rate	34.30%	34.00%
State statutory rate, net of federal benefit	(1.30%)	3.00%
Other	(1.00%)	(9.50%)
Change in valuation allowance	0.80%	(15.40%)
Effect of statutory rate changes	2.90%	0.00%
REIT earnings not subject to corporate taxes	(31.80%)	(26.50%)
Effective Tax Rate	3.90%	(14.40%)

Summarized Quarterly Results 72

Summarized Quarterly Results (unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015
Net Interest Income
Interest income	$ 34,878	$ 30,928	$ 30,055	$ 28,430	$ 35,764	$ 29,154	$ 29,220	$ 29,618	$ 124,291	$ 123,756	$ 152,704
Interest expense	16,866	12,363	10,407	8,737	9,039	7,685	7,727	7,979	48,373	32,430	27,605
Net Interest Income	18,012	18,565	19,648	19,693	26,725	21,469	21,493	21,639	75,918	91,326	125,099
Other Income (Loss)
Realized gain (loss) on sale of investments, net	(2)	1,830	(2,488)	21,258	(17,023)	1,439	(352)	(6,055)	20,598	(21,991)	8,279
Other than temporary impairment	(2,972)	(7,225)	(6,579)	(6,097)	(10,155)	(4,978)	(6,356)	(10,797)	(22,873)	(32,286)	(19,791)
Unrealized gain (loss), net	(6,730)	5,249	35,017	(5,140)	(64,678)	15,292	21,510	10,769
Gain (loss) on derivative instruments, net	19,327	7,217	(18,555)	(4,697)	32,479	6,121	(14,165)	(45,170)	3,292	(20,735)	(68,895)
Other, net	190	216	222	403	338	(60)	234	(332)
Other Income (Loss)	9,813	7,287	7,617	5,727	(59,039)	17,814	871	(51,585)	1,031	180	2,318
Expenses
Management fee to affiliate	1,941	1,853	1,830	2,476	2,503	2,604	2,588	2,753
Other operating expenses	564	702	736	417	236	188	183	438	2,419	1,045	2,014
Compensation expense	628	660	664	740	768	868	649	737	2,692	3,022	3,762
Professional fees	741	781	832	888	867	723	1,222	2,002	3,242	4,814	4,368
Other general and administrative expenses	332	244	404	345	691	379	419	428	1,325	1,917	1,465
Total general and administrative expenses	1,701	1,685	1,900	1,973	2,326	1,970	2,290	3,167	7,259	9,753	9,595
Total Expenses	4,206	4,240	4,466	4,866	5,065	4,762	5,061	6,358	17,778	21,246	22,483
Income (loss) before income taxes	23,619	21,612	22,799	20,554	(37,379)	34,521	17,303	(36,304)	88,584	(21,859)	(9,484)
Income tax provision (benefit)	2,215	(1,155)	2,115	312	917	2,239	0	0	3,487	3,156	0
Net income (loss)	$ 21,404	$ 22,767	$ 20,684	$ 20,242	$ (38,296)	$ 32,282	$ 17,303	$ (36,304)	$ 85,097	$ (25,015)	$ (9,484)
Net income (loss) per common share - basic (in dollars per share)	$ 0.51	$ 0.54	$ 0.49	$ 0.48	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ 2.03	$ (0.61)	$ (0.25)
Net income (loss) per common share - diluted (in dollars per share)	$ 0.51	$ 0.54	$ 0.49	$ 0.48	$ (0.92)	$ 0.77	$ 0.41	$ (0.88)	$ 2.03	$ (0.61)	$ (0.25)

Schedule IV Mortgage Loans on R

Schedule IV Mortgage Loans on Real Estate (Details)	12 Months Ended
	Dec. 31, 2017USD ($)loan	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Beginning balance	$ 216,361,000	$ 243,538,000	$ 7,220,000
New mortgage loans	232,545,000	29,399,000	262,949,000
Unrealized gains	3,167,000	1,187,000	3,631,000
Collections of principal	80,550,000	53,714,000	29,105,000
Amortization of premium and (discounts)	1,470,000	2,044,000	1,074,000
Unrealized losses	1,081,000	2,005,000	83,000
Balance at end of period	$ 368,972,000	216,361,000	$ 243,538,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal balance		362,984,000
Carrying Amount of Mortgages		368,972,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans | loan	152
Principal balance	$ 22,929,000
Carrying Amount of Mortgages	$ 23,457,000
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%
Principal balance	$ 0
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%
Principal balance	$ 249,999
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	303
Principal balance	$ 98,802,000
Carrying Amount of Mortgages	$ 100,973,000
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%
Principal balance	$ 250,000
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%
Principal balance	$ 499,999
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	76
Principal balance	$ 42,406,000
Carrying Amount of Mortgages	43,278,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	$ 579,000
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%
Principal balance	$ 500,000
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%
Principal balance	$ 749,999
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	29
Principal balance	$ 23,342,000
Carrying Amount of Mortgages	$ 22,697,000
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%
Principal balance	$ 750,000
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%
Principal balance	$ 999,999
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	11
Principal balance	$ 11,125,000
Carrying Amount of Mortgages	$ 12,457,000
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	4.40%
Principal balance	$ 1,000,000
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%
Principal balance	$ 1,249,999
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	5
Principal balance	$ 6,534,000
Carrying Amount of Mortgages	$ 6,669,000
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	4.00%
Principal balance	$ 1,250,000
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	4.90%
Principal balance	$ 1,499,999
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	8
Principal balance	$ 13,987,000
Carrying Amount of Mortgages	$ 14,355,000
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	4.30%
Principal balance	$ 1,500,000
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	5.30%
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	$ 1,198,000
Carrying Amount of Mortgages	$ 1,229,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.50%
Principal balance	$ 0
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.70%
Principal balance	$ 249,999
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	6
Principal balance	$ 2,124,000
Carrying Amount of Mortgages	$ 2,185,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.40%
Principal balance	$ 250,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.70%
Principal balance	$ 499,999
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	$ 993,000
Carrying Amount of Mortgages	$ 1,022,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	4.40%
Principal balance	$ 500,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	4.70%
Principal balance	$ 749,999
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	$ 2,634,000
Carrying Amount of Mortgages	$ 2,700,000
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	4.50%
Principal balance	$ 1,250,000
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	4.70%
Principal balance	$ 1,499,999
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	4.40%
Principal balance	$ 1,400,000
Carrying Amount of Mortgages	1,432,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum
Mortgage Loans on Real Estate
Principal balance	1,500,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal Amount of Loans Subject to Delinquent Principal or Interest	$ 2,349,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans | loan	5
Principal balance	$ 624,000
Carrying Amount of Mortgages	$ 647,000
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%
Principal balance	$ 0
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%
Principal balance	$ 249,999
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	3
Principal balance		659,000
Carrying Amount of Mortgages		683,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	5.00%
Principal balance	$ 250,000
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%
Principal balance	$ 499,999
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	3
Principal balance		1,529,000
Carrying Amount of Mortgages		1,577,000
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%
Principal balance	$ 500,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	5.50%
Principal balance	$ 749,999
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		970,000
Carrying Amount of Mortgages		1,007,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Minimum
Mortgage Loans on Real Estate
Principal balance	$ 1,000,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | Maximum
Mortgage Loans on Real Estate
Principal balance	$ 1,249,999
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		1,014,000
Carrying Amount of Mortgages		1,055,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Minimum
Mortgage Loans on Real Estate
Principal balance	$ 1,250,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | Maximum
Mortgage Loans on Real Estate
Principal balance	1,499,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Principal balance	$ 1,500,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum
Mortgage Loans on Real Estate
Interest Rate	8.00%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Maximum
Mortgage Loans on Real Estate
Interest Rate	10.00%
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	$ 25,000,000	24,846,000
Carrying Amount of Mortgages		$ 24,876,000
Period for interest only payments	2 years
Amortization schedule	30 years
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans | loan	200
Principal balance	$ 30,624,000
Carrying Amount of Mortgages	30,960,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	$ 1,042,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	5.80%
Principal balance	$ 0
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	18.00%
Principal balance	$ 249,999
Residential Bridge Loans | 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	76
Principal balance	$ 26,024,000
Carrying Amount of Mortgages	26,275,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	$ 728,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	5.80%
Principal balance	$ 250,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	18.00%
Principal balance	$ 499,999
Residential Bridge Loans | 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	35
Principal balance	$ 20,714,000
Carrying Amount of Mortgages	$ 20,819,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	6.00%
Principal balance	$ 500,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	11.00%
Principal balance	$ 749,999
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Number of Loans | loan	21
Principal balance	$ 18,351,000
Carrying Amount of Mortgages	$ 18,431,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Minimum
Mortgage Loans on Real Estate
Interest Rate	5.80%
Principal balance	$ 750,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | Maximum
Mortgage Loans on Real Estate
Interest Rate	11.30%
Principal balance	$ 999,999
Residential Bridge Loans | 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	6
Principal balance	$ 4,875,000
Carrying Amount of Mortgages	$ 4,882,000
Residential Bridge Loans | Fixed 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	9.00%
Principal balance	$ 1,000,000
Residential Bridge Loans | Fixed 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	11.00%
Principal balance	$ 1,249,999
Residential Bridge Loans | 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	2
Principal balance	$ 5,280,000
Carrying Amount of Mortgages	$ 5,306,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Minimum
Mortgage Loans on Real Estate
Interest Rate	8.00%
Principal balance	$ 1,500,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | Maximum
Mortgage Loans on Real Estate
Interest Rate	10.00%