Western Asset Mortgage Capital (WMC) 10-Q 7 Aug 18 2018 Q2 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2018	Aug. 03, 2018
Document and Entity Information
Entity Registrant Name	Western Asset Mortgage Capital Corp
Entity Central Index Key	1,465,885
Document Type	10-Q
Document Period End Date	Jun. 30, 2018
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Filer Category	Accelerated Filer
Entity Common Stock, Shares Outstanding		41,616,379
Document Fiscal Year Focus	2,018
Document Fiscal Period Focus	Q2

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands		Jun. 30, 2018	Dec. 31, 2017
Assets:
Cash and cash equivalents		$ 16,295	$ 48,024
Restricted cash		58,747	0
Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)		335,149	237,423
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Securitized commercial loans, at fair value		1,309,195	24,876
Commercial Loans, at fair value ($20,515 and $0 pledged as collateral, at fair value, respectively)		70,717	0
Investment related receivable		37,286	7,665
Interest receivable		19,487	13,603
Due from counterparties		64,791	86,930
Derivative assets, at fair value		6,998	728
Other assets		3,571	2,161
Total assets	[1]	5,217,333	3,886,906
Liabilities:
Repurchase agreements, net		3,267,369	3,251,686
Convertible senior unsecured notes, net		109,401	108,743
Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)		1,231,300	10,945
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		10,309	8,322
Investment related payables		52,530	17,217
Due to counterparties		5,208	1,490
Derivative liability, at fair value		1,623	4,346
Accounts payable and accrued expenses		2,531	3,118
Payable to affiliate		3,062	2,041
Dividend payable		12,901	12,960
Other liabilities		59,308	0
Total liabilities	[2]	4,755,542	3,420,868
Commitments and contingencies
Stockholders’ Equity:
Common stock: $0.01 par value, 500,000,000 shares authorized, 41,616,379 and 41,794,079 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, 303,422 and 125,722 shares held, respectively		(2,965)	(1,232)
Additional paid-in capital		768,945	768,763
Retained earnings (accumulated deficit)		(304,608)	(301,912)
Total Stockholders’ Equity		461,791	466,038
Total Liabilities and Stockholders’ Equity		5,217,333	3,886,906
Agency MBS
Assets:
Agency mortgage-backed securities, at fair value ($2,440,683 and $2,833,595 pledged as collateral, at fair value, respectively)		2,495,161	2,858,600
Non-Agency MBS
Assets:
Agency mortgage-backed securities, at fair value ($2,440,683 and $2,833,595 pledged as collateral, at fair value, respectively)		432,596	378,158
Other securities
Assets:
Agency mortgage-backed securities, at fair value ($2,440,683 and $2,833,595 pledged as collateral, at fair value, respectively)		$ 108,001	$ 122,065
[1]	(1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents364—Restricted cash58,747—Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)335,149237,423Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)259,339106,673Securitized commercial loans, at fair value1,309,19524,876Commercial Loans, at fair value ($20,515 and $0 pledged as collateral, at fair value, respectively)20,515—Investment related receivable37,2867,665Interest receivable9,7943,358Other assets548—Total assets of consolidated VIEs2,030,937379,995Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)236,35964,526
[2]	(2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)1,231,30010,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)2,68770Accounts payable and accrued expenses678189Other liabilities59,309—Total liabilities of consolidated VIEs1,293,97411,204Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)348,79910,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)97670

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands		Jun. 30, 2018	Dec. 31, 2017
Fair value of residential whole-loans pledged as collateral		$ 335,149	$ 237,423
Residential bridge loan, at fair value		$ 236,359	$ 64,526
Common stock, par value (in dollars per share)		$ 0.01	$ 0.01
Common stock, shares authorized (in shares)		500,000,000	500,000,000
Common stock, shares outstanding (in shares)		41,616,379	41,794,079
Preferred stock, par value (in dollars per share)		$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)		100,000,000	100,000,000
Preferred stock, shares outstanding (in shares)		0	0
Treasury stock, shares held (in shares)		303,422,000	125,722,000
Assets and liabilities of the consolidated VIEs
Cash and cash equivalents		$ 16,295	$ 48,024
Restricted cash		58,747	0
Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)		335,149	237,423
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Residential Bridge Loan		259,339	106,673
Securitized commercial loans, at fair value		1,309,195	24,876
Commercial Loans, at fair value		20,515	0
Investment related receivable		37,286	7,665
Interest receivable		19,487	13,603
Other assets		3,571	2,161
Total assets	[1]	5,217,333	3,886,906
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		10,309	8,322
Accounts payable and accrued expenses		2,531	3,118
Other liabilities		59,308	0
Total liabilities	[2]	4,755,542	3,420,868
Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)		1,231,300	10,945
VIE
Residential bridge loan, at fair value		236,359	64,526
Assets and liabilities of the consolidated VIEs
Cash and cash equivalents		364	0
Restricted cash		58,747	0
Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)		335,149	237,423
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Securitized commercial loans, at fair value		1,309,195	24,876
Commercial Loans, at fair value		20,515	0
Investment related receivable		37,286	7,665
Interest receivable		9,794	3,358
Other assets		548	0
Total assets		2,030,937	379,995
Securitized debt		1,231,300	10,945
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		2,687	70
Accounts payable and accrued expenses		678	189
Other liabilities		59,309	0
Total liabilities		1,293,974	11,204
Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)		1,231,300	10,945
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)		432,352	266,189
Other securities
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)		107,864	89,823
Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)		2,440,683	2,833,595
Affiliated Entity
Assets and liabilities of the consolidated VIEs
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		976	70
Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)		348,799	10,945
Affiliated Entity | VIE
Assets and liabilities of the consolidated VIEs
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		976	70
Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)		$ 348,799	$ 10,945
[1]	(1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents364—Restricted cash58,747—Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)335,149237,423Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)259,339106,673Securitized commercial loans, at fair value1,309,19524,876Commercial Loans, at fair value ($20,515 and $0 pledged as collateral, at fair value, respectively)20,515—Investment related receivable37,2867,665Interest receivable9,7943,358Other assets548—Total assets of consolidated VIEs2,030,937379,995Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)236,35964,526
[2]	(2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)1,231,30010,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)2,68770Accounts payable and accrued expenses678189Other liabilities59,309—Total liabilities of consolidated VIEs1,293,97411,204Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)348,79910,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)97670

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Net Interest Income
Interest income	$ 57,154	$ 30,055	$ 96,881	$ 58,485
Interest expense (includes $4,719, $248, $5,207 and $494 on securitized debt held by affiliates, respectively)	38,134	10,407	58,831	19,144
Net Interest Income	19,020	19,648	38,050	39,341
Other Income (Loss)
Realized gain (loss) on sale of investments, net	(5,608)	(2,488)	(5,033)	18,770
Other than temporary impairment	(2,974)	(6,579)	(5,890)	(12,676)
Unrealized gain (loss), net	(31,693)	35,017	(100,654)	29,877
Gain (loss) on derivative instruments, net	28,490	(18,555)	108,072	(23,252)
Other, net	(145)	222	(98)	625
Other Income (Loss)	(11,930)	7,617	(3,603)	13,344
Expenses
Management fee to affiliate	2,259	1,830	4,439	4,306
Other operating expenses	1,555	736	2,524	1,153
General and administrative expenses:
Compensation expense	572	664	1,082	1,404
Professional fees	818	832	2,113	1,720
Other general and administrative expenses	397	404	758	749
Total general and administrative expenses	1,787	1,900	3,953	3,873
Total Expenses	5,601	4,466	10,916	9,332
Income before income taxes	1,489	22,799	23,531	43,353
Income tax provision	36	2,115	349	2,427
Net income	$ 1,453	$ 20,684	$ 23,182	$ 40,926
Net income (loss) per Common Share — Basic (in dollars per share)	$ 0.03	$ 0.49	$ 0.55	$ 0.97
Net income (loss) per Common Share — Diluted (in dollars per share)	0.03	0.49	0.55	0.97
Dividends, declared per share of common stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.62	$ 0.62

Consolidated Statements of Ope5

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Interest expense (includes $4,719, $248, $5,207 and $494 on securitized debt held by affiliates, respectively)	$ 38,134	$ 10,407	$ 58,831	$ 19,144
Affiliated Entity
Interest expense (includes $4,719, $248, $5,207 and $494 on securitized debt held by affiliates, respectively)	$ 4,719	$ 248	$ 5,207	$ 494

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, 2016	$ 430,482	$ 419	$ 765,042	$ (334,979)
Balance (in shares) at Dec. 31, 2016		41,919,801
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	981		981
Equity component of convertible senior unsecured notes	2,656		2,656
Treasury stock (in shares)		(125,722)
Treasury stock	(1,232)				$ (1,232)
Net income (loss)	85,097			85,097
Dividends declared on common stock	(51,946)		84	(52,030)
Balance at Dec. 31, 2017	466,038	$ 419	768,763	(301,912)	(1,232)
Balance (in shares) at Dec. 31, 2017		41,794,079
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	125		125
Treasury stock (in shares)		(177,700)
Treasury stock	(1,733)				(1,733)
Net income (loss)	23,182			23,182
Dividends declared on common stock	(25,821)		57	(25,878)
Balance at Jun. 30, 2018	$ 461,791	$ 419	$ 768,945	$ (304,608)	$ (2,965)
Balance (in shares) at Jun. 30, 2018		41,616,379

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Cash flows from operating activities:
Net income (loss)	$ 1,453	$ 20,684	$ 23,182	$ 40,926	$ 85,097
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Premium amortization and (discount accretion), net			277	(2,044)
Interest income earned added to principal of securities			0	(46)
Amortization of deferred financing costs			384	0
Amortization of discount on convertible senior notes			275	0
Restricted stock amortization			125	577
Interest payments and basis recovered on MAC interest rate swaps			293	258
Premium on purchase of Residential Whole-Loans			(2,677)	(354)
Premium on purchase of Residential Bridge Loans			(2,196)	(425)
Premium on purchase of securitized commercial loans			(3,019)	0
Unrealized (gain) loss, net	31,693	(35,017)	100,654	(29,877)
Unrealized (gain) loss on derivative instruments, net			(5,576)	(156,696)
Other than temporary impairment	2,974	6,579	5,890	12,676
Realized (gain) loss on sale of securities, net	5,608	2,488	5,033	(18,770)
(Gain) loss on derivatives, net			(7,769)	156,245
Loss on foreign currency transactions, net			0	2
Changes in operating assets and liabilities:
(Increase) decrease in interest receivable			(5,884)	7,006
Increase in other assets			(1,267)	(695)
Increase (decrease) in interest payable			1,987	(10,596)
Decrease in accounts payable and accrued expenses			(587)	(447)
Increase (decrease) in payable to affiliate			1,021	(671)
Net cash provided by (used in) operating activities			110,146	(2,931)
Cash flows from investing activities:
Purchase of securities			(235,043)	(1,656,239)
Proceeds from sale of securities			416,869	962,404
Principal repayments and basis recovered on securities			67,259	140,813
Purchase of Residential Whole-Loans			(124,225)	(35,317)
Principal repayments on Residential Whole-Loans			23,871	24,000
Purchase of Commercial Loans			(70,257)	0
Purchase of securitized commercial loans			(1,350,000)	0
Principal repayments on securitized commercial loans			78,907	0
Purchase of Residential Bridge Loans			(276,173)	(73,565)
Principal repayments on Residential Bridge Loans			98,528	8,160
Payment of premium for option derivatives			(467)	(4,786)
Premium received from option derivatives			298	3,750
Premium received from credit default swaps			(174)	0
Net settlements of TBAs			134	2,558
Proceeds from (Payments on) termination of futures, net			4,591	(9,153)
Interest payments and basis recovered on MAC interest rate swaps			(293)	(258)
Due from counterparties			0	4,124
Payments on total return swaps, net			0	(500)
Premium for interest rate swaptions, net			0	(115)
Net cash used in investing activities			(1,366,175)	(634,124)
Cash flows from financing activities:
Repurchase of common stock			(1,733)	0
Proceeds from repurchase agreement borrowings			9,929,408	7,464,705
Repayments of repurchase agreement borrowings			(9,913,725)	(6,818,742)
Proceeds from securitized debt			1,285,219	0
Repayments of securitized debt			(74,845)	0
Proceeds from forward contracts			0	5,407
Repayments of forward contracts			0	(5,427)
Due from counterparties, net			22,139	10,647
Due to counterparties, net			3,718	1,445
Increase in other liabilities			58,746	0
Dividends paid on common stock			(25,880)	(25,991)
Net cash provided by financing activities			1,283,047	632,044
Effect of exchange rate changes on cash and cash equivalents			0	(2)
Net increase (decrease) in cash, cash equivalents and restricted cash			27,018	(5,013)
Cash, cash equivalents and restricted cash, beginning of period			48,024	46,172	46,172
Cash, cash equivalents and restricted cash, end of period	75,042	41,159	75,042	41,159	48,024
Supplemental disclosure of operating cash flow information:
Interest paid			56,935	16,902
Income taxes paid			1,635	2,380
Supplemental disclosure of non-cash financing/investing activities:
Principal payments of securities, not settled			0	16
Securities sold, not settled			0	209,310
Securities purchased, not settled			(52,530)	0
Dividends and distributions declared, not paid	12,901	12,995	12,901	12,995	$ 12,960
Principal payments of Residential Whole-Loans, not settled			5,845	1,598
Principal payments of Residential Bridge Loans, not settled			31,441	809
Derivative collateral offset against derivatives	$ 0	$ (157,913)	0	(157,913)
Other assets			$ 143	$ 0

Organization

Organization	6 Months Ended
	Jun. 30, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, whole-loans and other financial assets. The Company’s portfolio is comprised of Agency CMBS, Agency RMBS (including TBAs), Non-Agency RMBS, Non-Agency CMBS, Residential Whole Loans, Residential Bridge Loans and Commercial 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	6 Months Ended
	Jun. 30, 2018
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended June 30, 2018 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2017 , filed with the SEC on March 29, 2018. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiary and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiary and consolidated VIEs 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 where the Company and its related parties have variable interests in a VIE, 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 as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 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. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017, other than the significant accounting policies disclosed below. Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in two consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These 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. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. Commercial Loans Investments in Commercial Loans, which are comprised of commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. The Company’s loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. Interest Income Recognition Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded 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. Recently adopted accounting pronouncements Description Adoption 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. 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 did not 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. In February 2018, the FASB issued a separate Update for technical corrections and improvements related to the ASU 2016-01 to increase stakeholders' awareness of the amendments and to expedite the improvements (ASU 2018-3). 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 did not have a material impact on the Company's consolidated financial statements. 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 adoption of this standard did not have a material impact on its Consolidated Statements 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 adoption of this standard did 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 adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. 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. There are no changes to the terms and conditions of the Company's share-based compensation. The adoption of this standard 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 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 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. In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 and December 31, 2017 , based upon the valuation hierarchy (dollars in thousands): June 30, 2018 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 402,853 $ — $ 402,853 Agency RMBS Interest-Only Strips — — 13,559 13,559 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 9,247 9,247 Agency CMBS — 2,012,342 52,237 2,064,579 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,923 — 4,923 Subtotal Agency MBS — 2,420,118 75,043 2,495,161 Non-Agency RMBS — 84,896 13 84,909 Non-Agency RMBS Interest-Only Strips — — 16,294 16,294 Non-Agency CMBS — 331,393 — 331,393 Subtotal Non-Agency MBS — 416,289 16,307 432,596 Other securities — 99,046 8,955 108,001 Total mortgage-backed securities and other securities — 2,935,453 100,305 3,035,758 Residential Whole-Loans — — 335,149 335,149 Residential Bridge Loans — — 236,359 236,359 Securitized commercial loans — — 1,309,195 1,309,195 Commercial Loans — — 70,717 70,717 Derivative assets 3,723 3,275 — 6,998 Total Assets $ 3,723 $ 2,938,728 $ 2,051,725 $ 4,994,176 Liabilities Derivative liabilities $ 26 $ 1,597 $ — $ 1,623 Securitized debt — 1,228,430 2,870 1,231,300 Total Liabilities $ 26 $ 1,230,027 $ 2,870 $ 1,232,923 December 31, 2017 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 672,177 $ — $ 672,177 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 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. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), 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. 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 loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. 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. Commercial Loans Values for the Company's Commercial Loans are based upon either prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution or a broker quote. The third party pricing service uses a 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, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for commercial 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 commercial loans are classified as a Level III. Securitized commercial loans Values for the Company’s securitized commercial loans are based on the CFE valuation methodology. Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of such valuation, the Company classifies its securitized commercial loans as Level III. Securitized debt In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a 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, 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 periods ended June 30, 2018 and December 31, 2017 . 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: Three months ended June 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Residential Bridge Loans Commercial Loans Securitized commercial loans Securitized debt Beginning balance $ 44,802 $ 17,000 $ 9,113 $ 296,719 $ 129,469 $ 40,455 $ 1,383,044 $ 12 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II (19,461 ) — — — — — — — Purchases 52,530 — — 54,019 156,730 29,851 — — Principal repayments — — (177 ) (14,902 ) (49,402 ) — (78,807 ) — Total net gains / losses included in net income Other than temporary impairment (207 ) (19 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,181 ) (53 ) (25 ) (475 ) (108 ) 374 5,621 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,834 Premium and discount amortization, net (1,440 ) (621 ) 44 (212 ) (330 ) 37 (663 ) 24 Ending balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (798 ) $ (53 ) $ (25 ) $ (274 ) $ 140 $ 374 $ 5,621 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,834 ) Three months ended June 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized Securitized debt Derivative liability Beginning balance $ 50,273 $ 15,622 $ 21,432 $ 215,800 $ 24,500 $ 10,780 $ 459 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II (50,999 ) — — — — — — Purchases 131 — — — — — — Sales and settlements — — — — — — (14,711 ) Principal repayments (15 ) (1,698 ) — (12,220 ) — — — Total net gains / losses included in net income 0 Realized (gains)/losses, net on liabilities — — — — — — 14,711 Other than temporary impairment — — (438 ) — — — — Unrealized gains/(losses), net on assets (1) 614 392 603 260 375 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 165 (130 ) Premium and discount amortization, net (4 ) 10 808 (300 ) — — — Ending balance $ — $ 14,326 $ 22,405 $ 203,540 $ 24,875 $ 10,945 $ 329 Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 392 $ 603 $ 478 $ 375 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (165 ) $ 130 Six months ended June 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ — $ 24,876 $ 10,945 Transfers into Level III from Level II 22,794 — — — — — — — Transfers from Level III into Level II (16,805 ) — — — — — — (10,899 ) Purchases 54,623 8,602 — 122,014 214,843 70,257 1,353,019 — Sales and settlements — — — — — — — 12 Principal repayments (53 ) — (317 ) (22,679 ) (42,544 ) — (78,907 ) (44 ) Total net gains / losses included in net income Other than temporary impairment (207 ) (48 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,070 ) (56 ) (54 ) (1,273 ) (130 ) 416 10,870 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,832 Premium and discount amortization, net (1,456 ) (926 ) 87 (336 ) (336 ) 44 (663 ) 24 Ending balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (712 ) $ (56 ) $ (54 ) $ (888 ) $ 151 $ 416 $ 10,870 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,834 ) Six months ended June 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized 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 — 15,610 — — — — — Transfers from Level III into Level II (73,715 ) (7,434 ) (9,227 ) — — — — Purchases — — — 35,671 — — — Sales and settlements — (60,132 ) — — — — (14,197 ) Principal repayments — (2,075 ) (172 ) (24,357 ) — — — Total net gains / losses included in net income Realized gains/(losses), net on assets — 2,623 — — — — — Realized (gains)/losses, net on liabilities — — — — — — 14,197 Other than temporary impairment — — (1,702 ) — — — — Unrealized gains/(losses), net on assets (1) 636 (9,007 ) 456 638 650 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 286 (1,344 ) Premium and discount amortization, net 20 (835 ) 1,694 (548 ) — — — Ending balance $ — $ 14,326 $ 22,405 $ 203,540 $ 24,875 $ 10,945 $ 329 Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 392 $ 385 $ 792 $ 650 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (286 ) $ 1,344 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. Transfers between hierarchy levels during operations for the three and six months ended June 30, 2018 and June 30, 2017 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 three and six months ended June 30, 2018 and June 30, 2017 . 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 June 30, 2018 and December 31, 2017 in the consolidated financial statements (dollars in thousands): June 30, 2018 December 31, 2017 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 22,980 $ 22,805 $ 42,147 $ 42,881 Total $ 22,980 $ 22,805 $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 3,267,369 $ 3,265,879 $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 109,401 116,512 108,743 114,819 Total $ 3,376,770 $ 3,382,391 $ 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 loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology uses a discount cash flow model and 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 is 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	6 Months Ended
	Jun. 30, 2018
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 $ — $ — $ 60,217 $ 342,636 $ 402,853 Agency RMBS Interest-Only Strips 3,352 3,658 6,549 — 13,559 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,377 4,828 3,042 — 9,247 Agency CMBS 1,499,873 564,706 — — 2,064,579 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 4,923 4,923 Subtotal Agency 1,504,602 573,192 69,808 347,559 2,495,161 Non-Agency RMBS 13 24,944 17,113 42,839 84,909 Non-Agency RMBS Interest- Only Strips — — 8,263 8,031 16,294 Non-Agency CMBS — 85,116 148,471 97,806 331,393 Subtotal Non-Agency 13 110,060 173,847 148,676 432,596 Other securities — 77,417 — 30,584 108,001 Total $ 1,504,615 $ 760,669 $ 243,655 $ 526,819 $ 3,035,758 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 $ — $ 56,228 $ 239,197 $ 376,752 $ 672,177 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 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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 $ 402,854 $ (13,768 ) 10 $ — $ — — $ 402,854 $ (13,768 ) 10 Agency RMBS Interest-Only Strips 4,906 (614 ) 11 2,130 (163 ) 4 7,036 (777 ) 15 Agency CMBS 2,064,579 (79,941 ) 132 — — — 2,064,579 (79,941 ) 132 Subtotal Agency 2,472,339 (94,323 ) 153 2,130 (163 ) 4 2,474,469 (94,486 ) 157 Non-Agency RMBS 14,751 (184 ) 2 — — — 14,751 (184 ) 2 Non-Agency RMBS Interest-Only Strips 16,188 (71 ) 3 — — — 16,188 (71 ) 3 Non-Agency CMBS 88,673 (1,610 ) 15 101,644 (9,356 ) 27 190,317 (10,966 ) 42 Subtotal Non-Agency 119,612 (1,865 ) 20 101,644 (9,356 ) 27 221,256 (11,221 ) 47 Other securities 8,955 (54 ) 1 — — — 8,955 (54 ) 1 Total $ 2,600,906 $ (96,242 ) 174 $ 103,774 $ (9,519 ) 31 $ 2,704,680 $ (105,761 ) 205 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 $ 330,259 $ (2,179 ) 11 $ 1,632 $ (135 ) 5 $ 331,891 $ (2,314 ) 16 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 At June 30, 2018 , 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 Other Than Temporary Impairment ("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): Three months ended June 30, 2018 Three months ended June 30, 2017 Six months ended June 30, 2018 Six months ended June 30, 2017 Agency RMBS $ 201 $ 161 $ 343 $ 660 Non-Agency RMBS 19 — 110 — Non-Agency CMBS 2,754 5,980 5,437 10,314 Other securities — 438 — 1,702 Total $ 2,974 $ 6,579 $ 5,890 $ 12,676 The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 , respectively (dollars in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 5,796 $ (1,705 ) $ 4,091 $ 10,305 $ (3,639 ) $ 6,666 Agency CMBS 15,943 (88 ) 15,855 8,432 338 8,770 Non-Agency RMBS 2,057 (281 ) 1,776 558 392 950 Non-Agency CMBS 5,170 2,508 7,678 4,913 2,264 7,177 Other securities 4,180 (1,803 ) 2,377 1,733 827 2,560 Total $ 33,146 $ (1,369 ) $ 31,777 $ 25,941 $ 182 $ 26,123 Six months ended June 30, 2018 Six months ended June 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 12,920 $ (2,974 ) $ 9,946 $ 21,627 $ (7,667 ) $ 13,960 Agency CMBS 31,941 32 31,973 13,337 607 13,944 Non-Agency RMBS 3,477 (149 ) 3,328 3,911 (69 ) 3,842 Non-Agency CMBS 9,983 4,404 14,387 10,433 4,433 14,866 Other securities 7,936 (3,165 ) 4,771 3,140 1,648 4,788 Total $ 66,257 $ (1,852 ) $ 64,405 $ 52,448 $ (1,048 ) $ 51,400 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 , respectively (dollars in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 208,331 $ — $ (4,531 ) $ (4,531 ) $ 314,800 $ 848 $ (3,725 ) $ (2,877 ) Agency CMBS 126,867 — (5,016 ) (5,016 ) — — — — Non-Agency RMBS 47,758 2,220 — 2,220 — — — — Non-Agency CMBS 385 — (38 ) (38 ) 15,220 730 (341 ) 389 Other securities 21,757 1,757 — 1,757 — — — — Total $ 405,098 $ 3,977 $ (9,585 ) $ (5,608 ) $ 330,020 $ 1,578 $ (4,066 ) $ (2,488 ) (1) For the three months ended June 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. Six months ended June 30, 2018 Six months ended June 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) $ 865,151 $ 4,379 $ (7,365 ) $ (2,986 ) Agency CMBS 126,867 — (5,016 ) (5,016 ) — — — — Non-Agency RMBS (2) 51,958 3,114 — 3,114 243,811 24,389 (2,242 ) 22,147 Non-Agency CMBS 6,706 61 (436 ) (375 ) 35,037 736 (1,073 ) (337 ) Other securities 21,757 1,757 — 1,757 22,946 — (54 ) (54 ) Total $ 416,869 $ 4,950 $ (9,983 ) $ (5,033 ) $ 1,166,945 $ 29,504 $ (10,734 ) $ 18,770 (1) For the six months ended June 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. (2) For the six months ended June 30, 2017 , 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 , respectively. Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of 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. The Company evaluates the CMBS VIEs for consolidation in which it owns the most subordinate tranche or a portion of the controlling class. As of June 30, 2018 , the Company held five variable interest in CMBS VIEs and had three variable interests in CMBS VIE's as of December 31, 2017 , in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of June 30, 2018 and December 31, 2017 , the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $87.6 million and $62.1 million . These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of June 30, 2018 and December 31, 2017 , the Company had not guaranteed any obligations of unconsolidated entities or entered into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company’s investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 Agency RMBS $ 403,154 $ 13,467 $ — $ 416,621 $ — $ (13,768 ) $ 402,853 3.6 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 13,501 835 (777 ) 13,559 2.3 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 9,247 2.7 % (1) Subtotal Agency RMBS 403,154 13,467 — 430,122 835 (14,545 ) 425,659 3.1 % Agency CMBS 2,141,182 3,338 — 2,144,520 — (79,941 ) 2,064,579 3.0 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 4,923 0.5 % (1) Subtotal Agency CMBS 2,141,182 3,338 — 2,144,520 — (79,941 ) 2,069,502 2.8 % Total Agency MBS 2,544,336 16,805 — 2,574,642 835 (94,486 ) 2,495,161 2.9 % Non-Agency RMBS 115,776 5,783 (40,333 ) 81,226 3,867 (184 ) 84,909 4.4 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 16,365 — (71 ) 16,294 0.5 % (1) Subtotal Non-Agency RMBS 115,776 5,783 (40,333 ) 97,591 3,867 (255 ) 101,203 1.0 % Non-Agency CMBS 421,642 (55,426 ) (28,292 ) 337,924 4,435 (10,966 ) 331,393 5.2 % Total Non-Agency MBS 537,418 (49,643 ) (68,625 ) 435,515 8,302 (11,221 ) 432,596 2.3 % Other securities (3) 83,717 2,689 (10,212 ) 96,296 11,759 (54 ) 108,001 8.6 % Total $ 3,165,471 $ (30,149 ) $ (78,837 ) $ 3,106,453 $ 20,896 $ (105,761 ) $ 3,035,758 2.8 % 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 Agency RMBS $ 641,044 $ 28,876 $ — $ 669,920 $ 4,571 $ (2,314 ) $ 672,177 3.9 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A 14,750 878 (191 ) 15,437 2.9 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 10,419 2.9 % (1) Subtotal Agency RMBS 641,044 28,876 — 684,670 5,449 (2,505 ) 698,033 3.6 % Agency CMBS 2,145,139 2,142 — 2,147,281 16,913 (9,394 ) 2,154,800 2.9 % Agency CMBS Interest-Only Strips (1) N/A N/A N/A — 10 — 10 3.2 % (1) Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,757 0.5 % (1) Subtotal Agency CMBS 2,145,139 2,142 — 2,147,281 16,923 (9,394 ) 2,160,567 2.7 % Total 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 (1) N/A N/A N/A 8,738 — (16 ) 8,722 0.9 % (1) Subtotal Non-Agency RMBS 119,748 5,263 (39,491 ) 94,258 5,473 (177 ) 99,554 1.8 % Non-Agency CMBS 379,183 (59,129 ) (28,020 ) 292,034 1,702 (15,132 ) 278,604 4.8 % Total Non-Agency MBS 498,931 (53,866 ) (67,511 ) 386,292 7,175 (15,309 ) 378,158 3.3 % Other securities (3) 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 % (1) IOs and IIOs 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 June 30, 2018 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $176.8 million , $843.0 million , $105.0 million and $181.1 million , respectively. 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. (2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $20.1 million and $22.9 million , as of June 30, 2018 and December 31, 2017 , respectively. As of June 30, 2018 and December 31, 2017 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.5 years and 8.6 years , respectively. The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 (dollars in thousands): Three months ended June 30, 2018 Three months ended June 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (79,474 ) $ (72,868 ) $ 21,494 $ (47,517 ) $ (78,573 ) $ 16,330 Accretion of discount — 2,786 — — 2,722 — Amortization of premium — — (223 ) — — (47 ) Realized credit losses 2,095 — — 48 — — Purchases — — — — — — Sales 765 2,941 (554 ) 1,700 465 (571 ) Net impairment losses recognized in earnings (2,753 ) — — (5,979 ) — — Transfers/release of credit reserve (2) 530 (1,536 ) 1,006 1,918 (1,392 ) (526 ) Balance at end of period $ (78,837 ) $ (68,677 ) $ 21,723 $ (49,830 ) $ (76,778 ) $ 15,186 Six months ended June 30, 2018 Six months ended June 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 Accretion of discount — 5,169 — — 5,954 — Amortization of premium — — (364 ) — — (689 ) Realized credit losses 2,221 — — 1,829 — — Purchases (7,182 ) (6,473 ) 435 (1,724 ) (668 ) 1,522 Sales 3,339 3,728 (684 ) 89,441 30,085 (31,042 ) Net impairment losses recognized in earnings (5,499 ) — — (10,351 ) — — Transfers/release of credit reserve (2) 1,199 (2,663 ) 1,464 1,459 (2,327 ) 868 Balance at end of period $ (78,837 ) $ (68,677 ) $ 21,723 $ (49,830 ) $ (76,778 ) $ 15,186 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) 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 June 30, 2018 and December 31, 2017 (dollars in thousands) : June 30, 2018 < 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 $ — $ — $ 60,217 $ 342,636 $ 402,853 Agency RMBS Interest-Only Strips 3,352 3,658 6,549 — 13,559 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,377 4,828 3,042 — 9,247 Agency CMBS 1,499,873 564,706 — — 2,064,579 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 4,923 4,923 Subtotal Agency 1,504,602 573,192 69,808 347,559 2,495,161 Non-Agency RMBS 13 24,944 17,113 42,839 84,909 Non-Agency RMBS Interest- Only Strips — — 8,263 8,031 16,294 Non-Agency CMBS — 85,116 148,471 97,806 331,393 Subtotal Non-Agency 13 110,060 173,847 148,676 432,596 Other securities — 77,417 — 30,584 108,001 Total $ 1,504,615 $ 760,669 $ 243,655 $ 526,819 $ 3,035,758 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 $ — $ 56,228 $ 239,197 $ 376,752 $ 672,177 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 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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 $ 402,854 $ (13,768 ) 10 $ — $ — — $ 402,854 $ (13,768 ) 10 Agency RMBS Interest-Only Strips 4,906 (614 ) 11 2,130 (163 ) 4 7,036 (777 ) 15 Agency CMBS 2,064,579 (79,941 ) 132 — — — 2,064,579 (79,941 ) 132 Subtotal Agency 2,472,339 (94,323 ) 153 2,130 (163 ) 4 2,474,469 (94,486 ) 157 Non-Agency RMBS 14,751 (184 ) 2 — — — 14,751 (184 ) 2 Non-Agency RMBS Interest-Only Strips 16,188 (71 ) 3 — — — 16,188 (71 ) 3 Non-Agency CMBS 88,673 (1,610 ) 15 101,644 (9,356 ) 27 190,317 (10,966 ) 42 Subtotal Non-Agency 119,612 (1,865 ) 20 101,644 (9,356 ) 27 221,256 (11,221 ) 47 Other securities 8,955 (54 ) 1 — — — 8,955 (54 ) 1 Total $ 2,600,906 $ (96,242 ) 174 $ 103,774 $ (9,519 ) 31 $ 2,704,680 $ (105,761 ) 205 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 $ 330,259 $ (2,179 ) 11 $ 1,632 $ (135 ) 5 $ 331,891 $ (2,314 ) 16 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 At June 30, 2018 , 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 Other Than Temporary Impairment ("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): Three months ended June 30, 2018 Three months ended June 30, 2017 Six months ended June 30, 2018 Six months ended June 30, 2017 Agency RMBS $ 201 $ 161 $ 343 $ 660 Non-Agency RMBS 19 — 110 — Non-Agency CMBS 2,754 5,980 5,437 10,314 Other securities — 438 — 1,702 Total $ 2,974 $ 6,579 $ 5,890 $ 12,676 The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 , respectively (dollars in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 5,796 $ (1,705 ) $ 4,091 $ 10,305 $ (3,639 ) $ 6,666 Agency CMBS 15,943 (88 ) 15,855 8,432 338 8,770 Non-Agency RMBS 2,057 (281 ) 1,776 558 392 950 Non-Agency CMBS 5,170 2,508 7,678 4,913 2,264 7,177 Other securities 4,180 (1,803 ) 2,377 1,733 827 2,560 Total $ 33,146 $ (1,369 ) $ 31,777 $ 25,941 $ 182 $ 26,123 Six months ended June 30, 2018 Six months ended June 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 12,920 $ (2,974 ) $ 9,946 $ 21,627 $ (7,667 ) $ 13,960 Agency CMBS 31,941 32 31,973 13,337 607 13,944 Non-Agency RMBS 3,477 (149 ) 3,328 3,911 (69 ) 3,842 Non-Agency CMBS 9,983 4,404 14,387 10,433 4,433 14,866 Other securities 7,936 (3,165 ) 4,771 3,140 1,648 4,788 Total $ 66,257 $ (1,852 ) $ 64,405 $ 52,448 $ (1,048 ) $ 51,400 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 , respectively (dollars in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 208,331 $ — $ (4,531 ) $ (4,531 ) $ 314,800 $ 848 $ (3,725 ) $ (2,877 ) Agency CMBS 126,867 — (5,016 ) (5,016 ) — — — — Non-Agency RMBS 47,758 2,220 — 2,220 — — — — Non-Agency CMBS 385 — (38 ) (38 ) 15,220 730 (341 ) 389 Other securities 21,757 1,757 — 1,757 — — — — Total $ 405,098 $ 3,977 $ (9,585 ) $ (5,608 ) $ 330,020 $ 1,578 $ (4,066 ) $ (2,488 ) (1) For the three months ended June 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. Six months ended June 30, 2018 Six months ended June 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) $ 865,151 $ 4,379 $ (7,365 ) $ (2,986 ) Agency CMBS 126,867 — (5,016 ) (5,016 ) — — — — Non-Agency RMBS (2) 51,958 3,114 — 3,114 243,811 24,389 (2,242 ) 22,147 Non-Agency CMBS 6,706 61 (436 ) (375 ) 35,037 736 (1,073 ) (337 ) Other securities 21,757 1,757 — 1,757 22,946 — (54 ) (54 ) Total $ 416,869 $ 4,950 $ (9,983 ) $ (5,033 ) $ 1,166,945 $ 29,504 $ (10,734 ) $ 18,770 (1) For the six months ended June 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. (2) For the six months ended June 30, 2017 , 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 , respectively. Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of 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. The Company evaluates the CMBS VIEs for consolidation in which it owns the most subordinate tranche or a portion of the controlling class. As of June 30, 2018 , the Company held five variable interest in CMBS VIEs and had three variable interests in CMBS VIE's as of December 31, 2017 , in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of June 30, 2018 and December 31, 2017 , the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $87.6 million and $62.1 million . These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of June 30, 2018 and December 31, 2017 , the Company had not guaranteed any obligations of unconsolidated entities or entered into any commitment or intent to provide funding to any such entities.

Residential Whole-Loans and Bri

Residential Whole-Loans and Bridge Loans	6 Months Ended
	Jun. 30, 2018
Variable Interest Entities
Residential Whole-Loans and Bridge Loans	Residential Whole-Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of a residential whole-loan trust that met 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 such trust. The Company determined that it was the primary beneficiary of the Residential Whole-Loan trust 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 trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Residential Whole-Loans held by the trust. As of June 30, 2018 , the Company financed the trust certificate with $265.6 million 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 and certain Residential Whole-Loans held by the trust. Residential Bridge Loans are mortgage loans secured by 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 June 30, 2018 , the Company financed the trust certificate with $259.0 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" and the Residential Whole-Loans in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge 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 consolidated Residential Whole-Loan Trust holds 819 Residential Whole-Loans and the consolidated Bridge Loan Trust holds 813 Residential Bridge Loans and 13 Residential Whole-Loans as of June 30, 2018 . The following table presents a summary of the assets and liabilities of the consolidated Residential Whole-Loan and Residential Bridge Loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 Cash and cash equivalents $ 364 $ — Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively) 335,149 237,423 Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively) 259,339 106,673 Investment related receivable 37,286 7,665 Interest receivable 6,572 3,197 Other assets 548 — Total assets $ 639,258 $ 354,958 Accounts payable and accrued expenses 669 188 Other liabilities 562 — Total liabilities $ 1,231 $ 188 The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole-Loans and Residential Bridge Loans 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. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and six months ended June 30, 2018 and June 30, 2017 . The following table presents the components of the carrying value of Residential Whole-Loans and Residential Bridge Loans as of June 30, 2018 and December 31, 2017 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Principal balance $ 329,153 $ 232,270 $ 234,881 $ 63,802 $ 22,954 $ 42,066 Unamortized premium 4,541 2,021 1,536 293 51 122 Unamortized discount (1,625 ) (1,190 ) (387 ) (128 ) (25 ) (41 ) Amortized cost 332,069 233,101 236,030 63,967 22,980 42,147 Gross unrealized gains 4,309 4,463 1,153 655 N/A N/A Gross unrealized losses (1,229 ) (141 ) (824 ) (96 ) N/A N/A Fair value $ 335,149 $ 237,423 $ 236,359 $ 64,526 N/A N/A (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”). The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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% 3 $ 1,772 64.1 % 734 4.0 29.2 4.0 % 4.01– 5.00% 545 219,954 58.7 % 743 1.8 28.0 4.7 % 5.01 – 6.00% 276 103,968 57.4 % 735 1.7 27.1 5.3 % 6.01 – 7.00% 6 3,008 68.4 % 740 1.5 22.5 6.2 % 7.01 - 8.00% 1 357 70.0 % 777 2.0 29.6 7.2 % 8.01 - 9.00% 1 94 70.0 % 689 2.0 29.6 8.4 % Total 832 $ 329,153 58.5 % 741 1.8 27.7 4.9 % (1) The original FICO score is not available for 143 loans with a principal balance of approximately $55.6 million at June 30, 2018 . The Company has excluded these loans from the weighted average computations. 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. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole-Loans at June 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): June 30, 2018 December 31, 2017 State State Concentration Principal Balance State State Concentration Principal Balance California 65.4 % $ 215,242 California 62.2 % $ 144,321 New York 21.7 % 71,412 New York 24.4 % 56,631 Georgia 3.8 % 12,512 Georgia 4.3 % 10,061 Washington 2.9 % 9,633 Washington 4.0 % 9,244 Massachusetts 2.6 % 8,564 Massachusetts 3.9 % 9,114 Other 3.6 % 11,790 Other 1.2 % 2,899 Total 100.0 % $ 329,153 Total 100.0 % $ 232,270 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 tables present certain information about the Company’s Residential Bridge Loan investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 - 7.00% 35 $ 9,772 62.6 % 5.9 6.8 % 7.01 – 8.00% 175 59,378 69.3 % 7.0 7.7 % 8.01 – 9.00% 256 95,689 68.3 % 7.1 8.7 % 9.01 – 10.00% 214 62,888 70.8 % 6.8 9.7 % 10.01 – 11.00% 86 19,043 69.0 % 6.2 10.6 % 11.01 - 12.00% 29 7,407 71.6 % 6.0 11.4 % 12.01 - 13.00% 9 1,261 66.9 % 8.8 12.6 % 17.01 – 18.00% 9 2,397 74.8 % 7.6 18.0 % Total 813 $ 257,835 69.1 % 6.9 9.0 % 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 U.S. states in which the collateral securing the Company’s Residential Bridge Loans at June 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): June 30, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 45.0 % $ 115,885 California 48.2 % $ 51,080 Florida 9.3 % 23,865 Florida 13.4 % 14,199 New York 8.3 % 21,472 Washington 6.3 % 6,645 New Jersey 6.2 % 16,015 New York 4.4 % 4,703 Texas 5.0 % 12,894 Texas 4.4 % 4,660 Other 26.2 % 67,704 Other 23.3 % 24,581 Total 100.0 % $ 257,835 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole-Loans As of June 30, 2018 , there were two Residential Whole-Loans in non-accrual status with a current unpaid principal balance of $1.4 million and a fair value of $1.4 million . These nonperforming loans represent approximately 0.4% of the total outstanding principal balance. No allowance and provision for credit losses was recorded for these loans as of and for the three and six months ended June 30, 2018 and June 30, 2017 since the Company elected the fair value option. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of June 30, 2018 , there were 10 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $3.8 million and 3 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $1.3 million . These nonperforming loans represent approximately 2.0% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 73% . No allowance and provision for credit losses was recorded for these loans carried at amortized costs as of and for the three and six months ended June 30, 2018 and June 30, 2017 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. Commercial Real Estate Investments Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At June 30, 2018 , the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2018- RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's and can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. 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. CMSC Trust 2015 - Longhouse MZ 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 an outstanding balance of $13.8 million and a fair value of $13.9 million at June 30, 2018 . 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 the Company believes could potentially be significant to the trust. As the primary beneficiary the Company was required to consolidate CMSC Trust and accordingly its $13.9 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.7 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.7 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. RETL 2018-RVP In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G of the Exchange Act. Under the credit risk retention rules the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5% . The outstanding balance and the fair value of the Company's interest in the trust are $63.8 million and $64.0 million , respectively, at June 30, 2018 . The Company determined that RETL Trust was a VIE and itself the primary beneficiary because its Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. The owner of 50% or more of the controlling class 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 from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate RETL and accordingly its investment in RETL was eliminated in consolidation. The RETL Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $1.27 billion as of June 30, 2018 . The loan's stated maturity date is February 9, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 3.15% . The commercial loan serves as collateral for the $1.27 billion of securitized debt issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. Commercial Loans Revolving Small Balance Commercial Trust 2018-1 In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire a $20.6 million first lien commercial mortgage loan collateralized by three senior care living facilities. The loan matures on March 6, 2019 and bears an interest rate of one month LIBOR plus 4.75% . The Company determined that the wholly owned RSBC Trust was a VIE and itself the primary beneficiary because it was involved in the design of the trust and holds 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 June 30, 2018 , the Company financed the trust certificate with $12.3 million of repurchase borrowings, which is a liability held outside the trust. Commercial Loans In March 2018, the Company acquired a $20.0 million mezzanine loan secured by a partnership interest in an entity that owns a hotel. The mezzanine loan has a maturity date of December 9, 2019 with three one year extension options and bears an interest rate of one month LIBOR plus 6.5% . In June 2018, the Company acquired a $30.0 million commercial loan secured by a hotel. The loan has a maturity date of June 9, 2020 with a one year extension option and bears an interest rate of one month LIBOR plus 4.5% . Consolidated Commercial 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 commercial loan trusts, CMSC Trust, RETL Trust and RSBC Trust collectively hold three commercial loans as of June 30, 2018 . The following table presents a summary of the assets and liabilities of the three consolidated commercial loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands). June 30, 2018 December 31, 2017 Restricted cash $ 58,747 $ — Securitized commercial loans, at fair value 1,309,195 24,876 Commercial Loans, at fair value 20,515 — Interest receivable 3,222 161 Total assets $ 1,391,679 $ 25,037 Securitized debt, at fair value $ 1,231,300 $ 10,945 Interest payable 2,687 70 Accounts payable and accrued expenses 9 1 Other liabilities 58,747 — Total liabilities $ 1,292,743 $ 11,016 The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans 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. 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 three and six months ended June 30, 2018 and June 30, 2017 . The following table presents the components of the carrying value of the commercial real estate loans as of June 30, 2018 and December 31, 2017 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loan, at Fair Value Commercial Loans, at Fair Value June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Principal balance $ 24,652 $ 24,846 $ 1,271,288 $ — $ 20,638 $ — $ 50,000 $ — Unamortized premium — — 2,355 — — — — — Unamortized discount — — — — (81 ) — (257 ) — Amortized cost 24,652 24,846 1,273,643 — 20,557 — 49,743 — Gross unrealized gains 89 30 10,811 — — — 459 — Gross unrealized losses — — — — (42 ) — — — Fair value $ 24,741 $ 24,876 $ 1,284,454 $ — $ 20,515 $ — $ 50,202 $ —

Commercial Real Estate Investme

Commercial Real Estate Investments	6 Months Ended
	Jun. 30, 2018
Noncontrolling Interest [Abstract]
Commercial Real Estate investments	Residential Whole-Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of a residential whole-loan trust that met 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 such trust. The Company determined that it was the primary beneficiary of the Residential Whole-Loan trust 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 trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Residential Whole-Loans held by the trust. As of June 30, 2018 , the Company financed the trust certificate with $265.6 million 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 and certain Residential Whole-Loans held by the trust. Residential Bridge Loans are mortgage loans secured by 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 June 30, 2018 , the Company financed the trust certificate with $259.0 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" and the Residential Whole-Loans in "Residential Whole-Loans" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge 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 consolidated Residential Whole-Loan Trust holds 819 Residential Whole-Loans and the consolidated Bridge Loan Trust holds 813 Residential Bridge Loans and 13 Residential Whole-Loans as of June 30, 2018 . The following table presents a summary of the assets and liabilities of the consolidated Residential Whole-Loan and Residential Bridge Loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 Cash and cash equivalents $ 364 $ — Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively) 335,149 237,423 Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively) 259,339 106,673 Investment related receivable 37,286 7,665 Interest receivable 6,572 3,197 Other assets 548 — Total assets $ 639,258 $ 354,958 Accounts payable and accrued expenses 669 188 Other liabilities 562 — Total liabilities $ 1,231 $ 188 The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole-Loans and Residential Bridge Loans 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. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and six months ended June 30, 2018 and June 30, 2017 . The following table presents the components of the carrying value of Residential Whole-Loans and Residential Bridge Loans as of June 30, 2018 and December 31, 2017 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Principal balance $ 329,153 $ 232,270 $ 234,881 $ 63,802 $ 22,954 $ 42,066 Unamortized premium 4,541 2,021 1,536 293 51 122 Unamortized discount (1,625 ) (1,190 ) (387 ) (128 ) (25 ) (41 ) Amortized cost 332,069 233,101 236,030 63,967 22,980 42,147 Gross unrealized gains 4,309 4,463 1,153 655 N/A N/A Gross unrealized losses (1,229 ) (141 ) (824 ) (96 ) N/A N/A Fair value $ 335,149 $ 237,423 $ 236,359 $ 64,526 N/A N/A (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”). The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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% 3 $ 1,772 64.1 % 734 4.0 29.2 4.0 % 4.01– 5.00% 545 219,954 58.7 % 743 1.8 28.0 4.7 % 5.01 – 6.00% 276 103,968 57.4 % 735 1.7 27.1 5.3 % 6.01 – 7.00% 6 3,008 68.4 % 740 1.5 22.5 6.2 % 7.01 - 8.00% 1 357 70.0 % 777 2.0 29.6 7.2 % 8.01 - 9.00% 1 94 70.0 % 689 2.0 29.6 8.4 % Total 832 $ 329,153 58.5 % 741 1.8 27.7 4.9 % (1) The original FICO score is not available for 143 loans with a principal balance of approximately $55.6 million at June 30, 2018 . The Company has excluded these loans from the weighted average computations. 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. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole-Loans at June 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): June 30, 2018 December 31, 2017 State State Concentration Principal Balance State State Concentration Principal Balance California 65.4 % $ 215,242 California 62.2 % $ 144,321 New York 21.7 % 71,412 New York 24.4 % 56,631 Georgia 3.8 % 12,512 Georgia 4.3 % 10,061 Washington 2.9 % 9,633 Washington 4.0 % 9,244 Massachusetts 2.6 % 8,564 Massachusetts 3.9 % 9,114 Other 3.6 % 11,790 Other 1.2 % 2,899 Total 100.0 % $ 329,153 Total 100.0 % $ 232,270 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 tables present certain information about the Company’s Residential Bridge Loan investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 - 7.00% 35 $ 9,772 62.6 % 5.9 6.8 % 7.01 – 8.00% 175 59,378 69.3 % 7.0 7.7 % 8.01 – 9.00% 256 95,689 68.3 % 7.1 8.7 % 9.01 – 10.00% 214 62,888 70.8 % 6.8 9.7 % 10.01 – 11.00% 86 19,043 69.0 % 6.2 10.6 % 11.01 - 12.00% 29 7,407 71.6 % 6.0 11.4 % 12.01 - 13.00% 9 1,261 66.9 % 8.8 12.6 % 17.01 – 18.00% 9 2,397 74.8 % 7.6 18.0 % Total 813 $ 257,835 69.1 % 6.9 9.0 % 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 U.S. states in which the collateral securing the Company’s Residential Bridge Loans at June 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): June 30, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 45.0 % $ 115,885 California 48.2 % $ 51,080 Florida 9.3 % 23,865 Florida 13.4 % 14,199 New York 8.3 % 21,472 Washington 6.3 % 6,645 New Jersey 6.2 % 16,015 New York 4.4 % 4,703 Texas 5.0 % 12,894 Texas 4.4 % 4,660 Other 26.2 % 67,704 Other 23.3 % 24,581 Total 100.0 % $ 257,835 Total 100.0 % $ 105,868 Non-performing Loans Residential Whole-Loans As of June 30, 2018 , there were two Residential Whole-Loans in non-accrual status with a current unpaid principal balance of $1.4 million and a fair value of $1.4 million . These nonperforming loans represent approximately 0.4% of the total outstanding principal balance. No allowance and provision for credit losses was recorded for these loans as of and for the three and six months ended June 30, 2018 and June 30, 2017 since the Company elected the fair value option. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of June 30, 2018 , there were 10 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $3.8 million and 3 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $1.3 million . These nonperforming loans represent approximately 2.0% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 73% . No allowance and provision for credit losses was recorded for these loans carried at amortized costs as of and for the three and six months ended June 30, 2018 and June 30, 2017 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. Commercial Real Estate Investments Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At June 30, 2018 , the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2018- RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's and can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. 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. CMSC Trust 2015 - Longhouse MZ 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 an outstanding balance of $13.8 million and a fair value of $13.9 million at June 30, 2018 . 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 the Company believes could potentially be significant to the trust. As the primary beneficiary the Company was required to consolidate CMSC Trust and accordingly its $13.9 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.7 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.7 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. RETL 2018-RVP In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G of the Exchange Act. Under the credit risk retention rules the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5% . The outstanding balance and the fair value of the Company's interest in the trust are $63.8 million and $64.0 million , respectively, at June 30, 2018 . The Company determined that RETL Trust was a VIE and itself the primary beneficiary because its Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. The owner of 50% or more of the controlling class 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 from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate RETL and accordingly its investment in RETL was eliminated in consolidation. The RETL Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $1.27 billion as of June 30, 2018 . The loan's stated maturity date is February 9, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 3.15% . The commercial loan serves as collateral for the $1.27 billion of securitized debt issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. Commercial Loans Revolving Small Balance Commercial Trust 2018-1 In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire a $20.6 million first lien commercial mortgage loan collateralized by three senior care living facilities. The loan matures on March 6, 2019 and bears an interest rate of one month LIBOR plus 4.75% . The Company determined that the wholly owned RSBC Trust was a VIE and itself the primary beneficiary because it was involved in the design of the trust and holds 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 June 30, 2018 , the Company financed the trust certificate with $12.3 million of repurchase borrowings, which is a liability held outside the trust. Commercial Loans In March 2018, the Company acquired a $20.0 million mezzanine loan secured by a partnership interest in an entity that owns a hotel. The mezzanine loan has a maturity date of December 9, 2019 with three one year extension options and bears an interest rate of one month LIBOR plus 6.5% . In June 2018, the Company acquired a $30.0 million commercial loan secured by a hotel. The loan has a maturity date of June 9, 2020 with a one year extension option and bears an interest rate of one month LIBOR plus 4.5% . Consolidated Commercial 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 commercial loan trusts, CMSC Trust, RETL Trust and RSBC Trust collectively hold three commercial loans as of June 30, 2018 . The following table presents a summary of the assets and liabilities of the three consolidated commercial loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands). June 30, 2018 December 31, 2017 Restricted cash $ 58,747 $ — Securitized commercial loans, at fair value 1,309,195 24,876 Commercial Loans, at fair value 20,515 — Interest receivable 3,222 161 Total assets $ 1,391,679 $ 25,037 Securitized debt, at fair value $ 1,231,300 $ 10,945 Interest payable 2,687 70 Accounts payable and accrued expenses 9 1 Other liabilities 58,747 — Total liabilities $ 1,292,743 $ 11,016 The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans 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. 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 three and six months ended June 30, 2018 and June 30, 2017 . The following table presents the components of the carrying value of the commercial real estate loans as of June 30, 2018 and December 31, 2017 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loan, at Fair Value Commercial Loans, at Fair Value June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Principal balance $ 24,652 $ 24,846 $ 1,271,288 $ — $ 20,638 $ — $ 50,000 $ — Unamortized premium — — 2,355 — — — — — Unamortized discount — — — — (81 ) — (257 ) — Amortized cost 24,652 24,846 1,273,643 — 20,557 — 49,743 — Gross unrealized gains 89 30 10,811 — — — 459 — Gross unrealized losses — — — — (42 ) — — — Fair value $ 24,741 $ 24,876 $ 1,284,454 $ — $ 20,515 $ — $ 50,202 $ —

Financings

Financings	6 Months Ended
	Jun. 30, 2018
Debt Disclosure [Abstract]
Financings	Financings 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. 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 June 30, 2018 . As of June 30, 2018 , the Company had master repurchase agreements with 28 counterparties. As of June 30, 2018 , the Company had borrowings under repurchase agreements with 17 counterparties. The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 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 $ 404,498 2.18 % 56 $ 665,919 1.62 % 61 Agency CMBS 1,923,906 2.21 % 93 2,035,222 1.53 % 53 Non-Agency RMBS 73,152 3.71 % 34 46,530 2.76 % 41 Non-Agency CMBS 249,055 3.77 % 52 154,325 2.98 % 40 Residential Whole-Loans (1) 268,100 3.86 % 27 189,270 3.66 % 8 Residential Bridge Loans (1) 256,488 4.32 % 62 100,183 4.05 % 59 Commercial loans (1) 12,321 4.83 % 74 — — % — Securitized commercial loans (1) 7,620 3.94 % 20 — — % — Other securities 72,229 3.97 % 29 60,237 2.94 % 23 Borrowings under repurchase agreements $ 3,267,369 2.71 % 74 $ 3,251,686 1.86 % 51 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. For the six months ended June 30, 2018 and the year ended December 31, 2017 , the Company had average borrowings under its repurchase agreements of approximately $3.4 billion and $2.7 billion , respectively, and had a maximum month-end balance during the periods of approximately $3.6 billion and $3.3 billion , respectively. The Company had interest payable at June 30, 2018 and December 31, 2017 of approximately $5.7 million and $6.3 million , respectively. At June 30, 2018 and December 31, 2017 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) June 30, 2018 December 31, 2017 Overnight $ — $ — 1 to 29 days 1,125,808 1,387,599 30 to 59 days 196,826 665,656 60 to 89 days 1,112,450 871,819 90 to 119 days 80,919 — Greater than or equal to 120 days 751,366 326,612 Total $ 3,267,369 $ 3,251,686 At June 30, 2018 , 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): June 30, 2018 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity UBS AG, London Branch $ 73,008 32 15.8 % Credit Suisse AG, Cayman Islands Branch 68,884 27 14.9 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 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 $ 423,418 $ 1,678 $ 425,096 $ 690,255 $ 2,601 $ 692,856 Agency CMBS, at fair value 2,017,265 5,203 2,022,468 2,143,340 5,454 2,148,794 Non-Agency RMBS, at fair value 101,190 729 101,919 58,127 160 58,287 Non-Agency CMBS, at fair value 331,162 1,661 332,823 208,062 1,100 209,162 Residential Whole-Loans, at fair value (1) 335,149 2,617 337,766 237,423 1,754 239,177 Residential Bridge Loans (1) 259,339 3,955 263,294 106,673 1,443 108,116 Commercial Loans, at fair value (1) 20,515 116 20,631 — — — Securitized commercial loans, at fair value (1) 13,855 86 13,941 — — — Other securities, at fair value 107,864 191 108,055 89,823 105 89,928 Cash (2) 9,663 — 9,663 23,591 — 23,591 Total $ 3,619,420 $ 16,236 $ 3,635,656 $ 3,557,294 $ 12,617 $ 3,569,911 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At June 30, 2018 and December 31, 2017 , investments held by counterparties as security for repurchase agreements totaled approximately $3.6 billion and approximately $3.5 billion , respectively. Cash collateral held by counterparties at June 30, 2018 and December 31, 2017 was approximately $9.7 million and approximately $23.6 million , respectively. Cash posted by repurchase agreement counterparties at June 30, 2018 and December 31, 2017 , was $2.3 million and approximately $1.5 million , respectively. In addition, at June 30, 2018 and December 31, 2017 , the Company held securities with a fair value of $0 and $306 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. Securitized Debt CMSC Trust 2015 - Longhouse MZ CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding balance of the trust certificates was $24.7 million at June 30, 2018 , with a fair value of $24.7 million . The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company owns $13.8 million of the trust certificates which was eliminated in consolidation and the remaining $10.8 million is held by related parties and is carried at a fair value of $10.9 million . RETL 2018-RVP The following table summarizes RETL Trust's commercial mortgage pass-through certificates at June 30, 2018 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A 493,448 3.2% 495,560 2/15/2021 Class B 149,918 3.8% 150,700 2/15/2021 Class C 129,860 4.1% 130,726 2/15/2021 Class D 114,793 4.8% 115,703 2/15/2021 Class E 155,851 6.6% 157,481 2/15/2021 Class F 150,954 8.1% 152,537 2/15/2021 Class G 12,619 9.6% 12,768 2/15/2021 Class HRR 63,847 11.6% 64,040 2/15/2021 Class X-CP (1) N/A 2.6% 2,069 3/11/2019 Class X-EXT (1) N/A —% 2,870 2/15/2021 $ 1,271,290 $ 1,284,454 (1) Class X-CP and Class X-EXT are interest only classes with a notional balance of $114.8 million each. The Company owns the HRR certificates which are eliminated in consolidation. Of the remaining outstanding principal balance of $1.2 billion , excluding the interest only securities, of trust certificates, $333.4 million is owned by related parties and $874.0 million owned by third parties. The securitized debt of the RETL Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company.

Derivative Instruments

Derivative Instruments	6 Months Ended
	Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments The Company’s derivatives may include interest rate swaps, options, futures contracts, 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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 3,154,600 $ 1,617 $ — $ — Options, asset Non-Hedge Derivative assets, at fair value — — 320,000 100 Futures contracts, asset Non-Hedge Derivative assets, at fair value 595,800 3,723 480,000 628 Credit default swaps, asset Non-Hedge Derivative assets, at fair value 50,000 226 — — TBA securities, asset Non-Hedge Derivative assets, at fair value 200,000 1,432 — — Total derivative instruments, assets 6,998 728 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 3,252,200 (4,191 ) Options, liability Non-Hedge Derivative liability, at fair value — — 320,000 (50 ) Futures contracts, liability Non-Hedge Derivative liability, at fair value 3,900 (26 ) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 14,782 (96 ) 14,815 (95 ) TBA securities, liability Non-Hedge Derivative liability, at fair value 500,000 (1,501 ) 125,000 (10 ) Total derivative instruments, liabilities (1,623 ) (4,346 ) Total derivative instruments, net $ 5,375 $ (3,618 ) The following tables summarize the effects 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 three and six months ended June 30, 2018 and June 30, 2017 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended June 30, 2018 Interest rate swaps $ 24 $ 21,634 $ 211 $ 2,177 $ 833 $ 24,879 Interest-Only Strips— accounted for as derivatives — — (783 ) (96 ) 1,011 132 Options (100 ) — — 88 — (12 ) Futures contracts 614 — — 2,567 — 3,181 Credit default swaps (23 ) — — 66 — 43 TBAs 801 — — (534 ) — 267 Total $ 1,316 $ 21,634 $ (572 ) $ 4,268 $ 1,844 $ 28,490 Three months ended June 30, 2017 Interest rate swaps $ (154,304 ) $ (21,504 ) $ 117 $ 160,596 $ (3,673 ) $ (18,768 ) Interest-Only Strips— accounted for as derivatives 432 — (2,004 ) 164 2,372 964 Options 237 — — (413 ) — (176 ) Futures contracts (2,515 ) — — 545 — (1,970 ) Foreign currency forwards 3 — — 29 — 32 Total return swaps 14 — — 130 143 287 TBAs 2,125 — — (1,049 ) — 1,076 Total $ (154,008 ) $ (21,504 ) $ (1,887 ) $ 160,002 $ (1,158 ) $ (18,555 ) Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Six months ended June 30, 2018 Interest rate swaps $ 19 $ 97,864 $ 292 $ 2,245 $ (304 ) $ 100,116 Interest-Only Strips— accounted for as derivatives — — (1,974 ) (30 ) 2,433 429 Options (518 ) — — 300 — (218 ) Futures contracts 4,592 — — 3,069 — 7,661 Credit default swaps (42 ) — — 51 — 9 TBAs 134 — — (59 ) — 75 Total $ 4,185 $ 97,864 $ (1,682 ) $ 5,576 $ 2,129 $ 108,072 Six months ended June 30, 2017 Interest rate swaps $ (150,555 ) $ (17,530 ) $ 286 $ 158,130 $ (10,898 ) $ (20,567 ) Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips— accounted for as derivatives 526 — (3,569 ) (1,134 ) 4,413 236 Options 65 — — (611 ) — (546 ) Futures contracts (9,153 ) — — 2,416 — (6,737 ) Foreign currency forwards (20 ) — — 58 — 38 Foreign currency swaps — — — — — — Total return swaps (500 ) — — 1,344 374 1,218 TBAs 2,571 — — 650 — 3,221 Total $ (157,181 ) $ (17,530 ) $ (3,283 ) $ 160,853 $ (6,111 ) $ (23,252 ) At June 30, 2018 and December 31, 2017 , the Company had cash pledged as collateral for derivatives which represents upfront cash collateral upon the Company entering into the derivative transaction and cash collateral for derivatives not cleared through the Chicago Mercantile Exchange ("CME"), of approximately $54.8 million and approximately $63.3 million , respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company also held cash collateral against derivatives of $2.9 million and $0 at June 30, 2018 and December 31, 2017 , 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 (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described. The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps The following tables summarize the average fixed pay rate, average floating receive rate and average maturity for the Company’s interest rate swaps as of June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 $ 400,000 1.5 % 2.3 % 1.0 — % Greater than 1 year and less than 3 years 200,000 1.8 % 2.4 % 1.9 — % Greater than 3 years and less than 5 years 738,000 2.0 % 2.4 % 3.8 — % Greater than 5 years 1,816,600 2.5 % 2.4 % 10.3 10.9 % Total $ 3,154,600 2.2 % 2.4 % 7.1 6.3 % 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. As of June 30, 2018 and December 31, 2017 , the Company has entered into fixed-pay forward starting interest rate swaps of approximately $198.1 million and $1.5 billion , respectively, which have weighted average forward starting dates of 1.9 months and 4.0 months, respectively. Options The Company may enter into options on U.S. Treasuries and Eurodollar. 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 . Futures Contracts The Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of June 30, 2018 , the Company had entered into contracts to buy or long positions for U.S. Treasuries with a notional amount of $119.7 million , a fair value in an asset position of $1.8 million and an expiration date of September 2018 . As of June 30, 2018 , the Company 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 $1.9 million and an expiration date of September 2018 . As of December 31, 2017 , the Company had entered into contracts to buy or long 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 . To-Be-Announced Securities The Company purchased or sold TBAs during the six months ended June 30, 2018 and the year ended December 31, 2017 . The following is a summary of the Company's long and short TBA positions as of June 30, 2018 and December 31, 2017 reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): June 30, 2018 December 31, 2017 Notional Fair Notional Fair Purchase contracts, asset $ 200,000 $ 1,432 $ — $ — TBA securities, asset 200,000 1,432 — — Purchase contracts, liability 300,000 (62 ) 125,000 (10 ) Sale contracts, liability (200,000 ) (1,439 ) — — TBA securities, liability 100,000 (1,501 ) 125,000 (10 ) TBA securities, net $ 300,000 $ (69 ) $ 125,000 $ (10 ) The following tables present additional information about the Company’s contracts to purchase and sell TBAs for the six months ended June 30, 2018 and the year ended December 31, 2017 (dollars in thousands): Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2017 June 30, 2018 Purchase of TBAs $ 125,000 $ 3,425,000 $ (3,050,000 ) $ 500,000 Sale of TBAs $ — $ 3,250,000 $ (3,050,000 ) $ 200,000 Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2016 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 "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Credit Default Swaps As of June 30, 2018 , the Company had entered into credit default swaps with a notional amount of $64.8 million and a fair value in net asset position of $130 thousand . As of December 31, 2017 , the Company had entered into credit default swaps with a notional amount of $14.8 million and a fair value in a liability position of $95 thousand . 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	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 14,170 $ — $ 14,170 $ (11,929 ) $ — $ 2,241 Derivative asset, at fair value (2) 6,998 — 6,998 (122 ) (2,820 ) 4,056 Total derivative assets $ 21,168 $ — $ 21,168 $ (12,051 ) $ (2,820 ) $ 6,297 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 1,623 $ — $ 1,623 $ (122 ) $ — $ 1,501 Repurchase Agreements (4) 3,267,369 — 3,267,369 (3,267,369 ) — — Total derivative liability $ 3,268,992 $ — $ 3,268,992 $ (3,267,491 ) $ — $ 1,501 (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, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $54.8 million as of June 30, 2018 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.6 billion as of June 30, 2018 . 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 Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency 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 Pledged column of the tables above represents amounts pledged 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 . 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	6 Months Ended
	Jun. 30, 2018
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Management Agreement In connection with the Company’s initial public offering ("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 (excluding OTTI ) 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. 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 three months ended June 30, 2018 and June 30, 2017 , the Company incurred approximately $2.3 million and approximately $1.8 million in management fees, respectively. For the six months ended June 30, 2018 and June 30, 2017 , the Company incurred approximately $4.4 million and approximately $4.3 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 three months ended June 30, 2018 and June 30, 2017 , the Company recorded expenses included in general and administrative expenses totaling approximately $872 thousand and approximately $704 thousand , respectively, related to reimbursable employee costs. For the six months ended June 30, 2018 and June 30, 2017 , the Company recorded expenses included in general and administrative expenses totaling approximately $1.1 million and approximately $920 thousand , respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations. At June 30, 2018 and December 31, 2017 , approximately $2.3 million and approximately $1.9 million , respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at June 30, 2018 and December 31, 2017 , approximately $803 thousand and approximately $99 thousand , respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.

Share-Based Payments

Share-Based Payments	6 Months Ended
	Jun. 30, 2018
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. Approximately 752,401 shares have been issued under the Equity Plans with 485,310 shares available for issuance, as of June 30, 2018 . Under the Equity Plan, the Company did not make any grants during the six months ended June 30, 2018 and it made the following grants during the year ended December 31, 2017 : On June 1, 2017, the Company granted a total of 15,536 shares ( 3,884 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares vested 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 7, 2018, the Company granted a total of 25,904 shares ( 6,476 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, 2019, 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. During the six months ended June 30, 2018 and June 30, 2017 , 84,203 and 152,630 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 $50 thousand and approximately $215 thousand for the three months ended June 30, 2018 and June 30, 2017 , respectively. The Company recognized stock-based compensation expense of approximately $125 thousand and approximately $577 thousand for the six months ended June 30, 2018 and June 30, 2017 , respectively. In addition, the Company had unamortized compensation expense of $257 thousand for equity awards and $0 for liability awards and $66 thousand for equity awards and approximately $111 thousand for liability awards at June 30, 2018 and December 31, 2017 , 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 Company's 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 June 30, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: June 30, 2018 December 31, 2017 Vesting Date Shares Vesting Shares Vesting March 2018 — 66,667 June 2018 — 16,488 June 2019 25,904 — 25,904 83,155 The following table presents information with respect to the Company’s restricted stock for the six months ended June 30, 2018 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 725,449 $ 17.00 Granted (2) 26,952 10.77 Cancelled/forfeited — — Outstanding at end of period 752,401 $ 16.78 Unvested at end of period 25,904 $ 10.81 (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 1,048 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.

Stockholders' Equity

Stockholders' Equity	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 , the adjusted exercise price of the warrants was $16.70 per share 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. The Company has not sold any shares under this agreement. 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. 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 Act of 1934, as amended. 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 303,422 shares of common stock pursuant to the authorization as of June 30, 2018 . The repurchased stock was not retired and is 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 2018 June 21, 2018 July 2, 2018 July 26, 2018 $ 0.31 Not yet determined March 22, 2018 April 2, 2018 April 26, 2018 $ 0.31 Not yet determined 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

Net Income per Common Share

Net Income per Common Share	6 Months Ended
	Jun. 30, 2018
Earnings Per Share [Abstract]
Net Income per Common Share	Net Income per Common Share The table below presents basic and diluted net income per share of common stock using the two-class method for the three and six months ended June 30, 2018 and June 30, 2017 (dollars, other than shares and per share amounts, in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Six months ended June 30, 2018 Six months ended June 30, 2017 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 1,453 $ 20,684 $ 23,182 $ 40,926 Less: Dividends and undistributed earnings allocated to participating securities 27 62 65 163 Net income allocable to common stockholders — basic and diluted $ 1,426 $ 20,622 $ 23,117 $ 40,763 Denominator : Weighted average common shares outstanding for basic earnings per share 41,619,198 41,853,134 41,671,278 41,809,672 Weighted average common shares outstanding for diluted earnings per share 41,619,198 41,853,134 41,671,278 41,809,672 Basic earnings per common share $ 0.03 $ 0.49 $ 0.55 $ 0.97 Diluted earnings per common share $ 0.03 $ 0.49 $ 0.55 $ 0.97 For the three and six months ended June 30, 2018 and June 30, 2017 , 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	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 . The Company files U.S. federal and state income tax returns. As of June 30, 2018 , 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 taxable REIT subsidiaries ("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. During the three months ended June 30, 2018 and June 30, 2017 , the Company recorded a federal and state tax provision of approximately $36 thousand and $2.1 million , respectively, which is recorded in "Income tax provision" in the Consolidated Statements of Operations. During the six months ended June 30, 2018 and June 30, 2017 , the Company recorded a federal and state tax provision of approximately $349 thousand and $3.2 million , respectively. Deferred Tax Asset As of June 30, 2018 and December 31, 2017 , the Company recorded a deferred tax asset of approximately $3.5 million and $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 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 valuation allowance of $3.5 million and $6.1 million . In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2017, related to its interest rate swap terminations, and for its California return a portion of the NOL's is apportioned to the TRS. The TRS can carryback these NOLs to each of the two preceding years and receive a refund for taxes paid. The Company recorded a deferred state tax asset relating to the NOLs of $8.7 million and $8.8 million in the REIT and $752 thousand and $765 thousand in the TRS as of June 30, 2018 and December 31, 2017 , respectively. As a result, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $9.0 million and $9.2 million as of June 30, 2018 and December 31, 2017 , respectively. The Company also recorded a deferred federal tax liability of $85 thousand and $85 thousand as of June 30, 2018 and December 31, 2017 , respectively, in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a). Tax Cuts and Jobs Act On December 22, 2017, the President of the United States signed and enacted comprehensive tax legislation into law H.R. 1, commonly referred to as the Tax Cuts and Jobs Act (the “Tax Act”). The Tax Act significantly revises the U.S. corporate income tax by, among other things, lowering the corporate income tax rate from 35% to 21%. Shortly after the enactment of the Tax Act, the SEC issued guidance under Staff Accounting Bulletin No. 118, Income Tax Accounting Implications of the Tax Cuts and Jobs Act (“SAB 118”), which allows a Company to record provisional amounts during a measurement period not to extend beyond one year of the enactment date. The ultimate impact of the Tax Act may differ from these provisional amounts due to, among other things, additional analysis, changes in interpretations and assumptions the Company has made, additional regulatory guidance that may be issued, and actions the Company may take as a result of the Act. We expect to complete our analysis within the measurement period in accordance with SAB 118.

Contingencies

Contingencies	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 .

Summary of Significant Accoun23

Summary of Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2018
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended June 30, 2018 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2017 , filed with the SEC on March 29, 2018. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiary and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiary and consolidated VIEs have been eliminated in consolidation.
Variable Interest Entities	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 where the Company and its related parties have variable interests in a VIE, 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 as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 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.
Restricted Cash	Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in two consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use.
Securitized / Unsecuritized Commercial Loans	Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These 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. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged. Commercial Loans Investments in Commercial Loans, which are comprised of commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. The Company’s loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated. A loan is written off when it is no longer realizable and/or legally discharged.
Interest Income Recognition	Interest Income Recognition Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded 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.
Recent accounting pronouncements	Recently adopted accounting pronouncements Description Adoption 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. 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 did not 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. In February 2018, the FASB issued a separate Update for technical corrections and improvements related to the ASU 2016-01 to increase stakeholders' awareness of the amendments and to expedite the improvements (ASU 2018-3). 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 did not have a material impact on the Company's consolidated financial statements. 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 adoption of this standard did not have a material impact on its Consolidated Statements 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 adoption of this standard did 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 adoption of this standard did not have a material impact on its Consolidated Statements of Cash Flows. 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. There are no changes to the terms and conditions of the Company's share-based compensation. The adoption of this standard 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 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 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. In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting. 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)	6 Months Ended
	Jun. 30, 2018
Fair Value Disclosures [Abstract]
Fair Value, by Balance Sheet Grouping [Table Text Block]	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 June 30, 2018 and December 31, 2017 in the consolidated financial statements (dollars in thousands): June 30, 2018 December 31, 2017 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 22,980 $ 22,805 $ 42,147 $ 42,881 Total $ 22,980 $ 22,805 $ 42,147 $ 42,881 Liabilities Borrowings under repurchase agreements $ 3,267,369 $ 3,265,879 $ 3,251,686 $ 3,257,956 Convertible senior unsecured notes 109,401 116,512 108,743 114,819 Total $ 3,376,770 $ 3,382,391 $ 3,360,429 $ 3,372,775
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy	The following tables present the Company’s financial instruments carried at fair value as of June 30, 2018 and December 31, 2017 , based upon the valuation hierarchy (dollars in thousands): June 30, 2018 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 402,853 $ — $ 402,853 Agency RMBS Interest-Only Strips — — 13,559 13,559 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 9,247 9,247 Agency CMBS — 2,012,342 52,237 2,064,579 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 4,923 — 4,923 Subtotal Agency MBS — 2,420,118 75,043 2,495,161 Non-Agency RMBS — 84,896 13 84,909 Non-Agency RMBS Interest-Only Strips — — 16,294 16,294 Non-Agency CMBS — 331,393 — 331,393 Subtotal Non-Agency MBS — 416,289 16,307 432,596 Other securities — 99,046 8,955 108,001 Total mortgage-backed securities and other securities — 2,935,453 100,305 3,035,758 Residential Whole-Loans — — 335,149 335,149 Residential Bridge Loans — — 236,359 236,359 Securitized commercial loans — — 1,309,195 1,309,195 Commercial Loans — — 70,717 70,717 Derivative assets 3,723 3,275 — 6,998 Total Assets $ 3,723 $ 2,938,728 $ 2,051,725 $ 4,994,176 Liabilities Derivative liabilities $ 26 $ 1,597 $ — $ 1,623 Securitized debt — 1,228,430 2,870 1,231,300 Total Liabilities $ 26 $ 1,230,027 $ 2,870 $ 1,232,923 December 31, 2017 Fair Value Level I Level II Level III Total Assets Agency RMBS $ — $ 672,177 $ — $ 672,177 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
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: Three months ended June 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Whole-Loans Residential Bridge Loans Commercial Loans Securitized commercial loans Securitized debt Beginning balance $ 44,802 $ 17,000 $ 9,113 $ 296,719 $ 129,469 $ 40,455 $ 1,383,044 $ 12 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II (19,461 ) — — — — — — — Purchases 52,530 — — 54,019 156,730 29,851 — — Principal repayments — — (177 ) (14,902 ) (49,402 ) — (78,807 ) — Total net gains / losses included in net income Other than temporary impairment (207 ) (19 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,181 ) (53 ) (25 ) (475 ) (108 ) 374 5,621 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,834 Premium and discount amortization, net (1,440 ) (621 ) 44 (212 ) (330 ) 37 (663 ) 24 Ending balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (798 ) $ (53 ) $ (25 ) $ (274 ) $ 140 $ 374 $ 5,621 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,834 ) Three months ended June 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized Securitized debt Derivative liability Beginning balance $ 50,273 $ 15,622 $ 21,432 $ 215,800 $ 24,500 $ 10,780 $ 459 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II (50,999 ) — — — — — — Purchases 131 — — — — — — Sales and settlements — — — — — — (14,711 ) Principal repayments (15 ) (1,698 ) — (12,220 ) — — — Total net gains / losses included in net income 0 Realized (gains)/losses, net on liabilities — — — — — — 14,711 Other than temporary impairment — — (438 ) — — — — Unrealized gains/(losses), net on assets (1) 614 392 603 260 375 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 165 (130 ) Premium and discount amortization, net (4 ) 10 808 (300 ) — — — Ending balance $ — $ 14,326 $ 22,405 $ 203,540 $ 24,875 $ 10,945 $ 329 Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 392 $ 603 $ 478 $ 375 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (165 ) $ 130 Six months ended June 30, 2018 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 17,217 $ 8,735 $ 9,239 $ 237,423 $ 64,526 $ — $ 24,876 $ 10,945 Transfers into Level III from Level II 22,794 — — — — — — — Transfers from Level III into Level II (16,805 ) — — — — — — (10,899 ) Purchases 54,623 8,602 — 122,014 214,843 70,257 1,353,019 — Sales and settlements — — — — — — — 12 Principal repayments (53 ) — (317 ) (22,679 ) (42,544 ) — (78,907 ) (44 ) Total net gains / losses included in net income Other than temporary impairment (207 ) (48 ) — — — — — — Unrealized gains/(losses), net on assets (1) (1,070 ) (56 ) (54 ) (1,273 ) (130 ) 416 10,870 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,832 Premium and discount amortization, net (1,456 ) (926 ) 87 (336 ) (336 ) 44 (663 ) 24 Ending balance $ 75,043 $ 16,307 $ 8,955 $ 335,149 $ 236,359 $ 70,717 $ 1,309,195 $ 2,870 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (712 ) $ (56 ) $ (54 ) $ (888 ) $ 151 $ 416 $ 10,870 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,834 ) Six months ended June 30, 2017 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Securitized 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 — 15,610 — — — — — Transfers from Level III into Level II (73,715 ) (7,434 ) (9,227 ) — — — — Purchases — — — 35,671 — — — Sales and settlements — (60,132 ) — — — — (14,197 ) Principal repayments — (2,075 ) (172 ) (24,357 ) — — — Total net gains / losses included in net income Realized gains/(losses), net on assets — 2,623 — — — — — Realized (gains)/losses, net on liabilities — — — — — — 14,197 Other than temporary impairment — — (1,702 ) — — — — Unrealized gains/(losses), net on assets (1) 636 (9,007 ) 456 638 650 — — Unrealized (gains)/losses, net on liabilities (2) — — — — — 286 (1,344 ) Premium and discount amortization, net 20 (835 ) 1,694 (548 ) — — — Ending balance $ — $ 14,326 $ 22,405 $ 203,540 $ 24,875 $ 10,945 $ 329 Unrealized gains/(losses), net on assets held at the end of the period (1) $ — $ 392 $ 385 $ 792 $ 650 $ — $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ (286 ) $ 1,344 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively.

Mortgage-Backed Securities an25

Mortgage-Backed Securities and other securities (Tables)	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 Agency RMBS $ 403,154 $ 13,467 $ — $ 416,621 $ — $ (13,768 ) $ 402,853 3.6 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 13,501 835 (777 ) 13,559 2.3 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 9,247 2.7 % (1) Subtotal Agency RMBS 403,154 13,467 — 430,122 835 (14,545 ) 425,659 3.1 % Agency CMBS 2,141,182 3,338 — 2,144,520 — (79,941 ) 2,064,579 3.0 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 4,923 0.5 % (1) Subtotal Agency CMBS 2,141,182 3,338 — 2,144,520 — (79,941 ) 2,069,502 2.8 % Total Agency MBS 2,544,336 16,805 — 2,574,642 835 (94,486 ) 2,495,161 2.9 % Non-Agency RMBS 115,776 5,783 (40,333 ) 81,226 3,867 (184 ) 84,909 4.4 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 16,365 — (71 ) 16,294 0.5 % (1) Subtotal Non-Agency RMBS 115,776 5,783 (40,333 ) 97,591 3,867 (255 ) 101,203 1.0 % Non-Agency CMBS 421,642 (55,426 ) (28,292 ) 337,924 4,435 (10,966 ) 331,393 5.2 % Total Non-Agency MBS 537,418 (49,643 ) (68,625 ) 435,515 8,302 (11,221 ) 432,596 2.3 % Other securities (3) 83,717 2,689 (10,212 ) 96,296 11,759 (54 ) 108,001 8.6 % Total $ 3,165,471 $ (30,149 ) $ (78,837 ) $ 3,106,453 $ 20,896 $ (105,761 ) $ 3,035,758 2.8 % 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 Agency RMBS $ 641,044 $ 28,876 $ — $ 669,920 $ 4,571 $ (2,314 ) $ 672,177 3.9 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A 14,750 878 (191 ) 15,437 2.9 % (1) Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 10,419 2.9 % (1) Subtotal Agency RMBS 641,044 28,876 — 684,670 5,449 (2,505 ) 698,033 3.6 % Agency CMBS 2,145,139 2,142 — 2,147,281 16,913 (9,394 ) 2,154,800 2.9 % Agency CMBS Interest-Only Strips (1) N/A N/A N/A — 10 — 10 3.2 % (1) Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,757 0.5 % (1) Subtotal Agency CMBS 2,145,139 2,142 — 2,147,281 16,923 (9,394 ) 2,160,567 2.7 % Total 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 (1) N/A N/A N/A 8,738 — (16 ) 8,722 0.9 % (1) Subtotal Non-Agency RMBS 119,748 5,263 (39,491 ) 94,258 5,473 (177 ) 99,554 1.8 % Non-Agency CMBS 379,183 (59,129 ) (28,020 ) 292,034 1,702 (15,132 ) 278,604 4.8 % Total Non-Agency MBS 498,931 (53,866 ) (67,511 ) 386,292 7,175 (15,309 ) 378,158 3.3 % Other securities (3) 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 % (1) IOs and IIOs 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 June 30, 2018 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $176.8 million , $843.0 million , $105.0 million and $181.1 million , respectively. 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. (2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $20.1 million and $22.9 million , as of June 30, 2018 and December 31, 2017 , respectively.
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities	The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 (dollars in thousands): Three months ended June 30, 2018 Three months ended June 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (79,474 ) $ (72,868 ) $ 21,494 $ (47,517 ) $ (78,573 ) $ 16,330 Accretion of discount — 2,786 — — 2,722 — Amortization of premium — — (223 ) — — (47 ) Realized credit losses 2,095 — — 48 — — Purchases — — — — — — Sales 765 2,941 (554 ) 1,700 465 (571 ) Net impairment losses recognized in earnings (2,753 ) — — (5,979 ) — — Transfers/release of credit reserve (2) 530 (1,536 ) 1,006 1,918 (1,392 ) (526 ) Balance at end of period $ (78,837 ) $ (68,677 ) $ 21,723 $ (49,830 ) $ (76,778 ) $ 15,186 Six months ended June 30, 2018 Six months ended June 30, 2017 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (72,915 ) $ (68,438 ) $ 20,872 $ (130,484 ) $ (109,822 ) $ 44,527 Accretion of discount — 5,169 — — 5,954 — Amortization of premium — — (364 ) — — (689 ) Realized credit losses 2,221 — — 1,829 — — Purchases (7,182 ) (6,473 ) 435 (1,724 ) (668 ) 1,522 Sales 3,339 3,728 (684 ) 89,441 30,085 (31,042 ) Net impairment losses recognized in earnings (5,499 ) — — (10,351 ) — — Transfers/release of credit reserve (2) 1,199 (2,663 ) 1,464 1,459 (2,327 ) 868 Balance at end of period $ (78,837 ) $ (68,677 ) $ 21,723 $ (49,830 ) $ (76,778 ) $ 15,186 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) 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 June 30, 2018 and December 31, 2017 (dollars in thousands) : June 30, 2018 < 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 $ — $ — $ 60,217 $ 342,636 $ 402,853 Agency RMBS Interest-Only Strips 3,352 3,658 6,549 — 13,559 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,377 4,828 3,042 — 9,247 Agency CMBS 1,499,873 564,706 — — 2,064,579 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 4,923 4,923 Subtotal Agency 1,504,602 573,192 69,808 347,559 2,495,161 Non-Agency RMBS 13 24,944 17,113 42,839 84,909 Non-Agency RMBS Interest- Only Strips — — 8,263 8,031 16,294 Non-Agency CMBS — 85,116 148,471 97,806 331,393 Subtotal Non-Agency 13 110,060 173,847 148,676 432,596 Other securities — 77,417 — 30,584 108,001 Total $ 1,504,615 $ 760,669 $ 243,655 $ 526,819 $ 3,035,758 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 $ — $ 56,228 $ 239,197 $ 376,752 $ 672,177 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
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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 $ 402,854 $ (13,768 ) 10 $ — $ — — $ 402,854 $ (13,768 ) 10 Agency RMBS Interest-Only Strips 4,906 (614 ) 11 2,130 (163 ) 4 7,036 (777 ) 15 Agency CMBS 2,064,579 (79,941 ) 132 — — — 2,064,579 (79,941 ) 132 Subtotal Agency 2,472,339 (94,323 ) 153 2,130 (163 ) 4 2,474,469 (94,486 ) 157 Non-Agency RMBS 14,751 (184 ) 2 — — — 14,751 (184 ) 2 Non-Agency RMBS Interest-Only Strips 16,188 (71 ) 3 — — — 16,188 (71 ) 3 Non-Agency CMBS 88,673 (1,610 ) 15 101,644 (9,356 ) 27 190,317 (10,966 ) 42 Subtotal Non-Agency 119,612 (1,865 ) 20 101,644 (9,356 ) 27 221,256 (11,221 ) 47 Other securities 8,955 (54 ) 1 — — — 8,955 (54 ) 1 Total $ 2,600,906 $ (96,242 ) 174 $ 103,774 $ (9,519 ) 31 $ 2,704,680 $ (105,761 ) 205 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 $ 330,259 $ (2,179 ) 11 $ 1,632 $ (135 ) 5 $ 331,891 $ (2,314 ) 16 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
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): Three months ended June 30, 2018 Three months ended June 30, 2017 Six months ended June 30, 2018 Six months ended June 30, 2017 Agency RMBS $ 201 $ 161 $ 343 $ 660 Non-Agency RMBS 19 — 110 — Non-Agency CMBS 2,754 5,980 5,437 10,314 Other securities — 438 — 1,702 Total $ 2,974 $ 6,579 $ 5,890 $ 12,676
Summary of the components of interest income on the Company's MBS and other securities	The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 , respectively (dollars in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 5,796 $ (1,705 ) $ 4,091 $ 10,305 $ (3,639 ) $ 6,666 Agency CMBS 15,943 (88 ) 15,855 8,432 338 8,770 Non-Agency RMBS 2,057 (281 ) 1,776 558 392 950 Non-Agency CMBS 5,170 2,508 7,678 4,913 2,264 7,177 Other securities 4,180 (1,803 ) 2,377 1,733 827 2,560 Total $ 33,146 $ (1,369 ) $ 31,777 $ 25,941 $ 182 $ 26,123 Six months ended June 30, 2018 Six months ended June 30, 2017 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 12,920 $ (2,974 ) $ 9,946 $ 21,627 $ (7,667 ) $ 13,960 Agency CMBS 31,941 32 31,973 13,337 607 13,944 Non-Agency RMBS 3,477 (149 ) 3,328 3,911 (69 ) 3,842 Non-Agency CMBS 9,983 4,404 14,387 10,433 4,433 14,866 Other securities 7,936 (3,165 ) 4,771 3,140 1,648 4,788 Total $ 66,257 $ (1,852 ) $ 64,405 $ 52,448 $ (1,048 ) $ 51,400
Schedule of sales and realized gain (loss) of the Company's MBS and other securities	The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2018 and June 30, 2017 , respectively (dollars in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 208,331 $ — $ (4,531 ) $ (4,531 ) $ 314,800 $ 848 $ (3,725 ) $ (2,877 ) Agency CMBS 126,867 — (5,016 ) (5,016 ) — — — — Non-Agency RMBS 47,758 2,220 — 2,220 — — — — Non-Agency CMBS 385 — (38 ) (38 ) 15,220 730 (341 ) 389 Other securities 21,757 1,757 — 1,757 — — — — Total $ 405,098 $ 3,977 $ (9,585 ) $ (5,608 ) $ 330,020 $ 1,578 $ (4,066 ) $ (2,488 ) (1) For the three months ended June 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. Six months ended June 30, 2018 Six months ended June 30, 2017 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 209,581 $ 18 $ (4,531 ) $ (4,513 ) $ 865,151 $ 4,379 $ (7,365 ) $ (2,986 ) Agency CMBS 126,867 — (5,016 ) (5,016 ) — — — — Non-Agency RMBS (2) 51,958 3,114 — 3,114 243,811 24,389 (2,242 ) 22,147 Non-Agency CMBS 6,706 61 (436 ) (375 ) 35,037 736 (1,073 ) (337 ) Other securities 21,757 1,757 — 1,757 22,946 — (54 ) (54 ) Total $ 416,869 $ 4,950 $ (9,983 ) $ (5,033 ) $ 1,166,945 $ 29,504 $ (10,734 ) $ 18,770 (1) For the six months ended June 30, 2017 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of $432 thousand , respectively. (2) For the six months ended June 30, 2017 , 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 , respectively.

Residential Whole-Loans and B26

Residential Whole-Loans and Bridge Loans (Tables)	6 Months Ended
	Jun. 30, 2018
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 Residential Whole-Loan and Residential Bridge Loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 Cash and cash equivalents $ 364 $ — Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively) 335,149 237,423 Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively) 259,339 106,673 Investment related receivable 37,286 7,665 Interest receivable 6,572 3,197 Other assets 548 — Total assets $ 639,258 $ 354,958 Accounts payable and accrued expenses 669 188 Other liabilities 562 — Total liabilities $ 1,231 $ 188 The following table presents a summary of the assets and liabilities of the three consolidated commercial loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands). June 30, 2018 December 31, 2017 Restricted cash $ 58,747 $ — Securitized commercial loans, at fair value 1,309,195 24,876 Commercial Loans, at fair value 20,515 — Interest receivable 3,222 161 Total assets $ 1,391,679 $ 25,037 Securitized debt, at fair value $ 1,231,300 $ 10,945 Interest payable 2,687 70 Accounts payable and accrued expenses 9 1 Other liabilities 58,747 — Total liabilities $ 1,292,743 $ 11,016
Schedule of components of the carrying value of Residential Whole-Loans and securitized commercial loan	The following table presents the components of the carrying value of Residential Whole-Loans and Residential Bridge Loans as of June 30, 2018 and December 31, 2017 (dollars in thousands): Residential Whole-Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Principal balance $ 329,153 $ 232,270 $ 234,881 $ 63,802 $ 22,954 $ 42,066 Unamortized premium 4,541 2,021 1,536 293 51 122 Unamortized discount (1,625 ) (1,190 ) (387 ) (128 ) (25 ) (41 ) Amortized cost 332,069 233,101 236,030 63,967 22,980 42,147 Gross unrealized gains 4,309 4,463 1,153 655 N/A N/A Gross unrealized losses (1,229 ) (141 ) (824 ) (96 ) N/A N/A Fair value $ 335,149 $ 237,423 $ 236,359 $ 64,526 N/A N/A (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 Residential Whole-Loans are comprised of non-qualifying, mostly adjustable rate mortgages with low loan to values (or “LTV”). The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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% 3 $ 1,772 64.1 % 734 4.0 29.2 4.0 % 4.01– 5.00% 545 219,954 58.7 % 743 1.8 28.0 4.7 % 5.01 – 6.00% 276 103,968 57.4 % 735 1.7 27.1 5.3 % 6.01 – 7.00% 6 3,008 68.4 % 740 1.5 22.5 6.2 % 7.01 - 8.00% 1 357 70.0 % 777 2.0 29.6 7.2 % 8.01 - 9.00% 1 94 70.0 % 689 2.0 29.6 8.4 % Total 832 $ 329,153 58.5 % 741 1.8 27.7 4.9 % (1) The original FICO score is not available for 143 loans with a principal balance of approximately $55.6 million at June 30, 2018 . The Company has excluded these loans from the weighted average computations. 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.
Schedule of 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 tables present certain information about the Company’s Residential Bridge Loan investment portfolio at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Contractual Maturity (months) Coupon Rate 6.01 - 7.00% 35 $ 9,772 62.6 % 5.9 6.8 % 7.01 – 8.00% 175 59,378 69.3 % 7.0 7.7 % 8.01 – 9.00% 256 95,689 68.3 % 7.1 8.7 % 9.01 – 10.00% 214 62,888 70.8 % 6.8 9.7 % 10.01 – 11.00% 86 19,043 69.0 % 6.2 10.6 % 11.01 - 12.00% 29 7,407 71.6 % 6.0 11.4 % 12.01 - 13.00% 9 1,261 66.9 % 8.8 12.6 % 17.01 – 18.00% 9 2,397 74.8 % 7.6 18.0 % Total 813 $ 257,835 69.1 % 6.9 9.0 % 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 whole-loans	The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole-Loans at June 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): June 30, 2018 December 31, 2017 State State Concentration Principal Balance State State Concentration Principal Balance California 65.4 % $ 215,242 California 62.2 % $ 144,321 New York 21.7 % 71,412 New York 24.4 % 56,631 Georgia 3.8 % 12,512 Georgia 4.3 % 10,061 Washington 2.9 % 9,633 Washington 4.0 % 9,244 Massachusetts 2.6 % 8,564 Massachusetts 3.9 % 9,114 Other 3.6 % 11,790 Other 1.2 % 2,899 Total 100.0 % $ 329,153 Total 100.0 % $ 232,270
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans	The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at June 30, 2018 and December 31, 2017 , based on principal balance, is located (dollars in thousands): June 30, 2018 December 31, 2017 State Concentration Principal Balance State Concentration Principal Balance California 45.0 % $ 115,885 California 48.2 % $ 51,080 Florida 9.3 % 23,865 Florida 13.4 % 14,199 New York 8.3 % 21,472 Washington 6.3 % 6,645 New Jersey 6.2 % 16,015 New York 4.4 % 4,703 Texas 5.0 % 12,894 Texas 4.4 % 4,660 Other 26.2 % 67,704 Other 23.3 % 24,581 Total 100.0 % $ 257,835 Total 100.0 % $ 105,868

Commercial Real Estate invest27

Commercial Real Estate investments (Tables)	6 Months Ended
	Jun. 30, 2018
Noncontrolling Interest [Abstract]
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 Residential Whole-Loan and Residential Bridge Loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 Cash and cash equivalents $ 364 $ — Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively) 335,149 237,423 Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively) 259,339 106,673 Investment related receivable 37,286 7,665 Interest receivable 6,572 3,197 Other assets 548 — Total assets $ 639,258 $ 354,958 Accounts payable and accrued expenses 669 188 Other liabilities 562 — Total liabilities $ 1,231 $ 188 The following table presents a summary of the assets and liabilities of the three consolidated commercial loan trusts included in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017 (dollars in thousands). June 30, 2018 December 31, 2017 Restricted cash $ 58,747 $ — Securitized commercial loans, at fair value 1,309,195 24,876 Commercial Loans, at fair value 20,515 — Interest receivable 3,222 161 Total assets $ 1,391,679 $ 25,037 Securitized debt, at fair value $ 1,231,300 $ 10,945 Interest payable 2,687 70 Accounts payable and accrued expenses 9 1 Other liabilities 58,747 — Total liabilities $ 1,292,743 $ 11,016
Schedule of Carrying Value of the Commercial Real Estate Loans	The following table presents the components of the carrying value of the commercial real estate loans as of June 30, 2018 and December 31, 2017 (dollars in thousands): CMSC Trust Securitized Commercial Loan, at Fair Value RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loan, at Fair Value Commercial Loans, at Fair Value June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Principal balance $ 24,652 $ 24,846 $ 1,271,288 $ — $ 20,638 $ — $ 50,000 $ — Unamortized premium — — 2,355 — — — — — Unamortized discount — — — — (81 ) — (257 ) — Amortized cost 24,652 24,846 1,273,643 — 20,557 — 49,743 — Gross unrealized gains 89 30 10,811 — — — 459 — Gross unrealized losses — — — — (42 ) — — — Fair value $ 24,741 $ 24,876 $ 1,284,454 $ — $ 20,515 $ — $ 50,202 $ —

Financings (Tables)

Financings (Tables)	6 Months Ended
	Jun. 30, 2018
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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 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 $ 404,498 2.18 % 56 $ 665,919 1.62 % 61 Agency CMBS 1,923,906 2.21 % 93 2,035,222 1.53 % 53 Non-Agency RMBS 73,152 3.71 % 34 46,530 2.76 % 41 Non-Agency CMBS 249,055 3.77 % 52 154,325 2.98 % 40 Residential Whole-Loans (1) 268,100 3.86 % 27 189,270 3.66 % 8 Residential Bridge Loans (1) 256,488 4.32 % 62 100,183 4.05 % 59 Commercial loans (1) 12,321 4.83 % 74 — — % — Securitized commercial loans (1) 7,620 3.94 % 20 — — % — Other securities 72,229 3.97 % 29 60,237 2.94 % 23 Borrowings under repurchase agreements $ 3,267,369 2.71 % 74 $ 3,251,686 1.86 % 51 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation.
Schedule of repurchase agreements collateralized by investments	At June 30, 2018 and December 31, 2017 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) June 30, 2018 December 31, 2017 Overnight $ — $ — 1 to 29 days 1,125,808 1,387,599 30 to 59 days 196,826 665,656 60 to 89 days 1,112,450 871,819 90 to 119 days 80,919 — Greater than or equal to 120 days 751,366 326,612 Total $ 3,267,369 $ 3,251,686
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty	At June 30, 2018 , 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): June 30, 2018 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity UBS AG, London Branch $ 73,008 32 15.8 % Credit Suisse AG, Cayman Islands Branch 68,884 27 14.9 %
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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 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 $ 423,418 $ 1,678 $ 425,096 $ 690,255 $ 2,601 $ 692,856 Agency CMBS, at fair value 2,017,265 5,203 2,022,468 2,143,340 5,454 2,148,794 Non-Agency RMBS, at fair value 101,190 729 101,919 58,127 160 58,287 Non-Agency CMBS, at fair value 331,162 1,661 332,823 208,062 1,100 209,162 Residential Whole-Loans, at fair value (1) 335,149 2,617 337,766 237,423 1,754 239,177 Residential Bridge Loans (1) 259,339 3,955 263,294 106,673 1,443 108,116 Commercial Loans, at fair value (1) 20,515 116 20,631 — — — Securitized commercial loans, at fair value (1) 13,855 86 13,941 — — — Other securities, at fair value 107,864 191 108,055 89,823 105 89,928 Cash (2) 9,663 — 9,663 23,591 — 23,591 Total $ 3,619,420 $ 16,236 $ 3,635,656 $ 3,557,294 $ 12,617 $ 3,569,911 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.
Schedule of commercial mortgage pass-through certificates	The following table summarizes RETL Trust's commercial mortgage pass-through certificates at June 30, 2018 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A 493,448 3.2% 495,560 2/15/2021 Class B 149,918 3.8% 150,700 2/15/2021 Class C 129,860 4.1% 130,726 2/15/2021 Class D 114,793 4.8% 115,703 2/15/2021 Class E 155,851 6.6% 157,481 2/15/2021 Class F 150,954 8.1% 152,537 2/15/2021 Class G 12,619 9.6% 12,768 2/15/2021 Class HRR 63,847 11.6% 64,040 2/15/2021 Class X-CP (1) N/A 2.6% 2,069 3/11/2019 Class X-EXT (1) N/A —% 2,870 2/15/2021 $ 1,271,290 $ 1,284,454 (1) Class X-CP and Class X-EXT are interest only classes with a notional balance of $114.8 million each.

Derivative Instruments (Tables)

Derivative Instruments (Tables)	6 Months Ended
	Jun. 30, 2018
Derivative Instruments
Summary of the entity's derivative instruments	The following table summarizes the Company’s derivative instruments at June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 December 31, 2017 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 3,154,600 $ 1,617 $ — $ — Options, asset Non-Hedge Derivative assets, at fair value — — 320,000 100 Futures contracts, asset Non-Hedge Derivative assets, at fair value 595,800 3,723 480,000 628 Credit default swaps, asset Non-Hedge Derivative assets, at fair value 50,000 226 — — TBA securities, asset Non-Hedge Derivative assets, at fair value 200,000 1,432 — — Total derivative instruments, assets 6,998 728 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 3,252,200 (4,191 ) Options, liability Non-Hedge Derivative liability, at fair value — — 320,000 (50 ) Futures contracts, liability Non-Hedge Derivative liability, at fair value 3,900 (26 ) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 14,782 (96 ) 14,815 (95 ) TBA securities, liability Non-Hedge Derivative liability, at fair value 500,000 (1,501 ) 125,000 (10 ) Total derivative instruments, liabilities (1,623 ) (4,346 ) Total derivative instruments, net $ 5,375 $ (3,618 )
Summary of the effect of entity's derivative instruments reported in Gain (loss) on derivative instruments, net on the Statements of Operations	The following tables summarize the effects 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 three and six months ended June 30, 2018 and June 30, 2017 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended June 30, 2018 Interest rate swaps $ 24 $ 21,634 $ 211 $ 2,177 $ 833 $ 24,879 Interest-Only Strips— accounted for as derivatives — — (783 ) (96 ) 1,011 132 Options (100 ) — — 88 — (12 ) Futures contracts 614 — — 2,567 — 3,181 Credit default swaps (23 ) — — 66 — 43 TBAs 801 — — (534 ) — 267 Total $ 1,316 $ 21,634 $ (572 ) $ 4,268 $ 1,844 $ 28,490 Three months ended June 30, 2017 Interest rate swaps $ (154,304 ) $ (21,504 ) $ 117 $ 160,596 $ (3,673 ) $ (18,768 ) Interest-Only Strips— accounted for as derivatives 432 — (2,004 ) 164 2,372 964 Options 237 — — (413 ) — (176 ) Futures contracts (2,515 ) — — 545 — (1,970 ) Foreign currency forwards 3 — — 29 — 32 Total return swaps 14 — — 130 143 287 TBAs 2,125 — — (1,049 ) — 1,076 Total $ (154,008 ) $ (21,504 ) $ (1,887 ) $ 160,002 $ (1,158 ) $ (18,555 ) Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Six months ended June 30, 2018 Interest rate swaps $ 19 $ 97,864 $ 292 $ 2,245 $ (304 ) $ 100,116 Interest-Only Strips— accounted for as derivatives — — (1,974 ) (30 ) 2,433 429 Options (518 ) — — 300 — (218 ) Futures contracts 4,592 — — 3,069 — 7,661 Credit default swaps (42 ) — — 51 — 9 TBAs 134 — — (59 ) — 75 Total $ 4,185 $ 97,864 $ (1,682 ) $ 5,576 $ 2,129 $ 108,072 Six months ended June 30, 2017 Interest rate swaps $ (150,555 ) $ (17,530 ) $ 286 $ 158,130 $ (10,898 ) $ (20,567 ) Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips— accounted for as derivatives 526 — (3,569 ) (1,134 ) 4,413 236 Options 65 — — (611 ) — (546 ) Futures contracts (9,153 ) — — 2,416 — (6,737 ) Foreign currency forwards (20 ) — — 58 — 38 Foreign currency swaps — — — — — — Total return swaps (500 ) — — 1,344 374 1,218 TBAs 2,571 — — 650 — 3,221 Total $ (157,181 ) $ (17,530 ) $ (3,283 ) $ 160,853 $ (6,111 ) $ (23,252 )
Schedule of to be announced securities	The following is a summary of the Company's long and short TBA positions as of June 30, 2018 and December 31, 2017 reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): June 30, 2018 December 31, 2017 Notional Fair Notional Fair Purchase contracts, asset $ 200,000 $ 1,432 $ — $ — TBA securities, asset 200,000 1,432 — — Purchase contracts, liability 300,000 (62 ) 125,000 (10 ) Sale contracts, liability (200,000 ) (1,439 ) — — TBA securities, liability 100,000 (1,501 ) 125,000 (10 ) TBA securities, net $ 300,000 $ (69 ) $ 125,000 $ (10 )
Schedule of additional information about the contracts to purchase and sell TBAs	The following tables present additional information about the Company’s contracts to purchase and sell TBAs for the six months ended June 30, 2018 and the year ended December 31, 2017 (dollars in thousands): Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2017 June 30, 2018 Purchase of TBAs $ 125,000 $ 3,425,000 $ (3,050,000 ) $ 500,000 Sale of TBAs $ — $ 3,250,000 $ (3,050,000 ) $ 200,000 Notional Amount Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 2016 December 31, 2017 Purchase of TBAs $ — $ 5,843,200 $ (5,718,200 ) $ 125,000 Sale of TBAs $ — $ 5,718,200 $ (5,718,200 ) $ —
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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 $ 400,000 1.5 % 2.3 % 1.0 — % Greater than 1 year and less than 3 years 200,000 1.8 % 2.4 % 1.9 — % Greater than 3 years and less than 5 years 738,000 2.0 % 2.4 % 3.8 — % Greater than 5 years 1,816,600 2.5 % 2.4 % 10.3 10.9 % Total $ 3,154,600 2.2 % 2.4 % 7.1 6.3 % 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.

Offsetting Assets and Liabili30

Offsetting Assets and Liabilities (Tables)	6 Months Ended
	Jun. 30, 2018
Offsetting [Abstract]
Schedule of gross and net information about the Company's assets 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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 14,170 $ — $ 14,170 $ (11,929 ) $ — $ 2,241 Derivative asset, at fair value (2) 6,998 — 6,998 (122 ) (2,820 ) 4,056 Total derivative assets $ 21,168 $ — $ 21,168 $ (12,051 ) $ (2,820 ) $ 6,297 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 1,623 $ — $ 1,623 $ (122 ) $ — $ 1,501 Repurchase Agreements (4) 3,267,369 — 3,267,369 (3,267,369 ) — — Total derivative liability $ 3,268,992 $ — $ 3,268,992 $ (3,267,491 ) $ — $ 1,501 (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, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $54.8 million as of June 30, 2018 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.6 billion as of June 30, 2018 . 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 Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency 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 Pledged column of the tables above represents amounts pledged 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 .
Schedule of gross and net information about the Company's 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 June 30, 2018 and December 31, 2017 (dollars in thousands): June 30, 2018 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 Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 14,170 $ — $ 14,170 $ (11,929 ) $ — $ 2,241 Derivative asset, at fair value (2) 6,998 — 6,998 (122 ) (2,820 ) 4,056 Total derivative assets $ 21,168 $ — $ 21,168 $ (12,051 ) $ (2,820 ) $ 6,297 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 1,623 $ — $ 1,623 $ (122 ) $ — $ 1,501 Repurchase Agreements (4) 3,267,369 — 3,267,369 (3,267,369 ) — — Total derivative liability $ 3,268,992 $ — $ 3,268,992 $ (3,267,491 ) $ — $ 1,501 (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, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $54.8 million as of June 30, 2018 . (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.6 billion as of June 30, 2018 . 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 Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency 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 Pledged column of the tables above represents amounts pledged 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 .

Share-Based Payments (Tables)

Share-Based Payments (Tables)	6 Months Ended
	Jun. 30, 2018
Share-based Compensation [Abstract]
Summary of restricted common stock vesting dates	The following is a summary of restricted common stock vesting dates as of June 30, 2018 and December 31, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: June 30, 2018 December 31, 2017 Vesting Date Shares Vesting Shares Vesting March 2018 — 66,667 June 2018 — 16,488 June 2019 25,904 — 25,904 83,155
Schedule of restricted stock activity	The following table presents information with respect to the Company’s restricted stock for the six months ended June 30, 2018 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 725,449 $ 17.00 Granted (2) 26,952 10.77 Cancelled/forfeited — — Outstanding at end of period 752,401 $ 16.78 Unvested at end of period 25,904 $ 10.81 (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 1,048 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	6 Months Ended
	Jun. 30, 2018
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 2018 June 21, 2018 July 2, 2018 July 26, 2018 $ 0.31 Not yet determined March 22, 2018 April 2, 2018 April 26, 2018 $ 0.31 Not yet determined 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

Net Income per Common Share (Ta

Net Income per Common Share (Tables)	6 Months Ended
	Jun. 30, 2018
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 per share of common stock using the two-class method for the three and six months ended June 30, 2018 and June 30, 2017 (dollars, other than shares and per share amounts, in thousands): For the three months ended June 30, 2018 For the three months ended June 30, 2017 Six months ended June 30, 2018 Six months ended June 30, 2017 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 1,453 $ 20,684 $ 23,182 $ 40,926 Less: Dividends and undistributed earnings allocated to participating securities 27 62 65 163 Net income allocable to common stockholders — basic and diluted $ 1,426 $ 20,622 $ 23,117 $ 40,763 Denominator : Weighted average common shares outstanding for basic earnings per share 41,619,198 41,853,134 41,671,278 41,809,672 Weighted average common shares outstanding for diluted earnings per share 41,619,198 41,853,134 41,671,278 41,809,672 Basic earnings per common share $ 0.03 $ 0.49 $ 0.55 $ 0.97 Diluted earnings per common share $ 0.03 $ 0.49 $ 0.55 $ 0.97

Fair Value of Financial Instr34

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Assets
Derivative assets	$ 21,168		$ 21,168		$ 16,904
Liabilities
Derivative liabilities	1,623		1,623		4,346
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(2,974)	$ (6,579)	(5,890)	$ (12,676)
Unrealized (gains)/losses, net on liabilities				(1,344)
Premium and discount amortization, net			(277)	2,044
Residential Whole-Loans
Assets
Fair value	335,149		335,149		237,423
Agency RMBS
Assets
Estimated Fair Value	402,853		402,853		672,177
Agency MBS
Assets
Estimated Fair Value	2,495,161		2,495,161		2,858,600
Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	13,559		13,559		15,437
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	9,247		9,247		10,419
Agency CMBS
Assets
Estimated Fair Value	2,064,579		2,064,579		2,154,800
Investment assets 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	(88)	338	32	607
Agency CMBS Interest-Only Strips
Assets
Estimated Fair Value					10
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	4,923		4,923		5,757
Non-Agency MBS
Assets
Estimated Fair Value	432,596		432,596		378,158
Non-Agency RMBS
Assets
Estimated Fair Value	84,909		84,909		90,832
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(19)	0	(110)	0
Premium and discount amortization, net	(281)	392	(149)	(69)
Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	16,294		16,294		8,722
Non-Agency CMBS
Assets
Estimated Fair Value	331,393		331,393		278,604
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(2,754)	(5,980)	(5,437)	(10,314)
Premium and discount amortization, net	2,508	2,264	4,404	4,433
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	432,596		432,596		378,158
Other securities
Assets
Estimated Fair Value	108,001		108,001		122,065
Investment assets 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	(438)	0	(1,702)
Premium and discount amortization, net	(1,803)	827	(3,165)	1,648
Level I
Assets
Derivative assets	3,723		3,723		728
Total Assets	3,723		3,723		728
Liabilities
Derivative liabilities	26		26		50
Securitized debt	0		0
Total Liabilities	26		26		50
Level II
Assets
Estimated Fair Value	2,935,453		2,935,453		3,323,632
Derivative assets	3,275		3,275		0
Total Assets	2,938,728		2,938,728		3,323,632
Liabilities
Derivative liabilities	1,597		1,597		4,296
Securitized debt	1,228,430		1,228,430
Total Liabilities	1,230,027		1,230,027		4,296
Level II | Agency RMBS
Assets
Estimated Fair Value	402,853		402,853		672,177
Level II | Agency MBS
Assets
Estimated Fair Value	2,420,118		2,420,118		2,841,383
Level II | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0		15,437
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0		10,419
Level II | Agency CMBS
Assets
Estimated Fair Value	2,012,342		2,012,342		2,137,583
Level II | Agency CMBS Interest-Only Strips
Assets
Estimated Fair Value					10
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	4,923		4,923		5,757
Level II | Non-Agency RMBS
Assets
Estimated Fair Value	84,896		84,896		90,819
Level II | Non-Agency CMBS
Assets
Estimated Fair Value	331,393		331,393		278,604
Level II | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	416,289		416,289		369,423
Level II | Other securities
Assets
Estimated Fair Value	99,046		99,046		112,826
Level III
Assets
Estimated Fair Value	100,305		100,305		35,191
Total Assets	2,051,725		2,051,725		362,016
Liabilities
Derivative liabilities	0		0		0
Securitized debt	2,870		2,870		10,945
Total Liabilities	2,870		2,870		10,945
Level III | Residential Whole-Loans
Assets
Fair value	335,149		335,149		237,423
Level III | Residential Bridge Loans
Assets
Fair value	236,359		236,359		64,526
Level III | Securitized commercial loans
Assets
Fair value	1,309,195		1,309,195		24,876
Level III | Commercial Loans
Assets
Fair value	70,717		70,717
Level III | Agency MBS
Assets
Estimated Fair Value	75,043		75,043		17,217
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	44,802	50,273	17,217	73,059
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	75,043	0	75,043	0
Level III | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	13,559		13,559
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	9,247		9,247
Level III | Agency CMBS
Assets
Estimated Fair Value	52,237		52,237		17,217
Level III | Non-Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	17,000	15,622	8,735	75,576
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	16,307	14,326	16,307	14,326
Level III | Non-Agency RMBS
Assets
Estimated Fair Value	13		13		13
Level III | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	16,294		16,294		8,722
Level III | Non-Agency CMBS
Assets
Estimated Fair Value	0		0		0
Level III | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	16,307		16,307		8,735
Level III | Other securities
Assets
Estimated Fair Value	8,955		8,955		9,239
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	9,113	21,432	9,239	31,356
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	8,955	22,405	8,955	22,405
Fair Value, Measurements, Recurring | Level III | Securitized debt
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers from Level III into Level II			(10,899)
Principal repayments			(44)
Unrealized (gains)/losses, net on liabilities	2,834	165	2,832	286
Premium and discount amortization, net	24		24
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	12	10,780	10,945	10,659
Sales and settlements			12
Ending balance	2,870	10,945	2,870	10,945
Unrealized gains/(losses) on securities	(2,834)	(165)	(2,834)	(286)
Fair Value, Measurements, Recurring | Level III | Derivative liability
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized (gains)/losses, net on liabilities		(130)
Realized (gains)/losses, net on liabilities		14,711		14,197
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		459		1,673
Sales and settlements		(14,711)		(14,197)
Ending balance		329		329
Unrealized gains/(losses) on securities		130		1,344
Fair Value, Measurements, Recurring | Level III | Residential Whole-Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	296,719	215,800	237,423	192,136
Purchases	54,019		122,014	35,671
Principal repayments	(14,902)	(12,220)	(22,679)	(24,357)
Unrealized gains/(losses), net on assets	(475)	260	(1,273)	638
Premium and discount amortization, net	(212)	(300)	(336)	(548)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	335,149	203,540	335,149	203,540
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	129,469		64,526
Purchases	156,730		214,843
Principal repayments	(49,402)		(42,544)
Unrealized gains/(losses), net on assets	(108)		(130)
Premium and discount amortization, net	(330)		(336)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	236,359		236,359
Fair Value, Measurements, Recurring | Level III | Securitized commercial loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,383,044	24,500	24,876	24,225
Purchases			1,353,019
Principal repayments	(78,807)		(78,907)
Unrealized gains/(losses), net on assets	5,621	375	10,870	650
Premium and discount amortization, net	(663)		(663)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	1,309,195	24,875	1,309,195	24,875
Fair Value, Measurements, Recurring | Level III | Commercial Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	40,455		0
Purchases	29,851		70,257
Unrealized gains/(losses), net on assets	374		416
Premium and discount amortization, net	37		44
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Ending balance	70,717		70,717
Fair Value, Measurements, Recurring | Level III | Agency MBS
Investment assets 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			22,794
Transfers from Level III into Level II	(19,461)	(50,999)	(16,805)	(73,715)
Purchases	52,530	131	54,623
Principal repayments		(15)	(53)
Other than temporary impairment	(207)		(207)
Unrealized gains/(losses), net on assets	(1,181)	614	(1,070)	636
Premium and discount amortization, net	(1,440)	(4)	(1,456)	20
Fair Value, Measurements, Recurring | Level III | Non-Agency MBS
Investment assets 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				15,610
Transfers from Level III into Level II				(7,434)
Purchases			8,602
Sales and settlements				(60,132)
Principal repayments		(1,698)		(2,075)
Other than temporary impairment	(19)		(48)
Unrealized gains/(losses), net on assets	(53)	392	(56)	(9,007)
Premium and discount amortization, net	(621)	10	(926)	(835)
Realized gains/(losses), net on assets				2,623
Fair Value, Measurements, Recurring | Level III | Other securities
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers from Level III into Level II				(9,227)
Principal repayments	(177)	0	(317)	(172)
Other than temporary impairment		(438)		(1,702)
Unrealized gains/(losses), net on assets	(25)	603	(54)	456
Premium and discount amortization, net	44	808	87	1,694
Estimated Fair Value
Assets
Estimated Fair Value	3,035,758		3,035,758		3,358,823
Derivative assets	6,998		6,998		728
Total Assets	4,994,176		4,994,176		3,686,376
Liabilities
Derivative liabilities	1,623		1,623		4,346
Securitized debt	1,231,300		1,231,300		10,945
Total Liabilities	1,232,923		1,232,923		15,291
Estimated Fair Value | Residential Whole-Loans
Assets
Fair value	335,149		335,149		237,423
Estimated Fair Value | Residential Bridge Loans
Assets
Fair value	236,359		236,359		64,526
Estimated Fair Value | Securitized commercial loans
Assets
Fair value	1,309,195		1,309,195		24,876
Estimated Fair Value | Commercial Loans
Assets
Fair value	70,717		70,717
Estimated Fair Value | Agency RMBS
Assets
Estimated Fair Value	402,853		402,853		672,177
Estimated Fair Value | Agency MBS
Assets
Estimated Fair Value	2,495,161		2,495,161		2,858,600
Estimated Fair Value | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	13,559		13,559		15,437
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	9,247		9,247		10,419
Estimated Fair Value | Agency CMBS
Assets
Estimated Fair Value	2,064,579		2,064,579		2,154,800
Estimated Fair Value | Agency CMBS Interest-Only Strips
Assets
Estimated Fair Value					10
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	4,923		4,923		5,757
Estimated Fair Value | Non-Agency RMBS
Assets
Estimated Fair Value	84,909		84,909		90,832
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	16,294		16,294		8,722
Estimated Fair Value | Non-Agency CMBS
Assets
Estimated Fair Value	331,393		331,393		278,604
Estimated Fair Value | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	432,596		432,596		378,158
Estimated Fair Value | Other securities
Assets
Estimated Fair Value	108,001		108,001		$ 122,065
Assets | Fair Value, Measurements, Recurring | Level III | Residential Whole-Loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	(274)	478	(888)	792
Assets | Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	140		151
Assets | Fair Value, Measurements, Recurring | Level III | Securitized commercial loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	5,621	375	10,870	650
Assets | Fair Value, Measurements, Recurring | Level III | Commercial Loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	374		416
Assets | Fair Value, Measurements, Recurring | Level III | Agency MBS
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	(798)	0	(712)	0
Assets | Fair Value, Measurements, Recurring | Level III | Non-Agency MBS
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	(53)	392	(56)	392
Assets | Fair Value, Measurements, Recurring | Level III | Other securities
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses) on securities	$ (25)	$ 603	$ (54)	$ 385

Fair Value of Financial Instr35

Fair Value of Financial Instruments Narrative (Details) - USD ($)	Jun. 30, 2018	Dec. 31, 2017
Fair Value Disclosures [Abstract]
Derivative credit risk valuation adjustment, derivative assets	$ 0	$ 0

Fair Value of Financial Instr36

Fair Value of Financial Instruments Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans, Fair Value Disclosure	$ 22,980	$ 42,147
Borrowings under repurchase agreements	3,267,369	3,251,686
Convertible senior unsecured notes	109,401	108,743
Total	3,376,770	3,360,429
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans, Fair Value Disclosure	22,805	42,881
Borrowings under repurchase agreements	3,265,879	3,257,956
Convertible senior unsecured notes	116,512	114,819
Total	3,382,391	3,372,775
Residential Bridge Loans | Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans, Fair Value Disclosure	22,980	42,147
Residential Bridge Loans | Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans, Fair Value Disclosure	$ 22,805	$ 42,881

Mortgage-Backed Securities an37

Mortgage-Backed Securities and other securities (Details) - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Agency RMBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 403,154,000	$ 641,044,000
Unamortized Premium (Discount), net	13,467,000	28,876,000
Amortized Cost	416,621,000	669,920,000
Unrealized Gain	0	4,571,000
Unrealized Loss	(13,768,000)	(2,314,000)
Estimated Fair Value	$ 402,853,000	$ 672,177,000
Net Weighted Average Coupon (as a percent)	3.60%	3.90%
Subtotal Agency RMBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 403,154,000	$ 641,044,000
Unamortized Premium (Discount), net	13,467,000	28,876,000
Amortized Cost	430,122,000	684,670,000
Unrealized Gain	835,000	5,449,000
Unrealized Loss	(14,545,000)	(2,505,000)
Estimated Fair Value	$ 425,659,000	$ 698,033,000
Net Weighted Average Coupon (as a percent)	3.10%	3.60%
Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost	$ 13,501,000	$ 14,750,000
Unrealized Gain	835,000	878,000
Unrealized Loss	(777,000)	(191,000)
Estimated Fair Value	$ 13,559,000	$ 15,437,000
Net Weighted Average Coupon (as a percent)	2.30%	2.90%
Notional balance	$ 176,800,000	$ 165,500,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 9,247,000	$ 10,419,000
Net Weighted Average Coupon (as a percent)	2.70%	2.90%
Notional balance	$ 105,000,000	$ 122,000,000
Subtotal Agency CMBS
Mortgage-Backed Securities and other securities
Principal Balance	2,141,182,000	2,145,139,000
Unamortized Premium (Discount), net	3,338,000	2,142,000
Amortized Cost	2,144,520,000	2,147,281,000
Unrealized Gain	0	16,923,000
Unrealized Loss	(79,941,000)	(9,394,000)
Estimated Fair Value	$ 2,069,502,000	$ 2,160,567,000
Net Weighted Average Coupon (as a percent)	2.80%	2.70%
Agency CMBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 2,141,182,000	$ 2,145,139,000
Unamortized Premium (Discount), net	3,338,000	2,142,000
Amortized Cost	2,144,520,000	2,147,281,000
Unrealized Gain	0	16,913,000
Unrealized Loss	(79,941,000)	(9,394,000)
Estimated Fair Value	$ 2,064,579,000	$ 2,154,800,000
Net Weighted Average Coupon (as a percent)	3.00%	2.90%
Agency CMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost		$ 0
Unrealized Gain		10,000
Estimated Fair Value		$ 10,000
Net Weighted Average Coupon (as a percent)		3.20%
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 4,923,000	$ 5,757,000
Net Weighted Average Coupon (as a percent)	0.50%	0.50%
Notional balance	$ 181,100,000
Agency MBS
Mortgage-Backed Securities and other securities
Principal Balance	2,544,336,000	$ 2,786,183,000
Unamortized Premium (Discount), net	16,805,000	31,018,000
Amortized Cost	2,574,642,000	2,831,951,000
Unrealized Gain	835,000	22,372,000
Unrealized Loss	(94,486,000)	(11,899,000)
Estimated Fair Value	$ 2,495,161,000	$ 2,858,600,000
Net Weighted Average Coupon (as a percent)	2.90%	3.00%
Subtotal Non-Agency MBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 537,418,000	$ 498,931,000
Unamortized Premium (Discount), net	(49,643,000)	(53,866,000)
Discount Designated as Credit Reserve and OTTI	(68,625,000)	(67,511,000)
Amortized Cost	435,515,000	386,292,000
Unrealized Gain	8,302,000	7,175,000
Unrealized Loss	(11,221,000)	(15,309,000)
Estimated Fair Value	$ 432,596,000	$ 378,158,000
Net Weighted Average Coupon (as a percent)	2.30%	3.30%
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 115,776,000	$ 119,748,000
Unamortized Premium (Discount), net	5,783,000	5,263,000
Discount Designated as Credit Reserve and OTTI	(40,333,000)	(39,491,000)
Amortized Cost	81,226,000	85,520,000
Unrealized Gain	3,867,000	5,473,000
Unrealized Loss	(184,000)	(161,000)
Estimated Fair Value	$ 84,909,000	$ 90,832,000
Net Weighted Average Coupon (as a percent)	4.40%	3.80%
Non-Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Amortized Cost	$ 16,365,000	$ 8,738,000
Unrealized Gain	0	0
Unrealized Loss	(71,000)	(16,000)
Estimated Fair Value	$ 16,294,000	$ 8,722,000
Net Weighted Average Coupon (as a percent)	0.50%	0.90%
Notional balance	$ 843,000,000	$ 278,400,000
Subtotal Non-Agency RMBS
Mortgage-Backed Securities and other securities
Principal Balance	115,776,000	119,748,000
Unamortized Premium (Discount), net	5,783,000	5,263,000
Discount Designated as Credit Reserve and OTTI	(40,333,000)	(39,491,000)
Amortized Cost	97,591,000	94,258,000
Unrealized Gain	3,867,000	5,473,000
Unrealized Loss	(255,000)	(177,000)
Estimated Fair Value	$ 101,203,000	$ 99,554,000
Net Weighted Average Coupon (as a percent)	1.00%	1.80%
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Principal Balance	$ 421,642,000	$ 379,183,000
Unamortized Premium (Discount), net	(55,426,000)	(59,129,000)
Discount Designated as Credit Reserve and OTTI	(28,292,000)	(28,020,000)
Amortized Cost	337,924,000	292,034,000
Unrealized Gain	4,435,000	1,702,000
Unrealized Loss	(10,966,000)	(15,132,000)
Estimated Fair Value	$ 331,393,000	$ 278,604,000
Net Weighted Average Coupon (as a percent)	5.20%	4.80%
Total
Mortgage-Backed Securities and other securities
Principal Balance	$ 3,165,471,000	$ 3,371,419,000
Unamortized Premium (Discount), net	(30,149,000)	(16,548,000)
Discount Designated as Credit Reserve and OTTI	(78,837,000)	(72,915,000)
Amortized Cost	3,106,453,000	3,328,334,000
Unrealized Gain	20,896,000	41,708,000
Unrealized Loss	(105,761,000)	(27,395,000)
Estimated Fair Value	$ 3,035,758,000	$ 3,358,823,000
Net Weighted Average Coupon (as a percent)	2.80%	3.10%
Weighted average expected remaining term to the expected maturity of investment portfolio	8 years 6 months	8 years 7 months 6 days
Other securities
Mortgage-Backed Securities and other securities
Principal Balance	$ 83,717,000	$ 86,305,000
Unamortized Premium (Discount), net	2,689,000	6,300,000
Discount Designated as Credit Reserve and OTTI	(10,212,000)	(5,404,000)
Amortized Cost	96,296,000	110,091,000
Unrealized Gain	11,759,000	12,161,000
Unrealized Loss	(54,000)	(187,000)
Estimated Fair Value	$ 108,001,000	$ 122,065,000
Net Weighted Average Coupon (as a percent)	8.60%	7.80%
Residual interests in asset-backed securities
Mortgage-Backed Securities and other securities
Principal Balance	$ 0	$ 0
Amortized Cost	$ 20,100,000	22,900,000
Agency interest only strips accounted for as derivatives
Mortgage-Backed Securities and other securities
Notional balance		192,500,000
CMBS Interest Only Strips
Mortgage-Backed Securities and other securities
Notional balance		$ 3,300,000

Mortgage-Backed Securities an38

Mortgage-Backed Securities and other securities- Purchase discount and premium (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Discount Designated as Credit Reserve and OTTI
Net impairment losses recognized in earnings	$ (2,974)	$ (6,579)	$ (5,890)	$ (12,676)
Non-Agency RMBS and Non-Agency CMBS and other securities
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period	(79,474)	(47,517)	(72,915)	(130,484)
Realized credit losses	2,095	48	2,221	1,829
Purchases	0	0	(7,182)	(1,724)
Sales	765	1,700	3,339	89,441
Net impairment losses recognized in earnings	(2,753)	(5,979)	(5,499)	(10,351)
Transfers/release of credit reserve	530	1,918	1,199	1,459
Balance at end of period	(78,837)	(49,830)	(78,837)	(49,830)
Accretable Discount
Balance at beginning of period	(72,868)	(78,573)	(68,438)	(109,822)
Accretion of discount	2,786	2,722	5,169	5,954
Purchases	0	0	(6,473)	(668)
Sales	2,941	465	3,728	30,085
Transfers/release of credit reserve	(1,536)	(1,392)	(2,663)	(2,327)
Balance at end of period	(68,677)	(76,778)	(68,677)	(76,778)
Amortizable Premium
Balance at beginning of period	21,494	16,330	20,872	44,527
Amortization of premium	(223)	(47)	(364)	(689)
Purchases	0	0	(435)	(1,522)
Sales	(554)	(571)	(684)	(31,042)
Transfers/release of credit reserve	1,006	(526)	1,464	868
Balance at end of period	$ 21,723	$ 15,186	$ 21,723	$ 15,186

Mortgage-Backed Securities an39

Mortgage-Backed Securities and other securities- Type of security (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Agency RMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 402,853	$ 672,177
Agency RMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	0
Agency RMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	56,228
Agency RMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	60,217	239,197
Agency RMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	342,636	376,752
Total
Mortgage-Backed Securities and other securities
Estimated Fair Value	3,035,758	3,358,823
Total | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	1,504,615	1,605,249
Total | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	760,669	831,875
Total | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	243,655	393,110
Total | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	526,819	528,589
Agency MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	2,495,161	2,858,600
Agency MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	1,504,602	1,605,236
Agency MBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	573,192	621,138
Agency MBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	69,808	249,717
Agency MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	347,559	382,509
Agency RMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	425,659	698,033
Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated Fair Value	13,559	15,437
Agency RMBS Interest-Only Strips | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	3,352	3,920
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	3,658	4,591
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	6,549	6,926
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	9,247	10,419
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	1,377	1,686
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	4,828	5,139
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	3,042	3,594
Agency CMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	2,064,579	2,154,800
Agency CMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	1,499,873	1,599,620
Agency CMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	564,706	555,180
Agency CMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated Fair Value		10
Agency CMBS Interest-Only Strips | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value		10
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	4,923	5,757
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	4,923	5,757
Subtotal Non-Agency MBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	432,596	378,158
Subtotal Non-Agency MBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	13	13
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	110,060	111,675
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	173,847	143,393
Subtotal Non-Agency MBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	148,676	123,077
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	84,909	90,832
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	24,944	51,092
Non-Agency RMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	17,113	4,184
Non-Agency RMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	42,839	35,543
Non-Agency RMBS Interest-Only Strips
Mortgage-Backed Securities and other securities
Estimated Fair Value	16,294	8,722
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	0
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	8,263	0
Non-Agency RMBS Interest-Only Strips | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	8,031	8,722
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Estimated Fair Value	331,393	278,604
Non-Agency CMBS | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	0
Non-Agency CMBS | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	85,116	60,583
Non-Agency CMBS | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	148,471	139,209
Non-Agency CMBS | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	97,806	78,812
Other securities
Mortgage-Backed Securities and other securities
Estimated Fair Value	108,001	122,065
Other securities | Less than or equal to 10 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	0
Other securities | More than 10 years and less than or equal to 20 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	77,417	99,062
Other securities | More than 20 years and less than or equal to 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	0	0
Other securities | More than 30 years
Mortgage-Backed Securities and other securities
Estimated Fair Value	$ 30,584	$ 23,003

Mortgage-Backed Securities an40

Mortgage-Backed Securities and other securities- FV and unrealized loss (Details) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018USD ($)itemsecurity	Jun. 30, 2017USD ($)	Jun. 30, 2018USD ($)itemsecurity	Jun. 30, 2017USD ($)	Dec. 31, 2017USD ($)itemsecurity
Fair Value
Fair value - Less than 12 months	$ 2,600,906		$ 2,600,906		$ 1,419,604
12 Months or More Fair Value	103,774		103,774		123,064
Total Fair Value	2,704,680		2,704,680		1,542,668
Unrealized Losses
Less than 12 Months Unrealized Losses	(96,242)		(96,242)		(13,832)
12 Months or More Unrealized Losses	(9,519)		(9,519)		(13,563)
Total Unrealized Losses	$ (105,761)		$ (105,761)		$ (27,395)
Number of Securities
Less than 12 Months Number of Securities | security	174		174		98
12 Months or More Number of Securities | security	31		31		43
Total Number of Securities | security	205		205		141
Other than temporary impairment	$ 2,974	$ 6,579	$ 5,890	$ 12,676
Agency RMBS
Fair Value
Fair value - Less than 12 months	402,854		402,854		$ 330,259
12 Months or More Fair Value	0		0		1,632
Total Fair Value	402,854		402,854		331,891
Unrealized Losses
Less than 12 Months Unrealized Losses	(13,768)		(13,768)		(2,179)
12 Months or More Unrealized Losses	0		0		(135)
Total Unrealized Losses	$ (13,768)		$ (13,768)		$ (2,314)
Number of Securities
Less than 12 Months Number of Securities | security	10		10		11
12 Months or More Number of Securities | security	0		0		5
Total Number of Securities | item	10		10		16
Agency RMBS
Fair Value
Fair value - Less than 12 months	$ 2,472,339		$ 2,472,339		$ 1,288,913
12 Months or More Fair Value	2,130		2,130		3,335
Total Fair Value	2,474,469		2,474,469		1,292,248
Unrealized Losses
Less than 12 Months Unrealized Losses	(94,323)		(94,323)		(11,715)
12 Months or More Unrealized Losses	(163)		(163)		(184)
Total Unrealized Losses	$ (94,486)		$ (94,486)		$ (11,899)
Number of Securities
Less than 12 Months Number of Securities | security	153		153		74
12 Months or More Number of Securities | security	4		4		8
Total Number of Securities	157		157		82
Other than temporary impairment	$ 201	161	$ 343	660
Agency RMBS Interest-Only Strips
Fair Value
Fair value - Less than 12 months	4,906		4,906		$ 3,095
12 Months or More Fair Value	2,130		2,130		1,703
Total Fair Value	7,036		7,036		4,798
Unrealized Losses
Less than 12 Months Unrealized Losses	(614)		(614)		(142)
12 Months or More Unrealized Losses	(163)		(163)		(49)
Total Unrealized Losses	$ (777)		$ (777)		$ (191)
Number of Securities
Less than 12 Months Number of Securities | security	11		11		6
12 Months or More Number of Securities | security	4		4		3
Total Number of Securities	15		15		9
Agency CMBS
Fair Value
Fair value - Less than 12 months	$ 2,064,579		$ 2,064,579		$ 955,559
12 Months or More Fair Value	0		0		0
Total Fair Value	2,064,579		2,064,579		955,559
Unrealized Losses
Less than 12 Months Unrealized Losses	(79,941)		(79,941)		(9,394)
12 Months or More Unrealized Losses	0		0		0
Total Unrealized Losses	$ (79,941)		$ (79,941)		$ (9,394)
Number of Securities
Less than 12 Months Number of Securities | security	132		132		57
12 Months or More Number of Securities | security	0		0		0
Total Number of Securities	132		132		57
Subtotal Non-Agency MBS
Fair Value
Fair value - Less than 12 months	$ 119,612		$ 119,612		$ 106,891
12 Months or More Fair Value	101,644		101,644		119,729
Total Fair Value	221,256		221,256		226,620
Unrealized Losses
Less than 12 Months Unrealized Losses	(1,865)		(1,865)		(1,930)
12 Months or More Unrealized Losses	(9,356)		(9,356)		(13,379)
Total Unrealized Losses	$ (11,221)		$ (11,221)		$ (15,309)
Number of Securities
Less than 12 Months Number of Securities | security	20		20		21
12 Months or More Number of Securities | security	27		27		35
Total Number of Securities | security	47		47		56
Non-Agency RMBS
Fair Value
Fair value - Less than 12 months	$ 14,751		$ 14,751		$ 28,508
12 Months or More Fair Value	0		0		0
Total Fair Value	14,751		14,751		28,508
Unrealized Losses
Less than 12 Months Unrealized Losses	(184)		(184)		(161)
12 Months or More Unrealized Losses	0		0		0
Total Unrealized Losses	$ (184)		$ (184)		$ (161)
Number of Securities
Less than 12 Months Number of Securities	2		2		3
12 Months or More Number of Securities	0		0		0
Total Number of Securities	2		2		3
Other than temporary impairment	$ 19	0	$ 110	0
Non-Agency RMBS Interest-Only Strips
Fair Value
Fair value - Less than 12 months	16,188		16,188		$ 8,722
12 Months or More Fair Value	0		0		0
Total Fair Value	16,188		16,188		8,722
Unrealized Losses
Less than 12 Months Unrealized Losses	(71)		(71)		(16)
12 Months or More Unrealized Losses	0		0		0
Total Unrealized Losses	$ (71)		$ (71)		$ (16)
Number of Securities
Less than 12 Months Number of Securities | item	3		3		3
12 Months or More Number of Securities | item	0		0		0
Total Number of Securities | item	3		3		3
Non-Agency CMBS
Fair Value
Fair value - Less than 12 months	$ 88,673		$ 88,673		$ 69,661
12 Months or More Fair Value	101,644		101,644		119,729
Total Fair Value	190,317		190,317		189,390
Unrealized Losses
Less than 12 Months Unrealized Losses	(1,610)		(1,610)		(1,753)
12 Months or More Unrealized Losses	(9,356)		(9,356)		(13,379)
Total Unrealized Losses	$ (10,966)		$ (10,966)		$ (15,132)
Number of Securities
Less than 12 Months Number of Securities | security	15		15		15
12 Months or More Number of Securities | security	27		27		35
Total Number of Securities | security	42		42		50
Other than temporary impairment	$ 2,754	5,980	$ 5,437	10,314
Other securities
Fair Value
Fair value - Less than 12 months	8,955		8,955		$ 23,800
12 Months or More Fair Value	0		0		0
Total Fair Value	8,955		8,955		23,800
Unrealized Losses
Less than 12 Months Unrealized Losses	(54)		(54)		(187)
12 Months or More Unrealized Losses	0		0		0
Total Unrealized Losses	$ (54)		$ (54)		$ (187)
Number of Securities
Less than 12 Months Number of Securities	1		1		3
12 Months or More Number of Securities	0		0		0
Total Number of Securities	1		1		3
Other than temporary impairment	$ 0	$ 438	$ 0	$ 1,702

Mortgage-Backed Securities an41

Mortgage-Backed Securities and other securities- Financing receivables (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Mortgage-Backed Securities and other securities
Other loss on securities	$ 2,974	$ 6,579	$ 5,890	$ 12,676
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Amortization			(277)	2,044
Interest Income	57,154	30,055	96,881	58,485
Total
Components of interest income
Coupon Interest	33,146	25,941	66,257	52,448
Net (Premium Amortization/Amortization Basis) Discount Amortization	(1,369)	182	(1,852)	(1,048)
Interest Income	31,777	26,123	64,405	51,400
Agency RMBS
Mortgage-Backed Securities and other securities
Other loss on securities	201	161	343	660
Components of interest income
Coupon Interest	5,796	10,305	12,920	21,627
Net (Premium Amortization/Amortization Basis) Discount Amortization	(1,705)	(3,639)	(2,974)	(7,667)
Interest Income	4,091	6,666	9,946	13,960
Agency CMBS
Components of interest income
Coupon Interest	15,943	8,432	31,941	13,337
Net (Premium Amortization/Amortization Basis) Discount Amortization	(88)	338	32	607
Interest Income	15,855	8,770	31,973	13,944
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Other loss on securities	19	0	110	0
Components of interest income
Coupon Interest	2,057	558	3,477	3,911
Net (Premium Amortization/Amortization Basis) Discount Amortization	(281)	392	(149)	(69)
Interest Income	1,776	950	3,328	3,842
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Other loss on securities	2,754	5,980	5,437	10,314
Components of interest income
Coupon Interest	5,170	4,913	9,983	10,433
Net (Premium Amortization/Amortization Basis) Discount Amortization	2,508	2,264	4,404	4,433
Interest Income	7,678	7,177	14,387	14,866
Other securities
Mortgage-Backed Securities and other securities
Other loss on securities	0	438	0	1,702
Components of interest income
Coupon Interest	4,180	1,733	7,936	3,140
Net (Premium Amortization/Amortization Basis) Discount Amortization	(1,803)	827	(3,165)	1,648
Interest Income	$ 2,377	$ 2,560	$ 4,771	$ 4,788

Mortgage-Backed Securities an42

Mortgage-Backed Securities and other securities- Gross gains and losses (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Mortgage-Backed Securities and other securities
Net Gain (Loss)	$ (5,608,000)	$ (2,488,000)	$ (5,033,000)	$ 18,770,000
Total
Mortgage-Backed Securities and other securities
Proceeds	405,098,000	330,020,000	416,869,000	1,166,945,000
Gross Gains	3,977,000	1,578,000	4,950,000	29,504,000
Gross Losses	(9,585,000)	(4,066,000)	(9,983,000)	(10,734,000)
Net Gain (Loss)	(5,608,000)	(2,488,000)	(5,033,000)	18,770,000
Agency RMBS
Mortgage-Backed Securities and other securities
Proceeds	208,331,000	314,800,000	209,581,000	865,151,000
Gross Gains	0	848,000	18,000	4,379,000
Gross Losses	(4,531,000)	(3,725,000)	(4,531,000)	(7,365,000)
Net Gain (Loss)	(4,531,000)	(2,877,000)	(4,513,000)	(2,986,000)
Agency RMBS | Agency interest only strips accounted for as derivatives
Mortgage-Backed Securities and other securities
Proceeds		2,600,000		2,600,000
Gross Gains		432,000		432,000
Agency CMBS
Mortgage-Backed Securities and other securities
Proceeds	126,867,000	0	126,867,000	0
Gross Gains	0	0	0	0
Gross Losses	(5,016,000)	0	(5,016,000)	0
Net Gain (Loss)	(5,016,000)	0	(5,016,000)	0
Non-Agency RMBS
Mortgage-Backed Securities and other securities
Proceeds	47,758,000	0	51,958,000	243,811,000
Gross Gains	2,220,000	0	3,114,000	24,389,000
Gross Losses	0	0	0	(2,242,000)
Net Gain (Loss)	2,220,000	0	3,114,000	22,147,000
Non-Agency RMBS | Agency interest only strips accounted for as derivatives
Mortgage-Backed Securities and other securities
Proceeds				2,200,000
Gross Gains				274,000
Gross Losses				(180,000)
Non-Agency CMBS
Mortgage-Backed Securities and other securities
Proceeds	385,000	15,220,000	6,706,000	35,037,000
Gross Gains	0	730,000	61,000	736,000
Gross Losses	(38,000)	(341,000)	(436,000)	(1,073,000)
Net Gain (Loss)	(38,000)	389,000	(375,000)	(337,000)
Other securities
Mortgage-Backed Securities and other securities
Proceeds	21,757,000	0	21,757,000	22,946,000
Gross Gains	1,757,000	0	1,757,000	0
Gross Losses	0	0	0	(54,000)
Net Gain (Loss)	$ 1,757,000	$ 0	$ 1,757,000	$ (54,000)

Mortgage-Backed Securities an43

Mortgage-Backed Securities and other securities Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) - USD ($) $ in Millions	Jun. 30, 2018	Dec. 31, 2017
Variable interest entity, not primary beneficiary, aggregated disclosure
Investment [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 87.6	$ 62.1

Residential Whole-Loans and B44

Residential Whole-Loans and Bridge Loans (Details) $ in Thousands	3 Months Ended	6 Months Ended	12 Months Ended
	Jun. 30, 2018USD ($)loan	Jun. 30, 2018USD ($)loan	Dec. 31, 2017USD ($)loanentity
Variable Interest Entity [Line Items]
Repurchase agreements, net | $	$ 3,267,369	$ 3,267,369	$ 3,251,686
Variable interest entity, not primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Variable interest entity, nonconsolidated, number of entity | entity			3
Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of Loans		832	616
Residential Whole-Loans | Variable interest entity, primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of Loans		13
Residential Whole-Loans | VIE
Variable Interest Entity [Line Items]
Repurchase agreements, net | $	$ 265,600	$ 265,600
Number of Loans		819
Mortgage loans on real estate, number of loans, nonperforming	2
Mortgage loans on real estate, principal amount of delinquent loans | $	$ 1,400	$ 1,400
Mortgage loans on real estate, fair value amount of delinquent loans | $	$ 1,400	$ 1,400
Mortgage loans on real estate, number of loans, nonperforming, percentage	0.40%
Residential Bridge Loans | Variable interest entity, primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of Loans		813
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Repurchase agreements, net | $	$ 259,000	$ 259,000
Number of Loans	813		340
Mortgage loans on real estate, number of loans, nonperforming	10
Mortgage loans on real estate, principal amount of delinquent loans | $	$ 3,800	$ 3,800
Mortgage loans on real estate, number of loans, nonperforming, percentage	2.00%
Mortgage loans on real estate weighted average loan to value, collateral dependent	73.00%
Estimated Fair Value | Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Mortgage loans on real estate, number of loans, nonperforming		3
Mortgage loans on real estate, principal amount of delinquent loans | $	$ 1,300	$ 1,300

Residential Whole-Loans and B45

Residential Whole-Loans and Bridge Loans - Summary of the assets and liabilities of the residential and commercial loan trusts (Details) - USD ($) $ in Thousands		Jun. 30, 2018	Dec. 31, 2017
Variable Interest Entity [Line Items]
Cash and cash equivalents		$ 16,295	$ 48,024
Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)		335,149	237,423
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Investment related receivable		37,286	7,665
Interest receivable		19,487	13,603
Other assets		3,571	2,161
Total assets	[1]	5,217,333	3,886,906
Accounts payable and accrued expenses		2,531	3,118
Other liabilities		59,308	0
Total liabilities	[2]	4,755,542	3,420,868
Residential bridge loan, at fair value		236,359	64,526
VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		364	0
Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)		335,149	237,423
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Investment related receivable		37,286	7,665
Interest receivable		9,794	3,358
Other assets		548	0
Total assets		2,030,937	379,995
Accounts payable and accrued expenses		678	189
Other liabilities		59,309	0
Total liabilities		1,293,974	11,204
Residential bridge loan, at fair value		236,359	64,526
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		364	0
Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)		335,149	237,423
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Investment related receivable		37,286	7,665
Interest receivable		6,572	3,197
Other assets		548	0
Total assets		639,258	354,958
Accounts payable and accrued expenses		669	188
Other liabilities		562	0
Total liabilities		1,231	188
Residential Whole-Loans | VIE
Variable Interest Entity [Line Items]
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		335,149	237,423
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)		259,339	106,673
Residential bridge loan, at fair value		$ 236,359	$ 64,526
[1]	(1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents364—Restricted cash58,747—Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)335,149237,423Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)259,339106,673Securitized commercial loans, at fair value1,309,19524,876Commercial Loans, at fair value ($20,515 and $0 pledged as collateral, at fair value, respectively)20,515—Investment related receivable37,2867,665Interest receivable9,7943,358Other assets548—Total assets of consolidated VIEs2,030,937379,995Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)236,35964,526
[2]	(2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)1,231,30010,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)2,68770Accounts payable and accrued expenses678189Other liabilities59,309—Total liabilities of consolidated VIEs1,293,97411,204Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)348,79910,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)97670

Residential Whole-Loans and B46

Residential Whole-Loans and Bridge Loans - Components of the fair value of Residential Whole-Loans (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Residential Whole-Loans
Variable Interest Entity [Line Items]
Principal Balance	$ 329,153	$ 232,270
Unamortized premium	4,541	2,021
Unamortized discount	(1,625)	(1,190)
Amortized cost	332,069	233,101
Gross unrealized gains	4,309	4,463
Gross unrealized losses	(1,229)	(141)
Fair value	335,149	237,423
Residential Bridge Loans, At Fair Value
Variable Interest Entity [Line Items]
Principal Balance	234,881	63,802
Unamortized premium	1,536	293
Unamortized discount	(387)	(128)
Amortized cost	236,030	63,967
Gross unrealized gains	1,153	655
Gross unrealized losses	(824)	(96)
Fair value	236,359	64,526
Residential Bridge Loans, At Amortized Cost
Variable Interest Entity [Line Items]
Principal Balance	22,954	42,066
Unamortized premium	51	122
Unamortized discount	(25)	(41)
Amortized cost	$ 22,980	$ 42,147

Residential Whole-Loans and B47

Residential Whole-Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands	3 Months Ended	6 Months Ended	12 Months Ended
	Jun. 30, 2018USD ($)loan	Jun. 30, 2018USD ($)loanscore	Dec. 31, 2017USD ($)loanscore	Dec. 31, 2016loan
3.01 – 4.00%
Variable Interest Entity [Line Items]
Number of Loans		3	142
Principal Balance | $	$ 1,772	$ 1,772	$ 55,593
Original LTV		64.10%	55.50%
Original FICO Score | score		734	751
Expected Life (years)		4 years	1 year 8 months 12 days
Contractual Maturity (years)		29 years 2 months 12 days	29 years 1 month 6 days
Coupon Rate		4.00%	3.90%
4.01– 5.00%
Variable Interest Entity [Line Items]
Number of Loans		545	338
Principal Balance | $	219,954	$ 219,954	$ 125,860
Original LTV		58.70%	56.90%
Original FICO Score | score		743	725
Expected Life (years)		1 year 9 months 18 days	1 year 4 months 24 days
Contractual Maturity (years)		28 years	26 years 6 months
Coupon Rate		4.70%	4.50%
5.01 – 6.00%
Variable Interest Entity [Line Items]
Number of Loans		276	132
Principal Balance | $	103,968	$ 103,968	$ 48,553
Original LTV		57.40%	58.20%
Original FICO Score | score		735	728
Expected Life (years)		1 year 8 months 12 days	1 year 7 months 6 days
Contractual Maturity (years)		27 years 1 month 6 days	27 years
Coupon Rate		5.30%	5.20%
6.01 – 7.00%
Variable Interest Entity [Line Items]
Number of Loans		6	4
Principal Balance | $	3,008	$ 3,008	$ 2,264
Original LTV		68.40%	71.10%
Original FICO Score | score		740	758
Expected Life (years)		1 year 6 months	1 year 3 months 18 days
Contractual Maturity (years)		22 years 6 months	20 years 6 months
Coupon Rate		6.20%	6.30%
7.01 - 8.00%
Variable Interest Entity [Line Items]
Number of Loans		1
Principal Balance | $	357	$ 357
Original LTV		70.00%
Original FICO Score | score		777
Expected Life (years)		2 years
Contractual Maturity (years)		29 years 7 months 6 days
Coupon Rate		7.20%
8.01 - 9.00%
Variable Interest Entity [Line Items]
Number of Loans		1
Principal Balance | $	94	$ 94
Original LTV		70.00%
Original FICO Score | score		689
Expected Life (years)		2 years
Contractual Maturity (years)		29 years 7 months 6 days
Coupon Rate		8.40%
Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of Loans		832	616
Principal Balance | $	329,153	$ 329,153	$ 232,270
Original LTV		58.50%	57.00%
Original FICO Score | score		741	734
Expected Life (years)		1 year 9 months 18 days	1 year 6 months
Contractual Maturity (years)		27 years 8 months 12 days	27 years 1 month 6 days
Coupon Rate		4.90%	4.50%
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans		143		141
Principal Balance | $	$ 55,600	$ 55,600	$ 56,500
5.01 - 6.00%
Variable Interest Entity [Line Items]
Number of Loans			9
Principal Balance | $			$ 4,016
Original LTV			64.50%
Expected Life (years)			10 months 25 days
Coupon Rate			5.90%
6.01 - 7.00%
Variable Interest Entity [Line Items]
Number of Loans	35		64
Principal Balance | $	$ 9,772	9,772	$ 18,420
Original LTV	62.60%		67.80%
Expected Life (years)	5 months 28 days		10 months 19 days
Coupon Rate	6.80%		6.70%
7.01 – 8.00%
Variable Interest Entity [Line Items]
Number of Loans	175		98
Principal Balance | $	$ 59,378	59,378	$ 25,608
Original LTV	69.30%		66.40%
Expected Life (years)	7 months		9 months 16 days
Coupon Rate	7.70%		7.60%
8.01 – 9.00%
Variable Interest Entity [Line Items]
Number of Loans	256		56
Principal Balance | $	$ 95,689	95,689	$ 19,728
Original LTV	68.30%		70.30%
Expected Life (years)	7 months 4 days		11 months 28 days
Coupon Rate	8.70%		8.90%
9.01 – 10.00%
Variable Interest Entity [Line Items]
Number of Loans	214		67
Principal Balance | $	$ 62,888	62,888	$ 25,001
Original LTV	70.80%		73.30%
Expected Life (years)	6 months 25 days		6 months 25 days
Coupon Rate	9.70%		9.70%
10.01 – 11.00%
Variable Interest Entity [Line Items]
Number of Loans	86		36
Principal Balance | $	$ 19,043	19,043	$ 10,656
Original LTV	69.00%		75.40%
Expected Life (years)	6 months 12 days		5 months
Coupon Rate	10.60%		10.80%
11.01 - 12.00%
Variable Interest Entity [Line Items]
Number of Loans	29		2
Principal Balance | $	$ 7,407	7,407	$ 919
Original LTV	71.60%		89.80%
Expected Life (years)	6 months		8 months 7 days
Coupon Rate	11.40%		11.40%
12.01 - 13.00%
Variable Interest Entity [Line Items]
Number of Loans	9
Principal Balance | $	$ 1,261	1,261
Original LTV	66.90%
Expected Life (years)	8 months 25 days
Coupon Rate	12.60%
17.01 – 18.00%
Variable Interest Entity [Line Items]
Number of Loans	9		8
Principal Balance | $	$ 2,397	$ 2,397	$ 1,520
Original LTV	74.80%		73.80%
Expected Life (years)	7 months 19 days		5 months 28 days
Coupon Rate	18.00%		18.00%
Residential Bridge Loans
Variable Interest Entity [Line Items]
Expected Life (years)	6 months 27 days		9 months
Minimum | 3.01 – 4.00%
Variable Interest Entity [Line Items]
Coupon Rate	3.01%		3.01%
Minimum | 4.01– 5.00%
Variable Interest Entity [Line Items]
Coupon Rate	4.01%		4.01%
Minimum | 5.01 – 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	5.01%		5.01%
Minimum | 6.01 – 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.01%		6.01%
Minimum | 7.01 - 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.01%
Minimum | 8.01 - 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.01%
Minimum | 5.01 - 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	5.01%		5.01%
Minimum | 6.01 - 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.01%		6.01%
Minimum | 7.01 – 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.01%		7.01%
Minimum | 8.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.01%		8.01%
Minimum | 9.01 – 10.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.01%		9.01%
Minimum | 10.01 – 11.00%
Variable Interest Entity [Line Items]
Coupon Rate	10.01%		10.01%
Minimum | 11.01 - 12.00%
Variable Interest Entity [Line Items]
Coupon Rate	11.01%		11.01%
Minimum | 12.01 - 13.00%
Variable Interest Entity [Line Items]
Coupon Rate	12.01%
Minimum | 17.01 – 18.00%
Variable Interest Entity [Line Items]
Coupon Rate	17.01%		17.01%
Maximum | 3.01 – 4.00%
Variable Interest Entity [Line Items]
Coupon Rate	4.00%		4.00%
Maximum | 4.01– 5.00%
Variable Interest Entity [Line Items]
Coupon Rate	5.00%		5.00%
Maximum | 5.01 – 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.00%		6.00%
Maximum | 6.01 – 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.00%		7.00%
Maximum | 7.01 - 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.00%
Maximum | 8.01 - 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.00%
Maximum | 5.01 - 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.00%		6.00%
Maximum | 6.01 - 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.00%		7.00%
Maximum | 7.01 – 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.00%		8.00%
Maximum | 8.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.00%		9.00%
Maximum | 9.01 – 10.00%
Variable Interest Entity [Line Items]
Coupon Rate	10.00%		10.00%
Maximum | 10.01 – 11.00%
Variable Interest Entity [Line Items]
Coupon Rate	11.00%		11.00%
Maximum | 11.01 - 12.00%
Variable Interest Entity [Line Items]
Coupon Rate	12.00%		12.00%
Maximum | 12.01 - 13.00%
Variable Interest Entity [Line Items]
Coupon Rate	13.00%
Maximum | 17.01 – 18.00%
Variable Interest Entity [Line Items]
Coupon Rate	18.00%		18.00%
VIE | Residential Whole-Loans
Variable Interest Entity [Line Items]
Number of Loans		819
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of Loans	813		340
Principal Balance | $	$ 257,835	$ 257,835	$ 105,868
Original LTV	69.10%		70.10%
Coupon Rate	9.00%		8.60%

Residential Whole-Loans and B48

Residential Whole-Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Residential Whole-Loans
Variable Interest Entity [Line Items]
Principal Balance	$ 329,153	$ 232,270
Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal Balance	$ 329,153	$ 232,270
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal Balance	$ 257,835	$ 105,868
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	65.40%	62.20%
Principal Balance	$ 215,242	$ 144,321
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	45.00%	48.20%
Principal Balance	$ 115,885	$ 51,080
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	21.70%	24.40%
Principal Balance	$ 71,412	$ 56,631
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	8.30%	4.40%
Principal Balance	$ 21,472	$ 4,703
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	3.80%	4.30%
Principal Balance	$ 12,512	$ 10,061
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	2.90%	4.00%
Principal Balance	$ 9,633	$ 9,244
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration		6.30%
Principal Balance		$ 6,645
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	6.20%
Principal Balance	$ 16,015
Massachusetts | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	2.60%	3.90%
Principal Balance	$ 8,564	$ 9,114
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans
Variable Interest Entity [Line Items]
Concentration	3.60%	1.20%
Principal Balance	$ 11,790	$ 2,899
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	26.20%	23.30%
Principal Balance	$ 67,704	$ 24,581
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	9.30%	13.40%
Principal Balance	$ 23,865	$ 14,199
Texas | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	5.00%	4.40%
Principal Balance	$ 12,894	$ 4,660

Commercial Real Estate invest49

Commercial Real Estate investments Narrative (Details) $ in Thousands	1 Months Ended			6 Months Ended
	Jun. 30, 2018USD ($)	Mar. 31, 2018USD ($)	Nov. 30, 2015USD ($)	Jun. 30, 2018USD ($)entity	Dec. 31, 2017USD ($)
Variable Interest Entity [Line Items]
Variable interest entity, number of entity | entity				2
Securitized commercial loans, at fair value	$ 1,309,195			$ 1,309,195	$ 24,876
Securitized debt, at fair value	1,231,300			1,231,300	10,945
Repurchased borrowings	12,300			$ 12,300
Number of commercial loans trusts | entity				3
Securitized commercial loans
Variable Interest Entity [Line Items]
Principal balance	30,000	$ 20,000		$ 30,000
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance	20,638			20,638	0
RSBC Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Securitized debt, at fair value		20,600
RETL Trust
Variable Interest Entity [Line Items]
Trust certificates issued	1,200,000			1,200,000
Principal balance	1,271,288			1,271,288	0
RETL Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation		$ 67,800
Variable interest entity, carrying amount	63,800			63,800
Variable interest entity, fair value	64,000			64,000
Cmsc Trust
Variable Interest Entity [Line Items]
Trust certificates issued	24,700			24,700
Principal balance	24,652			24,652	$ 24,846
Cmsc Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation			$ 14,000	13,800
Variable interest entity, carrying amount	13,800			13,800
Variable interest entity, fair value	13,900			13,900
Securitized debt, at fair value	10,800			10,800
RETL Trust
Variable Interest Entity [Line Items]
Trust certificates issued	1,270,000			1,270,000
Cmsc Trust
Variable Interest Entity [Line Items]
Securitized commercial loans, at fair value	$ 24,700			$ 24,700
London Interbank Offered Rate (LIBOR) | RSBC Trust
Variable Interest Entity [Line Items]
Loans receivable, basis spread on variable rate		4.75%
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan | Securitized commercial loans
Variable Interest Entity [Line Items]
Loans receivable, basis spread on variable rate	4.50%	6.50%
London Interbank Offered Rate (LIBOR) | RETL Trust
Variable Interest Entity [Line Items]
Debt Instrument, Basis Spread on Variable Rate		3.15%
Trust Certificate | London Interbank Offered Rate (LIBOR) | RETL Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Loans receivable, basis spread on variable rate		9.50%

Commercial Real Estate invest50

Commercial Real Estate investments Consolidated commercial loan trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands		Jun. 30, 2018	Dec. 31, 2017
Noncontrolling Interest [Line Items]
Restricted cash		$ 58,747	$ 0
Securitized commercial loans, at fair value		1,309,195	24,876
Commercial Loans, at fair value		20,515	0
Interest receivable		19,487	13,603
Total assets	[1]	5,217,333	3,886,906
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		10,309	8,322
Accounts payable and accrued expenses		2,531	3,118
Other liabilities		59,308	0
Total liabilities	[2]	4,755,542	3,420,868
VIE
Noncontrolling Interest [Line Items]
Restricted cash		58,747	0
Securitized commercial loans, at fair value		1,309,195	24,876
Commercial Loans, at fair value		20,515	0
Interest receivable		9,794	3,358
Total assets		2,030,937	379,995
Securitized debt		1,231,300	10,945
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		2,687	70
Accounts payable and accrued expenses		678	189
Other liabilities		59,309	0
Total liabilities		1,293,974	11,204
Securitized commercial loans | VIE
Noncontrolling Interest [Line Items]
Restricted cash		58,747	0
Securitized commercial loans, at fair value		1,309,195	24,876
Commercial Loans, at fair value		20,515	0
Interest receivable		3,222	161
Total assets		1,391,679	25,037
Securitized debt		1,231,300	10,945
Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)		2,687	70
Accounts payable and accrued expenses		9	1
Other liabilities		58,747	0
Total liabilities		$ 1,292,743	$ 11,016
[1]	(1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents364—Restricted cash58,747—Residential Whole-Loans, at fair value ($335,149 and $237,423 pledged as collateral, at fair value, respectively)335,149237,423Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)259,339106,673Securitized commercial loans, at fair value1,309,19524,876Commercial Loans, at fair value ($20,515 and $0 pledged as collateral, at fair value, respectively)20,515—Investment related receivable37,2867,665Interest receivable9,7943,358Other assets548—Total assets of consolidated VIEs2,030,937379,995Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)236,35964,526
[2]	(2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)1,231,30010,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)2,68770Accounts payable and accrued expenses678189Other liabilities59,309—Total liabilities of consolidated VIEs1,293,97411,204Securitized debt, at fair value (includes $348,799 and $10,945 held by affiliates, respectively)348,79910,945Interest payable (includes $976 and $70 on securitized debt held by affiliates, respectively)97670

Commercial Real Estate invest51

Commercial Real Estate investments Components of the carrying value of commercial real estate loans (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Commercial Mezzanine Loan
Variable Interest Entity [Line Items]
Principal balance	$ 50,000	$ 0
Unamortized premium	0	0
Unamortized discount	(257)	0
Amortized cost	49,743	0
Gross unrealized gains	459	0
Gross unrealized losses	0	0
Fair value	50,202	0
Cmsc Trust
Variable Interest Entity [Line Items]
Principal balance	24,652	24,846
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	24,652	24,846
Gross unrealized gains	89	30
Gross unrealized losses	0	0
Fair value	24,741	24,876
RETL Trust
Variable Interest Entity [Line Items]
Principal balance	1,271,288	0
Unamortized premium	2,355	0
Unamortized discount	0	0
Amortized cost	1,273,643	0
Gross unrealized gains	10,811	0
Gross unrealized losses	0	0
Fair value	1,284,454	0
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance	20,638	0
Unamortized premium	0	0
Unamortized discount	(81)	0
Amortized cost	20,557	0
Gross unrealized gains	0	0
Gross unrealized losses	(42)	0
Fair value	$ 20,515	$ 0

Financings Narrative (Details)

Financings Narrative (Details) $ in Thousands	1 Months Ended		3 Months Ended	6 Months Ended	12 Months Ended
	Mar. 31, 2018USD ($)	Nov. 30, 2015USD ($)	Jun. 30, 2018USD ($)Counterparty	Jun. 30, 2018USD ($)Counterparty	Dec. 31, 2017USD ($)
Short-term Debt [Line Items]
Number of counterparties to master repurchase agreement | Counterparty			28	28
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty			17	17
Interest payable			$ 10,309	$ 10,309	$ 8,322
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)			259,339	259,339	106,673
Securities loaned, collateral, right to reclaim cash			9,700	9,700	23,600
Securities purchased under agreements to resell, collateral, obligation to return cash			2,300	2,300	1,500
Securities purchased under agreements to resell, fair value of collateral			0	0	306
Securitized debt, at fair value			1,231,300	1,231,300	10,945
Repurchase agreements
Short-term Debt [Line Items]
Short-term debt, average outstanding amount			3,400,000		2,700,000
Short-term debt, maximum amount outstanding during period			3,600,000		3,300,000
Interest payable			5,700	5,700	6,300
Residential Bridge Loans ($236,359 and $64,526 at fair value and $259,339 and $106,673 pledged as collateral, respectively)			3,600,000	3,600,000	$ 3,500,000
RETL Trust
Short-term Debt [Line Items]
Trust certificates issued			1,200,000	1,200,000
RETL Trust | Affiliated entities
Short-term Debt [Line Items]
Trust certificates issued			333,400	333,400
RETL Trust | Third parties
Short-term Debt [Line Items]
Trust certificates issued			874,000	874,000
Cmsc Trust
Short-term Debt [Line Items]
Commercial pass-through certificate, amount				25,000
Trust certificates issued			$ 24,700	$ 24,700
Debt instrument interest rate, effective percentage			8.90%	8.90%
Securitized commercial loans | RETL Trust
Short-term Debt [Line Items]
Amount acquired, eliminated in consolidation	$ 67,800
Securitized commercial loans | Cmsc Trust
Short-term Debt [Line Items]
Amount acquired, eliminated in consolidation		$ 14,000		$ 13,800
Securitized debt, at fair value			$ 10,800	10,800
Securitized debt | Securitized commercial loans | Cmsc Trust
Short-term Debt [Line Items]
Securitized debt, at fair value			$ 10,900	$ 10,900

Financings - Borrowings under R

Financings - Borrowings under Repurchase Agreements (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 3,267,369	$ 3,251,686
Borrowings under repurchase agreements, net	$ 3,267,369	$ 3,251,686
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.71%	1.86%
Weighted Average Remaining Maturity (days)	74 days	51 days
Repurchase agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 404,498	$ 665,919
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.18%	1.62%
Weighted Average Remaining Maturity (days)	56 days	61 days
Repurchase agreements | Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,923,906	$ 2,035,222
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	2.21%	1.53%
Weighted Average Remaining Maturity (days)	93 days	53 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 73,152	$ 46,530
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	3.71%	2.76%
Weighted Average Remaining Maturity (days)	34 days	41 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 249,055	$ 154,325
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	3.77%	2.98%
Weighted Average Remaining Maturity (days)	52 days	40 days
Repurchase agreements | Whole-Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 268,100	$ 189,270
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	3.86%	3.66%
Weighted Average Remaining Maturity (days)	27 days	8 days
Repurchase agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 256,488	$ 100,183
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	4.32%	4.05%
Weighted Average Remaining Maturity (days)	62 days	59 days
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 12,321
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	4.83%
Weighted Average Remaining Maturity (days)	74 days
Repurchase agreements | Securitized commercial loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 7,620
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	3.94%
Weighted Average Remaining Maturity (days)	20 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 72,229	$ 60,237
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent)	3.97%	2.94%
Weighted Average Remaining Maturity (days)	29 days	23 days

Financings - Borrowings under54

Financings - Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	$ 3,267,369	$ 3,251,686
Overnight
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	0	0
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	1,125,808	1,387,599
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	196,826	665,656
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	1,112,450	871,819
90 to 119 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	80,919	0
Greater than or equal to 120 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	$ 751,366	$ 326,612

Financings - Borrowings under55

Financings - Borrowings under Repurchase Agreements-Risk by Counterparty (Details) $ in Thousands	3 Months Ended
	Jun. 30, 2018USD ($)
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 of Collateral at Risk, at fair value	$ 73,008
Weighted Average Remaining Maturity (days)	32 days
Percentage of Stockholders’ Equity	15.80%
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 of Collateral at Risk, at fair value	$ 68,884
Weighted Average Remaining Maturity (days)	27 days
Percentage of Stockholders’ Equity	14.90%

Financings - Collateral Positio

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	$ 259,339	$ 106,673
Accrued Interest	16,236	12,617
Assets Pledged and Accrued Interest	3,635,656	3,569,911
Assets Pledged- Fair Value	3,619,420	3,557,294
Repurchase agreements
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	3,600,000	3,500,000
Repurchase agreements | Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	423,418	690,255
Accrued Interest	1,678	2,601
Assets Pledged and Accrued Interest	425,096	692,856
Repurchase agreements | Non-Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	101,190	58,127
Accrued Interest	729	160
Assets Pledged and Accrued Interest	101,919	58,287
Repurchase agreements | Non-Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	331,162	208,062
Accrued Interest	1,661	1,100
Assets Pledged and Accrued Interest	332,823	209,162
Repurchase agreements | Whole-Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	335,149	237,423
Accrued Interest	2,617	1,754
Assets Pledged and Accrued Interest	337,766	239,177
Repurchase agreements | Residential Bridge Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	259,339	106,673
Accrued Interest	3,955	1,443
Assets Pledged and Accrued Interest	263,294	108,116
Repurchase agreements | Commercial Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	20,515	0
Accrued Interest	116	0
Assets Pledged and Accrued Interest	20,631	0
Repurchase agreements | Securitized commercial loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	13,855	0
Accrued Interest	86	0
Assets Pledged and Accrued Interest	13,941	0
Repurchase agreements | Other securities
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	107,864	89,823
Accrued Interest	191	105
Assets Pledged and Accrued Interest	108,055	89,928
Repurchase agreements | Cash
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged and Accrued Interest	9,663	23,591
Assets Pledged- Fair Value	9,663	23,591
VIE
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	259,339	106,673
VIE | Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	2,017,265	2,143,340
Accrued Interest	5,203	5,454
Assets Pledged and Accrued Interest	$ 2,022,468	$ 2,148,794

Financings - Convertible Senior

Financings - Convertible Senior Unsecured Notes (Details) - 6.75% Convertible Senior Unsecured Notes - Convertible Debt	1 Months Ended
	Oct. 31, 2017USD ($)$ / shares
Debt Conversion [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

Financings - Commercial Mortgag

Financings - Commercial Mortgage Pass-Through Certificates (Details) - RETL Trust - Secured Debt $ in Thousands	6 Months Ended
	Jun. 30, 2018USD ($)
Debt Instrument [Line Items]
Principal Balance	$ 1,271,290
Fair Value	1,284,454
Class A
Debt Instrument [Line Items]
Principal Balance	$ 493,448
Coupon	3.20%
Fair Value	$ 495,560
Class B
Debt Instrument [Line Items]
Principal Balance	$ 149,918
Coupon	3.80%
Fair Value	$ 150,700
Class C
Debt Instrument [Line Items]
Principal Balance	$ 129,860
Coupon	4.10%
Fair Value	$ 130,726
Class D
Debt Instrument [Line Items]
Principal Balance	$ 114,793
Coupon	4.80%
Fair Value	$ 115,703
Class E
Debt Instrument [Line Items]
Principal Balance	$ 155,851
Coupon	6.60%
Fair Value	$ 157,481
Class F
Debt Instrument [Line Items]
Principal Balance	$ 150,954
Coupon	8.10%
Fair Value	$ 152,537
Class G
Debt Instrument [Line Items]
Principal Balance	$ 12,619
Coupon	9.60%
Fair Value	$ 12,768
Class HRR
Debt Instrument [Line Items]
Principal Balance	$ 63,847
Coupon	11.60%
Fair Value	$ 64,040
Class X-CP
Debt Instrument [Line Items]
Coupon	2.60%
Fair Value	$ 2,069
Notional amount	$ 114,800
Class X-EXT
Debt Instrument [Line Items]
Coupon	0.00%
Fair Value	$ 2,870
Notional amount	$ 114,800

Derivative Instruments (Details

Derivative Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017	Dec. 31, 2016
Estimated Fair Value
Estimated Fair value, assets	$ 21,168	$ 16,904
Derivative liability, at fair value	(1,623)	(4,346)
Derivative instruments not accounted as hedges under GAAP
Estimated Fair Value
Estimated Fair value, assets	6,998	728
Derivative liability, at fair value	(1,623)	(4,346)
Total derivative instruments	5,375	(3,618)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	3,154,600	0
Notional amount, liabilities	0	3,252,200
Estimated Fair Value
Estimated Fair value, assets	1,617	0
Derivative liability, at fair value	0	(4,191)
U.S. Treasury option | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets		320,000
Notional amount, liabilities		320,000
Estimated Fair Value
Estimated Fair value, assets		100
Derivative liability, at fair value		(50)
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	595,800	480,000
Notional amount, liabilities	3,900	0
Estimated Fair Value
Estimated Fair value, assets	3,723	628
Derivative liability, at fair value	(26)	0
TBAs | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	200,000	0
Notional amount, liabilities	500,000	125,000
Estimated Fair Value
Estimated Fair value, assets	1,432	0
Derivative liability, at fair value	(1,501)	(10)
Total derivative instruments	(69)	(10)
Forward starting interest rate swap
Estimated Fair Value
Notional Amount	198,100	1,500,000
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	50,000	0
Notional amount, liabilities	14,782	14,815
Estimated Fair Value
Estimated Fair value, assets	226	0
Derivative liability, at fair value	(96)	(95)
Notional Amount	64,800	14,800
Derivative assets, at fair value, net	130
Long | Us Treasury Futures
Estimated Fair Value
Estimated Fair value, assets	1,800	628
Derivative liability, at fair value	(1,900)
Notional Amount	119,700	480,000
Long | U.S. Treasury option
Notional Amount
Notional amount, assets	0	320,000
Estimated Fair Value
Estimated Fair value, assets	0	100
Long | TBAs | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	200,000	0
Estimated Fair Value
Estimated Fair value, assets	1,432	0
Derivative liability, at fair value	(62)	(10)
Notional Amount	500,000	125,000	$ 0
Short | Us Treasury Futures
Estimated Fair Value
Notional Amount	480,000
Short | U.S. Treasury option
Notional Amount
Notional amount, liabilities	0	320,000
Estimated Fair Value
Derivative liability, at fair value	0	(50)
Short | TBAs | Derivative instruments not accounted as hedges under GAAP
Estimated Fair Value
Derivative liability, at fair value	(1,439)	0
Notional Amount	$ 200,000	$ 0	$ 0

Derivative Instruments- Gain or

Derivative Instruments- Gain or loss (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations			$ 7,769	$ (156,245)
Return (Recovery) of Basis			5,576	156,696
Total	$ 28,490	$ (18,555)	108,072	(23,252)
Collateral already posted, aggregate fair value	54,800		54,800		$ 63,300
Cash pledged as collateral	2,900		2,900		$ 0
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	1,316	(154,008)	4,185	(157,181)
Variation Margin Settlement	21,634	(21,504)	97,864	(17,530)
Return (Recovery) of Basis	(572)	(1,887)	(1,682)	(3,283)
Mark-to-Market	4,268	160,002	5,576	160,853
Contractual interest income (expense), net	1,844	(1,158)	2,129	(6,111)
Total	28,490	(18,555)	108,072	(23,252)
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	24	(154,304)	19	(150,555)
Variation Margin Settlement	21,634	(21,504)	97,864	(17,530)
Return (Recovery) of Basis	211	117	292	286
Mark-to-Market	2,177	160,596	2,245	158,130
Contractual interest income (expense), net	833	(3,673)	(304)	(10,898)
Total	24,879	(18,768)	100,116	(20,567)
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)
Return (Recovery) of Basis				0
Mark-to-Market				0
Contractual interest income (expense), net				0
Total				(115)
Agency and Non-Agency 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	0	432	0	526
Return (Recovery) of Basis	(783)	(2,004)	(1,974)	(3,569)
Mark-to-Market	(96)	164	(30)	(1,134)
Contractual interest income (expense), net	1,011	2,372	2,433	4,413
Total	132	964	429	236
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	(100)	237	(518)	65
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	88	(413)	300	(611)
Contractual interest income (expense), net	0	0	0	0
Total	(12)	(176)	(218)	(546)
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	614	(2,515)	4,592	(9,153)
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	2,567	545	3,069	2,416
Contractual interest income (expense), net	0	0	0	0
Total	3,181	(1,970)	7,661	(6,737)
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		3		(20)
Return (Recovery) of Basis		0		0
Mark-to-Market		29		58
Contractual interest income (expense), net		0		0
Total		32		38
Total return 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		14		(500)
Return (Recovery) of Basis		0		0
Mark-to-Market		130		1,344
Contractual interest income (expense), net		143		374
Total		287		1,218
Credit default 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	(23)		(42)
Return (Recovery) of Basis	0		0
Mark-to-Market	66		51
Contractual interest income (expense), net	0		0
Total	43		9
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	801	2,125	134	2,571
Variation Margin Settlement				0
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	(534)	(1,049)	(59)	650
Contractual interest income (expense), net	0	0	0	0
Total	$ 267	$ 1,076	$ 75	3,221
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				0
Return (Recovery) of Basis				0
Mark-to-Market				0
Contractual interest income (expense), net				0
Total				$ 0

Derivative Instruments- Swaptio

Derivative Instruments- Swaption terms (Details) - USD ($) $ in Thousands	3 Months Ended	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Interest rate swaps and interest rate swaptions
Derivative assets	$ 21,168	$ 21,168	$ 16,904
Derivative liability, at fair value	1,623	1,623	4,346
Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Derivative assets	6,998	6,998	728
Derivative liability, at fair value	1,623	1,623	4,346
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Notional amount, assets	3,154,600	3,154,600	0
Derivative assets	1,617	1,617	0
Notional amount, liabilities	0	0	3,252,200
Derivative liability, at fair value	0	0	4,191
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 3,154,600	$ 3,154,600	$ 3,252,200
Average Fixed Pay Rate	2.20%	2.20%	2.20%
Average Floating Receive Rate	2.40%	2.40%	1.40%
Average Maturity (Years)		7 years 1 month 6 days	7 years 1 month 6 days
Forward Starting	6.30%	6.30%	46.90%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 400,000	$ 400,000
Average Fixed Pay Rate	1.50%	1.50%
Average Floating Receive Rate	2.30%	2.30%
Average Maturity (Years)		1 year
Forward Starting	0.00%	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
Interest rate swaps and interest rate swaptions
Notional Amount	$ 200,000	$ 200,000	$ 600,000
Average Fixed Pay Rate	1.80%	1.80%	1.60%
Average Floating Receive Rate	2.40%	2.40%	1.50%
Average Maturity (Years)		1 year 10 months 24 days	1 year 9 months 18 days
Forward Starting	0.00%	0.00%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 738,000	$ 738,000	$ 960,000
Average Fixed Pay Rate	2.00%	2.00%	2.00%
Average Floating Receive Rate	2.40%	2.40%	1.40%
Average Maturity (Years)		3 years 9 months 18 days	4 years 3 months 18 days
Forward Starting	0.00%	0.00%	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 1,816,600	$ 1,816,600	$ 1,692,200
Average Fixed Pay Rate	2.50%	2.50%	2.50%
Average Floating Receive Rate	2.40%	2.40%	1.40%
Average Maturity (Years)		10 years 3 months 18 days	10 years 6 months
Forward Starting	10.90%	10.90%	90.20%
Forward starting interest rate swap
Interest rate swaps and interest rate swaptions
Notional Amount	$ 198,100	$ 198,100	$ 1,500,000
Derivative Instrument, Weighted Average Forward Starting Date	1 month 27 days		4 months
U.S. Treasury option | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Notional amount, assets			$ 320,000
Derivative assets			100
Notional amount, liabilities			320,000
Derivative liability, at fair value			50
Long | U.S. Treasury option
Interest rate swaps and interest rate swaptions
Notional amount, assets	$ 0	0	320,000
Derivative assets	0	0	100
Long | Us Treasury Futures
Interest rate swaps and interest rate swaptions
Notional Amount	119,700	119,700	480,000
Derivative assets	1,800	1,800	628
Derivative liability, at fair value	1,900	1,900
Short | U.S. Treasury option
Interest rate swaps and interest rate swaptions
Notional amount, liabilities	0	0	320,000
Derivative liability, at fair value	0	0	$ 50
Short | Us Treasury Futures
Interest rate swaps and interest rate swaptions
Notional Amount	$ 480,000	$ 480,000

Derivative Instruments- TBA sec

Derivative Instruments- TBA securities (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Currency swaps and forwards
Derivative assets	$ 21,168	$ 16,904
Derivative liability, at fair value	(1,623)	(4,346)
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative assets	6,998	728
Derivative liability, at fair value	(1,623)	(4,346)
Fair Value	5,375	(3,618)
TBAs | Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Notional amount, assets	200,000	0
Derivative assets	1,432	0
Derivative Asset Notional Amount Net	200,000	0
Notional amount, liabilities	500,000	125,000
Derivative Liability Notional Amount Net	100,000	125,000
Derivative liability, at fair value	(1,501)	(10)
Notional Amount, net	300,000	125,000
Fair Value	(69)	(10)
TBAs | Derivative instruments not accounted as hedges under GAAP | Long
Currency swaps and forwards
Notional amount, assets	200,000	0
Derivative assets	1,432	0
Derivative Liability Notional Amount Net	300,000	125,000
Derivative liability, at fair value	(62)	(10)
Changes in notional amount
Notional amount at the beginning of the period		0
Additions	3,425,000	5,843,200
Settlement, Termination, Expiration or Exercise	(3,050,000)	(5,718,200)
Notional amount at the end of the period	500,000	125,000
TBAs | Derivative instruments not accounted as hedges under GAAP | Short
Currency swaps and forwards
Derivative Liability Notional Amount Net	(200,000)	0
Derivative liability, at fair value	(1,439)	0
Changes in notional amount
Notional amount at the beginning of the period		0
Additions	3,250,000	5,718,200
Settlement, Termination, Expiration or Exercise	(3,050,000)	(5,718,200)
Notional amount at the end of the period	$ 200,000	$ 0

Offsetting Assets and Liabili63

Offsetting Assets and Liabilities- Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Offsetting Assets [Line Items]
Derivative asset, gross amount	$ 21,168	$ 16,904
Derivative assets, at fair value	6,998	728
Derivative assets	21,168	16,904
Derivative asset, not offset	(12,051)	(11,683)
Derivative, collateral, obligation to return cash	(2,820)	0
Net Amount	6,297	5,221
Gross Amounts of Recognized Liabilities	1,623	4,346
Securities Sold under Agreements to Repurchase, Gross	3,267,369	3,251,686
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Gross	3,268,992	3,256,032
Derivative liabilities	1,623	4,346
Securities Sold Under Agreements To Repurchase Before Amortization of Debt Issuance Costs	3,267,369	3,251,686
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned	3,268,992	3,256,032
Gross Amounts Not Offset in the Balance Sheets
Financial Instruments	(122)	(50)
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities	(3,267,369)	(3,251,686)
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Securities	(3,267,491)	(3,251,736)
Cash Collateral Pledged	0	(4,270)
Derivative Liability, Fair Value, Amount Offset Against Collateral	1,501	26
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Amount Offset Against Collateral	1,501	26
Cash collateral for derivatives	54,800	63,300
Fair value of investments pledged against repurchase agreements	3,600,000	3,500,000
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
Offsetting Assets [Line Items]
Derivative asset, gross amount	14,170	16,176
Derivative assets	14,170	16,176
Derivative asset, not offset	(11,929)	(11,633)
Net Amount	2,241	4,543
Derivative Instruments Excluding Interest Only Strips Accounted For As Derivatives And Linked Transactions
Offsetting Assets [Line Items]
Derivative asset, gross amount	6,998	728
Derivative assets, at fair value	6,998	728
Derivative asset, not offset	(122)	(50)
Derivative, collateral, obligation to return cash	(2,820)	0
Net Amount	$ 4,056	$ 678

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Related Party Transactions
Management fees	$ 2,259	$ 1,830	$ 4,439	$ 4,306
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 of management agreement			300.00%
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	2,300	1,800	$ 4,400	4,300
Reimbursable employee costs	872	$ 704	1,100	$ 920
Management fees incurred but not yet paid	2,300		2,300		$ 1,900
Reimbursable employee costs incurred but not yet paid	803		$ 803		99
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%
VIE
Related Party Transactions
Securitized debt, at fair value	1,231,300		$ 1,231,300		10,945
VIE | Securitized commercial loans
Related Party Transactions
Securitized debt, at fair value	$ 1,231,300		$ 1,231,300		$ 10,945

Share-Based Payments (Details)

Share-Based Payments (Details) $ / shares in Units, $ in Thousands	Jun. 07, 2018directorshares	Jun. 01, 2017shares	Jun. 30, 2018USD ($)$ / sharesshares	Jun. 30, 2017USD ($)	Jun. 30, 2018USD ($)$ / sharesshares	Jun. 30, 2017USD ($)shares	Jun. 30, 2016shares	Dec. 31, 2017USD ($)shares
Share-Based Payments
Shares authorized (as a percent)			3.00%		3.00%
Number of shares remained available for issuance (in shares)			485,310		485,310
Stock-based compensation expense recognized | $			$ 50	$ 215	$ 125	$ 577
Restricted common stock
Share-Based Payments
Vested (in shares)					84,203	152,630
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			25,904		25,904			83,155
Shares of Restricted Stock
Outstanding, beginning of period (in shares)					725,449
Granted (in shares)					26,952		752,401
Cancelled/forfeited (in shares)					0
Outstanding, end of period (in shares)			752,401		752,401
Unvested at end of year (in shares)			25,904		25,904			83,155
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares					$ 17
Granted (in dollars per share) | $ / shares					10.77
Cancelled/forfeited (in dollars per share) | $ / shares					0
Outstanding at end of year (in dollars per share) | $ / shares			$ 16.78		16.78
Unvested at end of year (in dollars per share) | $ / shares			$ 10.81		$ 10.81
Restricted common stock | March 2018
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			0		0			66,667
Shares of Restricted Stock
Unvested at end of year (in shares)			0		0			66,667
Restricted common stock | June 2018
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			0		0			16,488
Shares of Restricted Stock
Unvested at end of year (in shares)			0		0			16,488
Restricted common stock | June 2019
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			25,904		25,904			0
Shares of Restricted Stock
Unvested at end of year (in shares)			25,904		25,904			0
Restricted common stock | Director
Share-Based Payments
Awards granted to each of the entity's independent directors (in shares)	6,476	3,884
Number of independent directors to whom awards were granted | director	4
Shares of Restricted Stock
Granted (in shares)	25,904	15,536
Restricted common stock | Director Deferred Fee Plan
Shares of Restricted Stock
Granted (in shares)					1,048
Equity awards
Share-Based Payments
Unamortized compensation expense | $			$ 257		$ 257			$ 66
Liability awards
Share-Based Payments
Unamortized compensation expense | $			$ 0		$ 0			$ 111

Stockholders' Equity (Details)

Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Millions	Jul. 26, 2018	Jun. 21, 2018	Apr. 26, 2018	Mar. 22, 2018	Jan. 26, 2018	Dec. 21, 2017	Oct. 26, 2017	Sep. 21, 2017	Jul. 26, 2017	Jun. 20, 2017	Apr. 26, 2017	Mar. 23, 2017	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	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		$ 16.70
Number of warrant shares purchasable (in shares)													1,232,916		1,232,916
Shares authorized to be repurchased (in shares)						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	$ 0.31	$ 0.62	$ 0.62
Dividends, cash paid per share of common stock (in dollars per share)			$ 0.31		$ 0.31		$ 0.31		$ 0.31		$ 0.31
Institutional investors
Shareholders equity
Number of warrant units authorized to be sold																				2,231,787
Subsequent Event
Shareholders equity
Dividends, cash paid per share of common stock (in dollars per share)	$ 0.31
Common Stock Outstanding
Shareholders equity
Equity offering amount, maximum																		$ 100
Stock repurchased during period (in shares)															177,700		125,722
Common Stock Outstanding
Shareholders equity
Stock repurchased during period (in shares)													303,422

Net Income per Common Share (De

Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$ 1,453	$ 20,684	$ 23,182	$ 40,926	$ 85,097
Less: Dividends and undistributed earnings allocated to participating securities	27	62	65	163
Net income allocable to common stockholders — basic and diluted	$ 1,426	$ 20,622	$ 23,117	$ 40,763
Denominator:
Weighted average common shares outstanding for basic earnings per share	41,619,198	41,853,134	41,671,278	41,809,672
Weighted average common shares outstanding for diluted earnings per share	41,619,198	41,853,134	41,671,278	41,809,672
Basic earnings per common share (in dollars per share)	$ 0.03	$ 0.49	$ 0.55	$ 0.97
Diluted earnings per common share (in dollars per share)	$ 0.03	$ 0.49	$ 0.55	$ 0.97

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Valuation Allowance [Line Items]
Current federal, state and local, tax expense (benefit)	$ 36	$ 2,100	$ 349	$ 3,200
Deferred tax assets, gross	3,500		3,500		$ 6,100
Capital Loss Carryforward [Member]
Valuation Allowance [Line Items]
Valuation allowances balance	3,500		3,500		6,100
Operating Loss Carryforwards [Member]
Valuation Allowance [Line Items]
Valuation allowances balance	9,000		9,000		9,200
State Jurisdiction [Member]
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	8,700		8,700		8,800
State Jurisdiction [Member] | Taxable REIT Subsidiary [Member]
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	752		752		765
Domestic Tax Authority [Member]
Valuation Allowance [Line Items]
Deferred tax liabilities, net	$ 85		$ 85		$ 85