Western Asset Mortgage Capital (WMC) 10-Q 11 May 20 2020 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2020	May 05, 2020
Document and Entity Information
Entity Registrant Name	Western Asset Mortgage Capital Corp
Entity Central Index Key	0001465885
Document Type	10-Q
Document Period End Date	Mar. 31, 2020
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		53,423,876
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q1

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets:
Cash and cash equivalents	$ 10,342	$ 31,331
Restricted cash	33,229	52,948
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795	1,375,860
Residential Bridge Loans ($26,050 and $33,269 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	28,634	36,419
Securitized commercial loans, at fair value	477,131	909,040
Commercial Loans, at fair value ($320,308 and $350,213 pledged as collateral, at fair value, respectively)	320,308	370,213
Receivable under reverse repurchase agreements	24,826	0
Investment related receivable ($41,214 and $0 pledged as collateral, respectively)	72,826	19,931
Interest receivable	14,805	19,413
Due from counterparties	117,670	98,947
Derivative assets, at fair value	33,675	5,111
Other assets	5,697	4,509
Total assets	3,203,583	5,160,971
Liabilities:
Repurchase agreements, net	1,553,715	2,824,801
Convertible senior unsecured notes, net	197,984	197,299
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	1,139,121	1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	6,429	15,001
Due to counterparties	24,811	709
Derivative liability, at fair value	43,967	6,370
Accounts payable and accrued expenses	6,307	3,188
Payable to affiliate	3,237	2,148
Dividend payable	0	16,592
Other liabilities	45,779	52,948
Total liabilities	3,021,350	4,596,510
Commitments and contingencies
Stockholders’ Equity:
Common stock: $0.01 par value, 500,000,000 shares authorized, 53,423,876 and 53,523,876 outstanding, respectively	535	535
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding	0	0
Treasury stock, at cost, 100,000 and 0 shares held, respectively	(578)	0
Additional paid-in capital	889,392	889,227
Retained earnings (accumulated deficit)	(707,158)	(325,301)
Total Stockholders’ Equity	182,191	564,461
Non-controlling interest	42	0
Total Equity	182,233	564,461
Total Liabilities and Equity	3,203,583	5,160,971
VIE
Assets:
Cash and cash equivalents	4,542	7,589
Restricted cash	33,229	52,948
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795	1,375,860
Securitized commercial loans, at fair value	477,131	909,040
Commercial Loans, at fair value ($320,308 and $350,213 pledged as collateral, at fair value, respectively)	71,684	90,788
Investment related receivable ($41,214 and $0 pledged as collateral, respectively)	24,738	19,138
Interest receivable	10,226	10,829
Other assets	101	90
Total assets	1,959,017	2,501,179
Liabilities:
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	1,139,121	1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	3,215	3,886
Accounts payable and accrued expenses	128	185
Other liabilities	33,229	52,948
Total liabilities	1,175,693	1,534,473
Agency MBS
Assets:
Securities, at fair value	430,628	1,795,255
Non-Agency MBS
Assets:
Securities, at fair value	276,606	361,833
Other securities
Assets:
Securities, at fair value	$ 47,411	$ 80,161

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Fair value of residential whole-loans pledged as collateral	$ 1,309,795	$ 1,375,860
Residential bridge loan, at fair value	26,050	33,269
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571	34,897
MBS pledged for borrowings under repurchase agreements	27,571	34,897
Commercial Loans, at fair value	320,308	350,213
Investment related receivable, pledged as collateral	41,214	0
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	1,139,121	1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	$ 6,429	$ 15,001
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)	53,423,876	53,523,876
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)	100,000,000	0
Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)	$ 430,628	$ 1,756,917
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)	265,647	292,613
Other securities
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)	47,307	80,031
VIE
Fair value of residential whole-loans pledged as collateral	1,309,795	1,375,860
Residential bridge loan, at fair value	24,987	31,748
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571	34,897
MBS pledged for borrowings under repurchase agreements	27,571	34,897
Commercial Loans, at fair value	71,684	90,788
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	1,139,121	1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	3,215	3,886
Affiliated Entity
Securitized debt, at fair value	396,824	681,643
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	53,527	142,905
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	$ 536	$ 647

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Net Interest Income
Interest income	$ 54,846	$ 52,033
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively)	36,105	36,400
Net Interest Income	18,741	15,633
Other Income (Loss)
Realized gain (loss) on investments, net	89,186	(5,105)
Other than temporary impairment	0	(1,232)
Unrealized gain (loss), net	(296,111)	50,781
Gain (loss) on derivative instruments, net	(189,691)	(27,148)
Other, net	461	236
Other Income (Loss)	(396,155)	17,532
Expenses
Management fee to affiliate	1,039	1,735
Other operating expenses	1,000	1,598
General and administrative expenses:
Compensation expense	662	544
Professional fees	1,480	1,215
Other general and administrative expenses	353	185
Total general and administrative expenses	2,495	1,944
Total Expenses	4,534	5,277
Income (loss) before income taxes	(381,948)	27,888
Income tax (benefit) provision	(93)	12
Net income (loss)	(381,855)	27,876
Net income attributable to non-controlling interest	2	0
Net income (loss)	$ (381,857)	$ 27,876
Net income (loss) per Common Share — Basic (in dollars per share)	$ (7.15)	$ 0.58
Net income (loss) per Common Share — Diluted (in dollars per share)	$ (7.15)	$ 0.58

Consolidated Statements of Op_2

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively)	$ 36,105	$ 36,400
Affiliated Entity
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively)	$ 2,164	$ 2,338

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	Parent	Non-Controlling Interest
Beginning balance at Dec. 31, 2018	$ 503,009	$ 481	$ 833,810	$ (331,282)	$ 0	$ 503,009	$ 0
Beginning balance (in shares) at Dec. 31, 2018		48,116,379
Increase (Decrease) in Stockholders' Equity
Grants of restricted stock (shares)		108,000
Grants of restricted stock	0	$ 1	(1)
Vesting of restricted stock	70		70			70
Net income (loss)	27,876			27,876		27,876
Dividends declared on common stock	(14,949)		36	(14,985)		(14,949)
Ending balance at Mar. 31, 2019	516,006	$ 482	833,915	(318,391)	0	516,006	0
Ending balance (in shares) at Mar. 31, 2019		48,224,379
Beginning balance at Dec. 31, 2019	564,461	$ 535	889,227	(325,301)	0	564,461	0
Beginning balance (in shares) at Dec. 31, 2019		53,523,876
Increase (Decrease) in Stockholders' Equity
Proceeds from non-controlling interest, net of offering costs	42						42
Vesting of restricted stock	165		165			165
Treasury stock (in shares)		(100,000)
Treasury Stock	(578)				(578)	(578)
Net income (loss)	(381,855)			(381,857)		(381,857)	2
Dividends declared on non-controlling interest	(2)						(2)
Ending balance at Mar. 31, 2020	$ 182,233	$ 535	$ 889,392	$ (707,158)	$ (578)	$ 182,191	$ 42
Ending balance (in shares) at Mar. 31, 2020		53,423,876

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Cash flows from operating activities:
Net income (loss)	$ (381,855)	$ 27,876
Adjustments to reconcile net income (loss) to net cash used in operating activities:
Premium amortization and (discount accretion), net	1,837	357
Amortization of deferred financing costs	646	192
Amortization of discount on convertible senior notes	273	137
Restricted stock amortization	165	70
Interest payments and basis recovered on MAC interest rate swaps	202	337
Premium on purchase of Residential Whole Loans	(3,858)	(4,882)
Premium on purchase of securitized commercial loans	0	(3,769)
Unrealized (gain) loss, net	296,111	(50,781)
Realized loss on sale of real estate owned ("REO")	267	0
Unrealized (gain) loss on derivative instruments, net	8,807	(11,313)
Other than temporary impairment	0	1,232
Realized (gain) loss on investments, net	(89,453)	5,105
Loss on derivatives, net	135	4,889
Changes in operating assets and liabilities:
Decrease in interest receivable	4,608	1,295
(Increase) decrease in other assets	(1,583)	1,219
(Decrease) increase in interest payable	(8,572)	1,788
Increase in accounts payable and accrued expenses	3,119	356
Increase (decrease) in payable to affiliate	1,089	(401)
Net cash used in operating activities	(168,062)	(26,293)
Cash flows from investing activities:
Purchase of securities	(320,997)	(24,175)
Proceeds from sale of securities	1,685,381	215,710
Proceeds from sale of REO	1,347	0
Principal repayments and basis recovered on securities	25,454	17,347
Purchase of Residential Whole Loans	(109,481)	(244,317)
Principal repayments on Residential Whole Loans	77,217	28,293
Purchase of commercial loans	0	(121,188)
Principal repayments on commercial loans	37,638	165
Purchase of securitized commercial loans	0	(900,000)
Principal repayments on securitized commercial loans	154,702	988,714
Principal repayments on Residential Bridge Loans	6,372	80,006
Premium for credit default swaps, net	(566)	(367)
Net settlements of TBAs	883	0
(Payments on) Proceeds from termination of futures, net	0	(4,503)
Interest payments and basis recovered on MAC interest rate swaps	(202)	(337)
Due from counterparties	(4,120)	0
Payments made on reverse repurchase agreements, net	(24,826)	0
Net cash provided by investing activities	1,528,802	35,348
Cash flows from financing activities:
Payment of offering costs	(3)	(174)
Repurchase of common stock	(578)	0
Proceeds from offering to non-controlling interest, net of offering costs	42	0
Proceeds from repurchase agreement borrowings	5,786,714	5,764,802
Repayments of repurchase agreement borrowings	(7,057,810)	(5,667,038)
Proceeds from other liabilities	12,549	0
Proceeds from securitized debt	92,828	838,469
Repayments of securitized debt	(208,379)	(937,805)
Due from counterparties, net	(14,603)	1,602
Due to counterparties, net	24,102	3,576
Increase in other liabilities	(19,720)	15,369
Dividends paid on common stock	(16,590)	(14,915)
Net cash (used in) provided by financing activities	(1,401,448)	3,886
Net (decrease) increase in cash, cash equivalents and restricted cash	(40,708)	12,941
Cash, cash equivalents and restricted cash, beginning of period	84,279	77,795
Cash, cash equivalents and restricted cash, end of period	43,571	90,736
Supplemental disclosure of operating cash flow information:
Interest paid	43,800	35,519
Supplemental disclosure of non-cash financing/investing activities:
Securities sold, not settled	47,475	0
Assets of deconsolidated VIE	150,804	0
Liabilities of deconsolidated VIE	143,952	0
Mortgage-backed securities recorded upon deconsolidation	6,852	0
Net unsettled TBAs	612	0
Dividends to non-controlling interest, not paid	0	2
Principal payments of Residential Whole Loans, not settled	22,181	10,546
Principal payments of Residential Bridge Loans, not settled	2,557	22,014
Other assets - Transfer of Bridge Loans to REO	489	0
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows	$ 43,571	$ 90,736

Organization

Organization	3 Months Ended
	Mar. 31, 2020
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, Non-Agency RMBS, Non-Agency CMBS, Non-Qualified Residential Whole Loans ("Non-QM"), Conforming 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, LLC’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, as amended (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. ("Legg Mason") 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. On February 18, 2020, Franklin Resources, Inc. (“Franklin”) and Legg Mason announced that they had entered into an agreement under which Franklin would acquire Legg Mason and its affiliates, including Western Asset Management Company, LLC. The transaction is expected to close in the third quarter of 2020 and is subject to customary closing conditions. Upon completion of the transaction Western Asset Management Company, LLC would become a wholly owned subsidiary of Franklin.

Basis of Presentation and Summa

Basis of Presentation and Summary of Significant Accounting Policies	3 Months Ended
	Mar. 31, 2020
Accounting Policies [Abstract]
Basis of Presentation and Summary of Significant Accounting Policies	Basis of Presentation and 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. 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 March 31, 2020, 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, 2019, filed with the SEC on March 6, 2020. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries 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. Impact of the COVID-19 Pandemic The outbreak of COVID-19, which the World Health Organization has designated a pandemic, has created unprecedented market disruption and dislocation across fixed income markets. The conditions caused by the pandemic created an extreme lack of liquidity in mortgage markets, combined with forced selling led to swift and dramatic price declines. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. The significant decline in value of the Company's investment portfolio resulted in substantial margin calls from its repurchase agreement counterparties. In order to satisfy the margin calls, the Company sold a significant portion of its investments resulting in a material adverse impact on book value, earnings and financial position. The full impact of COVID-19 on the mortgage REIT industry, the credit markets and consequently on the Company’s financial condition and results of operations is uncertain and cannot be predicted at the current time as it depends on several factors beyond the control of the Company including, but not limited to (i) the uncertainty around the severity, duration and spread of the outbreak, (ii) the effectiveness of the United States public health response, (iii) the pandemic’s impact on the U.S. and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or vaccination for COVID-19, (v) the impact of government interventions, and (vi) the negative impact on our borrowers, asset values and cost of capital. 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, 2019, other than the the below new accounting policy. As of January 1, 2020, the Company has adopted ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments or CECL in the first quarter of 2020. The standard significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through the income statement. The standard replaced the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. Because the Company elected the Fair Value Option on most of its investments, an allowance is recorded rather than reduce the carrying amount, as was done under the “other than temporary impairment model”. The difference between the amortized cost basis and the fair value are recorded in the “Unrealized, gain (loss), net”. The Company performs both qualitative and quantitative analysis factors to determine if a credit loss exist. The qualitative analysis includes assessing the security’s collateral, industry, geographic area, credit enhancement, payment structure, and credit rating. Solely for the purposes of calculating interest income the Company maintains a “shadow allowance” used for determining accretable basis. Subsequent declines in expected cash flows do not create yield adjustments and subsequent improvements in cash flows would first reduce the “shadow allowance” and then be treated as prospective yield adjustments. The “shadow allowance” is an operational account for the purposes of determining and calculating accretable yield and would not be recorded in the Company’s financial statement s. Recently adopted accounting pronouncements Description Adoption 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. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." The amendments in this update clarify or address stakeholders' specific issues about certain aspects of the amendments in Update 2016-13. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326)." The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this Update clarify the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. First quarter 2021. The Company is evaluating the impact this In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this Update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. March 12, 2020 through December 31, 2022 The Company is evaluating the impact this

Fair Value of Financial Instrum

Fair Value of Financial Instruments	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019, based upon the valuation hierarchy (dollars in thousands): March 31, 2020 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 413,394 $ — $ 413,394 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 2,792 — 2,792 Agency RMBS Interest-Only Strips — — 9,952 9,952 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 4,490 4,490 Subtotal Agency MBS — 416,186 14,442 430,628 Non-Agency CMBS — 243,444 6,865 250,309 Non-Agency RMBS — — 21,123 21,123 Non-Agency RMBS Interest-Only Strips — — 5,174 5,174 Subtotal Non-Agency MBS — 243,444 33,162 276,606 Other securities — 40,040 7,371 47,411 Total mortgage-backed securities and other securities — 699,670 54,975 754,645 Residential Whole Loans — — 1,309,795 1,309,795 Residential Bridge Loans — — 26,050 26,050 Securitized commercial loans — — 477,131 477,131 Commercial Loans — — 320,308 320,308 Derivative assets — 33,675 — 33,675 Total Assets $ — $ 733,345 $ 2,188,259 $ 2,921,604 Liabilities Derivative liabilities $ — $ 43,967 $ — $ 43,967 Securitized debt — 396,663 161 396,824 Total Liabilities $ — $ 440,630 $ 161 $ 440,791 December 31, 2019 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 1,435,477 $ — $ 1,435,477 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 3,092 — 3,092 Agency RMBS — 340,771 — 340,771 Agency RMBS Interest-Only Strips — — 10,343 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 5,572 5,572 Subtotal Agency MBS — 1,779,340 15,915 1,795,255 Non-Agency CMBS — 316,019 — 316,019 Non-Agency RMBS — — 38,131 38,131 Non-Agency RMBS Interest-Only Strips — — 7,683 7,683 Subtotal Non-Agency MBS — 316,019 45,814 361,833 Other securities — 62,965 17,196 80,161 Total mortgage-backed securities and other securities — 2,158,324 78,925 2,237,249 Residential Whole Loans — — 1,375,860 1,375,860 Residential Bridge Loans — — 33,269 33,269 Securitized commercial loan — — 370,213 370,213 Commercial Loans — — 909,040 909,040 Derivative assets — 5,111 — 5,111 Total Assets $ — $ 2,163,435 $ 2,767,307 $ 4,930,742 Liabilities Derivative liabilities $ — $ 6,370 $ — $ 6,370 Securitized debt — 680,586 1,057 681,643 Total Liabilities $ — $ 686,956 $ 1,057 $ 688,013 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 services 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 and the Company has elected the fair value option for the securitized debt, 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 CMBS, given the amount of available observable market data, generally are classified in Level II. For newly issued Agency CMBS securities that have not settled at period end and do not have a CUSIP yet, the Company utilizes a broker quote due to lack of observable market data. Accordingly these securities are classified in Level III. For Agency IOs, 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; otherwise, the security is classified as a Level III. 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 market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. 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 Non-QM 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 discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, delinquencies and fair value of the collateral for collateral dependent loans. The assumption made by the independent third party pricing service includes the market discount rate, yield, default assumption and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds. As of December 31, 2019, the values for the Conforming Residential Whole Loan Portfolio were based on a third party pricing service valuation model that assigns a loan value using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of March 31, 2020, the values for the confirming loans were based on a prices from pool of conforming residential whole loans that traded in April 2020. In addition to pricing the underlying mortgages, the third party pricing service uses a service release premium valuation representing the sale of the right to service the mortgages. Together, the TBA price and service release premium price form the "All-In" price for these mortgages. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. 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 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, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions. 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 the securitized commercial loan's valuation, the Company classifies its securitized commercial loans as Level III. Securitized debt Values for the Company's securitized debt are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. 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 volume 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 derivatives and/or futures contracts for the periods ended March 31, 2020 and December 31, 2019. Third Party Pricing Data Review The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and 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 a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of March 31, 2020 and December 31, 2019 (dollars in thousands): Fair Value at Range March 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,161,199 Discounted Cash Flow Yield 4.7 % 8.9 % 6.6 % Weighted Average Life 1.2 6.6 2.5 Residential Bridge Loans 26,050 Discounted Cash Flow Yield 8.5 % 26.3 % (1) 11.6 % Weighted Average Life 0.2 1.8 0.8 Commercial Loans 320,308 Discounted Cash Flow Yield 6.5 % 14.9 % 9.4 % Weighted Average Life 1.2 2.7 1.4 Fair Value at Range December 31, 2019 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,200,566 Discounted Cash Flow Yield 3.4 % 7.0 % 3.7 % Weighted Average Life 1.4 7.8 3.0 Residential Bridge Loans 33,269 Discounted Cash Flow Yield 7.5 % 27.0 % (1) 9.8 % Weighted Average Life 0.3 1.8 0.8 Commercial Loans 370,213 Discounted Cash Flow Yield 4.7 % 10.9 % 7.5 % Weighted Average Life 0.4 2.9 1.6 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%. (2) As of March 31, 2020, excludes $148.6 million of conforming residential whole loans, which were valued based on prices from a pool of conformning residential loans that traded in April 2020 . As of December 31, 2019, excludes $175.3 million of Conforming Residential Whole Loans, which were valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of December 31, 2019, the TBA prices used for valuing the conforming loans range from $101.39 to $107.63. 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 March 31, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 111,486 — — — — Sales and settlements — (12,702) — — — — — — Transfers to REO — — — — (489) — — — VIE deconsolidation — 6,852 — — — — (150,804) — Principal repayments — (320) (153) (80,361) (6,408) (37,638) (154,701) — Total net gains / losses included in net income Realized gains/(losses), net on assets — (16) — — (85) — — — Unrealized gains/(losses), net on assets (1) (534) (5,835) (3,120) (96,160) (218) (12,462) (127,171) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (377) Premium and discount amortization, net (939) (631) (70) (1,030) (19) 195 767 (519) Ending balance $ 14,442 $ 33,162 $ 7,371 $ 1,309,795 $ 26,050 $ 320,308 $ 477,131 $ 161 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (534) $ (5,605) $ (1,770) $ (94,347) $ (417) $ (12,460) $ (68,013) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 377 Three months ended March 31, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Transfers into Level III from Level II — — 8,386 — — — — — Transfers from Level III into Level II — — — — — — — — Purchases — — — 248,105 — 121,189 903,770 — Sales and settlements — — — — — — — 3,769 Principal repayments — (252) — (28,532) (66,612) (165) (988,714) — Total net gains / losses included in net income 0 Realized gains/(losses), net on assets — — — — (87) — — — Other than temporary impairment (25) (241) — — — — — — Unrealized gains/(losses), net on assets (1) 387 (1,193) 121 5,886 (780) 223 1,349 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (1,970) Premium and discount amortization, net (1,091) (477) (78) (181) (350) 208 (442) (316) Ending balance $ 19,108 $ 48,392 $ 17,380 $ 1,267,163 $ 144,170 $ 337,578 $ 929,474 $ 3,769 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 387 $ (1,193) $ 121 $ 6,108 $ (780) $ 223 $ 1,377 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (28) (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Transfers between hierarchy levels for the three months ended March 31, 2020 and March 31, 2019 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements from Level III to Level II 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, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three months ended March 31, 2020 and March 31, 2019. Other Fair Value Disclosures Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt 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 March 31, 2020 and December 31, 2019 in the consolidated financial statements (dollars in thousands): March 31, 2020 December 31, 2019 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 2,584 $ 2,575 $ 3,150 $ 3,148 Total $ 2,584 $ 2,575 $ 3,150 $ 3,148 Liabilities Borrowings under repurchase agreements $ 1,553,715 $ 1,358,436 $ 2,824,801 $ 2,829,093 Convertible senior unsecured notes 197,984 65,801 197,299 209,172 Securitized debt (1) 747,371 709,366 801,109 810,914 Total $ 2,499,070 $ 2,133,603 $ 3,823,209 $ 3,849,179 (1) Carrying value excludes $5.1 million and $5.3 million of deferred financing costs as of March 31, 2020 and December 31, 2019, respectively. "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 Values for the Company's Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. 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. 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. Securitized debt Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. 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 Lev el III. At March 31, 2020, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III.

Mortgage-Backed Securities and

Mortgage-Backed Securities and other securities	3 Months Ended
	Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities and other securities	10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 68,875 $ 344,519 $ — $ — $ 413,394 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 2,792 2,792 Agency RMBS Interest-Only Strips 1,965 1,924 6,063 — 9,952 Agency RMBS Interest-Only Strips accounted for as derivatives 545 3,192 753 — 4,490 Subtotal Agency 71,385 349,635 6,816 2,792 430,628 Non-Agency CMBS 69,336 116,300 63,839 834 250,309 Non-Agency RMBS — — 7,732 13,391 21,123 Non-Agency RMBS Interest- Only Strips — — 744 4,430 5,174 Subtotal Non-Agency 69,336 116,300 72,315 18,655 276,606 Other securities 13,168 10,937 13,126 10,180 47,411 Total $ 153,889 $ 476,872 $ 92,257 $ 31,627 $ 754,645 December 31, 2019 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 973,189 $ 462,288 $ — $ — $ 1,435,477 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 3,092 3,092 Agency RMBS — — 340,771 — 340,771 Agency RMBS Interest-Only Strips 2,413 1,966 5,964 — 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives 669 3,893 1,010 — 5,572 Subtotal Agency 976,271 468,147 347,745 3,092 1,795,255 Non-Agency CMBS 89,782 125,282 92,610 8,345 316,019 Non-Agency RMBS — — 8,966 29,165 38,131 Non-Agency RMBS Interest- Only Strips — — 1,716 5,967 7,683 Subtotal Non-Agency 89,782 125,282 103,292 43,477 361,833 Other securities 25,824 31,823 2,768 19,746 80,161 Total $ 1,091,877 $ 625,252 $ 453,805 $ 66,315 $ 2,237,249 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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 731 $ (72) 3 $ 1,496 $ (243) 7 $ 2,227 $ (315) 10 Subtotal Agency 731 (72) 3 1,496 (243) 7 2,227 (315) 10 Non-Agency CMBS 218,447 (51,052) 40 17,146 (2,818) 5 235,593 (53,870) 45 Non-Agency RMBS 18,993 (2,978) 5 — — — 18,993 (2,978) 5 Non-Agency RMBS Interest-Only Strips 4,728 (2,061) 3 — — — 4,728 (2,061) 3 Subtotal Non-Agency 242,168 (56,091) 48 17,146 (2,818) 5 259,314 (58,909) 53 Other securities 47,411 (29,847) 16 — — — 47,411 (29,847) 16 Total $ 290,310 $ (86,010) 67 $ 18,642 $ (3,061) 12 $ 308,952 $ (89,071) 79 December 31, 2019 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency CMBS $ 214,084 $ (5,798) 16 $ — $ — — $ 214,084 $ (5,798) 16 Agency RMBS Interest-Only Strips 1,376 (43) 4 1,828 (95) 7 3,204 (138) 11 Subtotal Agency 215,460 (5,841) 20 1,828 (95) 7 217,288 (5,936) 27 Non-Agency CMBS 171,650 (4,302) 31 18,069 (571) 4 189,719 (4,873) 35 Non-Agency RMBS 13,214 (260) 1 — — — 13,214 (260) 1 Non-Agency RMBS Interest-Only Strips 1,716 (658) 1 — — — 1,716 (658) 1 Subtotal Non-Agency 186,580 (5,220) 33 18,069 (571) 4 204,649 (5,791) 37 Other securities 10,512 (206) 2 — — — 10,512 (206) 2 Total $ 412,552 $ (11,267) 55 $ 19,897 $ (666) 11 $ 432,449 $ (11,933) 66 The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended March 31, 2019 Agency RMBS (1) $ 25 Non-Agency CMBS 966 Non-Agency RMBS 241 Total $ 1,232 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable. The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ 10,923 $ (588) $ 10,335 $ 10,989 $ (56) $ 10,933 Agency RMBS 2,756 (842) 1,914 871 (655) 216 Non-Agency CMBS 4,797 968 5,765 3,111 924 4,035 Non-Agency RMBS 1,151 (641) 510 1,207 (477) 730 Other securities 2,805 (1,464) 1,341 2,889 (1,591) 1,298 Total $ 22,432 $ (2,567) $ 19,865 $ 19,067 $ (1,855) $ 17,212 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ 1,259,032 $ 94,307 $ (6,454) $ 87,853 $ 206,710 $ — $ (4,189) $ (4,189) Agency RMBS 391,436 10,420 (38) 10,382 — — — — Non-Agency CMBS 51,940 1 (8,802) (8,801) 9,000 — (829) (829) Non-Agency RMBS 12,702 — (16) (16) — — — — Other securities 17,746 113 — 113 — — — — Total $ 1,732,856 $ 104,841 $ (15,310) $ 89,531 $ 215,710 $ — $ (5,018) $ (5,018) 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. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of March 31, 2020 and December 31, 2019, the Company held eight and ten variable interests in unconsolidated CMBS VIEs, respectively, 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 March 31, 2020 and December 31, 2019, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $74.6 million and $117.7 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of March 31, 2020 and December 31, 2019, the Company did not guarantee any obligations of unconsolidated entities or enter 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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency CMBS $ 369,843 $ 17,323 $ 387,166 $ 26,228 $ — $ 413,394 3.1 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 2,792 0.4 % Subtotal Agency CMBS 369,843 17,323 387,166 26,228 — 416,186 2.3 % Agency RMBS Interest-Only Strips (1)(2) N/A N/A 8,102 2,165 (315) 9,952 3.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 4,490 2.9 % Subtotal Agency RMBS — — 8,102 2,165 (315) 14,442 3.0 % Total Agency MBS 369,843 17,323 395,268 28,393 (315) 430,628 2.5 % Non-Agency RMBS 39,261 (15,462) 23,799 302 (2,978) 21,123 4.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 7,229 6 (2,061) 5,174 0.5 % Subtotal Non-Agency RMBS 39,261 (15,462) 31,028 308 (5,039) 26,297 0.9 % Non-Agency CMBS 336,816 (32,685) 304,131 48 (53,870) 250,309 5.3 % Total Non-Agency MBS 376,077 (48,147) 335,159 356 (58,909) 276,606 2.8 % Other securities (3) 76,482 (8,660) 77,258 — (29,847) 47,411 6.5 % Total $ 822,402 $ (39,484) $ 807,685 $ 28,749 $ (89,071) $ 754,645 2.8 % December 31, 2019 Principal Unamortized Discount Amortized Unrealized Unrealized Estimated Net Agency CMBS $ 1,347,929 $ 26,514 $ — $ 1,374,443 $ 66,832 $ (5,798) $ 1,435,477 3.4 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 3,092 0.4 % Subtotal Agency CMBS 1,347,929 26,514 — 1,374,443 66,832 (5,798) 1,438,569 3.1 % Agency RMBS 327,814 5,473 — 333,287 7,484 — 340,771 3.5 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A $ 8,661 $ 1,820 $ (138) $ 10,343 2.8 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,572 3.0 % Subtotal Agency RMBS 327,814 5,473 — 341,948 9,304 (138) 356,686 3.3 % Total Agency MBS 1,675,743 31,987 — 1,716,391 76,136 (5,936) 1,795,255 3.1 % Non-Agency RMBS 52,767 4,492 (20,256) 37,003 1,388 (260) 38,131 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 7,705 636 (658) 7,683 0.6 % Subtotal Non-Agency RMBS 52,767 4,492 (20,256) 44,708 2,024 (918) 45,814 1.0 % Non-Agency CMBS 354,458 (17,909) (22,016) 314,533 6,359 (4,873) 316,019 5.1 % Total Non-Agency MBS 407,225 (13,417) (42,272) 359,241 8,383 (5,791) 361,833 2.7 % Other securities (3) 71,896 (2,437) (6,203) 73,975 6,392 (206) 80,161 6.7 % Total $ 2,154,864 $ 16,133 $ (48,475) $ 2,149,607 $ 90,911 $ (11,933) $ 2,237,249 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 March 31, 2020, 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 $114.5 million, $420.8 million, $60.8 million and $158.6 million, respectively. At December 31, 2019, 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 $121.7 million, $442.4 million, $64.8 million, and $160.2 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 $9.4 million and $10.7 million, as of March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020 and December 31, 2019 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.4 years and 7.9 years, respectively. Prior to to the adoption of ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” on January 1, 2020, the Company recorded Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral of the beneficial interest deteriorates and or the scheduled payments are faster than previously projected. Accordingly, as of January 1, 2020, a credit loss adjustment, if any, would be reflected in the fair value of these securities and ar e no longer reported as OTTI in the Consolidated Statements of Operations. The following table presents the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three months ended March 31, 2019 (dollars in thousands): Three months ended March 31, 2019 Discount Designated as Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523) $ (29,465) $ 14,928 Accretion of discount — 1,277 — Amortization of premium — — (481) Realized credit losses 3,001 — — Purchases — — — Sales 2,694 — (523) Net impairment losses recognized in earnings (966) — — Transfers/release of credit reserve (2) (1,293) 556 737 Balance at end of period $ (50,087) $ (27,632) $ 14,661 (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 March 31, 2020 and December 31, 2019 (dollars in thousands) : March 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 68,875 $ 344,519 $ — $ — $ 413,394 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 2,792 2,792 Agency RMBS Interest-Only Strips 1,965 1,924 6,063 — 9,952 Agency RMBS Interest-Only Strips accounted for as derivatives 545 3,192 753 — 4,490 Subtotal Agency 71,385 349,635 6,816 2,792 430,628 Non-Agency CMBS 69,336 116,300 63,839 834 250,309 Non-Agency RMBS — — 7,732 13,391 21,123 Non-Agency RMBS Interest- Only Strips — — 744 4,430 5,174 Subtotal Non-Agency 69,336 116,300 72,315 18,655 276,606 Other securities 13,168 10,937 13,126 10,180 47,411 Total $ 153,889 $ 476,872 $ 92,257 $ 31,627 $ 754,645 December 31, 2019 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 973,189 $ 462,288 $ — $ — $ 1,435,477 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 3,092 3,092 Agency RMBS — — 340,771 — 340,771 Agency RMBS Interest-Only Strips 2,413 1,966 5,964 — 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives 669 3,893 1,010 — 5,572 Subtotal Agency 976,271 468,147 347,745 3,092 1,795,255 Non-Agency CMBS 89,782 125,282 92,610 8,345 316,019 Non-Agency RMBS — — 8,966 29,165 38,131 Non-Agency RMBS Interest- Only Strips — — 1,716 5,967 7,683 Subtotal Non-Agency 89,782 125,282 103,292 43,477 361,833 Other securities 25,824 31,823 2,768 19,746 80,161 Total $ 1,091,877 $ 625,252 $ 453,805 $ 66,315 $ 2,237,249 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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 731 $ (72) 3 $ 1,496 $ (243) 7 $ 2,227 $ (315) 10 Subtotal Agency 731 (72) 3 1,496 (243) 7 2,227 (315) 10 Non-Agency CMBS 218,447 (51,052) 40 17,146 (2,818) 5 235,593 (53,870) 45 Non-Agency RMBS 18,993 (2,978) 5 — — — 18,993 (2,978) 5 Non-Agency RMBS Interest-Only Strips 4,728 (2,061) 3 — — — 4,728 (2,061) 3 Subtotal Non-Agency 242,168 (56,091) 48 17,146 (2,818) 5 259,314 (58,909) 53 Other securities 47,411 (29,847) 16 — — — 47,411 (29,847) 16 Total $ 290,310 $ (86,010) 67 $ 18,642 $ (3,061) 12 $ 308,952 $ (89,071) 79 December 31, 2019 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency CMBS $ 214,084 $ (5,798) 16 $ — $ — — $ 214,084 $ (5,798) 16 Agency RMBS Interest-Only Strips 1,376 (43) 4 1,828 (95) 7 3,204 (138) 11 Subtotal Agency 215,460 (5,841) 20 1,828 (95) 7 217,288 (5,936) 27 Non-Agency CMBS 171,650 (4,302) 31 18,069 (571) 4 189,719 (4,873) 35 Non-Agency RMBS 13,214 (260) 1 — — — 13,214 (260) 1 Non-Agency RMBS Interest-Only Strips 1,716 (658) 1 — — — 1,716 (658) 1 Subtotal Non-Agency 186,580 (5,220) 33 18,069 (571) 4 204,649 (5,791) 37 Other securities 10,512 (206) 2 — — — 10,512 (206) 2 Total $ 412,552 $ (11,267) 55 $ 19,897 $ (666) 11 $ 432,449 $ (11,933) 66 The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended March 31, 2019 Agency RMBS (1) $ 25 Non-Agency CMBS 966 Non-Agency RMBS 241 Total $ 1,232 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable. The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ 10,923 $ (588) $ 10,335 $ 10,989 $ (56) $ 10,933 Agency RMBS 2,756 (842) 1,914 871 (655) 216 Non-Agency CMBS 4,797 968 5,765 3,111 924 4,035 Non-Agency RMBS 1,151 (641) 510 1,207 (477) 730 Other securities 2,805 (1,464) 1,341 2,889 (1,591) 1,298 Total $ 22,432 $ (2,567) $ 19,865 $ 19,067 $ (1,855) $ 17,212 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ 1,259,032 $ 94,307 $ (6,454) $ 87,853 $ 206,710 $ — $ (4,189) $ (4,189) Agency RMBS 391,436 10,420 (38) 10,382 — — — — Non-Agency CMBS 51,940 1 (8,802) (8,801) 9,000 — (829) (829) Non-Agency RMBS 12,702 — (16) (16) — — — — Other securities 17,746 113 — 113 — — — — Total $ 1,732,856 $ 104,841 $ (15,310) $ 89,531 $ 215,710 $ — $ (5,018) $ (5,018) 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. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of March 31, 2020 and December 31, 2019, the Company held eight and ten variable interests in unconsolidated CMBS VIEs, respectively, 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 March 31, 2020 and December 31, 2019, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $74.6 million and $117.7 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of March 31, 2020 and December 31, 2019, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.

Residential Whole-Loans and Bri

Residential Whole-Loans and Bridge Loans	3 Months Ended
	Mar. 31, 2020
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 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has 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. RMI 2015 Trust has issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $285.4 million and $209.9 million, respectively, on long-term financing facilities which automatically roll until such time as they are terminated or until certain conditions of default. The financing liability is 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. In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire Conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust, has 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 March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $155.5 million and $164.3 million, respectively, of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has 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 March 31, 2020 and December 31, 2019, the Company's trust certificate was financed with $23.3 million and $8.1 million, respectively, of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required the 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has 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 Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. In November 2019, the Company formed Revolving Mortgage Investment Trust 2019-RBR ("RBR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RBR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has 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 March 31, 2020 and December 31, 2019, the Company's trust certificate was financed with $91.4 million and $91.7 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Residential Bridge Loan Trust In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire 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 that the Company was the primary beneficiary because it was involved in the design of the trust, has 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 March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $26.5 million and $32.1 million, respectively, of repurchase agreement 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, at fair value" 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 five consolidated Residential Whole-Loan trusts collectively hold 3,534 Residential Whole Loans and the consolidated Bridge Loan Trust holds 51 Residential Bridge Loans and nine Residential Whole Loans as of March 31, 2020. The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 Cash and cash equivalents $ 4,542 $ 1,811 Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860 Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897 Investment related receivable 24,738 19,138 Interest receivable 8,517 7,840 Other assets 101 90 Total assets $ 1,375,264 $ 1,439,636 Securitized debt, net $ 742,297 $ 795,811 Interest payable 2,210 2,367 Accounts payable and accrued expenses 122 173 Total liabilities $ 744,629 $ 798,351 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, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three months ended March 31, 2020 and March 31, 2019. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of March 31, 2020 and December 31, 2019 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Principal balance $ 1,352,778 $ 1,325,443 $ 27,059 $ 34,041 $ 2,591 $ 3,155 Unamortized premium 30,983 28,588 52 79 3 6 Unamortized discount (2,662) (2,839) (7) (13) (10) (11) Amortized cost 1,381,099 1,351,192 27,104 34,107 2,584 3,150 Gross unrealized gains 227 26,363 3 10 N/A N/A Gross unrealized losses (71,531) (1,695) (1,057) (848) N/A N/A Fair value $ 1,309,795 $ 1,375,860 $ 26,050 $ 33,269 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 have low LTV's and are comprised of 2,963 Non-QM adjustable rate mortgages, 571 conforming fixed rate mortgages and nine investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Coupon 3.01 – 4.00% 52 $ 17,940 62.7 % 734 2.8 28.1 3.9 % 4.01– 5.00% 1,716 588,582 61.8 % 746 2.3 28.5 4.8 % 5.01 – 6.00% 1,707 723,264 62.2 % 736 2.6 28.1 5.4 % 6.01 – 7.00% 66 22,477 58.2 % 724 3.5 26.8 6.2 % 7.01 - 8.00% 2 515 73.2 % 753 4.0 28.4 7.1 % Total 3,543 $ 1,352,778 62.0 % 740 2.5 28.2 5.1 % (1) The original FICO score is not available for 282 loans with a principal balance of approximately $94.4 million at March 31, 2020. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Coupon 3.01 – 4.00% 53 $ 17,284 61.7 % 736 2.4 28.0 3.9 % 4.01– 5.00% 1,689 557,144 61.4 % 744 2.8 28.5 4.8 % 5.01 – 6.00% 1,682 713,397 62.0 % 736 3.0 28.3 5.4 % 6.01 – 7.00% 103 37,102 54.1 % 727 3.8 25.3 6.2 % 7.01 - 8.00% 2 516 73.2 % 753 4.7 28.6 7.1 % Total 3,529 $ 1,325,443 61.5 % 739 3.0 28.3 5.2 % (1) The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): March 31, 2020 December 31, 2019 State State Concentration Principal Balance State State Concentration Principal Balance California 66.5 % $ 899,344 California 66.1 % $ 875,738 New York 15.9 % 214,658 New York 16.2 % 214,141 Georgia 3.1 % 42,506 Georgia 3.4 % 45,189 Florida 2.8 % 38,154 Florida 2.8 % 36,641 New Jersey 2.2 % 29,367 New Jersey 2.3 % 30,450 Other 9.5 % 128,749 Other 9.2 % 123,284 Total 100.0 % $ 1,352,778 Total 100.0 % $ 1,325,443 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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 c Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01 – 9.00% 26 $ 17,823 67.4 % 4.1 8.4 % 9.01 – 11.00% 22 8,711 75.2 % 4.3 10.2 % 11.01 – 13.00% 6 2,167 64.3 % 2.0 11.7 % 17.01 – 19.00% 2 949 75.0 % 0.0 18.0 % Total 56 $ 29,650 69.7 % 4.1 9.5 % December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 9.01 – 11.00% 36 $ 22,409 70.2 % 5.8 8.4 % 11.01 – 13.00% 28 9,972 74.0 % 5.6 10.1 % 13.01 – 15.00% 9 2,741 63.1 % 2.0 11.7 % 15.01 – 17.00% 1 1,125 75.0 % 0.0 13.5 % 17.01 – 19.00% 2 949 75.0 % 0.0 18.0 % Total 76 37,196 71.0 % 5.6 9.5 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): March 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 49.2 % $ 14,598 California 50.4 % $ 18,763 New York 14.6 % 4,323 Washington 13.1 % 4,863 Washington 12.6 % 3,748 New York 12.1 % 4,518 Florida 10.5 % 3,128 Florida 8.9 % 3,296 New Jersey 3.4 % 1,004 New Jersey 3.8 % 1,424 Other 9.7 % 2,849 Other 11.7 % 4,332 Total 100.0 % $ 29,650 Total 100.0 % $ 37,196 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current 3,462 $ 1,313,975 $ 1,272,791 20 $ 13,124 $ 13,071 1-30 days 53 22,403 21,522 8 4,154 4,095 31-60 days 11 5,559 5,357 5 2,468 2,427 61-90 days 4 3,779 3,550 2 973 926 90+ days 13 7,062 6,575 21 8,931 8,115 Total 3,543 $ 1,352,778 $ 1,309,795 56 $ 29,650 $ 28,634 (1) Includes $2.6 million loans carried at amortized cost. COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment. As a result, the Company expects some of its Residential Whole Loan borrowers will experience financial hardship, making it difficult to meet their payment obligations to the Company, leading to requests for forbearance and higher levels of delinquency and potentially defaults. The Company maintains a strong relationship with its servicers and has utilized these relationships to address the potential impacts of COVID-19 pandemic on the Company's Non-QM loans. As of April 30, 2020, the Company had 265 Non-QM loans in forbearance. Residential Whole Loans As of March 31, 2020, there were 13 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of $6.6 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.3%. As of December 31, 2019, there were 12 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of approximately $6.7 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.1%. No allowance for credit losses or credit loss expense was recorded as of and for the three months ended March 31, 2020 and March 31, 2019, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of March 31, 2020, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $124 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $8.8 million and a fair value of $8.0 million. These nonperforming loans represent approximately 30.1% of the total outstanding Bridge Loans principal balance of $29.7 million. These loans are collateral dependent with a weighted average original LTV of 70.9%. As of December 31, 2019, there were 27 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $12.1 million and a fair value of $11.4 million. These nonperforming loans represented approximately 32.6 % of the total outstanding Bridge Loans principal balance of $37.2 million. These loans are collateral dependent with a weighted average original LTV of 72.1%. The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of and for the three months ended March 31, 2020 and March 31, 2019 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. For loans carried at fair value, no allowance for credit losses or credit loss expense was recorded as of and for the three months ended March 31, 2020 and March 31, 2019 since the adjustment for credit losses, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent. As of March 31, 2020, the Company had real estate owned ("REO") properties with an aggregate carrying value of $2.9 million related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other assets" in the Consolidated Balance Sheets.

Commercial Loans

Commercial Loans	3 Months Ended
	Mar. 31, 2020
Noncontrolling Interest [Abstract]
Commercial Loans	Commercial Loans Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At March 31, 2020, the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2019-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 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 $13.4 million and a fair value of $13.3 million at March 31, 2020. The Company determined that CMSC Trust was a VIE and that the Company was 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 investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $23.9 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $23.9 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt. RETL 2019-RVP RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the 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. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 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 $519.7 million as of March 31, 2020. The loan's stated maturity date is March 15, 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 2.30%. MRCD 2019-PRKC Mortgage Trust In December 2019, the Company acquired a $161.4 million interest in the trust certificates issued by the MRCD 2019-PRKC Mortgage Trust ("MRCD Trust"), including $10.5 million which represents the initial controlling class (HRR class). The Company determined that MRCD Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company owns the controlling class. As the primary beneficiary, the Company consolidated MRCD Trust and its investment in the trust certificates (HRR class and a portion of the A class) of MRCD Trust were eliminated in the consolidation. On March 24, 2020, the Company sold its investments in the A Class certificates of the MRCD Trust. Shortly after the sale, the Company entered into an agreement to irrevocably assign the controlling rights and appointed one of the buyers as the new Directing Holder. As a result, the assets and liabilities of the MRCD Trust were deconsolidated, since the Company no longer has the power to direct the activities that significantly impact the economic performance of the MRCD Trust. MRCD qualified as a CFE under GAAP and the Company measured both the financial assets and financial liabilities using the fair value of the financial liabilities, since it was more observable. The Company recognized an unrealized loss of $43.7 million in earnings, related to the periodic change in fair value of MRCD's assets and liabilities in March 2020 and prior to deconsolidation. Also, the Company retained the HRR certificates, which were measured at fair value at the date of deconsolidation and is included in the "Non-Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, and WMC CRE Mezzanine Loan Subsidiary LCC ("CRE Mezz"), a wholly-owned subsidiary of CRE LLC, were formed for the purpose of acquiring commercial loans. The following table presents the commercial loans held by CRE LLC and CRE Mezz as of March 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 2 June 2018 Interest-Only First Mortgage 30,000 28,779 65% 1-Month LIBOR plus 4.5% 6/9/2020 One-Year Extension Hotel CRE 4 June 2019 Principal & Interest First Mortgage 50,000 48,665 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities CRE 5 August 2019 Interest-Only Mezzanine loan 90,000 85,763 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail CRE 6 September 2019 Interest-Only First Mortgage 40,000 38,402 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail CRE 7 December 2019 Interest-Only First Mortgage 24,535 23,251 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CRE 8 December 2019 Interest-Only First Mortgage 13,207 12,516 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CRE 9 December 2019 Interest-Only First Mortgage 7,259 6,879 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CRE 10 December 2019 Interest-Only First Mortgage 4,425 4,369 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 259,426 $ 248,624 Commercial Loan Trust In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly-owned RSBC Trust was a VIE and that the Company was 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 March 31, 2020, the Company financed the trust certificate with $47.5 million of repurchase agreements, which is a liability held outside the trust. The following table presents the commercial real estate loans held by RSBC Trust as of March 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 44,314 74% One-Month LIBOR plus 4.25% (1) 7/1/2020 Two One-Year Extensions Nursing Facilities SBC 4 January 2019 Interest-Only First Mortgage 13,600 13,275 84% One-Month LIBOR plus 4.0% (2) 12/1/2021 One-Year Extension Apartment Complex SBC 5 January 2019 Interest-Only First Mortgage 14,362 14,095 49% One-Month LIBOR plus 4.1% 7/1/2021 None Nursing Facilities $ 73,150 $ 71,684 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2%. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated trusts, CMSC Trust, RETL 2019 Trust and RSBC Trust collectively hold five commercial loans as of March 31, 2020. The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 33,229 52,948 Securitized commercial loans, at fair value 477,131 909,040 Commercial Loans, at fair value 71,684 90,788 Interest receivable 1,709 2,989 Total assets $ 583,753 $ 1,061,543 Securitized debt, at fair value $ 396,824 $ 681,643 Interest payable 1,005 1,519 Accounts payable and accrued expenses 6 12 Other liabilities 33,229 52,948 Total liabilities $ 431,064 $ 736,122 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 months ended March 31, 2020 and March 31, 2019. The following table presents the components of the carrying value of the commercial real estate loans as of March 31, 2020 and December 31, 2019 (dollars in thousands): CMSC Trust Securitized Commercial Loan, RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Principal balance $ 23,943 $ 24,048 $ 519,735 $ 674,331 $ 73,150 $ 90,788 $ 259,426 $ 279,425 Unamortized premium — — 1,189 1,836 — — — — Unamortized discount — — — — (110) (215) (203) (294) Amortized cost 23,943 24,048 520,924 676,167 73,040 90,573 259,223 279,131 Gross unrealized gains — 9 — 269 — 215 — 294 Gross unrealized losses (147) — (67,589) — (1,356) — (10,599) — Fair value $ 23,796 $ 24,057 $ 453,335 $ 676,436 $ 71,684 $ 90,788 $ 248,624 $ 279,425 Non-Performing Commercial Loans The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 11 $ 332,576 $ 320,308 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days — — — Total 11 $ 332,576 $ 320,308

Financings

Financings	3 Months Ended
	Mar. 31, 2020
Debt Disclosure [Abstract]
Financings	Financings Repurchase Agreements The Company has primarily financed 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 six months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. The market disruptions surrounding COVID-19 resulted in the decline of our asset values making, it challenging to obtain repurchase agreement financing with favorable terms or at all. The Company's repurchase agreement counterparties have increased borrowing rates and increased haircuts. The Company expects to continue to expand and diversify its financing sources as an alternative to short term repurchase agreements with daily margin requirements, reducing its exposure to margin volatility. 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 the reporting period ended March 31, 2020, the Company breached certain financial statement covenants in repurchase agreements with two counterparties with borrowings outstanding as of May 5, 2020. Both counterparties have waived the breaches until August 1, 2020. In addition, the Company would have been in breach of certain covenants in another seven repurchase agreements with borrowings outstanding as of March 31, 2020, but with respect to those seven agreements, the Company has either modified the covenants or paid off the repurchase agreement borrowings in full. As of March 31, 2020, the Company had borrowings under 19 of its master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 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) Short Term Borrowings: Agency CMBS $ 437,577 1.38 % 27 $ 1,352,248 2.05 % 26 Agency RMBS 11,852 2.35 % 21 348,274 1.99 % 52 Non-Agency CMBS 214,972 3.04 % 24 190,390 3.05 % 35 Non-Agency RMBS 20,148 3.09 % 8 30,481 3.56 % 9 Residential Whole Loans (1) 272,458 2.99 % 129 266,294 3.14 % 202 Residential Bridge Loans (1) 24,222 3.79 % 28 29,869 3.93 % 28 Commercial Loans (1) 47,547 3.90 % 28 62,746 4.04 % 28 Securitized commercial loans (1) 32,803 2.76 % 29 116,087 3.93 % 49 Other securities 53,244 3.15 % 28 56,762 3.23 % 34 Subtotal 1,114,823 2.42 % 51 2,453,151 2.44 % 51 Long Term Borrowings: Residential Whole Loans (1) (2) 285,409 2.67 % 1004 209,878 3.55 % 1358 Commercial Loans (2) 153,549 2.73 % 503 161,848 3.88 % 590 Subtotal 438,958 2.70 % 829 371,726 3.70 % 1024 Repurchase agreements borrowings $ 1,553,781 2.50 % 271 $ 2,824,877 2.61 % 179 Less unamortized debt issuance costs 66 N/A N/A 76 N/A N/A Repurchase agreements borrowings, net $ 1,553,715 2.50 % 271 $ 2,824,801 2.61 % 179 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. (2) Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $200.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral. At March 31, 2020 and December 31, 2019, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) March 31, 2020 December 31, 2019 1 to 29 days 695,385 1,480,286 30 to 59 days 244,810 552,786 60 to 89 days 37,699 255,814 Greater than or equal to 90 days 575,887 535,991 Total $ 1,553,781 $ 2,824,877 At March 31, 2020, 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): March 31, 2020 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 143,835 782 78.9 % Barclays Capital Inc. 42,491 24 23.3 % Nomura Securities International, Inc. 31,848 28 17.5 % JP Morgan Securities LLC 29,526 23 16.2 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 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 CMBS, at fair value $ 457,400 $ 1,036 $ 458,436 $ 1,400,230 $ 3,916 $ 1,404,146 Agency RMBS, at fair value 14,442 354 14,796 356,687 1,336 358,023 Non-Agency CMBS, at fair value 239,351 1,085 240,436 246,797 951 247,748 Non-Agency RMBS, at fair value 26,296 336 26,632 45,816 414 46,230 Residential Whole Loans, at fair value (1) 576,769 4,732 581,501 529,495 3,704 533,199 Residential Bridge Loans (1) 27,571 359 27,930 34,897 471 35,368 Commercial Loans, at fair value (1) 320,308 1,723 322,031 350,213 1,855 352,068 Securitized commercial loans, at fair value (1) 39,649 127 39,776 171,640 674 172,314 Other securities, at fair value 47,307 136 47,443 80,031 128 80,159 Cash (2) 90,540 — 90,540 43,499 — 43,499 Total $ 1,839,633 $ 9,888 $ 1,849,521 $ 3,259,305 $ 13,449 $ 3,272,754 (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 March 31, 2020 and December 31, 2019, investments held by counterparties as security for repurchase agreements totaled approximately $1.7 billion and $3.2 billion, respectively. Cash collateral held by counterparties at March 31, 2020 and December 31, 2019 was approximately $90.5 million and $43.5 million, respectively. Cash posted by repurchase agreement counterparties at March 31, 2020 and December 31, 2019, was approximately $8.6 million and $709 thousand, respectively. In addition, at March 31, 2020 and December 31, 2019, the Company held securities with a fair value of $1.8 million and $0, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties. Convertible Senior Unsecured Notes At March 31, 2020, the Company had $205.0 million aggregate principal amount of 6.75% convertible senior unsecured notes outstanding through three issuances. Interest on the notes is paid semiannually. 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. 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 us except during the final three months prior to maturity. Securitized Debt CMSC Trust 2015 - Longhouse MZ CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding principal balance of the trust certificates was $23.9 million at March 31, 2020, with a fair value of $23.8 million. The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." The Company owns $13.4 million of the trust certificates which was eliminated in consolidation and the remaining $10.5 million is held by related parties and is carried at a fair value of $10.5 million and recorded in "Securitized debt, net" in the Consolidated Balance Sheets. The securitized debt of the CMSC Trust can only be settled with the commercial loan, with an outstanding principal balance of $23.9 million at March 31, 2020, that serves as collateral for the securitized debt and is non-recourse to the Company. RETL 2019 Trust The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at March 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 64,835 1.9% $ 59,246 3/15/2021 Class B 101,200 2.3% 87,781 3/15/2021 Class C 308,400 2.8% 265,490 3/15/2021 Class HRR 45,300 9.2% 40,658 3/15/2021 Class X-CP (1) N/A 2.8% 130 4/15/2020 Class X-EXT (1) N/A N/A 31 3/15/2021 $ 519,735 $ 453,336 (1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each. At March 31, 2020, the Company owned some of the class C certificates with a fair value $26.3 million and the entire class of HRR certificates principal, which are eliminated in consolidation and the remaining RETL debt with a fair value of $386.4 million is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $443.9 million, excluding the interest-only debt securities, $49.6 million is owned by related parties and $394.2 million is owned by third parties. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan with an outstanding principal balance of approximately $519.7 million at March 31, 2020, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." Arroyo Trust In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at March 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 634,467 3.3% $ 634,464 4/25/2049 Class A-2 33,996 3.5% 33,995 4/25/2049 Class A-3 53,859 3.8% 53,857 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 747,377 $ 747,371 Less: Unamortized Deferred Financing Costs N/A 5,074 Total $ 747,377 $ 742,297

Derivative Instruments

Derivative Instruments	3 Months Ended
	Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments On March 3, 2020, the Federal Open Market Committee reduced the target federal funds rate by 50 basis points to 1.00% to 1.25%. This rate was further reduced to a target range of 0.0% to 0.25% on March 16, 2020. These reductions in interest rates and other effects of the COVID-19 outbreak caused volatility in interest rates. As a result, we received significant margin calls on our interest rate swap positions. In this very low interest rate environment the Company's interest rate swaps were no longer effective. In March 2020, the Company terminated fixed-pay interest rate swaps with a notional value of approximately $3.1 billion and variable-pay interest rate with a notional value of approximately $1.9 billion to reduce hedging costs and associated margin volatility. The Company’s derivatives may include interest rate swaps, swaptions, 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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 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 $ — $ — $ 2,701,000 $ 3,017 Swaptions, asset Non-Hedge Derivative assets, at fair value 50,000 195 — — Credit default swaps, asset Non-Hedge Derivative assets, at fair value 47,260 15,557 60,100 948 TBA securities, asset Non-Hedge Derivative assets, at fair value 778,200 17,923 1,000,000 1,146 Total derivative instruments, assets 33,675 5,111 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 1,255,000 (501) Swaptions, liability Non-Hedge Derivative liability, at fair value 255,000 (14) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 97,260 (22,106) 90,900 (3,795) TBA securities, liability Non-Hedge Derivative liability, at fair value 778,200 (21,847) 1,000,000 (2,074) Total derivative instruments, liabilities (43,967) (6,370) Total derivative instruments, net $ (10,292) $ (1,259) 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 months ended March 31, 2020 and March 31, 2019 (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 March 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions — — — 181 — 181 Interest-Only Strips— accounted for as derivatives — — (545) (839) 636 (748) Credit default swaps (1,315) — — (2,638) — (3,953) TBAs 1,494 — — (2,996) — (1,502) Total $ (83) $ (179,759) $ (283) $ (8,807) $ (759) $ (189,691) Three months ended March 31, 2019 Interest rate swaps $ (3) $ (37,838) $ 1,528 $ 7,090 $ 2,755 $ (26,468) Interest-Only Strips— accounted for as derivatives — — (595) (59) 784 130 Futures contracts (4,503) — — 4,657 — 154 Credit default swap (589) — — (375) — (964) Total $ (5,095) $ (37,838) $ 933 $ 11,313 $ 3,539 $ (27,148) At March 31, 2020 and December 31, 2019, the Company had cash pledged as collateral for derivatives of approximately $27.1 million and $55.4 million, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company received cash of approximately $16.3 million and $0 as collateral against derivatives at March 31, 2020 and December 31, 2019, 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. The Company generally enters into 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 Company did not have any interest rate swaps in its holdings at March 31, 2020. The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2019 (dollars in thousands): December 31, 2019 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) 1 year or less $ 200,000 1.8 % 1.9 % 0.4 Greater than 3 years and less than 5 years 622,400 2.6 % 1.9 % 4.1 Greater than 5 years 1,728,600 2.1 % 2.0 % 8.9 Total $ 2,551,000 2.2 % 2.0 % 7.1 December 31, 2019 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Average Fixed Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 810,000 2.0 % 2.0 % 1.6 Greater than 3 years and less than 5 years 550,000 1.9 % 1.6 % 5.0 Greater than 5 years 45,000 1.9 % 2.3 % 19.5 Total $ 1,405,000 2.0 % 1.9 % 3.5 Interest Rate Swaptions The following table summarizes the swaptions held by the Company as of March 31, 2020 (dollars in thousands): March 31, 2020 Options Underlying-Swap Fixed Pay Rate for Underlying Swap Fair Value Weighted Average Months Until Option Expiration Notional Amount Weighted Average Swap Term (Years) 1.76 - 2.00% $ 195 4 $ 50,000 30.0 Total $ 195 4 $ 50,000 30.0 March 31, 2020 Options Underlying-Swap Variable Pay Rate for Underlying Swap Fair Value Weighted Average Months Until Option Expiration Notional Amount Weighted Average Swap Term (Years) 1.26 - 1.50% $ (14) 4 $ 255,000 5.0 Total $ (14) 4 $ 255,000 5.0 As of December 31, 2019 , the Company did not have any swaptions in its derivative holdings. Futures Contracts From time to time, the Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of March 31, 2020 and December 31, 2019, the Company had no open futures contracts. To-Be-Announced Securities The Company purchased or sold TBAs during the three months ended March 31, 2020 and the year ended December 31, 2019.The following is a summary of the Company's TBA positions as of March 31, 2020 and December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): March 31, 2020 December 31, 2019 Notional Fair Notional Fair Purchase contracts, asset $ 778,200 $ 17,923 $ 1,000,000 $ 1,146 Sale contracts, liability (778,200) (21,847) (1,000,000) (2,074) TBA securities, net $ — $ (3,924) $ — $ (928) The following table presents additional information about the Company's contracts to purchase and sell TBAs for the three months ended March 31, 2020 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2019 Additions Expiration or Exercise March 31, 2020 Purchase of TBAs $ 1,000,000 $ 4,478,800 $ (4,700,600) $ 778,200 Sale of TBAs $ 1,000,000 $ 4,478,800 $ (4,700,600) $ 778,200 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 an 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

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets and Receivable under Reverse Repurchase Agreements Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 7,282 $ — $ 7,282 $ (7,282) $ — $ — Derivative asset, at fair value 33,675 — 33,675 (18,429) (14,809) 437 Receivable under reverse repurchase agreements 24,826 — 24,826 (20,767) — 4,059 Total assets $ 65,783 $ — $ 65,783 $ (46,478) $ (14,809) $ 4,496 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 43,967 $ — $ 43,967 $ (18,429) $ (25,538) $ — Repurchase Agreements (3) 1,553,715 — 1,553,715 (1,534,454) (13,162) 6,099 Total liabilities $ 1,597,682 $ — $ 1,597,682 $ (1,552,883) $ (38,700) $ 6,099 (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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020. December 31, 2019 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 8,665 $ — $ 8,665 $ (8,665) $ — $ — Derivative asset, at fair value (2) 5,111 — 5,111 (2,576) — 2,535 Total derivative assets $ 13,776 $ — $ 13,776 $ (11,241) $ — $ 2,535 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 6,370 $ — $ 6,370 $ (2,576) $ (2,819) $ 975 Repurchase Agreements (4) 2,824,801 — 2,824,801 (2,824,801) — — Total derivative liability $ 2,831,171 $ — $ 2,831,171 $ (2,827,377) $ (2,819) $ 975 (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, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.4 million as of December 31, 2019. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.2 billion as of December 31, 2019. 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	3 Months Ended
	Mar. 31, 2020
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 stockholders' 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 chief financial officer, 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, 2020. It is automatically renewed for one 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 March 31, 2020 and March 31, 2019, the Company incurred approximately $1.0 million and approximately $1.7 million in management fees, respectively. The Manager waived the management fee for March 2020 and April 2020 because of the unprecedented market disruption and dislocation across fixed income markets surrounding the uncertainty related to the COVID-19 pandemic. Future waivers, if any, will be at the Manager's discretion.

Share-Based Payments

Share-Based Payments	3 Months Ended
	Mar. 31, 2020
Share-based Payment Arrangement, Noncash Expense [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. Upon the completion of the Company's most recent secondary public offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,582,594. Approximately 895,177 shares have been issued under the Equity Plans with 687,417 shares available for issuance, as of March 31, 2020. Under the Equity Plan, the Company made the following grants during the three months ended March 31, 2020 and the year ended December 31, 2019: On March 28, 2019, the Company granted 108,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares vested on March 28, 2020, one-third will vest on March 28, 2021 and the remaining one-third will vest on March 28, 2022. On June 6, 2019, the Company granted a total of 28,780 shares (7,195 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 6, 2020, 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 three months ended March 31, 2020 and March 31, 2019, 36,000 and zero 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 $165 thousand and approximately $70 thousand for the three months ended March 31, 2020 and March 31, 2019, respectively. In addition, the Company had unamortized compensation expense of $803 thousand and $968 thousand for equity awards at March 31, 2020 and December 31, 2019, 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 Director Deferred Fee 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 March 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2020 December 31, 2019 Vesting Date Shares Vesting Shares Vesting March 2020 — 36,000 June 2020 31,480 30,592 March 2021 36,000 36,000 March 2022 36,000 36,000 103,480 138,592 The following table presents information with respect to the Company’s restricted stock for the three months ended March 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2020 March 31, 2019 Shares of Weighted Average Grant Date Fair Value (1) Shares of Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 894,289 $ 15.76 753,973 $ 16.77 Granted (2) 888 10.67 108,888 10.50 Cancelled/forfeited — — — — Outstanding at end of period 895,177 15.75 862,861 15.98 Unvested at end of period 103,480 $ 10.29 136,364 $ 10.56 (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) Includes 888 and 888 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the three months ended March 31, 2020 and March 31, 2019, respectively.

Stockholders' Equity

Stockholders' Equity	3 Months Ended
	Mar. 31, 2020
Stockholders' Equity Note [Abstract]
Stockholders' Equity	Stockholders’ Equity 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 shares of common stock in an At-The-Market equity offering. The Company did not sell any shares under this agreement during the three months ended March 31, 2020. Stock Repurchase Program On December 19, 2019, the Board of Directors of the Company reauthorized its repurchase program of up to 2,700,000 shares of its common stock through December 31, 2021. The previous reauthorization announced on December 21, 2017 of the Company's repurchase program of up to 2,100,000 shares of its common stock expired on December 31, 2019. 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. During the three months ended March 31, 2020, the Company repurchased 100,000 shares of common stock pursuant to the authorization. The repurchased stock was not retired and will be accounted for as treasury stock. Dividends To preserve liquidity, the Company announced on March 27, 2020 that it was suspending its first quarter common stock dividend given extraordinary market volatility driven by uncertainty surrounding the COVID-19 pandemic. 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 2020 March 27, 2020 N/A N/A $ — N/A 2019 December 19, 2019 December 30, 2019 January 24, 2020 $ 0.31 Ordinary income September 19, 2019 September 30, 2019 October 25, 2019 $ 0.31 Ordinary income June 20, 2019 July 1, 2019 July 26, 2019 $ 0.31 Ordinary income March 21, 2019 April 1, 2019 April 26, 2019 $ 0.31 Ordinary income

Net Income per Common Share

Net Income per Common Share	3 Months Ended
	Mar. 31, 2020
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 months ended March 31, 2020 and March 31, 2019 (dollars, other than shares and per share amounts, in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (381,857) $ 27,876 Less: Dividends and undistributed earnings allocated to participating securities — 70 Net income (loss) allocable to common stockholders — basic and diluted $ (381,857) $ 27,806 Denominator : Weighted average common shares outstanding for basic earnings per share 53,402,623 48,116,379 Weighted average common shares outstanding for diluted earnings per share 53,402,623 48,116,379 Basic earnings (loss) per common share $ (7.15) $ 0.58 Diluted earnings (loss) per common share $ (7.15) $ 0.58 For the three months ended March 31, 2020 and March 31, 2019, the Company excluded the effects of 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 convertible senior unsecured notes. For the three months ended March 31, 2019, the Company excluded the effects of the warrants from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants.

Income Taxes

Income Taxes	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020. The Company files U.S. federal and state income tax returns. As of March 31, 2020, U.S. federal tax returns filed by the Company for 2018, 2017 and 2016 and state tax returns filed for 2018, 2017, 2016 and 2015 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 March 31, 2020 and March 31, 2019, the Company recorded a federal and state tax benefit of $93 thousand and tax provision of $12 thousand, respectively, which is recorded in "Income tax (benefit) provision" in the Consolidated Statements of Operations. Deferred Tax Asset As of March 31, 2020 and December 31, 2019, the Company recorded a deferred tax asset of approximately $10.6 million and $8.5 million, respectively, 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 $10.6 million and $8.5 million as of March 31, 2020 and December 31, 2019, respectively. In addition, the REIT generated net operating losses ("NOLs") during the three months ended March 31, 2020 and 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 also generated NOLs during the three months ended March 31, 2020. The Company recorded a deferred tax asset relating to the NOLs of $23.4 million and $6.0 million in the REIT and $8.8 million and $1.3 million in the TRS as of March 31, 2020 and December 31, 2019, respectively. The TRS can carryback the NOLs generated during the three months ended March 31, 2020 to each of the five preceding years and the NOLs generated during the year ended December 31, 2017 can be carried back to each of the two preceding years to request a refund for taxes paid. As of March 31, 2020 and December 31, 2019, 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 $32.2 million and $6.9 million, respectively. The Company also recorded a deferred federal tax liability of $85 thousand as of December 31, 2019 in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. The state tax refund was received during the three months ended March 31, 2020. 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).

Contingencies

Contingencies	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Financing Arrangements On April 21, 2020, Western Asset Mortgage Capital Corporation (the “Company”) entered into amendments with respect to certain of its loan warehouse facilities. These amendments mainly served to convert an existing residential whole loan facility into a term facility by removing any mark to market margin requirements, and to consolidate the Company’s Non-Qualified Mortgage loans, which were previously financed by three separate, unaffiliated counterparties, into a single facility. The target advance rate under the amended and restated facility will be approximately 84% of the aggregate unpaid principal balance of the loans. The term of the facility is 18 months from the date of the amendment and all principal payments and income generated by the loans during the term of the facility will be used to incrementally repay all obligations thereunder. Upon the securitization or sale by the Company of any whole loan subject to this amended and restated facility, the counterparty will be entitled to receive an exit fee of 0.50% as well as 30% of all realized and projected cash flow on any whole loans above such counterparty’s amortized basis. The counterparty will have full recourse to the Company and any relevant subsidiary for obligations incurred under this amended and restated whole loan facility. Amendments were also effected to the existing residential whole loan facility and two other facilities held by the same counterparty group to provide such group with cross-collateralization and cross-default benefits across these three facilities. Upon any default, income from loans sold under any of these three facilities will be applied to repay obligations incurred under all three facilities, in an agreed-upon order of priority. The amendments also provide for a uniform set of financial covenants with respect to equity, leverage and liquidity requirements across the three facilities held by this counterparty group. The Company’s aggregate borrowings from this counterparty group with respect to its residential whole loans are approximately $385 million and the market value of such loans is approximately $430 million. On May 4, 2020, the Company supplemented one of its existing securities repurchase facilities to confirm terms pursuant to which it will consolidate most of its CMBS and RMBS assets, which are currently financed by multiple counterparties, into a single term facility with limited mark to market margin requirements, as described below. Pursuant to this confirmation, a margin deficit will not occur until such time as the loan to value ratio surpasses a certain threshold (the “LTV Trigger”), on a weighted average basis per asset type, calculated on a portfolio level. If this threshold is reached, the Company may elect to provide cash margin or sell certain assets to the extent necessary to lower the ratio. The term of this facility is 12 months, subject to extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility will be paid to the Company no less often than monthly, with a price differential based on three-month LIBOR plus 5.00% payable to the counterparty quarterly in arrears. Half of all income generated by principal repayments on the underlying assets will be applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all principal payments will be applied to repay the obligations. The counterparty has a right of first refusal upon any repurchase by the Company of any asset subject to this confirmation, provided the Company may request the counterparty to solicit third party dealer bids with respect to such sale. All asset sale proceeds less 50% of any excess proceeds over the counterparty’s amortized basis will be applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all asset sale proceeds will be applied to repay the obligations. Customary bank financing breakage fees are also payable upon the sale of the underlying assets. The confirmation also provides for a certain minimum level of shareholders’ equity and cash, respectively. The aggregate financing provided by the counterparty with respect to the assets covered under this confirmation is approximately $108.8 million and the market value of such assets is approximately $182.7 million. Investment and Leverage As of April 30, 2020, the Company further reduced repurchase agreement financings by selling approximately $370.3 million Agency MBS, $65.3 million in Non-Agency MBS, $148.6 million in conforming whole loans, and $18.2 million in other securities.

Basis of Presentation and Sum_2

Basis of Presentation and Summary of Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2020
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. 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 March 31, 2020, 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, 2019, filed with the SEC on March 6, 2020. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries 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.
Recently adopted accounting pronouncements	Recently adopted accounting pronouncements Description Adoption 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. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." The amendments in this update clarify or address stakeholders' specific issues about certain aspects of the amendments in Update 2016-13. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326)." The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this Update clarify the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. First quarter 2021. The Company is evaluating the impact this In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this Update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. March 12, 2020 through December 31, 2022 The Company is evaluating the impact this

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	3 Months Ended
	Mar. 31, 2020
Fair Value Disclosures [Abstract]
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 March 31, 2020 and December 31, 2019, based upon the valuation hierarchy (dollars in thousands): March 31, 2020 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 413,394 $ — $ 413,394 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 2,792 — 2,792 Agency RMBS Interest-Only Strips — — 9,952 9,952 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 4,490 4,490 Subtotal Agency MBS — 416,186 14,442 430,628 Non-Agency CMBS — 243,444 6,865 250,309 Non-Agency RMBS — — 21,123 21,123 Non-Agency RMBS Interest-Only Strips — — 5,174 5,174 Subtotal Non-Agency MBS — 243,444 33,162 276,606 Other securities — 40,040 7,371 47,411 Total mortgage-backed securities and other securities — 699,670 54,975 754,645 Residential Whole Loans — — 1,309,795 1,309,795 Residential Bridge Loans — — 26,050 26,050 Securitized commercial loans — — 477,131 477,131 Commercial Loans — — 320,308 320,308 Derivative assets — 33,675 — 33,675 Total Assets $ — $ 733,345 $ 2,188,259 $ 2,921,604 Liabilities Derivative liabilities $ — $ 43,967 $ — $ 43,967 Securitized debt — 396,663 161 396,824 Total Liabilities $ — $ 440,630 $ 161 $ 440,791 December 31, 2019 Fair Value Level I Level II Level III Total Assets Agency CMBS $ — $ 1,435,477 $ — $ 1,435,477 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 3,092 — 3,092 Agency RMBS — 340,771 — 340,771 Agency RMBS Interest-Only Strips — — 10,343 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 5,572 5,572 Subtotal Agency MBS — 1,779,340 15,915 1,795,255 Non-Agency CMBS — 316,019 — 316,019 Non-Agency RMBS — — 38,131 38,131 Non-Agency RMBS Interest-Only Strips — — 7,683 7,683 Subtotal Non-Agency MBS — 316,019 45,814 361,833 Other securities — 62,965 17,196 80,161 Total mortgage-backed securities and other securities — 2,158,324 78,925 2,237,249 Residential Whole Loans — — 1,375,860 1,375,860 Residential Bridge Loans — — 33,269 33,269 Securitized commercial loan — — 370,213 370,213 Commercial Loans — — 909,040 909,040 Derivative assets — 5,111 — 5,111 Total Assets $ — $ 2,163,435 $ 2,767,307 $ 4,930,742 Liabilities Derivative liabilities $ — $ 6,370 $ — $ 6,370 Securitized debt — 680,586 1,057 681,643 Total Liabilities $ — $ 686,956 $ 1,057 $ 688,013
Summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments	The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of March 31, 2020 and December 31, 2019 (dollars in thousands): Fair Value at Range March 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,161,199 Discounted Cash Flow Yield 4.7 % 8.9 % 6.6 % Weighted Average Life 1.2 6.6 2.5 Residential Bridge Loans 26,050 Discounted Cash Flow Yield 8.5 % 26.3 % (1) 11.6 % Weighted Average Life 0.2 1.8 0.8 Commercial Loans 320,308 Discounted Cash Flow Yield 6.5 % 14.9 % 9.4 % Weighted Average Life 1.2 2.7 1.4 Fair Value at Range December 31, 2019 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,200,566 Discounted Cash Flow Yield 3.4 % 7.0 % 3.7 % Weighted Average Life 1.4 7.8 3.0 Residential Bridge Loans 33,269 Discounted Cash Flow Yield 7.5 % 27.0 % (1) 9.8 % Weighted Average Life 0.3 1.8 0.8 Commercial Loans 370,213 Discounted Cash Flow Yield 4.7 % 10.9 % 7.5 % Weighted Average Life 0.4 2.9 1.6 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%. (2) As of March 31, 2020, excludes $148.6 million of conforming residential whole loans, which were valued based on prices from a pool of conformning residential loans that traded in April 2020 . As of December 31, 2019, excludes $175.3 million of Conforming Residential Whole Loans, which were valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of December 31, 2019, the TBA prices used for valuing the conforming loans range from
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 March 31, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 111,486 — — — — Sales and settlements — (12,702) — — — — — — Transfers to REO — — — — (489) — — — VIE deconsolidation — 6,852 — — — — (150,804) — Principal repayments — (320) (153) (80,361) (6,408) (37,638) (154,701) — Total net gains / losses included in net income Realized gains/(losses), net on assets — (16) — — (85) — — — Unrealized gains/(losses), net on assets (1) (534) (5,835) (3,120) (96,160) (218) (12,462) (127,171) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (377) Premium and discount amortization, net (939) (631) (70) (1,030) (19) 195 767 (519) Ending balance $ 14,442 $ 33,162 $ 7,371 $ 1,309,795 $ 26,050 $ 320,308 $ 477,131 $ 161 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (534) $ (5,605) $ (1,770) $ (94,347) $ (417) $ (12,460) $ (68,013) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 377 Three months ended March 31, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Transfers into Level III from Level II — — 8,386 — — — — — Transfers from Level III into Level II — — — — — — — — Purchases — — — 248,105 — 121,189 903,770 — Sales and settlements — — — — — — — 3,769 Principal repayments — (252) — (28,532) (66,612) (165) (988,714) — Total net gains / losses included in net income 0 Realized gains/(losses), net on assets — — — — (87) — — — Other than temporary impairment (25) (241) — — — — — — Unrealized gains/(losses), net on assets (1) 387 (1,193) 121 5,886 (780) 223 1,349 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (1,970) Premium and discount amortization, net (1,091) (477) (78) (181) (350) 208 (442) (316) Ending balance $ 19,108 $ 48,392 $ 17,380 $ 1,267,163 $ 144,170 $ 337,578 $ 929,474 $ 3,769 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 387 $ (1,193) $ 121 $ 6,108 $ (780) $ 223 $ 1,377 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (28) (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
Schedule of fair value, by balance sheet grouping	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 March 31, 2020 and December 31, 2019 in the consolidated financial statements (dollars in thousands): March 31, 2020 December 31, 2019 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 2,584 $ 2,575 $ 3,150 $ 3,148 Total $ 2,584 $ 2,575 $ 3,150 $ 3,148 Liabilities Borrowings under repurchase agreements $ 1,553,715 $ 1,358,436 $ 2,824,801 $ 2,829,093 Convertible senior unsecured notes 197,984 65,801 197,299 209,172 Securitized debt (1) 747,371 709,366 801,109 810,914 Total $ 2,499,070 $ 2,133,603 $ 3,823,209 $ 3,849,179 (1) Carrying value excludes $5.1 million and $5.3 million of deferred financing costs as of March 31, 2020 and December 31, 2019, respectively.

Mortgage-Backed Securities an_2

Mortgage-Backed Securities and other securities (Tables)	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency CMBS $ 369,843 $ 17,323 $ 387,166 $ 26,228 $ — $ 413,394 3.1 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 2,792 0.4 % Subtotal Agency CMBS 369,843 17,323 387,166 26,228 — 416,186 2.3 % Agency RMBS Interest-Only Strips (1)(2) N/A N/A 8,102 2,165 (315) 9,952 3.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 4,490 2.9 % Subtotal Agency RMBS — — 8,102 2,165 (315) 14,442 3.0 % Total Agency MBS 369,843 17,323 395,268 28,393 (315) 430,628 2.5 % Non-Agency RMBS 39,261 (15,462) 23,799 302 (2,978) 21,123 4.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 7,229 6 (2,061) 5,174 0.5 % Subtotal Non-Agency RMBS 39,261 (15,462) 31,028 308 (5,039) 26,297 0.9 % Non-Agency CMBS 336,816 (32,685) 304,131 48 (53,870) 250,309 5.3 % Total Non-Agency MBS 376,077 (48,147) 335,159 356 (58,909) 276,606 2.8 % Other securities (3) 76,482 (8,660) 77,258 — (29,847) 47,411 6.5 % Total $ 822,402 $ (39,484) $ 807,685 $ 28,749 $ (89,071) $ 754,645 2.8 % December 31, 2019 Principal Unamortized Discount Amortized Unrealized Unrealized Estimated Net Agency CMBS $ 1,347,929 $ 26,514 $ — $ 1,374,443 $ 66,832 $ (5,798) $ 1,435,477 3.4 % Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 3,092 0.4 % Subtotal Agency CMBS 1,347,929 26,514 — 1,374,443 66,832 (5,798) 1,438,569 3.1 % Agency RMBS 327,814 5,473 — 333,287 7,484 — 340,771 3.5 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A $ 8,661 $ 1,820 $ (138) $ 10,343 2.8 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A N/A 5,572 3.0 % Subtotal Agency RMBS 327,814 5,473 — 341,948 9,304 (138) 356,686 3.3 % Total Agency MBS 1,675,743 31,987 — 1,716,391 76,136 (5,936) 1,795,255 3.1 % Non-Agency RMBS 52,767 4,492 (20,256) 37,003 1,388 (260) 38,131 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 7,705 636 (658) 7,683 0.6 % Subtotal Non-Agency RMBS 52,767 4,492 (20,256) 44,708 2,024 (918) 45,814 1.0 % Non-Agency CMBS 354,458 (17,909) (22,016) 314,533 6,359 (4,873) 316,019 5.1 % Total Non-Agency MBS 407,225 (13,417) (42,272) 359,241 8,383 (5,791) 361,833 2.7 % Other securities (3) 71,896 (2,437) (6,203) 73,975 6,392 (206) 80,161 6.7 % Total $ 2,154,864 $ 16,133 $ (48,475) $ 2,149,607 $ 90,911 $ (11,933) $ 2,237,249 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 March 31, 2020, 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 $114.5 million, $420.8 million, $60.8 million and $158.6 million, respectively. At December 31, 2019, 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 $121.7 million, $442.4 million, $64.8 million, and $160.2 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 $9.4 million and $10.7 million, as of March 31, 2020 and December 31, 2019, respectively.
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities	The following table presents the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three months ended March 31, 2019 (dollars in thousands): Three months ended March 31, 2019 Discount Designated as Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523) $ (29,465) $ 14,928 Accretion of discount — 1,277 — Amortization of premium — — (481) Realized credit losses 3,001 — — Purchases — — — Sales 2,694 — (523) Net impairment losses recognized in earnings (966) — — Transfers/release of credit reserve (2) (1,293) 556 737 Balance at end of period $ (50,087) $ (27,632) $ 14,661 (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 March 31, 2020 and December 31, 2019 (dollars in thousands) : March 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 68,875 $ 344,519 $ — $ — $ 413,394 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 2,792 2,792 Agency RMBS Interest-Only Strips 1,965 1,924 6,063 — 9,952 Agency RMBS Interest-Only Strips accounted for as derivatives 545 3,192 753 — 4,490 Subtotal Agency 71,385 349,635 6,816 2,792 430,628 Non-Agency CMBS 69,336 116,300 63,839 834 250,309 Non-Agency RMBS — — 7,732 13,391 21,123 Non-Agency RMBS Interest- Only Strips — — 744 4,430 5,174 Subtotal Non-Agency 69,336 116,300 72,315 18,655 276,606 Other securities 13,168 10,937 13,126 10,180 47,411 Total $ 153,889 $ 476,872 $ 92,257 $ 31,627 $ 754,645 December 31, 2019 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 973,189 $ 462,288 $ — $ — $ 1,435,477 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 3,092 3,092 Agency RMBS — — 340,771 — 340,771 Agency RMBS Interest-Only Strips 2,413 1,966 5,964 — 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives 669 3,893 1,010 — 5,572 Subtotal Agency 976,271 468,147 347,745 3,092 1,795,255 Non-Agency CMBS 89,782 125,282 92,610 8,345 316,019 Non-Agency RMBS — — 8,966 29,165 38,131 Non-Agency RMBS Interest- Only Strips — — 1,716 5,967 7,683 Subtotal Non-Agency 89,782 125,282 103,292 43,477 361,833 Other securities 25,824 31,823 2,768 19,746 80,161 Total $ 1,091,877 $ 625,252 $ 453,805 $ 66,315 $ 2,237,249
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 731 $ (72) 3 $ 1,496 $ (243) 7 $ 2,227 $ (315) 10 Subtotal Agency 731 (72) 3 1,496 (243) 7 2,227 (315) 10 Non-Agency CMBS 218,447 (51,052) 40 17,146 (2,818) 5 235,593 (53,870) 45 Non-Agency RMBS 18,993 (2,978) 5 — — — 18,993 (2,978) 5 Non-Agency RMBS Interest-Only Strips 4,728 (2,061) 3 — — — 4,728 (2,061) 3 Subtotal Non-Agency 242,168 (56,091) 48 17,146 (2,818) 5 259,314 (58,909) 53 Other securities 47,411 (29,847) 16 — — — 47,411 (29,847) 16 Total $ 290,310 $ (86,010) 67 $ 18,642 $ (3,061) 12 $ 308,952 $ (89,071) 79 December 31, 2019 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency CMBS $ 214,084 $ (5,798) 16 $ — $ — — $ 214,084 $ (5,798) 16 Agency RMBS Interest-Only Strips 1,376 (43) 4 1,828 (95) 7 3,204 (138) 11 Subtotal Agency 215,460 (5,841) 20 1,828 (95) 7 217,288 (5,936) 27 Non-Agency CMBS 171,650 (4,302) 31 18,069 (571) 4 189,719 (4,873) 35 Non-Agency RMBS 13,214 (260) 1 — — — 13,214 (260) 1 Non-Agency RMBS Interest-Only Strips 1,716 (658) 1 — — — 1,716 (658) 1 Subtotal Non-Agency 186,580 (5,220) 33 18,069 (571) 4 204,649 (5,791) 37 Other securities 10,512 (206) 2 — — — 10,512 (206) 2 Total $ 412,552 $ (11,267) 55 $ 19,897 $ (666) 11 $ 432,449 $ (11,933) 66
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 March 31, 2019 Agency RMBS (1) $ 25 Non-Agency CMBS 966 Non-Agency RMBS 241 Total $ 1,232 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable.
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 months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ 10,923 $ (588) $ 10,335 $ 10,989 $ (56) $ 10,933 Agency RMBS 2,756 (842) 1,914 871 (655) 216 Non-Agency CMBS 4,797 968 5,765 3,111 924 4,035 Non-Agency RMBS 1,151 (641) 510 1,207 (477) 730 Other securities 2,805 (1,464) 1,341 2,889 (1,591) 1,298 Total $ 22,432 $ (2,567) $ 19,865 $ 19,067 $ (1,855) $ 17,212
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 months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ 1,259,032 $ 94,307 $ (6,454) $ 87,853 $ 206,710 $ — $ (4,189) $ (4,189) Agency RMBS 391,436 10,420 (38) 10,382 — — — — Non-Agency CMBS 51,940 1 (8,802) (8,801) 9,000 — (829) (829) Non-Agency RMBS 12,702 — (16) (16) — — — — Other securities 17,746 113 — 113 — — — — Total $ 1,732,856 $ 104,841 $ (15,310) $ 89,531 $ 215,710 $ — $ (5,018) $ (5,018)

Residential Whole-Loans and B_2

Residential Whole-Loans and Bridge Loans - (Tables)	3 Months Ended
	Mar. 31, 2020
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 trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 Cash and cash equivalents $ 4,542 $ 1,811 Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860 Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897 Investment related receivable 24,738 19,138 Interest receivable 8,517 7,840 Other assets 101 90 Total assets $ 1,375,264 $ 1,439,636 Securitized debt, net $ 742,297 $ 795,811 Interest payable 2,210 2,367 Accounts payable and accrued expenses 122 173 Total liabilities $ 744,629 $ 798,351 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 33,229 52,948 Securitized commercial loans, at fair value 477,131 909,040 Commercial Loans, at fair value 71,684 90,788 Interest receivable 1,709 2,989 Total assets $ 583,753 $ 1,061,543 Securitized debt, at fair value $ 396,824 $ 681,643 Interest payable 1,005 1,519 Accounts payable and accrued expenses 6 12 Other liabilities 33,229 52,948 Total liabilities $ 431,064 $ 736,122
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 March 31, 2020 and December 31, 2019 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Principal balance $ 1,352,778 $ 1,325,443 $ 27,059 $ 34,041 $ 2,591 $ 3,155 Unamortized premium 30,983 28,588 52 79 3 6 Unamortized discount (2,662) (2,839) (7) (13) (10) (11) Amortized cost 1,381,099 1,351,192 27,104 34,107 2,584 3,150 Gross unrealized gains 227 26,363 3 10 N/A N/A Gross unrealized losses (71,531) (1,695) (1,057) (848) N/A N/A Fair value $ 1,309,795 $ 1,375,860 $ 26,050 $ 33,269 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 have low LTV's and are comprised of 2,963 Non-QM adjustable rate mortgages, 571 conforming fixed rate mortgages and nine investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Coupon 3.01 – 4.00% 52 $ 17,940 62.7 % 734 2.8 28.1 3.9 % 4.01– 5.00% 1,716 588,582 61.8 % 746 2.3 28.5 4.8 % 5.01 – 6.00% 1,707 723,264 62.2 % 736 2.6 28.1 5.4 % 6.01 – 7.00% 66 22,477 58.2 % 724 3.5 26.8 6.2 % 7.01 - 8.00% 2 515 73.2 % 753 4.0 28.4 7.1 % Total 3,543 $ 1,352,778 62.0 % 740 2.5 28.2 5.1 % (1) The original FICO score is not available for 282 loans with a principal balance of approximately $94.4 million at March 31, 2020. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Coupon 3.01 – 4.00% 53 $ 17,284 61.7 % 736 2.4 28.0 3.9 % 4.01– 5.00% 1,689 557,144 61.4 % 744 2.8 28.5 4.8 % 5.01 – 6.00% 1,682 713,397 62.0 % 736 3.0 28.3 5.4 % 6.01 – 7.00% 103 37,102 54.1 % 727 3.8 25.3 6.2 % 7.01 - 8.00% 2 516 73.2 % 753 4.7 28.6 7.1 % Total 3,529 $ 1,325,443 61.5 % 739 3.0 28.3 5.2 % (1) The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.
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 March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): March 31, 2020 December 31, 2019 State State Concentration Principal Balance State State Concentration Principal Balance California 66.5 % $ 899,344 California 66.1 % $ 875,738 New York 15.9 % 214,658 New York 16.2 % 214,141 Georgia 3.1 % 42,506 Georgia 3.4 % 45,189 Florida 2.8 % 38,154 Florida 2.8 % 36,641 New Jersey 2.2 % 29,367 New Jersey 2.3 % 30,450 Other 9.5 % 128,749 Other 9.2 % 123,284 Total 100.0 % $ 1,352,778 Total 100.0 % $ 1,325,443
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 c Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01 – 9.00% 26 $ 17,823 67.4 % 4.1 8.4 % 9.01 – 11.00% 22 8,711 75.2 % 4.3 10.2 % 11.01 – 13.00% 6 2,167 64.3 % 2.0 11.7 % 17.01 – 19.00% 2 949 75.0 % 0.0 18.0 % Total 56 $ 29,650 69.7 % 4.1 9.5 % December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 9.01 – 11.00% 36 $ 22,409 70.2 % 5.8 8.4 % 11.01 – 13.00% 28 9,972 74.0 % 5.6 10.1 % 13.01 – 15.00% 9 2,741 63.1 % 2.0 11.7 % 15.01 – 17.00% 1 1,125 75.0 % 0.0 13.5 % 17.01 – 19.00% 2 949 75.0 % 0.0 18.0 % Total 76 37,196 71.0 % 5.6 9.5 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero.
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 March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): March 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 49.2 % $ 14,598 California 50.4 % $ 18,763 New York 14.6 % 4,323 Washington 13.1 % 4,863 Washington 12.6 % 3,748 New York 12.1 % 4,518 Florida 10.5 % 3,128 Florida 8.9 % 3,296 New Jersey 3.4 % 1,004 New Jersey 3.8 % 1,424 Other 9.7 % 2,849 Other 11.7 % 4,332 Total 100.0 % $ 29,650 Total 100.0 % $ 37,196
Financing Receivable, Past Due	The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current 3,462 $ 1,313,975 $ 1,272,791 20 $ 13,124 $ 13,071 1-30 days 53 22,403 21,522 8 4,154 4,095 31-60 days 11 5,559 5,357 5 2,468 2,427 61-90 days 4 3,779 3,550 2 973 926 90+ days 13 7,062 6,575 21 8,931 8,115 Total 3,543 $ 1,352,778 $ 1,309,795 56 $ 29,650 $ 28,634 (1) Includes $2.6 million loans carried at amortized cost. Commercial Loans No of Loans Principal Fair Value Current 11 $ 332,576 $ 320,308 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days — — — Total 11 $ 332,576 $ 320,308

Commercial Loans (Tables)

Commercial Loans (Tables)	3 Months Ended
	Mar. 31, 2020
Noncontrolling Interest [Abstract]
Schedule of commercial real estate loans held	The following table presents the commercial loans held by CRE LLC and CRE Mezz as of March 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 2 June 2018 Interest-Only First Mortgage 30,000 28,779 65% 1-Month LIBOR plus 4.5% 6/9/2020 One-Year Extension Hotel CRE 4 June 2019 Principal & Interest First Mortgage 50,000 48,665 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities CRE 5 August 2019 Interest-Only Mezzanine loan 90,000 85,763 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail CRE 6 September 2019 Interest-Only First Mortgage 40,000 38,402 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail CRE 7 December 2019 Interest-Only First Mortgage 24,535 23,251 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CRE 8 December 2019 Interest-Only First Mortgage 13,207 12,516 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CRE 9 December 2019 Interest-Only First Mortgage 7,259 6,879 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CRE 10 December 2019 Interest-Only First Mortgage 4,425 4,369 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 259,426 $ 248,624 Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 44,314 74% One-Month LIBOR plus 4.25% (1) 7/1/2020 Two One-Year Extensions Nursing Facilities SBC 4 January 2019 Interest-Only First Mortgage 13,600 13,275 84% One-Month LIBOR plus 4.0% (2) 12/1/2021 One-Year Extension Apartment Complex SBC 5 January 2019 Interest-Only First Mortgage 14,362 14,095 49% One-Month LIBOR plus 4.1% 7/1/2021 None Nursing Facilities $ 73,150 $ 71,684 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2%.
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 trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 Cash and cash equivalents $ 4,542 $ 1,811 Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860 Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897 Investment related receivable 24,738 19,138 Interest receivable 8,517 7,840 Other assets 101 90 Total assets $ 1,375,264 $ 1,439,636 Securitized debt, net $ 742,297 $ 795,811 Interest payable 2,210 2,367 Accounts payable and accrued expenses 122 173 Total liabilities $ 744,629 $ 798,351 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 33,229 52,948 Securitized commercial loans, at fair value 477,131 909,040 Commercial Loans, at fair value 71,684 90,788 Interest receivable 1,709 2,989 Total assets $ 583,753 $ 1,061,543 Securitized debt, at fair value $ 396,824 $ 681,643 Interest payable 1,005 1,519 Accounts payable and accrued expenses 6 12 Other liabilities 33,229 52,948 Total liabilities $ 431,064 $ 736,122
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 March 31, 2020 and December 31, 2019 (dollars in thousands): CMSC Trust Securitized Commercial Loan, RETL Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Principal balance $ 23,943 $ 24,048 $ 519,735 $ 674,331 $ 73,150 $ 90,788 $ 259,426 $ 279,425 Unamortized premium — — 1,189 1,836 — — — — Unamortized discount — — — — (110) (215) (203) (294) Amortized cost 23,943 24,048 520,924 676,167 73,040 90,573 259,223 279,131 Gross unrealized gains — 9 — 269 — 215 — 294 Gross unrealized losses (147) — (67,589) — (1,356) — (10,599) — Fair value $ 23,796 $ 24,057 $ 453,335 $ 676,436 $ 71,684 $ 90,788 $ 248,624 $ 279,425
Financing Receivable, Past Due	The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current 3,462 $ 1,313,975 $ 1,272,791 20 $ 13,124 $ 13,071 1-30 days 53 22,403 21,522 8 4,154 4,095 31-60 days 11 5,559 5,357 5 2,468 2,427 61-90 days 4 3,779 3,550 2 973 926 90+ days 13 7,062 6,575 21 8,931 8,115 Total 3,543 $ 1,352,778 $ 1,309,795 56 $ 29,650 $ 28,634 (1) Includes $2.6 million loans carried at amortized cost. Commercial Loans No of Loans Principal Fair Value Current 11 $ 332,576 $ 320,308 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days — — — Total 11 $ 332,576 $ 320,308

Financings (Tables)

Financings (Tables)	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 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) Short Term Borrowings: Agency CMBS $ 437,577 1.38 % 27 $ 1,352,248 2.05 % 26 Agency RMBS 11,852 2.35 % 21 348,274 1.99 % 52 Non-Agency CMBS 214,972 3.04 % 24 190,390 3.05 % 35 Non-Agency RMBS 20,148 3.09 % 8 30,481 3.56 % 9 Residential Whole Loans (1) 272,458 2.99 % 129 266,294 3.14 % 202 Residential Bridge Loans (1) 24,222 3.79 % 28 29,869 3.93 % 28 Commercial Loans (1) 47,547 3.90 % 28 62,746 4.04 % 28 Securitized commercial loans (1) 32,803 2.76 % 29 116,087 3.93 % 49 Other securities 53,244 3.15 % 28 56,762 3.23 % 34 Subtotal 1,114,823 2.42 % 51 2,453,151 2.44 % 51 Long Term Borrowings: Residential Whole Loans (1) (2) 285,409 2.67 % 1004 209,878 3.55 % 1358 Commercial Loans (2) 153,549 2.73 % 503 161,848 3.88 % 590 Subtotal 438,958 2.70 % 829 371,726 3.70 % 1024 Repurchase agreements borrowings $ 1,553,781 2.50 % 271 $ 2,824,877 2.61 % 179 Less unamortized debt issuance costs 66 N/A N/A 76 N/A N/A Repurchase agreements borrowings, net $ 1,553,715 2.50 % 271 $ 2,824,801 2.61 % 179 (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 March 31, 2020 and December 31, 2019, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) March 31, 2020 December 31, 2019 1 to 29 days 695,385 1,480,286 30 to 59 days 244,810 552,786 60 to 89 days 37,699 255,814 Greater than or equal to 90 days 575,887 535,991 Total $ 1,553,781 $ 2,824,877
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty	At March 31, 2020, 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): March 31, 2020 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 143,835 782 78.9 % Barclays Capital Inc. 42,491 24 23.3 % Nomura Securities International, Inc. 31,848 28 17.5 % JP Morgan Securities LLC 29,526 23 16.2 %
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 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 CMBS, at fair value $ 457,400 $ 1,036 $ 458,436 $ 1,400,230 $ 3,916 $ 1,404,146 Agency RMBS, at fair value 14,442 354 14,796 356,687 1,336 358,023 Non-Agency CMBS, at fair value 239,351 1,085 240,436 246,797 951 247,748 Non-Agency RMBS, at fair value 26,296 336 26,632 45,816 414 46,230 Residential Whole Loans, at fair value (1) 576,769 4,732 581,501 529,495 3,704 533,199 Residential Bridge Loans (1) 27,571 359 27,930 34,897 471 35,368 Commercial Loans, at fair value (1) 320,308 1,723 322,031 350,213 1,855 352,068 Securitized commercial loans, at fair value (1) 39,649 127 39,776 171,640 674 172,314 Other securities, at fair value 47,307 136 47,443 80,031 128 80,159 Cash (2) 90,540 — 90,540 43,499 — 43,499 Total $ 1,839,633 $ 9,888 $ 1,849,521 $ 3,259,305 $ 13,449 $ 3,272,754 (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 2019 Trust's commercial mortgage pass-through certificates at March 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A $ 64,835 1.9% $ 59,246 3/15/2021 Class B 101,200 2.3% 87,781 3/15/2021 Class C 308,400 2.8% 265,490 3/15/2021 Class HRR 45,300 9.2% 40,658 3/15/2021 Class X-CP (1) N/A 2.8% 130 4/15/2020 Class X-EXT (1) N/A N/A 31 3/15/2021 $ 519,735 $ 453,336 (1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each. Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 634,467 3.3% $ 634,464 4/25/2049 Class A-2 33,996 3.5% 33,995 4/25/2049 Class A-3 53,859 3.8% 53,857 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 747,377 $ 747,371 Less: Unamortized Deferred Financing Costs N/A 5,074 Total $ 747,377 $ 742,297

Derivative Instruments (Tables)

Derivative Instruments (Tables)	3 Months Ended
	Mar. 31, 2020
Derivative Instruments
Summary of the entity's derivative instruments	The following table summarizes the Company’s derivative instruments at March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 December 31, 2019 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 $ — $ — $ 2,701,000 $ 3,017 Swaptions, asset Non-Hedge Derivative assets, at fair value 50,000 195 — — Credit default swaps, asset Non-Hedge Derivative assets, at fair value 47,260 15,557 60,100 948 TBA securities, asset Non-Hedge Derivative assets, at fair value 778,200 17,923 1,000,000 1,146 Total derivative instruments, assets 33,675 5,111 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 1,255,000 (501) Swaptions, liability Non-Hedge Derivative liability, at fair value 255,000 (14) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 97,260 (22,106) 90,900 (3,795) TBA securities, liability Non-Hedge Derivative liability, at fair value 778,200 (21,847) 1,000,000 (2,074) Total derivative instruments, liabilities (43,967) (6,370) Total derivative instruments, net $ (10,292) $ (1,259)
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 months ended March 31, 2020 and March 31, 2019 (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 March 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions — — — 181 — 181 Interest-Only Strips— accounted for as derivatives — — (545) (839) 636 (748) Credit default swaps (1,315) — — (2,638) — (3,953) TBAs 1,494 — — (2,996) — (1,502) Total $ (83) $ (179,759) $ (283) $ (8,807) $ (759) $ (189,691) Three months ended March 31, 2019 Interest rate swaps $ (3) $ (37,838) $ 1,528 $ 7,090 $ 2,755 $ (26,468) Interest-Only Strips— accounted for as derivatives — — (595) (59) 784 130 Futures contracts (4,503) — — 4,657 — 154 Credit default swap (589) — — (375) — (964) Total $ (5,095) $ (37,838) $ 933 $ 11,313 $ 3,539 $ (27,148)
Summary of interest rate swaps or interest rate swaptions	The Company did not have any interest rate swaps in its holdings at March 31, 2020. The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2019 (dollars in thousands): December 31, 2019 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) 1 year or less $ 200,000 1.8 % 1.9 % 0.4 Greater than 3 years and less than 5 years 622,400 2.6 % 1.9 % 4.1 Greater than 5 years 1,728,600 2.1 % 2.0 % 8.9 Total $ 2,551,000 2.2 % 2.0 % 7.1 December 31, 2019 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Average Fixed Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 810,000 2.0 % 2.0 % 1.6 Greater than 3 years and less than 5 years 550,000 1.9 % 1.6 % 5.0 Greater than 5 years 45,000 1.9 % 2.3 % 19.5 Total $ 1,405,000 2.0 % 1.9 % 3.5
Schedule of swaptions held	The following table summarizes the swaptions held by the Company as of March 31, 2020 (dollars in thousands): March 31, 2020 Options Underlying-Swap Fixed Pay Rate for Underlying Swap Fair Value Weighted Average Months Until Option Expiration Notional Amount Weighted Average Swap Term (Years) 1.76 - 2.00% $ 195 4 $ 50,000 30.0 Total $ 195 4 $ 50,000 30.0 March 31, 2020 Options Underlying-Swap Variable Pay Rate for Underlying Swap Fair Value Weighted Average Months Until Option Expiration Notional Amount Weighted Average Swap Term (Years) 1.26 - 1.50% $ (14) 4 $ 255,000 5.0 Total $ (14) 4 $ 255,000 5.0
Schedule of to be announced securities	The Company purchased or sold TBAs during the three months ended March 31, 2020 and the year ended December 31, 2019.The following is a summary of the Company's TBA positions as of March 31, 2020 and December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): March 31, 2020 December 31, 2019 Notional Fair Notional Fair Purchase contracts, asset $ 778,200 $ 17,923 $ 1,000,000 $ 1,146 Sale contracts, liability (778,200) (21,847) (1,000,000) (2,074) TBA securities, net $ — $ (3,924) $ — $ (928)
Schedule of additional information about to be announced securities	The following table presents additional information about the Company's contracts to purchase and sell TBAs for the three months ended March 31, 2020 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2019 Additions Expiration or Exercise March 31, 2020 Purchase of TBAs $ 1,000,000 $ 4,478,800 $ (4,700,600) $ 778,200 Sale of TBAs $ 1,000,000 $ 4,478,800 $ (4,700,600) $ 778,200

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets and Receivable under Reverse Repurchase Agreements Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 7,282 $ — $ 7,282 $ (7,282) $ — $ — Derivative asset, at fair value 33,675 — 33,675 (18,429) (14,809) 437 Receivable under reverse repurchase agreements 24,826 — 24,826 (20,767) — 4,059 Total assets $ 65,783 $ — $ 65,783 $ (46,478) $ (14,809) $ 4,496 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 43,967 $ — $ 43,967 $ (18,429) $ (25,538) $ — Repurchase Agreements (3) 1,553,715 — 1,553,715 (1,534,454) (13,162) 6,099 Total liabilities $ 1,597,682 $ — $ 1,597,682 $ (1,552,883) $ (38,700) $ 6,099 (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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020. December 31, 2019 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 8,665 $ — $ 8,665 $ (8,665) $ — $ — Derivative asset, at fair value (2) 5,111 — 5,111 (2,576) — 2,535 Total derivative assets $ 13,776 $ — $ 13,776 $ (11,241) $ — $ 2,535 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 6,370 $ — $ 6,370 $ (2,576) $ (2,819) $ 975 Repurchase Agreements (4) 2,824,801 — 2,824,801 (2,824,801) — — Total derivative liability $ 2,831,171 $ — $ 2,831,171 $ (2,827,377) $ (2,819) $ 975 (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, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.4 million as of December 31, 2019. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.2 billion as of December 31, 2019.
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 March 31, 2020 and December 31, 2019 (dollars in thousands): March 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets and Receivable under Reverse Repurchase Agreements Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 7,282 $ — $ 7,282 $ (7,282) $ — $ — Derivative asset, at fair value 33,675 — 33,675 (18,429) (14,809) 437 Receivable under reverse repurchase agreements 24,826 — 24,826 (20,767) — 4,059 Total assets $ 65,783 $ — $ 65,783 $ (46,478) $ (14,809) $ 4,496 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 43,967 $ — $ 43,967 $ (18,429) $ (25,538) $ — Repurchase Agreements (3) 1,553,715 — 1,553,715 (1,534,454) (13,162) 6,099 Total liabilities $ 1,597,682 $ — $ 1,597,682 $ (1,552,883) $ (38,700) $ 6,099 (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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020. December 31, 2019 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 8,665 $ — $ 8,665 $ (8,665) $ — $ — Derivative asset, at fair value (2) 5,111 — 5,111 (2,576) — 2,535 Total derivative assets $ 13,776 $ — $ 13,776 $ (11,241) $ — $ 2,535 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 6,370 $ — $ 6,370 $ (2,576) $ (2,819) $ 975 Repurchase Agreements (4) 2,824,801 — 2,824,801 (2,824,801) — — Total derivative liability $ 2,831,171 $ — $ 2,831,171 $ (2,827,377) $ (2,819) $ 975 (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, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.4 million as of December 31, 2019. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.2 billion as of December 31, 2019.

Share-Based Payments (Tables)

Share-Based Payments (Tables)	3 Months Ended
	Mar. 31, 2020
Share-based Payment Arrangement, Noncash Expense [Abstract]
Summary of restricted common stock vesting dates	The following is a summary of restricted common stock vesting dates as of March 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2020 December 31, 2019 Vesting Date Shares Vesting Shares Vesting March 2020 — 36,000 June 2020 31,480 30,592 March 2021 36,000 36,000 March 2022 36,000 36,000 103,480 138,592
Schedule of restricted stock activity	The following table presents information with respect to the Company’s restricted stock for the three months ended March 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2020 March 31, 2019 Shares of Weighted Average Grant Date Fair Value (1) Shares of Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 894,289 $ 15.76 753,973 $ 16.77 Granted (2) 888 10.67 108,888 10.50 Cancelled/forfeited — — — — Outstanding at end of period 895,177 15.75 862,861 15.98 Unvested at end of period 103,480 $ 10.29 136,364 $ 10.56 (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) Includes 888 and 888 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the three months ended March 31, 2020 and March 31, 2019, respectively.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2020
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 2020 March 27, 2020 N/A N/A $ — N/A 2019 December 19, 2019 December 30, 2019 January 24, 2020 $ 0.31 Ordinary income September 19, 2019 September 30, 2019 October 25, 2019 $ 0.31 Ordinary income June 20, 2019 July 1, 2019 July 26, 2019 $ 0.31 Ordinary income March 21, 2019 April 1, 2019 April 26, 2019 $ 0.31 Ordinary income

Net Income per Common Share (Ta

Net Income per Common Share (Tables)	3 Months Ended
	Mar. 31, 2020
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 months ended March 31, 2020 and March 31, 2019 (dollars, other than shares and per share amounts, in thousands): For the three months ended March 31, 2020 For the three months ended March 31, 2019 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (381,857) $ 27,876 Less: Dividends and undistributed earnings allocated to participating securities — 70 Net income (loss) allocable to common stockholders — basic and diluted $ (381,857) $ 27,806 Denominator : Weighted average common shares outstanding for basic earnings per share 53,402,623 48,116,379 Weighted average common shares outstanding for diluted earnings per share 53,402,623 48,116,379 Basic earnings (loss) per common share $ (7.15) $ 0.58 Diluted earnings (loss) per common share $ (7.15) $ 0.58

Fair Value of Financial Instr_3

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Assets
Derivative assets	$ 33,675		$ 5,111
Liabilities
Derivative liabilities	43,967		6,370
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	$ (1,232)
Premium and discount amortization, net	(1,837)	(357)
Residential  Whole Loans
Assets
Fair value	1,309,795		1,375,860
Commercial Loans
Assets
Fair value	320,308
Agency CMBS
Assets
Estimated Fair Value	413,394		1,435,477
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	(588)	(56)
Agency CMBS Interest-Only Strips, accounted for as derivatives
Assets
Estimated Fair Value	2,792		3,092
Subtotal Agency
Assets
Estimated Fair Value			340,771
Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	9,952		10,343
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	4,490		5,572
Agency MBS
Assets
Estimated Fair Value	430,628		1,795,255
Non-Agency CMBS
Assets
Estimated Fair Value	250,309		316,019
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		(241)
Premium and discount amortization, net	(641)	(477)
Non-Agency RMBS
Assets
Estimated Fair Value	21,123		38,131
Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	5,174		7,683
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	276,606		361,833
Other securities
Assets
Estimated Fair Value	47,411		80,161
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	(1,464)	(1,591)
Total
Assets
Estimated Fair Value	754,645		2,237,249
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	(2,567)	(1,855)
Non-Agency MBS
Assets
Estimated Fair Value	276,606		361,833
Fair Value, Measurements, Recurring
Assets
Derivative assets	33,675		5,111
Total Assets	2,921,604		4,930,742
Liabilities
Derivative liabilities	43,967		6,370
Securitized debt, at fair value			681,643
Total Liabilities	440,791		688,013
Fair Value, Measurements, Recurring | Securitized debt
Liabilities
Securitized debt, at fair value	396,824
Fair Value, Measurements, Recurring | Residential  Whole Loans
Assets
Fair value	1,309,795		1,375,860
Fair Value, Measurements, Recurring | Residential Bridge Loans
Assets
Fair value	26,050		33,269
Fair Value, Measurements, Recurring | Commercial Loans
Assets
Fair value	320,308		909,040
Fair Value, Measurements, Recurring | Securitized commercial loans
Assets
Fair value	477,131		370,213
Fair Value, Measurements, Recurring | Agency CMBS
Assets
Estimated Fair Value	413,394		1,435,477
Fair Value, Measurements, Recurring | Agency CMBS Interest-Only Strips, accounted for as derivatives
Assets
Estimated Fair Value	2,792		3,092
Fair Value, Measurements, Recurring | Subtotal Agency
Assets
Estimated Fair Value			340,771
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	9,952		10,343
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	4,490		5,572
Fair Value, Measurements, Recurring | Agency MBS
Assets
Estimated Fair Value	430,628		1,795,255
Fair Value, Measurements, Recurring | Non-Agency CMBS
Assets
Estimated Fair Value	250,309		316,019
Fair Value, Measurements, Recurring | Non-Agency RMBS
Assets
Estimated Fair Value	21,123		38,131
Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	5,174		7,683
Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	276,606		361,833
Fair Value, Measurements, Recurring | Other securities
Assets
Estimated Fair Value	47,411		80,161
Fair Value, Measurements, Recurring | Total
Assets
Estimated Fair Value	754,645		2,237,249
Fair Value, Measurements, Recurring | Level I
Assets
Derivative assets	0		0
Total Assets	0		0
Liabilities
Derivative liabilities	0		0
Securitized debt, at fair value			0
Total Liabilities	0		0
Fair Value, Measurements, Recurring | Level I | Securitized debt
Liabilities
Securitized debt, at fair value	0
Fair Value, Measurements, Recurring | Level I | Residential  Whole Loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level I | Residential Bridge Loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level I | Commercial Loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level I | Securitized commercial loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level I | Agency CMBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Agency CMBS Interest-Only Strips, accounted for as derivatives
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Subtotal Agency
Assets
Estimated Fair Value			0
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Agency MBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Non-Agency CMBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Other securities
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level I | Total
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level II
Assets
Derivative assets	33,675		5,111
Total Assets	733,345		2,163,435
Liabilities
Derivative liabilities	43,967		6,370
Securitized debt, at fair value			680,586
Total Liabilities	440,630		686,956
Fair Value, Measurements, Recurring | Level II | Securitized debt
Liabilities
Securitized debt, at fair value	396,663
Fair Value, Measurements, Recurring | Level II | Residential  Whole Loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level II | Residential Bridge Loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level II | Commercial Loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level II | Securitized commercial loans
Assets
Fair value	0		0
Fair Value, Measurements, Recurring | Level II | Agency CMBS
Assets
Estimated Fair Value	413,394		1,435,477
Fair Value, Measurements, Recurring | Level II | Agency CMBS Interest-Only Strips, accounted for as derivatives
Assets
Estimated Fair Value	2,792		3,092
Fair Value, Measurements, Recurring | Level II | Subtotal Agency
Assets
Estimated Fair Value			340,771
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level II | Agency MBS
Assets
Estimated Fair Value	416,186		1,779,340
Fair Value, Measurements, Recurring | Level II | Non-Agency CMBS
Assets
Estimated Fair Value	243,444		316,019
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level II | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	243,444		316,019
Fair Value, Measurements, Recurring | Level II | Other securities
Assets
Estimated Fair Value	40,040		62,965
Fair Value, Measurements, Recurring | Level II | Total
Assets
Estimated Fair Value	699,670		2,158,324
Fair Value, Measurements, Recurring | Level III
Assets
Derivative assets	0		0
Total Assets	2,188,259		2,767,307
Liabilities
Derivative liabilities	0		0
Securitized debt, at fair value			1,057
Total Liabilities	161		1,057
Fair Value, Measurements, Recurring | Level III | Securitized debt
Liabilities
Securitized debt, at fair value	161
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	(519)	(316)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,057	2,286
Sales and settlements		(3,769)
Unrealized (gains)/losses, net on liabilities	(377)	(1,970)
Ending balance	161	3,769
Unrealized gains/(losses), net on assets held at the end of the period	377	(28)
Fair Value, Measurements, Recurring | Level III | Residential  Whole Loans
Assets
Fair value	1,309,795		1,375,860
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,375,860	1,041,885
Purchases	111,486	248,105
Principal repayments	(80,361)	(28,532)
Unrealized gains/(losses), net on assets	(96,160)	5,886
Premium and discount amortization, net	(1,030)	(181)
Ending balance	1,309,795	1,267,163
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(80,361)	(28,532)
Unrealized gains/(losses), net on assets held at the end of the period	(94,347)	6,108
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans
Assets
Fair value	26,050		33,269
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	33,269	211,999
Purchases		0
Transfers to REO	(489)
Principal repayments	(6,408)	(66,612)
Realized gains/(losses), net on assets	(85)	(87)
Unrealized gains/(losses), net on assets	(218)	(780)
Premium and discount amortization, net	(19)	(350)
Ending balance	26,050	144,170
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(6,408)	(66,612)
Unrealized gains/(losses), net on assets held at the end of the period	(417)	(780)
Fair Value, Measurements, Recurring | Level III | Commercial Loans
Assets
Fair value	320,308		909,040
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	370,213	216,123
Purchases		121,189
Principal repayments	(37,638)	(165)
Unrealized gains/(losses), net on assets	(12,462)	223
Premium and discount amortization, net	195	208
Ending balance	320,308	337,578
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(37,638)	(165)
Unrealized gains/(losses), net on assets held at the end of the period	(12,460)	223
Fair Value, Measurements, Recurring | Level III | Securitized commercial loans
Assets
Fair value	477,131		370,213
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	909,040	1,013,511
Purchases		903,770
VIE deconsolidation	(150,804)
Principal repayments	(154,701)	(988,714)
Unrealized gains/(losses), net on assets	(127,171)	1,349
Premium and discount amortization, net	767	(442)
Ending balance	477,131	929,474
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(154,701)	(988,714)
Unrealized gains/(losses), net on assets held at the end of the period	(68,013)	1,377
Fair Value, Measurements, Recurring | Level III | Agency CMBS
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level III | Agency CMBS Interest-Only Strips, accounted for as derivatives
Assets
Estimated Fair Value	0		0
Fair Value, Measurements, Recurring | Level III | Subtotal Agency
Assets
Estimated Fair Value			0
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	9,952		10,343
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	4,490		5,572
Fair Value, Measurements, Recurring | Level III | Agency MBS
Assets
Estimated Fair Value	14,442		15,915
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	15,915	19,837
Transfers into Level III from Level II		0
Transfers from Level III into Level II		0
Purchases		0
Principal repayments		0
Other than temporary impairment		(25)
Unrealized gains/(losses), net on assets	(534)	387
Premium and discount amortization, net	(939)	(1,091)
Ending balance	14,442	19,108
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments		0
Unrealized gains/(losses), net on assets held at the end of the period	(534)	387
Fair Value, Measurements, Recurring | Level III | Non-Agency CMBS
Assets
Estimated Fair Value	6,865		0
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS
Assets
Estimated Fair Value	21,123		38,131
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	5,174		7,683
Fair Value, Measurements, Recurring | Level III | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	33,162		45,814
Fair Value, Measurements, Recurring | Level III | Other securities
Assets
Estimated Fair Value	7,371		17,196
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	17,196	8,951
Transfers into Level III from Level II		8,386
Transfers from Level III into Level II	(6,482)	0
Principal repayments	(153)	0
Unrealized gains/(losses), net on assets	(3,120)	121
Premium and discount amortization, net	(70)	(78)
Ending balance	7,371	17,380
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(153)	0
Unrealized gains/(losses), net on assets held at the end of the period	(1,770)	121
Fair Value, Measurements, Recurring | Level III | Total
Assets
Estimated Fair Value	54,975		$ 78,925
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
Beginning balance	45,814	50,555
Transfers into Level III from Level II		0
VIE deconsolidation	6,852
Principal repayments	(320)	(252)
Realized gains/(losses), net on assets	16
Other than temporary impairment		(241)
Unrealized gains/(losses), net on assets	(5,835)	(1,193)
Premium and discount amortization, net	(631)	(477)
Ending balance	33,162	48,392
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Sales and settlements	(12,702)
Principal repayments	(320)	(252)
Unrealized gains/(losses), net on assets held at the end of the period	$ (5,605)	$ (1,193)

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Narrative (Details)	Mar. 31, 2020USD ($)
Fair Value Disclosures [Abstract]
Derivative credit risk valuation adjustment, derivative assets	$ 0

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Summary of quantitative information (Details)	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Delinquent bridge loans, yield to maturity	100.00%
Residential  Whole Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,309,795,000	$ 1,375,860,000
Residential  Whole Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	1,161,199,000	1,200,566,000
Residential  Whole Loans | To-Be-Announced Pricing Model (TBA)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 148,600,000	$ 175.3
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.047	0.034
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 2 months 12 days	1 year 4 months 24 days
Residential  Whole Loans | Minimum | To-Be-Announced Pricing Model (TBA)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value		$ 101.39
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.089	0.070
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	6 years 7 months 6 days	7 years 9 months 18 days
Residential  Whole Loans | Maximum | To-Be-Announced Pricing Model (TBA)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value		$ 107.63
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.066	0.037
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 6 months	3 years
Residential Bridge Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 26,050,000	$ 33,269,000
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.085	0.075
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 months 12 days	3 months 18 days
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.263	0.270
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 9 months 18 days	1 year 9 months 18 days
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.116	0.098
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	9 months 18 days	9 months 18 days
Commercial Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 320,308,000
Commercial Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 320,308,000	$ 370,213,000
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.065	0.047
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 2 months 12 days	4 months 24 days
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.149	0.109
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 8 months 12 days	2 years 10 months 24 days
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.094	0.075
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 4 months 24 days	1 year 7 months 6 days

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, at fair value		$ 681,643
Total Liabilities	$ 440,791	688,013
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	2,584	3,150
Borrowings under repurchase agreements	1,553,715	2,824,801
Convertible senior unsecured notes	197,984	197,299
Securitized debt, at fair value	747,371	801,109
Total Liabilities	2,499,070	3,823,209
Debt issuance costs	5,100	5,300
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	2,575	3,148
Borrowings under repurchase agreements	1,358,436	2,829,093
Convertible senior unsecured notes	65,801	209,172
Securitized debt, at fair value	709,366	810,914
Total Liabilities	2,133,603	3,849,179
Residential Bridge Loans | Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	2,584	3,150
Residential Bridge Loans | Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	$ 2,575	$ 3,148

Mortgage-Backed Securities an_3

Mortgage-Backed Securities and other securities (Details) - USD ($)	3 Months Ended	6 Months Ended
	Mar. 31, 2020	Jun. 30, 2019	Dec. 31, 2019
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 369,843,000		$ 1,347,929,000
Unamortized Premium (Discount), net	17,323,000		26,514,000
Amortized Cost	387,166,000		1,374,443,000
Unrealized Gain	26,228,000		66,832,000
Unrealized Loss	0		(5,798,000)
Estimated Fair Value	$ 413,394,000		$ 1,435,477,000
Net Weighted Average Coupon (as a percent)	3.10%		3.40%
Agency CMBS Interest-Only Strips, accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 2,792,000		$ 3,092,000
Net Weighted Average Coupon (as a percent)	0.40%		0.40%
Notional balance	$ 158,600,000
Subtotal Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	369,843,000		$ 1,347,929,000
Unamortized Premium (Discount), net	17,323,000		26,514,000
Amortized Cost	387,166,000		1,374,443,000
Unrealized Gain	26,228,000		66,832,000
Unrealized Loss	0		(5,798,000)
Estimated Fair Value	$ 416,186,000		$ 1,438,569,000
Net Weighted Average Coupon (as a percent)	2.30%		3.10%
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Principal Balance			$ 327,814,000
Unamortized Premium (Discount), net			5,473,000
Amortized Cost			333,287,000
Unrealized Gain			7,484,000
Unrealized Loss			0
Estimated Fair Value			$ 340,771,000
Net Weighted Average Coupon (as a percent)			3.50%
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 8,102,000		$ 8,661,000
Unrealized Gain	2,165,000		1,820,000
Unrealized Loss	(315,000)		(138,000)
Estimated Fair Value	$ 9,952,000		$ 10,343,000
Net Weighted Average Coupon (as a percent)	3.10%		2.80%
Notional balance	$ 114,500,000		$ 121,700,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 4,490,000		$ 5,572,000
Net Weighted Average Coupon (as a percent)	2.90%		3.00%
Notional balance	$ 60,800,000		$ 64,800,000
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Principal Balance	0		327,814,000
Unamortized Premium (Discount), net	0		5,473,000
Amortized Cost	8,102,000		341,948,000
Unrealized Gain	2,165,000		9,304,000
Unrealized Loss	(315,000)		(138,000)
Estimated Fair Value	$ 14,442,000		$ 356,686,000
Net Weighted Average Coupon (as a percent)	3.00%		3.30%
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 369,843,000		$ 1,675,743,000
Unamortized Premium (Discount), net	17,323,000		31,987,000
Amortized Cost	395,268,000		1,716,391,000
Unrealized Gain	28,393,000		76,136,000
Unrealized Loss	(315,000)		(5,936,000)
Estimated Fair Value	$ 430,628,000		$ 1,795,255,000
Net Weighted Average Coupon (as a percent)	2.50%		3.10%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 39,261,000		$ 52,767,000
Unamortized Premium (Discount), net	(15,462,000)		4,492,000
Discount Designated as Credit Reserve and OTTI			(20,256,000)
Amortized Cost	23,799,000		37,003,000
Unrealized Gain	302,000		1,388,000
Unrealized Loss	(2,978,000)		(260,000)
Estimated Fair Value	$ 21,123,000		$ 38,131,000
Net Weighted Average Coupon (as a percent)	4.60%		4.80%
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 7,229,000		$ 7,705,000
Unrealized Gain	6,000		636,000
Unrealized Loss	(2,061,000)		(658,000)
Estimated Fair Value	$ 5,174,000		$ 7,683,000
Net Weighted Average Coupon (as a percent)	0.50%		0.60%
Notional balance	$ 420,800,000		$ 442,400,000
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	39,261,000		52,767,000
Unamortized Premium (Discount), net	(15,462,000)		4,492,000
Discount Designated as Credit Reserve and OTTI			(20,256,000)
Amortized Cost	31,028,000		44,708,000
Unrealized Gain	308,000		2,024,000
Unrealized Loss	(5,039,000)		(918,000)
Estimated Fair Value	$ 26,297,000		$ 45,814,000
Net Weighted Average Coupon (as a percent)	0.90%		1.00%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 336,816,000		$ 354,458,000
Unamortized Premium (Discount), net	(32,685,000)		(17,909,000)
Discount Designated as Credit Reserve and OTTI			(22,016,000)
Amortized Cost	304,131,000		314,533,000
Unrealized Gain	48,000		6,359,000
Unrealized Loss	(53,870,000)		(4,873,000)
Estimated Fair Value	$ 250,309,000		$ 316,019,000
Net Weighted Average Coupon (as a percent)	5.30%		5.10%
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 376,077,000		$ 407,225,000
Unamortized Premium (Discount), net	(48,147,000)		(13,417,000)
Discount Designated as Credit Reserve and OTTI			(42,272,000)
Amortized Cost	335,159,000		359,241,000
Unrealized Gain	356,000		8,383,000
Unrealized Loss	(58,909,000)		(5,791,000)
Estimated Fair Value	$ 276,606,000		$ 361,833,000
Net Weighted Average Coupon (as a percent)	2.80%		2.70%
Other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 76,482,000		$ 71,896,000
Unamortized Premium (Discount), net	(8,660,000)		(2,437,000)
Discount Designated as Credit Reserve and OTTI			(6,203,000)
Amortized Cost	77,258,000		73,975,000
Unrealized Gain	0		6,392,000
Unrealized Loss	(29,847,000)		(206,000)
Estimated Fair Value	$ 47,411,000		$ 80,161,000
Net Weighted Average Coupon (as a percent)	6.50%		6.70%
Total
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 822,402,000		$ 2,154,864,000
Unamortized Premium (Discount), net	(39,484,000)		16,133,000
Discount Designated as Credit Reserve and OTTI			(48,475,000)
Amortized Cost	807,685,000		2,149,607,000
Unrealized Gain	28,749,000		90,911,000
Unrealized Loss	(89,071,000)		(11,933,000)
Estimated Fair Value	$ 754,645,000		$ 2,237,249,000
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 4 months 24 days	7 years 10 months 24 days
Agency interest only strips accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Notional balance			$ 160,200,000
Residual interests in asset-backed securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 0
Amortized Cost	$ 9,400,000		$ 10,700,000

Mortgage-Backed Securities an_4

Mortgage-Backed Securities and other securities - Purchase discount and premium (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Discount Designated as Credit Reserve and OTTI
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings	$ 0	$ (1,232)
Non-Agency RMBS and Non-Agency CMBS and other securities
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period		(53,523)
Realized credit losses		3,001
Sales		2,694
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings		(966)
Transfers/release of credit reserve		(1,293)
Balance at end of period		(50,087)
Accretable Discount
Balance at beginning of period		(29,465)
Accretion of discount		1,277
Transfers/release of credit reserve		(556)
Balance at end of period		(27,632)
Amortizable Premium
Balance at beginning of period		(14,928)
Amortization of premium		(481)
Sales		(523)
Transfers/release of credit reserve		(737)
Balance at end of period		$ (14,661)

Mortgage-Backed Securities an_5

Mortgage-Backed Securities and other securities - Type of security (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 413,394	$ 1,435,477
Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	68,875	973,189
Agency CMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	344,519	462,288
Agency CMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency CMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency CMBS Interest-Only Strips, accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,792	3,092
Agency CMBS Interest-Only Strips, accounted for as derivatives | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency CMBS Interest-Only Strips, accounted for as derivatives | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency CMBS Interest-Only Strips, accounted for as derivatives | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency CMBS Interest-Only Strips, accounted for as derivatives | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,792	3,092
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value		340,771
Subtotal Agency | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value		0
Subtotal Agency | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value		0
Subtotal Agency | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value		340,771
Subtotal Agency | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value		0
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	9,952	10,343
Agency RMBS Interest-Only Strips | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,965	2,413
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,924	1,966
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,063	5,964
Agency RMBS Interest-Only Strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	4,490	5,572
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	545	669
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,192	3,893
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	753	1,010
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	430,628	1,795,255
Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	71,385	976,271
Agency MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	349,635	468,147
Agency MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,816	347,745
Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,792	3,092
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	250,309	316,019
Non-Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	69,336	89,782
Non-Agency CMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	116,300	125,282
Non-Agency CMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	63,839	92,610
Non-Agency CMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	834	8,345
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	21,123	38,131
Non-Agency RMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	7,732	8,966
Non-Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	13,391	29,165
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	5,174	7,683
Non-Agency RMBS Interest-Only Strips | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	744	1,716
Non-Agency RMBS Interest-Only Strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	4,430	5,967
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	276,606	361,833
Subtotal Non-Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	69,336	89,782
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	116,300	125,282
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	72,315	103,292
Subtotal Non-Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	18,655	43,477
Other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	47,411	80,161
Other securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	13,168	25,824
Other securities | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	10,937	31,823
Other securities | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	13,126	2,768
Other securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	10,180	19,746
Total
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	754,645	2,237,249
Total | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	153,889	1,091,877
Total | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	476,872	625,252
Total | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	92,257	453,805
Total | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 31,627	$ 66,315

Mortgage-Backed Securities an_6

Mortgage-Backed Securities and other securities - FV and unrealized loss (Details) $ in Thousands	Mar. 31, 2020USD ($)securityitem	Dec. 31, 2019USD ($)security
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 290,310	$ 412,552
Fair value, 12 months or more	18,642	19,897
Fair Value	308,952	432,449
Unrealized Losses
Unrealized losses, less than 12 Months	(86,010)	(11,267)
Unrealized losses, 12 months or more	(3,061)	(666)
Unrealized Losses	$ (89,071)	$ (11,933)
Number  of Securities
Number of securities, less than 12 months | security	67	55
Number of securities, 12 months or more | security	12	11
Number  of Securities | security	79	66
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months		$ 214,084
Fair value, 12 months or more		0
Fair Value		214,084
Unrealized Losses
Unrealized losses, less than 12 Months		(5,798)
Unrealized losses, 12 months or more		0
Unrealized Losses		$ (5,798)
Number  of Securities
Number of securities, less than 12 months | security		16
Number of securities, 12 months or more | security		0
Number  of Securities | security		16
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 731	$ 1,376
Fair value, 12 months or more	1,496	1,828
Fair Value	2,227	3,204
Unrealized Losses
Unrealized losses, less than 12 Months	(72)	(43)
Unrealized losses, 12 months or more	(243)	(95)
Unrealized Losses	$ (315)	$ (138)
Number  of Securities
Number of securities, less than 12 months | security	3	4
Number of securities, 12 months or more | security	7	7
Number  of Securities | security	10	11
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 731	$ 215,460
Fair value, 12 months or more	1,496	1,828
Fair Value	2,227	217,288
Unrealized Losses
Unrealized losses, less than 12 Months	(72)	(5,841)
Unrealized losses, 12 months or more	(243)	(95)
Unrealized Losses	$ (315)	$ (5,936)
Number  of Securities
Number of securities, less than 12 months | security	3	20
Number of securities, 12 months or more | security	7	7
Number  of Securities | security	10	27
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 218,447	$ 171,650
Fair value, 12 months or more	17,146	18,069
Fair Value	235,593	189,719
Unrealized Losses
Unrealized losses, less than 12 Months	(51,052)	(4,302)
Unrealized losses, 12 months or more	(2,818)	(571)
Unrealized Losses	$ (53,870)	$ (4,873)
Number  of Securities
Number of securities, less than 12 months | security	40	31
Number of securities, 12 months or more | security	5	4
Number  of Securities | security	45	35
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 18,993	$ 13,214
Fair value, 12 months or more	0	0
Fair Value	18,993	13,214
Unrealized Losses
Unrealized losses, less than 12 Months	(2,978)	(260)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (2,978)	$ (260)
Number  of Securities
Number of securities, less than 12 months	5	1
Number of securities, 12 months or more	0	0
Number  of Securities | security	5	1
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 4,728	$ 1,716
Fair value, 12 months or more	0	0
Fair Value	4,728	1,716
Unrealized Losses
Unrealized losses, less than 12 Months	(2,061)	(658)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (2,061)	$ (658)
Number  of Securities
Number of securities, less than 12 months	3	1
Number of securities, 12 months or more	0	0
Number  of Securities | security	3	1
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 242,168	$ 186,580
Fair value, 12 months or more	17,146	18,069
Fair Value	259,314	204,649
Unrealized Losses
Unrealized losses, less than 12 Months	(56,091)	(5,220)
Unrealized losses, 12 months or more	(2,818)	(571)
Unrealized Losses	$ (58,909)	$ (5,791)
Number  of Securities
Number of securities, less than 12 months | security	48	33
Number of securities, 12 months or more | security	5	4
Number  of Securities | security	53	37
Other securities
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 47,411	$ 10,512
Fair value, 12 months or more	0	0
Fair Value	47,411	10,512
Unrealized Losses
Unrealized losses, less than 12 Months	(29,847)	(206)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (29,847)	$ (206)
Number  of Securities
Number of securities, less than 12 months | security	16	2
Number of securities, 12 months or more | security	0	0
Number  of Securities | security	16	2

Mortgage-Backed Securities an_7

Mortgage-Backed Securities and other securities - Financing receivables (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment	$ 0	$ 1,232
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Amortization	(1,837)	(357)
Interest Income	54,846	52,033
Agency CMBS
Components of interest income
Coupon Interest	10,923	10,989
Net (Premium Amortization/Amortization Basis) Discount Amortization	(588)	(56)
Interest Income	10,335	10,933
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment		25
Components of interest income
Coupon Interest	2,756	871
Net (Premium Amortization/Amortization Basis) Discount Amortization	(842)	(655)
Interest Income	1,914	216
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment		966
Components of interest income
Coupon Interest	4,797	3,111
Net (Premium Amortization/Amortization Basis) Discount Amortization	968	924
Interest Income	5,765	4,035
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment		241
Components of interest income
Coupon Interest	1,151	1,207
Net (Premium Amortization/Amortization Basis) Discount Amortization	(641)	(477)
Interest Income	510	730
Other securities
Components of interest income
Coupon Interest	2,805	2,889
Net (Premium Amortization/Amortization Basis) Discount Amortization	(1,464)	(1,591)
Interest Income	1,341	1,298
Total
Components of interest income
Coupon Interest	22,432	19,067
Net (Premium Amortization/Amortization Basis) Discount Amortization	(2,567)	(1,855)
Interest Income	$ 19,865	$ 17,212

Mortgage-Backed Securities an_8

Mortgage-Backed Securities and other securities - Gross gains and losses (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Net Gain  (Loss)	$ 89,186	$ (5,105)
Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	1,259,032	206,710
Gross Gains	94,307	0
Gross Losses	(6,454)	(4,189)
Net Gain  (Loss)	87,853	(4,189)
Subtotal Agency
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	391,436	0
Gross Gains	10,420	0
Gross Losses	(38)	0
Net Gain  (Loss)	10,382	0
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	51,940	9,000
Gross Gains	1	0
Gross Losses	(8,802)	(829)
Net Gain  (Loss)	(8,801)	(829)
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	12,702	0
Gross Gains	0	0
Gross Losses	(16)	0
Net Gain  (Loss)	(16)	0
Other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	17,746	0
Gross Gains	113	0
Gross Losses	0	0
Net Gain  (Loss)	113	0
Total
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	1,732,856	215,710
Gross Gains	104,841	0
Gross Losses	(15,310)	(5,018)
Net Gain  (Loss)	$ 89,531	$ (5,018)

Mortgage-Backed Securities an_9

Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2020USD ($)loan	Dec. 31, 2019USD ($)loan
Variable Interest Entity [Line Items]
Number of commercial loans trusts	3	3
Variable interest entity, not primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of commercial loans trusts	8	10
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 74.6	$ 117.7

Residential Whole-Loans and B_3

Residential Whole-Loans and Bridge Loans - Narrative (Details) $ in Thousands	1 Months Ended	3 Months Ended	6 Months Ended	12 Months Ended
	May 31, 2019USD ($)	Mar. 31, 2020USD ($)loan	Jun. 30, 2019loan	Dec. 31, 2019USD ($)loan
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 1,553,715		$ 2,824,801
Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		3,543		3,529
Fair value		$ 1,309,795		$ 1,375,860
Principal  Balance		$ 1,352,778		1,325,443
Residential  Whole Loans | Variable interest entity, primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of Loans | loan		9
Residential  Whole Loans | VIE
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 285,400		$ 209,900
Number of Loans | loan		3,534
No of Loans | loan		13		12
Mortgage loans on real estate, principal amount of delinquent loans		$ 7,100		$ 7,100
Mortgage loans on real estate, number of loans, nonperforming, percentage		0.50%		0.50%
Mortgage loans on real estate weighted average loan to value, collateral dependent		62.30%		62.10%
Residential  Whole Loans | RCR Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 155,500		$ 164,300
Residential  Whole Loans | RNR Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net		23,300		8,100
Residential  Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net		919,000
Residential  Whole Loans | RBR Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 91,400		91,700
Non-QM | VIE
Variable Interest Entity [Line Items]
No of Loans | loan		265
Residential Bridge Loans | Variable interest entity, primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of Loans | loan		51
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 26,500		$ 32,100
Number of Loans | loan		56		76
No of Loans | loan		1
Mortgage loans on real estate, principal amount of delinquent loans		$ 124
Mortgage loans on real estate, number of loans, nonperforming, percentage		30.10%	32.60%
Principal  Balance		$ 29,650		$ 37,196
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan				12,100
Mortgage loans on real estate weighted average loan to value, collateral dependent		70.90%	72.10%
Foreclosed other real estate owned		$ 2,900
Estimated Fair Value | Residential  Whole Loans | VIE
Variable Interest Entity [Line Items]
Fair value		$ 6,600		6,700
Estimated Fair Value | Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
No of Loans | loan		20	27
Mortgage loans on real estate, principal amount of delinquent loans		$ 8,800
Fair value		$ 8,000		$ 11,400
Non-Qualifying Adjustable Rate Mortgage Loan | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		2,963
Conforming Fixed Rate Mortgage Loan | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		571
Investor Fixed Rate Mortgage Loan | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		9
Arroyo Trust | Residential  Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Transfered of non-qm residential whole loans	$ 945,500

Residential Whole-Loans and B_4

Residential Whole-Loans and Bridge Loans - Summary of the assets and liabilities of the residential and commercial loan trusts (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019
Variable Interest Entity [Line Items]
Cash and cash equivalents	$ 10,342	$ 31,331	$ 19,558
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795	1,375,860
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571	34,897
Investment related receivable	72,826	19,931
Interest receivable	14,805	19,413
Other assets	5,697	4,509
Total assets	3,203,583	5,160,971
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	1,139,121	1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	6,429	15,001
Accounts payable and accrued expenses	6,307	3,188
Other liabilities	45,779	52,948
Total liabilities	3,021,350	4,596,510
Fair value of residential whole-loans pledged as collateral	1,309,795	1,375,860
Residential bridge loan, at fair value	26,050	33,269
VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents	4,542	7,589
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795	1,375,860
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571	34,897
Investment related receivable	24,738	19,138
Interest receivable	10,226	10,829
Other assets	101	90
Total assets	1,959,017	2,501,179
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	1,139,121	1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	3,215	3,886
Accounts payable and accrued expenses	128	185
Other liabilities	33,229	52,948
Total liabilities	1,175,693	1,534,473
Fair value of residential whole-loans pledged as collateral	1,309,795	1,375,860
Residential bridge loan, at fair value	24,987	31,748
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents	4,542	1,811
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795	1,375,860
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571	34,897
Investment related receivable	24,738	19,138
Interest receivable	8,517	7,840
Other assets	101	90
Total assets	1,375,264	1,439,636
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)	742,297	795,811
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)	2,210	2,367
Accounts payable and accrued expenses	122	173
Total liabilities	744,629	798,351
Fair value of residential whole-loans pledged as collateral	1,309,795	1,375,860
Residential bridge loan, at fair value	$ 24,987	$ 31,748

Residential Whole-Loans and B_5

Residential Whole-Loans and Bridge Loans - Components of the fair value of Residential Whole-Loans (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Residential  Whole Loans
Variable Interest Entity [Line Items]
Principal  Balance	$ 1,352,778	$ 1,325,443
Unamortized premium	30,983	28,588
Unamortized discount	(2,662)	(2,839)
Amortized cost	1,381,099	1,351,192
Gross unrealized gains	227	26,363
Gross unrealized losses	(71,531)	(1,695)
Fair value	1,309,795	1,375,860
Residential Bridge Loans, At Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	27,059	34,041
Unamortized premium	52	79
Unamortized discount	(7)	(13)
Amortized cost	27,104	34,107
Gross unrealized gains	3	10
Gross unrealized losses	(1,057)	(848)
Fair value	26,050	33,269
Residential Bridge Loans, At Amortized Cost
Variable Interest Entity [Line Items]
Principal  Balance	2,591	3,155
Unamortized premium	3	6
Unamortized discount	(10)	(11)
Amortized cost	$ 2,584	$ 3,150

Residential Whole-Loans and B_6

Residential Whole-Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands	3 Months Ended	6 Months Ended	12 Months Ended
	Mar. 31, 2020USD ($)loanscore	Jun. 30, 2019loan	Dec. 31, 2019USD ($)loanscore
Variable Interest Entity [Line Items]
Contractual  Maturity  (years)			5 months 18 days
Fair value of residential whole-loans pledged as collateral	$ 1,309,795		$ 1,375,860
VIE
Variable Interest Entity [Line Items]
Fair value of residential whole-loans pledged as collateral	$ 1,309,795		$ 1,375,860
3.01 – 4.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	52		53
Principal  Balance	$ 17,940		$ 17,284
Original LTV	62.70%		61.70%
Contractual  Maturity  (years)	28 years 1 month 6 days		28 years
Coupon  Rate	3.90%		3.90%
Original FICO Score | score	734		736
Expected  Life (years)(2)	2 years 9 months 18 days		2 years 4 months 24 days
4.01– 5.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	1,716		1,689
Principal  Balance	$ 588,582		$ 557,144
Original LTV	61.80%		61.40%
Contractual  Maturity  (years)	28 years 6 months		28 years 6 months
Coupon  Rate	4.80%		4.80%
Original FICO Score | score	746		744
Expected  Life (years)(2)	2 years 3 months 18 days		2 years 9 months 18 days
5.01 – 6.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	1,707		1,682
Principal  Balance	$ 723,264		$ 713,397
Original LTV	62.20%		62.00%
Contractual  Maturity  (years)	28 years 1 month 6 days		28 years 3 months 18 days
Coupon  Rate	5.40%		5.40%
Original FICO Score | score	736		736
Expected  Life (years)(2)	2 years 7 months 6 days		3 years
6.01 – 7.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	66		103
Principal  Balance	$ 22,477		$ 37,102
Original LTV	58.20%		54.10%
Contractual  Maturity  (years)	26 years 9 months 18 days		25 years 3 months 18 days
Coupon  Rate	6.20%		6.20%
Original FICO Score | score	724		727
Expected  Life (years)(2)	3 years 6 months		3 years 9 months 18 days
7.01 - 8.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	2		2
Principal  Balance	$ 515		$ 516
Original LTV	73.20%		73.20%
Contractual  Maturity  (years)	28 years 4 months 24 days		28 years 7 months 6 days
Coupon  Rate	7.10%		7.10%
Original FICO Score | score	753		753
Expected  Life (years)(2)	4 years		4 years 8 months 12 days
Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan	3,543		3,529
Principal  Balance	$ 1,352,778		$ 1,325,443
Original LTV	62.00%		61.50%
Contractual  Maturity  (years)	28 years 2 months 12 days		28 years 3 months 18 days
Coupon  Rate	5.10%		5.20%
Original FICO Score | score	740		739
Expected  Life (years)(2)	2 years 6 months		3 years
Residential  Whole Loans | VIE
Variable Interest Entity [Line Items]
Number of Loans | loan	3,534
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans | loan	282	286
Principal  Balance	$ 94,400		$ 94,600
7.01 – 9.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	26
Principal  Balance	$ 17,823
Original LTV	67.40%
Coupon  Rate	8.40%
9.01 – 11.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	22		36
Principal  Balance	$ 8,711		$ 22,409
Original LTV	75.20%		70.20%
Contractual  Maturity  (years)	4 months 3 days		5 months 24 days
Coupon  Rate	10.20%		8.40%
11.01 – 13.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	6		28
Principal  Balance	$ 2,167		$ 9,972
Original LTV	64.30%		74.00%
Contractual  Maturity  (years)	4 months 9 days		5 months 18 days
Coupon  Rate	11.70%		10.10%
13.01 – 15.00%
Variable Interest Entity [Line Items]
Number of Loans | loan			9
Principal  Balance			$ 2,741
Original LTV			63.10%
Contractual  Maturity  (years)	2 months		2 months
Coupon  Rate			11.70%
15.01 – 17.00%
Variable Interest Entity [Line Items]
Number of Loans | loan			1
Principal  Balance			$ 1,125
Original LTV			75.00%
Contractual  Maturity  (years)	0 months		0 months
Coupon  Rate			13.50%
17.01 – 19.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	2		2
Principal  Balance	$ 949		$ 949
Original LTV	75.00%		75.00%
Contractual  Maturity  (years)	4 months 3 days		0 months
Coupon  Rate	18.00%		18.00%
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Number of Loans | loan	56		76
Principal  Balance	$ 29,650		$ 37,196
Original LTV	69.70%		71.00%
Coupon  Rate	9.50%		9.50%
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Fair value of residential whole-loans pledged as collateral	$ 1,309,795		$ 1,375,860
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%	7.01%
Minimum | 7.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon  Rate	701.00%
Minimum | 9.01 – 11.00%
Variable Interest Entity [Line Items]
Coupon  Rate	901.00%		901.00%
Minimum | 11.01 – 13.00%
Variable Interest Entity [Line Items]
Coupon  Rate	1101.00%		1101.00%
Minimum | 13.01 – 15.00%
Variable Interest Entity [Line Items]
Coupon  Rate			1301.00%
Minimum | 15.01 – 17.00%
Variable Interest Entity [Line Items]
Coupon  Rate			1501.00%
Minimum | 17.01 – 19.00%
Variable Interest Entity [Line Items]
Coupon  Rate	1701.00%		1701.00%
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%	8.00%
Maximum | 7.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon  Rate	900.00%
Maximum | 9.01 – 11.00%
Variable Interest Entity [Line Items]
Coupon  Rate	1100.00%		1100.00%
Maximum | 11.01 – 13.00%
Variable Interest Entity [Line Items]
Coupon  Rate	1300.00%		1300.00%
Maximum | 13.01 – 15.00%
Variable Interest Entity [Line Items]
Coupon  Rate			1500.00%
Maximum | 15.01 – 17.00%
Variable Interest Entity [Line Items]
Coupon  Rate			1700.00%
Maximum | 17.01 – 19.00%
Variable Interest Entity [Line Items]
Coupon  Rate	1900.00%		1900.00%

Residential Whole-Loans and B_7

Residential Whole-Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Residential  Whole Loans
Variable Interest Entity [Line Items]
Principal  Balance	$ 1,352,778	$ 1,325,443
Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal  Balance	$ 1,352,778	$ 1,325,443
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal  Balance	$ 29,650	$ 37,196
California | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	66.50%	66.10%
Principal  Balance	$ 899,344	$ 875,738
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	49.20%	50.40%
Principal  Balance	$ 14,598	$ 18,763
New York | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	15.90%	16.20%
Principal  Balance	$ 214,658	$ 214,141
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	14.60%	13.10%
Principal  Balance	$ 4,323	$ 4,863
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	3.10%	3.40%
Principal  Balance	$ 42,506	$ 45,189
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	2.80%	2.80%
Principal  Balance	$ 38,154	$ 36,641
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	10.50%	8.90%
Principal  Balance	$ 3,128	$ 3,296
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	2.20%	2.30%
Principal  Balance	$ 29,367	$ 30,450
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration		3.80%
Principal  Balance		$ 1,424
Other | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
Concentration	9.50%	9.20%
Principal  Balance	$ 128,749	$ 123,284
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	9.70%	11.70%
Principal  Balance	$ 2,849	$ 4,332
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	12.60%	12.10%
Principal  Balance	$ 3,748	$ 4,518
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	3.40%
Principal  Balance	$ 1,004

Residential Whole-Loans and B_8

Residential Whole-Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)loan
Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	3,543
Principal	$ 1,352,778
Fair value	$ 1,309,795
Bridge Loan
Variable Interest Entity [Line Items]
No of Loans | loan	56
Principal	$ 29,650
Fair value	28,634
Financing receivable amortized cost	$ 2,600
Financing Receivables, Current | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	3,462
Principal	$ 1,313,975
Fair value	$ 1,272,791
Financing Receivables, Current | Bridge Loan
Variable Interest Entity [Line Items]
No of Loans | loan	20
Principal	$ 13,124
Fair value	$ 13,071
Financial Asset, 1 to 29 Days Past Due | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	53
Principal	$ 22,403
Fair value	$ 21,522
Financial Asset, 1 to 29 Days Past Due | Bridge Loan
Variable Interest Entity [Line Items]
No of Loans | loan	8
Principal	$ 4,154
Fair value	$ 4,095
Financial Asset, 30 to 59 Days Past Due | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	11
Principal	$ 5,559
Fair value	$ 5,357
Financial Asset, 30 to 59 Days Past Due | Bridge Loan
Variable Interest Entity [Line Items]
No of Loans | loan	5
Principal	$ 2,468
Fair value	$ 2,427
Financial Asset, 60 to 89 Days Past Due | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	4
Principal	$ 3,779
Fair value	$ 3,550
Financial Asset, 60 to 89 Days Past Due | Bridge Loan
Variable Interest Entity [Line Items]
No of Loans | loan	2
Principal	$ 973
Fair value	$ 926
Financial Asset, Equal to or Greater than 90 Days Past Due | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	13
Principal	$ 7,062
Fair value	$ 6,575
Financial Asset, Equal to or Greater than 90 Days Past Due | Bridge Loan
Variable Interest Entity [Line Items]
No of Loans | loan	21
Principal	$ 8,931
Fair value	$ 8,115

Commercial Loans - Narrative (D

Commercial Loans - Narrative (Details) $ in Thousands	1 Months Ended			3 Months Ended	6 Months Ended	12 Months Ended
	Mar. 31, 2019USD ($)	Mar. 31, 2018	Nov. 30, 2015USD ($)	Mar. 31, 2020USD ($)entity	Jun. 30, 2019	Dec. 31, 2019USD ($)
Variable Interest Entity [Line Items]
Variable interest entity, number of entity | entity				2
Total assets				$ 3,203,583		$ 5,160,971
Securitized commercial loans, at fair value				477,131		909,040
Repurchased borrowings				47,500
Securitized commercial loans
Variable Interest Entity [Line Items]
LTV rate					65.50%
COVID response, borrowers requesting forbearance, principal balance				30,000
CMSC Trust
Variable Interest Entity [Line Items]
Securitized commercial loans, at fair value				23,900
Trust certificates issued				23,900
CMSC Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation			$ 14,000
Variable interest entity, fair value				13,300
London Interbank Offered Rate (LIBOR) | RETL Trust
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate		2.30%
CMSC Trust
Variable Interest Entity [Line Items]
Principal balance				23,943		24,048
Financing Receivables Gross Unrealized Loss Accumulated In Investments				147		0
RETL Trust
Variable Interest Entity [Line Items]
Principal balance				519,735		674,331
Financing Receivables Gross Unrealized Loss Accumulated In Investments				67,589		0
RETL Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation	$ 65,300
Variable interest entity, amount acquired, eligible risk retention	$ 45,300
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance				73,150		90,788
Financing Receivables Gross Unrealized Loss Accumulated In Investments				1,356		0
MRCD Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation						161,400
MRCD Trust | Class HRR | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation						10,500
Financing Receivables Gross Unrealized Loss Accumulated In Investments				43,700
VIE
Variable Interest Entity [Line Items]
Total assets				1,959,017		2,501,179
Securitized commercial loans, at fair value				477,131		909,040
VIE | Securitized commercial loans
Variable Interest Entity [Line Items]
Total assets				583,753		1,061,543
Securitized commercial loans, at fair value				477,131		$ 909,040
VIE | CMSC Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Total assets				$ 13,400

Commercial Loans - Commercial l

Commercial Loans - Commercial loans held (Details) - Securitized commercial loans - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Mar. 31, 2020	Jun. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate		65.50%
CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 259,426
Fair Value	248,624
RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	73,150
Fair Value	71,684
CRE 2 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	30,000
Fair Value	$ 28,779
Coupon  Rate	65.00%
CRE 4 | Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 50,000
Fair Value	$ 48,665
Coupon  Rate	75.00%
CRE 5 | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 90,000
Fair Value	$ 85,763
Coupon  Rate	58.00%
CRE 6 | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 40,000
Fair Value	$ 38,402
Coupon  Rate	63.00%
CRE 7 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 24,535
Fair Value	$ 23,251
Coupon  Rate	62.00%
CRE 8 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 13,207
Fair Value	$ 12,516
Coupon  Rate	62.00%
CRE 9 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 7,259
Fair Value	$ 6,879
Coupon  Rate	62.00%
CRE 10 | Assisted Living | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 4,425
Fair Value	$ 4,369
Coupon  Rate	79.00%
SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 45,188
Fair Value	$ 44,314
Coupon  Rate	74.00%
SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 13,600
Fair Value	$ 13,275
Coupon  Rate	84.00%
SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 14,362
Fair Value	$ 14,095
Coupon  Rate	49.00%
London Interbank Offered Rate (LIBOR) Floor | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	1.25%
London Interbank Offered Rate (LIBOR) Floor | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	2.00%
London Interbank Offered Rate (LIBOR) | CRE 2 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	450.00%
London Interbank Offered Rate (LIBOR) | CRE 4 | Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	475.00%
London Interbank Offered Rate (LIBOR) | CRE 5 | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	925.00%
London Interbank Offered Rate (LIBOR) | CRE 6 | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	302.00%
London Interbank Offered Rate (LIBOR) | CRE 7 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	375.00%
London Interbank Offered Rate (LIBOR) | CRE 8 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	375.00%
London Interbank Offered Rate (LIBOR) | CRE 9 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	375.00%
London Interbank Offered Rate (LIBOR) | CRE 10 | Assisted Living | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	485.00%
London Interbank Offered Rate (LIBOR) | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	425.00%
London Interbank Offered Rate (LIBOR) | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	400.00%
London Interbank Offered Rate (LIBOR) | SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	410.00%

Commercial Loans - Consolidated

Commercial Loans - Consolidated commercial loan trusts included in the Consolidated Balance Sheets (Details) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020USD ($)loan	Dec. 31, 2019USD ($)loan	Mar. 31, 2019USD ($)
Noncontrolling Interest [Line Items]
Number of commercial loans trusts | loan	3	3
Cash and cash equivalents	$ 10,342	$ 31,331	$ 19,558
Restricted cash	33,229	52,948	$ 71,178
Securitized commercial loans, at fair value	477,131	909,040
Commercial Loans, at fair value	320,308	350,213
Interest receivable	14,805	19,413
Total assets	3,203,583	5,160,971
Interest payable	6,429	15,001
Accounts payable and accrued expenses	6,307	3,188
Other liabilities	45,779	52,948
Total liabilities	3,021,350	4,596,510
VIE
Noncontrolling Interest [Line Items]
Cash and cash equivalents	4,542	7,589
Restricted cash	33,229	52,948
Securitized commercial loans, at fair value	477,131	909,040
Commercial Loans, at fair value	71,684	90,788
Interest receivable	10,226	10,829
Total assets	1,959,017	2,501,179
Interest payable	3,215	3,886
Accounts payable and accrued expenses	128	185
Other liabilities	33,229	52,948
Total liabilities	1,175,693	1,534,473
Securitized commercial loans | VIE
Noncontrolling Interest [Line Items]
Cash and cash equivalents	0	5,778
Restricted cash	33,229	52,948
Securitized commercial loans, at fair value	477,131	909,040
Commercial Loans, at fair value	71,684	90,788
Interest receivable	1,709	2,989
Total assets	583,753	1,061,543
Securitized debt, at fair value	396,824	681,643
Interest payable	1,005	1,519
Accounts payable and accrued expenses	6	12
Other liabilities	33,229	52,948
Total liabilities	$ 431,064	$ 736,122
Commercial Loans
Noncontrolling Interest [Line Items]
Number of commercial loans trusts | loan	5

Commercial Loans - Components o

Commercial Loans - Components of the carrying value of commercial real estate loans (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
CMSC Trust
Variable Interest Entity [Line Items]
Principal balance	$ 23,943	$ 24,048
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	23,943	24,048
Gross unrealized gains	0	9
Gross unrealized losses	(147)	0
Fair value	23,796	24,057
RETL Trust
Variable Interest Entity [Line Items]
Principal balance	519,735	674,331
Unamortized premium	1,189	1,836
Unamortized discount	0	0
Amortized cost	520,924	676,167
Gross unrealized gains	0	269
Gross unrealized losses	(67,589)	0
Fair value	453,335	676,436
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance	73,150	90,788
Unamortized premium	0	0
Unamortized discount	(110)	(215)
Amortized cost	73,040	90,573
Gross unrealized gains	0	215
Gross unrealized losses	(1,356)	0
Fair value	71,684	90,788
Commercial Mezzanine Loan
Variable Interest Entity [Line Items]
Principal balance	259,426	279,425
Unamortized premium	0	0
Unamortized discount	(203)	(294)
Amortized cost	259,223	279,131
Gross unrealized gains	0	294
Gross unrealized losses	(10,599)	0
Fair value	$ 248,624	$ 279,425

Commercial Loans - Schedule of

Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) - Commercial Loans $ in Thousands	Mar. 31, 2020USD ($)
Noncontrolling Interest [Line Items]
No of Loans	11
Principal	$ 332,576
Fair value	$ 320,308
Financing Receivables, Current
Noncontrolling Interest [Line Items]
No of Loans	11
Principal	$ 332,576
Fair value	$ 320,308
Financial Asset, 1 to 29 Days Past Due
Noncontrolling Interest [Line Items]
No of Loans	0
Principal	$ 0
Fair value	$ 0
Financial Asset, 30 to 59 Days Past Due
Noncontrolling Interest [Line Items]
No of Loans	0
Principal	$ 0
Fair value	$ 0
Financial Asset, 60 to 89 Days Past Due
Noncontrolling Interest [Line Items]
No of Loans	0
Principal	$ 0
Fair value	$ 0
Financial Asset, Equal to or Greater than 90 Days Past Due
Noncontrolling Interest [Line Items]
No of Loans	0
Principal	$ 0
Fair value	$ 0

Financings - Narrative (Details

Financings - Narrative (Details)	1 Months Ended	3 Months Ended
	May 31, 2019USD ($)	Mar. 31, 2020USD ($)agreementitem	Apr. 21, 2020USD ($)Counterparty	Dec. 31, 2019USD ($)
Short-term Debt [Line Items]
Number of repurchase agreements | agreement		7
Securities loaned, collateral, right to reclaim cash		$ 90,500,000		$ 43,500,000
Cash posted by counterparties		8,600,000		709,000
Securities purchased under agreements to resell, fair value of collateral		1,800,000		0
Securitized debt, at fair value		1,139,121,000		1,477,454,000
Repurchase agreements, net		$ 1,553,715,000		$ 2,824,801,000
Number of counterparties from whom entity borrowed under repurchase agreement | item		19
Subsequent Event
Short-term Debt [Line Items]
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty			3
RETL Trust
Short-term Debt [Line Items]
Trust certificates issued		$ 443,900,000
RETL Trust | Affiliated entities
Short-term Debt [Line Items]
Trust certificates issued		49,600,000
RETL Trust | Third parties
Short-term Debt [Line Items]
Trust certificates issued		394,200,000
CMSC Trust
Short-term Debt [Line Items]
Commercial pass-through certificate, amount		25,000,000
Trust certificates, fair value		$ 23,800,000
Debt instrument interest rate, effective percentage		8.90%
Securitized commercial loans | CMSC Trust
Short-term Debt [Line Items]
Amount acquired, eliminated in consolidation		$ 13,400,000
Securitized debt, at fair value		10,500,000
Residential  Whole Loans | Subsequent Event
Short-term Debt [Line Items]
Repurchase agreements, net			$ 385,000,000
Residential  Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Repurchase agreements, net		919,000,000
Securitized debt | Securitized commercial loans | CMSC Trust
Short-term Debt [Line Items]
Securitized debt, at fair value		10,500,000
Secured Debt | RETL Trust
Short-term Debt [Line Items]
Securitized debt, at fair value		453,336,000
Secured Debt | Arroyo Trust
Short-term Debt [Line Items]
Fair value		742,297,000
Secured Debt | Residential  Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Fair value		$ 756,700,000
Maximum aggregate collateral balance over original principal balance percentage		20.00%
Class C | Secured Debt | RETL Trust
Short-term Debt [Line Items]
Securitized debt, at fair value		$ 265,490,000
Estimated Fair Value | Class C | Secured Debt | RETL Trust
Short-term Debt [Line Items]
Commercial pass-through certificate, amount		26,300,000
Securitized debt, at fair value		$ 386,400,000
Arroyo Trust | Residential  Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Transfered of non-qm residential whole loans	$ 945,500,000

Financings - Borrowings under R

Financings - Borrowings under Repurchase Agreements (Details)	3 Months Ended	6 Months Ended	12 Months Ended
	Mar. 31, 2020USD ($)agreement	Jun. 30, 2019	Dec. 31, 2019USD ($)
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,553,781,000		$ 2,824,877,000
Less unamortized debt issuance costs	66,000		76,000
Repurchase agreements, net	$ 1,553,715,000		$ 2,824,801,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.50%		2.61%
Weighted Average Remaining Maturity (days)	271 days	179 days	179 days
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total	2.50%		2.61%
Number of long-term repurchase agreements | agreement	2
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 438,958,000		$ 371,726,000
Weighted Average Remaining Maturity (days)	829 days		1024 days
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.70%		3.70%
Repurchase agreements | Whole-Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 285,409,000		$ 209,878,000
Weighted Average Remaining Maturity (days)	1004 days		1358 days
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.67%		3.55%
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 153,549,000		$ 161,848,000
Weighted Average Remaining Maturity (days)	503 days		590 days
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.73%		3.88%
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,114,823,000		$ 2,453,151,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.42%		2.44%
Weighted Average Remaining Maturity (days)	51 days	51 days
Repurchase agreements | Subtotal Agency
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 437,577,000		$ 1,352,248,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	1.38%		2.05%
Weighted Average Remaining Maturity (days)	27 days	26 days
Repurchase agreements | Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 11,852,000		$ 348,274,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.35%		1.99%
Weighted Average Remaining Maturity (days)	21 days	52 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 214,972,000		$ 190,390,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	3.04%		3.05%
Weighted Average Remaining Maturity (days)	24 days	35 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 20,148,000		$ 30,481,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	3.09%		3.56%
Weighted Average Remaining Maturity (days)	8 days	9 days
Repurchase agreements | Whole-Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 272,458,000		$ 266,294,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.99%		3.14%
Weighted Average Remaining Maturity (days)	129 days	202 days
Repurchase agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 24,222,000		$ 29,869,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	3.79%		3.93%
Weighted Average Remaining Maturity (days)	28 days	28 days
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 47,547,000		$ 62,746,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	3.90%		4.04%
Weighted Average Remaining Maturity (days)	28 days	28 days
Repurchase agreements | Securitized commercial loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 32,803,000		$ 116,087,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	2.76%		3.93%
Weighted Average Remaining Maturity (days)	29 days	49 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 53,244,000		$ 56,762,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period	3.15%		3.23%
Weighted Average Remaining Maturity (days)	28 days	34 days
Residential Facility
Certain characteristics of the Company's repurchase agreements
Maximum borrowing capacity	$ 700,000,000
Commercial Facility
Certain characteristics of the Company's repurchase agreements
Maximum borrowing capacity	$ 200,000,000

Financings - Borrowings under_2

Financings - Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,553,781	$ 2,824,877
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	695,385	1,480,286
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	244,810	552,786
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	37,699	255,814
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 575,887	$ 535,991

Financings - Borrowings under_3

Financings - Borrowings under Repurchase Agreements-Risk by Counterparty (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)
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	$ 143,835
Weighted Average Remaining Maturity (days)	782 days
Percentage of  Stockholders’  Equity	78.90%
Barclays Capital Inc.
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	$ 42,491
Weighted Average Remaining Maturity (days)	24 days
Percentage of  Stockholders’  Equity	23.30%
Nomura Securities International, Inc.
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	$ 31,848
Weighted Average Remaining Maturity (days)	28 days
Percentage of  Stockholders’  Equity	17.50%
JP Morgan Securities LLC
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	$ 29,526
Weighted Average Remaining Maturity (days)	23 days
Percentage of  Stockholders’  Equity	16.20%

Financings - Collateral Positio

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	$ 27,571	$ 34,897
Accrued Interest	9,888	13,449
Assets Pledged and Accrued Interest	1,849,521	3,272,754
Assets pledged- fair value	1,839,633	3,259,305
VIE
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	27,571	34,897
Agency CMBS | VIE
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	14,442	356,687
Accrued Interest	354	1,336
Assets Pledged and Accrued Interest	14,796	358,023
Repurchase agreements
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	1,700,000	3,200,000
Repurchase agreements | Subtotal Agency
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	457,400	1,400,230
Accrued Interest	1,036	3,916
Assets Pledged and Accrued Interest	458,436	1,404,146
Repurchase agreements | Non-Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	239,351	246,797
Accrued Interest	1,085	951
Assets Pledged and Accrued Interest	240,436	247,748
Repurchase agreements | Non-Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	26,296	45,816
Accrued Interest	336	414
Assets Pledged and Accrued Interest	26,632	46,230
Repurchase agreements | Whole-Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	576,769	529,495
Accrued Interest	4,732	3,704
Assets Pledged and Accrued Interest	581,501	533,199
Repurchase agreements | Residential Bridge Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	27,571	34,897
Accrued Interest	359	471
Assets Pledged and Accrued Interest	27,930	35,368
Repurchase agreements | Commercial Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	320,308	350,213
Accrued Interest	1,723	1,855
Assets Pledged and Accrued Interest	322,031	352,068
Repurchase agreements | Securitized commercial loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	39,649	171,640
Accrued Interest	127	674
Assets Pledged and Accrued Interest	39,776	172,314
Repurchase agreements | Other securities
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	47,307	80,031
Accrued Interest	136	128
Assets Pledged and Accrued Interest	47,443	80,159
Repurchase agreements | Cash
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged and Accrued Interest	90,540	43,499
Assets pledged- fair value	$ 90,540	$ 43,499

Financings - Convertible Senior

Financings - Convertible Senior Unsecured Notes (Details) - 6.75% Convertible Senior Unsecured Notes - Convertible Debt	1 Months Ended
	Oct. 31, 2017$ / shares	Mar. 31, 2020USD ($)
Debt Conversion [Line Items]
Aggregate principal amount of 6.75% convertible senior unsecured notes | $		$ 205,000,000
Interest rate stated percentage	6.75%
Redemption price, percentage	100.00%
Convertible senior unsecured notes, conversion ratio	0.0831947000
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares	$ 12.02

Financings - Commercial Mortgag

Financings - Commercial Mortgage Pass-Through Certificates (Details) - Secured Debt	3 Months Ended
	Mar. 31, 2020USD ($)
RETL Trust
Debt Instrument [Line Items]
Principal Balance	$ 519,735,000
Fair Value	453,336,000
RETL Trust | Class A
Debt Instrument [Line Items]
Principal Balance	$ 64,835,000
Coupon	1.90%
Fair Value	$ 59,246,000
RETL Trust | Class B
Debt Instrument [Line Items]
Principal Balance	$ 101,200,000
Coupon	2.30%
Fair Value	$ 87,781,000
RETL Trust | Class C
Debt Instrument [Line Items]
Principal Balance	$ 308,400,000
Coupon	2.80%
Fair Value	$ 265,490,000
RETL Trust | Class HRR
Debt Instrument [Line Items]
Principal Balance	$ 45,300,000
Coupon	9.20%
Fair Value	$ 40,658,000
RETL Trust | Class X-CP
Debt Instrument [Line Items]
Coupon	2.80%
Fair Value	$ 130,000
Notional amount	308,400,000
RETL Trust | Class X-EXT
Debt Instrument [Line Items]
Fair Value	31,000
Notional amount	308,400,000
Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	747,377,000
Long-term Debt, Gross	747,371,000
Less: Unamortized Deferred Financing Costs	5,074,000
Total	742,297,000
Arroyo Trust | Class A-1
Debt Instrument [Line Items]
Principal Balance	$ 634,467,000
Coupon	3.30%
Long-term Debt, Gross	$ 634,464,000
Arroyo Trust | Class A-2
Debt Instrument [Line Items]
Principal Balance	$ 33,996,000
Coupon	3.50%
Long-term Debt, Gross	$ 33,995,000
Arroyo Trust | Class A-3
Debt Instrument [Line Items]
Principal Balance	$ 53,859,000
Coupon	3.80%
Long-term Debt, Gross	$ 53,857,000
Arroyo Trust | Class M-1
Debt Instrument [Line Items]
Principal Balance	$ 25,055,000
Coupon	4.80%
Long-term Debt, Gross	$ 25,055,000

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2020	Dec. 31, 2019
Due to Counterparties
Interest rate swaps and interest rate swaptions
Collateral already posted, aggregate fair value	$ 16.3	$ 0
Due From Counterparties
Interest rate swaps and interest rate swaptions
Collateral already posted, aggregate fair value	27.1	$ 55.4
Interest rate swaps | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Derivative, terminated	3,100
Interest rate swaps | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Derivative, terminated	$ 1,900

Derivative Instruments - Summar

Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Notional Amount
Notional Amount	$ 778,200	$ 1,000,000
Estimated Fair Value
Fair value of derivative assets	33,675	5,111
Derivative liability, at fair value	(43,967)	(6,370)
Derivative instruments not accounted as hedges under GAAP
Estimated Fair Value
Fair value of derivative assets	33,675	5,111
Derivative liability, at fair value	(43,967)	(6,370)
Total derivative instruments	(10,292)	(1,259)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	0	2,701,000
Notional amount, liabilities	0	1,255,000
Estimated Fair Value
Fair value of derivative assets	0	3,017
Derivative liability, at fair value	0	(501)
Swaptions | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	50,000	0
Notional amount, liabilities	255,000	0
Estimated Fair Value
Fair value of derivative assets	195	0
Derivative liability, at fair value	(14)	0
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	47,260	60,100
Notional amount, liabilities	97,260	90,900
Estimated Fair Value
Fair value of derivative assets	15,557	948
Derivative liability, at fair value	(22,106)	(3,795)
TBAs | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	778,200	1,000,000
Notional amount, liabilities	778,200	1,000,000
Notional Amount	0	0
Estimated Fair Value
Fair value of derivative assets	17,923	1,146
Derivative liability, at fair value	(21,847)	(2,074)
Total derivative instruments	(3,924)	(928)
Long | TBAs | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	778,200	1,000,000
Notional amount, liabilities	778,200	1,000,000
Estimated Fair Value
Fair value of derivative assets	17,923	1,146
Derivative liability, at fair value	$ (21,847)	$ (2,074)

Derivative Instruments - Gain o

Derivative Instruments - Gain or Loss (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	$ (135)	$ (4,889)
Return (Recovery) of Basis	(8,807)	11,313
Total	(189,691)	(27,148)
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(83)	(5,095)
Variation Margin Settlement	(179,759)	(37,838)
Return (Recovery) of Basis	(283)	933
Mark-to-Market	(8,807)	11,313
Contractual interest income (expense), net	(759)	3,539
Total	(189,691)	(27,148)
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	(262)	(3)
Variation Margin Settlement	(179,759)	(37,838)
Return (Recovery) of Basis	262	1,528
Mark-to-Market	(2,515)	7,090
Contractual interest income (expense), net	(1,395)	2,755
Total	(183,669)	(26,468)
Interest Rate Swaption | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Mark-to-Market	181
Total	181
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Return (Recovery) of Basis	(545)	(595)
Mark-to-Market	(839)	(59)
Contractual interest income (expense), net	636	784
Total	(748)	130
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		(4,503)
Mark-to-Market		4,657
Total		154
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	(1,315)	(589)
Mark-to-Market	(2,638)	(375)
Total	(3,953)	$ (964)
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	1,494
Mark-to-Market	(2,996)
Total	$ (1,502)

Derivative Instruments - Swap o

Derivative Instruments - Swap of Terms (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Mar. 31, 2020
Interest rate swaps and interest rate swaptions
Notional Amount	$ 1,000,000	$ 778,200
Derivative liability, at fair value	(6,370)	(43,967)
Derivative cash collateral	2,819	25,538
Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Derivative liability, at fair value	(6,370)	(43,967)
Fair Value	(1,259)	(10,292)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Notional amount, assets	2,701,000	0
Notional amount, liabilities	1,255,000	0
Derivative liability, at fair value	(501)	0
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 2,551,000
Derivative, average fixed interest rate	2.20%
Derivative, average variable interest rate	2.00%
Weighted Average Months Until Option Expiration	7 years 1 month 6 days
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 1,405,000
Derivative, average fixed interest rate	2.00%
Derivative, average variable interest rate	1.90%
Weighted Average Months Until Option Expiration	3 years 6 months
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | One Year Or Less | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 200,000
Derivative, average fixed interest rate	1.80%
Derivative, average variable interest rate	1.90%
Weighted Average Months Until Option Expiration	4 months 24 days
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Three Years And Less Than Five Years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 622,400
Derivative, average fixed interest rate	2.60%
Derivative, average variable interest rate	1.90%
Weighted Average Months Until Option Expiration	4 years 1 month 6 days
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Three Years And Less Than Five Years | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 550,000
Derivative, average fixed interest rate	1.90%
Derivative, average variable interest rate	1.60%
Weighted Average Months Until Option Expiration	5 years
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Five Years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 1,728,600
Derivative, average fixed interest rate	2.10%
Derivative, average variable interest rate	2.00%
Weighted Average Months Until Option Expiration	8 years 10 months 24 days
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Five Years | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 45,000
Derivative, average fixed interest rate	190000.00%
Derivative, average variable interest rate	230000.00%
Weighted Average Months Until Option Expiration	19 years 6 months
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than One Year And Less Than Three Years | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 810,000
Derivative, average fixed interest rate	2.00%
Derivative, average variable interest rate	2.00%
Weighted Average Months Until Option Expiration	1 year 7 months 6 days
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Notional amount, assets	$ 60,100	47,260
Notional amount, liabilities	90,900	97,260
Derivative liability, at fair value	$ (3,795)	$ (22,106)

Derivative Instruments - Swapti

Derivative Instruments - Swaptions (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Interest rate swaps and interest rate swaptions
Fair value of derivative assets	$ 33,675	$ 5,111
Derivative liability, at fair value	43,967	6,370
Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Fair value of derivative assets	33,675	5,111
Derivative liability, at fair value	43,967	$ 6,370
Interest Rate Swaption | Fixed Pay Rate | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Fair value of derivative assets	$ 195
Weighted Average Months Until Option Expiration	4 months
Notional amount, assets	$ 50,000
Weighted Average Swap Term (Years)	30 years
Interest Rate Swaption | Fixed Pay Rate | Minimum
Interest rate swaps and interest rate swaptions
Derivative, swaption interest rate	1.76%
Interest Rate Swaption | Fixed Pay Rate | Maximum
Interest rate swaps and interest rate swaptions
Derivative, swaption interest rate	2.00%
Interest Rate Swaption | Variable Pay Rate | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Derivative liability, at fair value	$ 14
Weighted Average Months Until Option Expiration	4 months
Notional amount, liabilities	$ (255,000)
Weighted Average Swap Term (Years)	5 years
Interest Rate Swaption | Variable Pay Rate | Minimum
Interest rate swaps and interest rate swaptions
Derivative, swaption interest rate	1.26%
Interest Rate Swaption | Variable Pay Rate | Maximum
Interest rate swaps and interest rate swaptions
Derivative, swaption interest rate	1.50%

Derivative Instruments - TBA se

Derivative Instruments - TBA securities (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Currency swaps and forwards
Derivative assets	$ 33,675	$ 5,111
Derivative liability, at fair value	(43,967)	(6,370)
Changes in notional amount
Beginning balance	1,000,000
Derivative, notional amount, additions	4,478,800
Terminated and settled	4,700,600
Ending balance	778,200
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative assets	33,675	5,111
Derivative liability, at fair value	(43,967)	(6,370)
Fair Value	(10,292)	(1,259)
TBAs | Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Notional amount, assets	778,200	1,000,000
Derivative assets	17,923	1,146
Notional amount, liabilities	(778,200)	(1,000,000)
Derivative liability, at fair value	(21,847)	(2,074)
Fair Value	(3,924)	(928)
Changes in notional amount
Beginning balance	0
Ending balance	0
TBAs | Derivative instruments not accounted as hedges under GAAP | Long
Currency swaps and forwards
Notional amount, assets	778,200	1,000,000
Derivative assets	17,923	1,146
Notional amount, liabilities	(778,200)	(1,000,000)
Derivative liability, at fair value	$ (21,847)	$ (2,074)

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities- Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts	$ 7,282	$ 8,665
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts offset in the consolidated balance sheets	0	0
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, Net amounts of assets presented in the consolidated balance sheets	7,282	8,665
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts not offset in the consolidated balance sheets, financial instruments	(7,282)	(8,665)
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, net amount	0	0
Derivative asset, at fair value
Derivative asset, at fair value, gross amounts	33,675	5,111
Derivative asset, at fair value, gross amounts offset in the consolidated balance sheets	0	0
Derivative asset, at fair value, net amounts of assets presented in the consolidated balance sheets	33,675	5,111
Derivative asset, at fair value, gross amounts not offset in the consolidated balance sheets, financial instruments	(18,429)	(2,576)
Derivative asset, at fair value, gross amounts not offset in the consolidated balance sheets, cash collateral	(14,809)	0
Derivative asset, at fair value, net amount	437	2,535
Receivable under reverse repurchase agreements
Receivable under reverse repurchase agreements, gross amounts	24,826
Receivable under reverse repurchase agreements, gross amounts offset in the consolidated balance sheets	0
Receivable under reverse repurchase agreements, net amounts of assets presented in the consolidated balance sheets	24,826
Receivable under reverse repurchase agreements, gross amounts not offset in the consolidated balance sheets, financial instruments	(20,767)
Receivable under reverse repurchase agreements, gross amounts not offset in the consolidated balance sheets, cash collateral	0
Receivable under reverse repurchase agreements, net amount	4,059
Total assets
Total assets, gross amounts	65,783	13,776
Total assets, gross amounts offset in the consolidated balance sheets	0	0
Total assets, net amounts of assets presented in the consolidated balance sheets	65,783	13,776
Total assets, gross amount not offset in the consolidated balance sheets, financial instruments	(46,478)	(11,241)
Total assets, gross amount not offset in the consolidated balance sheets, cash collateral	(14,809)	0
Total assets, net amount	4,496	2,535
Derivative liability, at fair value
Derivative liability, at fair value, gross amount	43,967	6,370
Derivative liability, at fair value, gross amounts offset in the consolidated balance sheets	0	0
Derivative liability, at fair value, net amounts of assets presented in the consolidated balance sheets	43,967	6,370
Derivative liability, at fair value, gross amounts not offset in the consolidated balance sheets, financial instruments	(18,429)	(2,576)
Derivative liability, at fair value, gross amounts not offset in the consolidated balance sheets, cash collateral	(25,538)	(2,819)
Derivative liability, at fair value, net amount	0	975
Repurchase Agreements
Repurchase agreements, gross amount	1,553,715	2,824,801
Repurchase agreements, gross amounts offset in the consolidated balance sheets	0	0
Repurchase agreements, net amounts of assets presented in the consolidated balance sheets	1,553,715	2,824,801
Repurchase agreements, gross amounts not offset in the consolidated balance sheets, financial instruments	(1,534,454)	(2,824,801)
Repurchase agreements, gross amounts not offset in the consolidated balance sheets, cash collateral	(13,162)	0
Repurchase agreements, net amount	6,099	0
Total liabilities
Total liabilities, gross amounts	1,597,682	2,831,171
Total liabilities, gross amounts offset in the consolidated balance sheet	0	0
Total liabilities, net amounts presented in the consolidated balance sheets	1,597,682	2,831,171
Total liabilities, gross amounts not offset in the consolidated balance sheets, financial instruments	(1,552,883)	(2,827,377)
Total liabilities, gross amounts not offset in the consolidated balance sheets, cash collateral	(38,700)	(2,819)
Total liabilities, net amount	6,099	975
Cash pledged to derivative counterparties	27,100	55,400
Fair value of investments pledged against repurchase agreements	$ 1,700,000	$ 3,200,000

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Related Party Transactions
Management fees	$ 1,039	$ 1,735
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	$ 1,000	1,700
Reimbursable employee costs	221	$ 215
Management fees incurred but not yet paid	3,000		$ 2,000
Reimbursable employee costs incurred but not yet paid	$ 232		$ 181
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%

Share-Based Payments (Details)

Share-Based Payments (Details) $ / shares in Units, $ in Thousands	Jun. 06, 2019loanshares	Mar. 28, 2019shares	Mar. 31, 2020USD ($)$ / sharesshares	Mar. 31, 2019USD ($)$ / sharesshares	Jun. 30, 2016shares	Dec. 31, 2019USD ($)shares
Share-Based Payments
Shares authorized (as a percent)			3.00%
Number of shares remained available for issuance (in shares)			687,417
Stock-based compensation expense recognized | $			$ 165	$ 70
Common Stock Outstanding
Share-Based Payments
Number of shares remained available for issuance (in shares)			1,582,594
Equity awards
Share-Based Payments
Unamortized compensation expense | $			$ 803			$ 968
Shares of Restricted Stock
Granted (in shares)					895,177
Restricted common stock
Share-Based Payments
Number of independent directors to whom awards were granted | loan	4
Vested (in shares)			36,000
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			103,480	136,364		138,592
Shares of Restricted Stock
Outstanding, beginning of period (in shares)			894,289	753,973
Granted (in shares)			888	108,888
Cancelled/forfeited (in shares)			0	0
Outstanding, end of period (in shares)			895,177	862,861
Unvested at end of year (in shares)			103,480	136,364		138,592
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares			$ 15.76	$ 16.77
Granted (in dollars per share) | $ / shares			10.67	10.50
Cancelled/forfeited (in dollars per share) | $ / shares			0	0
Outstanding at end of year (in dollars per share) | $ / shares			15.75	15.98
Unvested at end of year (in dollars per share) | $ / shares			$ 10.29	$ 10.56
Restricted common stock | March 2020
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			0			36,000
Shares of Restricted Stock
Unvested at end of year (in shares)			0			36,000
Restricted common stock | June 2020
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			31,480			30,592
Shares of Restricted Stock
Unvested at end of year (in shares)			31,480			30,592
Restricted common stock | March 2021
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			36,000			36,000
Shares of Restricted Stock
Unvested at end of year (in shares)			36,000			36,000
Restricted common stock | March 2022
Summary of restricted common stock vesting dates
Shares Vesting (in shares)			36,000			36,000
Shares of Restricted Stock
Unvested at end of year (in shares)			36,000			36,000
Restricted common stock | Management
Shares of Restricted Stock
Granted (in shares)		108,000
Restricted common stock | Management | March 2020
Weighted Average Grant Date Fair Value
Award vesting rights, percentage			33.00%
Restricted common stock | Management | March 2021
Weighted Average Grant Date Fair Value
Award vesting rights, percentage			33.00%
Restricted common stock | Management | March 2022
Weighted Average Grant Date Fair Value
Award vesting rights, percentage			33.00%
Restricted common stock | Director
Share-Based Payments
Awards granted to each of the entity's independent directors (in shares)	7,195
Shares of Restricted Stock
Granted (in shares)	28,780
Restricted common stock | Director Deferred Fee Plan
Shares of Restricted Stock
Granted (in shares)			888	888

Stockholders' Equity (Details)

Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands	Mar. 31, 2020	Oct. 25, 2019	Sep. 19, 2019	Jun. 20, 2019	Apr. 26, 2019	Mar. 21, 2019	Jan. 24, 2019	Dec. 19, 2018	Jul. 26, 2018	Mar. 31, 2020	Mar. 31, 2019	Dec. 19, 2019	Dec. 21, 2017	Apr. 30, 2017
Shareholders equity
Payments of stock issuance costs										$ 3	$ 174
Dividends, declared per share of common stock (in dollars per share)	$ 0		$ 0.31	$ 0.31		$ 0.31		$ 0.31
Shares authorized to be repurchased (in shares)	100,000									100,000		2,700,000	2,100,000
Dividends, cash paid per share of common stock (in dollars per share)		$ 0.31			$ 0.31		$ 0.31		$ 0.31
At The Market Offering | Common Stock Outstanding
Shareholders equity
Equity offering amount, maximum														$ 100,000

Net Income per Common Share (De

Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Numerator:
Net income (loss)	$ (381,857)	$ 27,876
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share	(381,855)	27,876
Less: Dividends and undistributed earnings allocated to participating securities	0	70
Net income (loss) allocable to common stockholders — basic and diluted	$ (381,857)	$ 27,806
Denominator:
Weighted average common shares outstanding for basic earnings per share	53,402,623	48,116,379
Weighted average common shares outstanding for diluted earnings per share	53,402,623	48,116,379
Basic earnings per common share (in dollars per share)	$ (7.15)	$ 0.58
Diluted earnings per common share (in dollars per share)	$ (7.15)	$ 0.58

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Valuation Allowance [Line Items]
Current federal, state and local, tax expense (benefit)	$ (93)	$ 12
Deferred tax assets, gross	10,600		$ 8,500
Capital Loss Carryforward
Valuation Allowance [Line Items]
Valuation allowances balance	10,600		8,500
Operating Loss Carryforwards
Valuation Allowance [Line Items]
Valuation allowances balance	32,200		6,900
State Jurisdiction
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	23,400		6,000
State Jurisdiction | Taxable REIT Subsidiary
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	$ 8,800		1,300
Domestic Tax Authority
Valuation Allowance [Line Items]
Deferred tax liabilities, net			$ 85

Subsequent Events (Details)

Subsequent Events (Details) $ in Thousands	Apr. 21, 2020USD ($)Counterparty	May 04, 2020USD ($)	Mar. 31, 2020USD ($)item	Dec. 31, 2019USD ($)
Subsequent Event [Line Items]
Repurchase agreements, net			$ 1,553,715	$ 2,824,801
Number of counterparties from whom entity borrowed under repurchase agreement | item			19
Residential  Whole Loans
Subsequent Event [Line Items]
Fair value			$ 1,309,795	$ 1,375,860
Subsequent Event
Subsequent Event [Line Items]
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty	3
Subsequent Event | Restated Facility
Subsequent Event [Line Items]
Mortgage loans on real estate, number of loans, nonperforming, percentage	84.00%
Debt instrument, term	18 months
Subsequent Event | Residential  Whole Loans
Subsequent Event [Line Items]
Repurchase agreements, net	$ 385,000
Fair value	430,000
Subsequent Event | Commercial And Residential Portfolio Segment
Subsequent Event [Line Items]
Repurchase agreements, net		$ 108,800
Fair value		$ 182,700
Financing Receivable, Percentage Of Excess Proceeds		50.00%
Subsequent Event | Commercial And Residential Portfolio Segment | London Interbank Offered Rate (LIBOR)
Subsequent Event [Line Items]
Loan variable rate		500.00%
Subsequent Event | Other securities
Subsequent Event [Line Items]
Repurchase agreements, net	18,200
Subsequent Event | Whole-Loans
Subsequent Event [Line Items]
Repurchase agreements, net	$ 148,600
Subsequent Event | Whole-Loans | Restated Facility
Subsequent Event [Line Items]
Exit percent fee	0.50%
Percentage of projected cash flow	30.00%
Subsequent Event | Non-Agency MBS
Subsequent Event [Line Items]
Repurchase agreements, net	$ 65,300
Subsequent Event | Agency MBS
Subsequent Event [Line Items]
Repurchase agreements, net	$ 370,300