Document and Entity Information - USD ($)	12 Months Ended
Document and Entity Information - USD ($)	Dec. 31, 2019	Mar. 03, 2020	Jun. 30, 2019
Document and Entity Information
Entity Registrant Name	Western Asset Mortgage Capital Corp
Entity Central Index Key	0001465885
Current Fiscal Year End Date	--12-31
Entity Filer Category	Accelerated Filer
Document Type	10-K
Document Period End Date	Dec. 31, 2019
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	FY
Amendment Flag	false
Entity Common Stock, Shares Outstanding (in shares)		53,523,876
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Shell Company	false
Entity Public Float			$ 514,733,789

Consolidated Balance Sheets - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Assets:
Cash and cash equivalents	$ 31,331	$ 21,987
Restricted cash	52,948	55,808
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860	1,041,885
Residential Bridge Loans ($33,269 and $211,999 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	36,419	221,719
Securitized commercial loans, at fair value	909,040	1,013,511
Commercial Loans, at fair value	350,213	196,123
Commercial Loans, at fair value ($350,213 and $196,123 pledged as collateral, at fair value, respectively)	370,213	216,123
Investment related receivable	19,931	42,945
Interest receivable	19,413	21,959
Due from counterparties	98,947	39,623
Derivative assets, at fair value	5,111	2,606
Other assets	4,509	2,488
Total assets	5,160,971	4,497,395
Liabilities:
Repurchase agreements, net	2,824,801	2,818,837
Convertible senior unsecured notes, net	197,299	110,060
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	1,477,454	949,626
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	15,001	8,532
Due to counterparties	709	17,781
Derivative liability, at fair value	6,370	10,130
Accounts payable and accrued expenses	3,188	3,858
Payable to affiliate	2,148	4,615
Dividend payable	16,592	14,916
Other liabilities	52,948	56,031
Total liabilities	4,596,510	3,994,386
Commitments and contingencies
Stockholders' Equity:
Common stock, $0.01 par value, 500,000,000 shares authorized, and 53,523,876 and 48,116,379 outstanding, respectively	535	481
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding	0	0
Additional paid-in capital	889,227	833,810
Retained earnings (accumulated deficit)	(325,301)	(331,282)
Total Stockholders' Equity	564,461	503,009
Total Liabilities and Stockholders' Equity	5,160,971	4,497,395
Subtotal Agency MBS
Assets:
Estimated Fair Value	1,795,255	1,505,979
Non-Agency MBS
Assets:
Estimated Fair Value	361,833	250,856
Other securities
Assets:
Estimated Fair Value	80,161	59,906
VIE
Assets:
Cash and cash equivalents	7,589	674
Restricted cash	52,948	55,808
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897	221,486
Securitized commercial loans, at fair value	909,040	1,013,511
Commercial Loans, at fair value	90,788	196,123
Investment related receivable		42,945
Interest receivable	10,829	15,540
Other assets	90	178
Total assets	2,501,179	2,588,150
Liabilities:
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	1,477,454	949,626
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	3,886	2,419
Accounts payable and accrued expenses	185	708
Other liabilities	52,948	56,033
Total liabilities	1,534,473	1,008,786
Residential Whole-Loan And Residential Bridge Loan \| VIE
Assets:
Cash and cash equivalents	1,811	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860	1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897	221,486
Commercial Loans, at fair value	0	30,000
Investment related receivable	19,138	42,945
Interest receivable	7,840	11,807
Other assets	90	178
Total assets	1,439,636	1,348,975
Liabilities:
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	795,811	0
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	2,367	0
Accounts payable and accrued expenses	173	677
Other liabilities	0	225
Total liabilities	$ 798,351	$ 902

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Fair value of residential whole-loans pledged as collateral	$ 1,375,860	$ 1,041,885
Residential bridge loan. at fair value	33,269	211,999
Commercial Loans, at fair value	350,213	196,123
Securitized debt	1,057
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	1,477,454	949,626
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	$ 15,001	$ 8,532
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 issued (in shares)	53,523,876	48,116,379
Common stock, shares outstanding (in shares)	53,523,876	48,116,379
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
Cash and cash equivalents	$ 31,331	$ 21,987
Restricted cash	52,948	55,808
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860	1,041,885
Securitized commercial loans, at fair value	909,040	1,013,511
Investment related receivable	19,931	42,945
Interest receivable	19,413	21,959
Other assets	4,509	2,488
Assets	5,160,971	4,497,395
Accounts payable and accrued expenses	3,188	3,858
Other liabilities	52,948	56,031
Liabilities	4,596,510	3,994,386
Subtotal Agency MBS
Fair value of mortgage-backed securities pledged as collateral	1,756,917	1,505,979
Non-Agency MBS
Fair value of mortgage-backed securities pledged as collateral	292,613	237,107
Other securities
Fair value of mortgage-backed securities pledged as collateral	80,031	59,780
Affiliated Entity
Securitized debt	681,643	949,626
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	142,905	246,802
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	647	816
VIE
Commercial Loans, at fair value	90,788	196,123
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	1,477,454	949,626
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	3,886	2,419
Cash and cash equivalents	7,589	674
Restricted cash	52,948	55,808
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)		1,041,885
Borrowings under repurchase agreements	31,748	211,766
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897	221,486
Securitized commercial loans, at fair value	909,040	1,013,511
Investment related receivable		42,945
Interest receivable	10,829	15,540
Other assets	90	178
Assets	2,501,179	2,588,150
Accounts payable and accrued expenses	185	708
Other liabilities	52,948	56,033
Liabilities	1,534,473	1,008,786
VIE \| Affiliated Entity
Securitized debt	681,643	949,626
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	142,905	246,802
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	647	816
VIE \| Residential Whole-Loan And Residential Bridge Loan
Commercial Loans, at fair value	0	30,000
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	795,811	0
Interest payable (includes $647 and $816 on securitized debt held by affiliates, respectively)	2,367	0
Cash and cash equivalents	1,811	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860	1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897	221,486
Investment related receivable	19,138	42,945
Interest receivable	7,840	11,807
Other assets	90	178
Assets	1,439,636	1,348,975
Accounts payable and accrued expenses	173	677
Other liabilities	0	225
Liabilities	$ 798,351	$ 902

Consolidated Statements of Operations - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Net Interest Income
Interest income	$ 217,264	$ 209,362	$ 124,291
Interest expense (includes $5,674, $13,739 and $981 on securitized debt held by affiliates, respectively)	150,274	138,240	48,373
Net Interest Income	66,990	71,122	75,918
Other Income (Loss)
Realized gain (loss) on sale of investments, net	28,278	(63,257)	20,598
Other than temporary impairment	8,574	11,180	22,873
Unrealized gain (loss), net	107,529	(24,671)	28,396
Gain (loss) on derivative instruments, net	(103,727)	77,969	3,292
Other, net	2,204	(189)	1,031
Other Income (Loss)	25,710	(21,328)	30,444
Expenses
Management fee to affiliate	7,354	8,673	8,100
Other operating expenses	5,519	6,076	2,419
General and administrative expenses:
Compensation expense	2,591	2,186	2,692
Professional fees	3,980	4,299	3,242
Other general and administrative expenses	1,500	1,442	1,325
Total general and administrative expenses	8,071	7,927	7,259
Total Expenses	20,944	22,676	17,778
Income before income taxes	71,756	27,118	88,584
Income tax provision (benefit)	1,057	709	3,487
Net income	$ 70,699	$ 26,409	$ 85,097
Net income per Common Share — Basic (in dollars per share)	$ 1.37	$ 0.61	$ 2.03
Net income per Common Share — Diluted (in dollars per share)	$ 1.37	$ 0.61	$ 2.03

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Interest Expense	$ 150,274	$ 138,240	$ 48,373
Affiliated Entity
Interest Expense	$ 5,674	$ 13,739	$ 981

Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands	Total	Common Stock Outstanding	Additional Paid-In Capital	Retained Earnings (Accumulated) Deficit	Treasury Stock
Balance (in shares) at Dec. 31, 2016		41,919,801
Balance at Dec. 31, 2016	$ 430,482	$ 419	$ 765,042	$ (334,979)	$ 0
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	981		981
Equity component of convertible senior unsecured notes	2,656		2,656
Treasury stock (in shares)		(125,722)
Treasury Stock	(1,232)				(1,232)
Net income (loss)	85,097			85,097
Dividends on common stock	(51,946)		84	(52,030)
Balance (in shares) at Dec. 31, 2017		41,794,079
Balance at Dec. 31, 2017	466,038	$ 419	768,763	(301,912)	(1,232)
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	265		265
Treasury Stock (in shares)		125,722
Treasury Stock	1,445		213		1,232
Net income (loss)	26,409			26,409
Dividends on common stock	(55,655)		124	(55,779)
Proceeds from public offerings of common stock (in shares)		6,196,578
Net proceeds from public offerings of common stock	64,880	$ 62	64,818
Offering costs	$ (373)		(373)
Balance (in shares) at Dec. 31, 2018	48,116,379	48,116,379
Balance at Dec. 31, 2018	$ 503,009	$ 481	833,810	(331,282)	0
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	564		564
Equity component of convertible senior unsecured notes	2,445		2,445
Net income (loss)	70,699			70,699
Dividends on common stock	(64,540)		178	(64,718)
Proceeds from public offerings of common stock (in shares)		5,299,497
Net proceeds from public offerings of common stock	52,714	$ 53	52,661
Offering costs	(430)		(430)
Grants of restricted stock (in shares)		108,000
Grants of restricted stock	$ 0	$ 1	(1)
Balance (in shares) at Dec. 31, 2019	53,523,876	53,523,876
Balance at Dec. 31, 2019	$ 564,461	$ 535	$ 889,227	$ (325,301)	$ 0

Consolidated Statements of Cash Flows $ in Thousands	12 Months Ended
Consolidated Statements of Cash Flows $ in Thousands	Dec. 31, 2019 USD ($)	Dec. 31, 2018 USD ($)	Dec. 31, 2017 USD ($)
Statement of Cash Flows [Abstract]
Net income (loss)	$ 70,699	$ 26,409	$ 85,097
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Premium amortization and (discount accretion), net	7,398	5,374	(2,070)
Interest income earned added to principal of securities	0	0	(46)
Amortization of deferred financing costs	1,488	767	192
Amortization of Debt Discount (Premium)	718	550	137
Restricted stock amortization	564	265	981
Interest payments and basis recovered on MAC interest rate swaps	5,772	2,465	525
Premium on purchase of Residential Whole Loans	(15,304)	(15,850)	(1,239)
Premium on purchase of Residential Bridge Loans	0	(3,889)	(753)
Premium on purchase of securitized commercial loans	(3,769)	(3,019)	0
Unrealized (gain) loss, net	(107,529)	24,671	(28,396)
Unrealized (gain) loss on derivative instruments, net	(9,390)	10,381	(148,308)
Other than temporary impairment	8,574	11,180	22,873
Realized loss on sale of real estate owned (REO), net	90	0	0
Realized (gain) loss on sale of investments, net	(28,368)	63,257	(20,598)
Other Settlements / Expirations	9,631	(10,316)	156,076
Loss on foreign currency transactions, net	0	0	1
Changes in operating assets and liabilities:
Decrease (increase) in interest receivable	2,546	(8,356)	5,209
Decrease (increase) in other assets	1,157	(184)	(1,763)
Increase (decrease) in interest payable	6,469	210	(7,719)
(Decrease) increase in accounts payable and accrued expenses	(519)	563	(274)
(Decrease) increase in payable to related party	(2,467)	2,574	(543)
Net cash (used in) provided by operating activities	(52,240)	107,052	59,382
Cash flows from investing activities:
Purchase of securities	(1,581,485)	(1,128,399)	(2,881,276)
Proceeds from sale of securities	1,136,617	2,430,054	1,593,914
Principal repayments and basis recovered on securities	126,091	123,837	240,785
Proceeds from sale of REO	1,033	0	0
Purchase of Residential Whole Loans	(563,821)	(873,911)	(87,640)
Principal repayments on Residential Whole Loans	254,125	76,942	42,176
Purchase of commercial loans	(350,232)	(235,857)	0
Principal repayments on commercial loans	197,245	20,638	0
Purchase of securitized commercial loans	(1,109,461)	(1,350,000)	0
Principal repayments on securitized commercial loans	1,214,688	361,781	154
Purchase of Residential Bridge Loans	0	(418,953)	(142,913)
Principal repayments on Residential Bridge Loans	211,316	274,964	31,794
Payment of premium for option derivatives	(780)	(1,757)	(16,355)
Premium received from option derivatives	2,158	1,236	14,553
Premium for credit default swaps, net	3,885	(297)	74
Net settlements of TBAs	1,934	(800)	4,035
Proceeds from (Payments on) termination of futures, net	(12,862)	6,112	(9,130)
Due from counterparties, net	(2,850)	0	8,449
Payments on total return swaps	0	0	(552)
Interest payments and basis recovered on MAC interest rate swaps	(5,772)	(2,465)	(525)
Premium for interest rate swaptions, net	(332)	0	(115)
Net cash used in investing activities	(478,503)	(716,875)	(1,202,572)
Cash flows from financing activities:
Net proceeds from issuance of common stock	52,714	64,880	0
Payment of offering costs	(580)	(195)	(94)
Repurchase of common stock	0	(1,733)	(1,094)
Proceeds from sale of treasury stock	0	3,177	0
Proceeds from repurchase agreement borrowings	21,381,571	21,472,963	18,438,166
Proceeds from convertible note offering	90,625	0	115,000
Repayments of repurchase agreement borrowings	(21,375,531)	(21,905,812)	(17,342,124)
Proceeds from securitized debt	1,828,361	1,285,219	0
Repayments of securitized debt	(1,292,141)	(344,612)	(68)
Proceeds from forward contracts	0	0	8,246
Repayments of forward contracts	0	0	(8,214)
Payments made for deferred financing costs	(8,522)	0	(3,837)
Due from counterparties, net	(56,474)	47,307	(9,707)
Due to counterparties, net	(17,072)	16,291	750
Increase (decrease) in other liabilities, net	(2,860)	55,808	0
Dividends paid on common stock	(62,864)	(53,699)	(51,981)
Net cash provided by financing activities	537,227	639,594	1,145,043
Effect of exchange rate changes on cash and cash equivalents	0	0	(1)
Net increase in cash and cash equivalents	6,484	29,771	1,852
Cash, cash equivalents and restricted cash, beginning of period	77,795	48,024	46,172
Cash, cash equivalents and restricted cash, end of period	84,279	77,795	48,024
Supplemental disclosure of operating cash flow information:
Interest paid	144,987	138,524	43,032
Income taxes paid	549	1,635	4,966
Supplemental disclosure of non-cash financing/investing activities:
Underwriting and offering costs payable	27	177	0
Repurchase of common stock, not settled	0	0	(137)
Securities purchased, not settled	0	0	(17,217)
Derivative collateral offset against derivatives	0	0	(157,913)
Dividends and distributions declared, not paid	16,592	14,916	12,960
Principal payments of Residential Whole Loans, not settled	17,254	9,230	2,286
Principal payments of Residential Bridge Loans, not settled	1,949	33,717	5,381
Other assets - Transfer of Bridge Loans to REO	5,029	143	0
Proceeds from sale of REO, not settled	728	0	0
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract]
Cash and cash equivalents	31,331	21,987	48,024
Restricted cash	$ 52,948	$ 55,808	$ 0

Organization	12 Months Ended
Organization	Dec. 31, 2019
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the "Company") commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, Whole Loans and other financial assets. The Company's portfolio is comprised of Agency CMBS, Agency RMBS (including TBAs), Non-Agency RMBS, Non-Agency CMBS, 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.

Basis of Presentation and Summary of Significant Accounting Policies

12 Months Ended

Dec. 31, 2019

Accounting Policies [Abstract]

Basis of Presentation and Summary of Significant Accounting Policies

Basis of Presentation and Consolidation

The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). 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.

Earnings (Loss) Per Share

GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company.

The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares.

Offering Costs

Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering.

Cash and Cash Equivalents

The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit.

Restricted Cash

Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in its consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use.

Valuation of Financial Instruments

The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows:

Level I — Quoted prices in active markets for identical assets or liabilities.

Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used.

The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments."

Mortgage-Backed Securities and Other Securities

The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities, these investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net.”

If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable.

The Company evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time.

When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as

of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” in the Consolidated Statements of Operations.

Increases in interest income may be recognized on a security in which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves.

In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided the Company did not intend to sell the security.

Residential Whole Loans

Investments in Residential Whole Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred.

On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as it has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated.

Residential Bridge Loans

For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred.

A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company evaluates each of its Residential Bridge Loans on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral less cost to sell, since these loans are collateral dependent. For loans the Company did not elect the fair value option, upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other

provisions such as guarantees. The Company will not record an allowance for loan loss for the Residential Bridge Loans that it has elected the fair value option.

Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated.

Securitized Commercial Loans

Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net."

The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated.

Commercial Loans

Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred.

The Company’s loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed. Interest income accrual is resumed when the loan becomes contractually current and performance is demonstrated.

Interest Income Recognition

Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase

Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest," using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization.

Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives

Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities.

Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively.

Loan Portfolio

Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations.

Purchases and Sales of Investments

The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract.

Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

Due From Counterparties / Due To Counterparties

"Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets.

Derivatives and Hedging Activities

Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected.

GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations.

In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties," but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net." Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows.

In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows.

The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations.

The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

Repurchase Agreements and Reverse Repurchase Agreements

Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense.

The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Cash Flows.

Convertible Senior Unsecured Notes

Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes.

Share-based Compensation

Compensation cost related to restricted common stock issued to the Company’s independent directors, including any restricted stock which is subject to a deferred compensation program, is measured at its fair value at the grant date and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates, is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis.

Income Taxes

The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders.

As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.

The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP.

From time to time the Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and its value, along with all other TRS's, may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2019, the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS.

Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheet date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision (benefit)" in the Consolidated Statements of Operations.

Comprehensive Income (Loss)

The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented.

Recently adopted accounting pronouncements



Description	Adoption Date	Effect on Financial Statements

In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception." Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.	First quarter 2019.	The adoption of this standard did not have a material impact on the Company's consolidated financial statements.

In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.	First quarter 2019.	The adoption of this standard did not have a material impact on the Copompany's consolidated financial statements.

In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.	First quarter 2019.	The adoption of this standard did not have a material impact on the Company's consolidated financial statements.

Recently issued accounting pronouncements



Description	Effective Date	Effect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. 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 Company evaluated the impact this standard will have on its consolidated financial statements. However, since the Company elects the fair value option for its financial assets, the adoption of this guidance will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will not have a material impact on its consolidated 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 standard may have on its consolidated financial statements.

Fair Value of Financial Instruments

12 Months Ended

Dec. 31, 2019

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

The following tables present the Company's financial instruments carried at fair value as of December 31, 2019 and December 31, 2018, based upon the valuation hierarchy (dollars in thousands):



	December 31, 2019
	Fair Value
Assets	Level I		Level II		Level III		Total
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 RMBS	—		—		38,131		38,131
Non-Agency RMBS Interest-Only Strips	—		—		7,683		7,683
Non-Agency CMBS	—		316,019		—		316,019
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
Commercial loans	—		—		370,213		370,213
Securitized 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



	December 31, 2018
	Fair Value
Assets	Level I		Level II		Level III		Total
Agency CMBS	$	—	$	1,481,984	$	—	$	1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		4,158		—		4,158
Agency RMBS Interest-Only Strips	—		—		12,135		12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		7,702		7,702
Subtotal Agency MBS	—		1,486,142		19,837		1,505,979

Non-Agency RMBS	—		—		39,026		39,026
Non-Agency RMBS Interest-Only Strips	—		—		11,529		11,529
Non-Agency CMBS	—		200,301		—		200,301
Subtotal Non-Agency MBS	—		200,301		50,555		250,856

Other securities	—		50,955		8,951		59,906
Total mortgage-backed securities and other securities	—		1,737,398		79,343		1,816,741

Residential Whole Loans	—		—		1,041,885		1,041,885
Residential Bridge Loans			—		211,999		211,999
Commercial loans	—		—		216,123		216,123
Securitized commercial loan	—		—		1,013,511		1,013,511
Derivative assets	—		2,606		—		2,606
Total Assets	$	—	$	1,740,004	$	2,562,861	$	4,302,865

Liabilities
Derivative liabilities	$	4,657	$	5,473	$	—	$	10,130
Securitized debt	—		947,340		2,286		949,626
Total Liabilities	$	4,657	$	952,813	$	2,286	$	959,756

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 RMBS and 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.

Values for the Conforming Residential Whole Loan Portfolio, are 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. 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 and/or futures contracts for the years ended December 31, 2019 and December 31, 2018.

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 December 31, 2019 and December 31, 2018 (dollars in thousands).



	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⁽³⁾	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 Lie	0.4		2.9			1.6



	Fair Value at			Range
	December 31, 2018	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average
Residential Whole-Loans	1,041,885	Discounted Cash Flow	Yield	3.5	%	7.9	%		5.5	%
			Weighted Average Life	0.8		10.3			2.8
Residential Bridge Loans	211,999	Discounted Cash Flow	Yield	5.6	%	145.3	%	⁽¹⁾	11.3	%
			Weighted Average Life	0.1		1.6			0.5
Commercial Loans:	216,123	Discounted Cash Flow	Yield	6.7	%	9.2	%		7.6	%
			Weighted Average Life	0.9		2.7			2.1


(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.


(2)	Excludes $175,294 Conforming Residential Whole Loans, which are 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:



	Year ended December 31, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential Whole Loans			Residential Bridge Loans			Commercial Loans			Securitized Commercial Loans			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	—			—			—			544,426			—			274,422			1,113,231			—
Sales and settlements	(401		)	—			—			—			—			—			—			3,769
Transfers to REO	—			—			—			—			(2,677		)	—			—			—
Principal repayments	—			(965		)	(555		)	(228,163		)	(175,422		)	(121,245		)	(1,214,688		)	—
Total net gains/losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(351		)	—			—			—
Other than temporary impairment	(222		)	(1,332		)	—			—			—			—			—			—
Unrealized gains/(losses), net on assets⁽¹⁾	762			(229		)	693			20,887			397			(122		)	(1,070		)	—
Unrealized (gains)/losses, net on liabilities⁽²⁾	—			—			—			—			—			—			—			(2,373		)
Premium and discount amortization, net	(4,061		)	(2,215		)	(279		)	(3,175		)	(677		)	1,035			(1,944		)	(2,625		)
Ending balance	$	15,915		$	45,814		$	17,196		$	1,375,860		$	33,269		$	370,213		$	909,040		$	1,057

Unrealized gains/(losses), net on assets held at the end of the period⁽¹⁾	$	780		$	(229	)	$	693		$	21,768		$	(488	)	$	128		$	(1,042	)	$	—
Unrealized gains/(losses), net on liabilities held at the end of the period⁽²⁾	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	375



	Year ended December 31, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential Whole Loans			Residential Bridge Loans			Commercial Loans		Securitized Commercial Loans			Securitized Debt
Beginning balance	$	17,217		$	8,735		$	9,239		$	237,423		$	64,526		$	—	$	24,876		$	10,945
Transfers into Level III from Level II	22,795			39,084			9,708			—			—			—		—			—
Transfers from Level III into Level II	(16,805		)	—			(8,697		)	—			—			—		—			(10,899		)
Purchases	2,093			8,602			—			860,576			207,705			215,322		1,353,020			—
Sales and settlements	—			(4,180		)	—			—			—			—		—			12
Principal repayments	(53		)	(307		)	(604		)	(55,186		)	(57,528		)	—		(361,782		)	(44		)
Total net gains / (losses) included in net income
Realized gains/(losses), net on assets	—			258			—			—			—			—		—			—
Other than temporary impairment	(735		)	(918		)	(161		)	—			—			—		—			—
Unrealized gains/(losses), net on assets⁽¹⁾	(630		)	1,183			(532		)	(415		)	(1,806		)	631		(16		)	—
Unrealized (gains)/losses, net on liabilities⁽²⁾	—			—			—			—			—			—		—			1,996
Premium and discount amortization, net	(4,045		)	(1,902		)	(2		)	(513		)	(898		)	170		(2,587		)	276
Ending balance	$	19,837		$	50,555		$	8,951		$	1,041,885		$	211,999		$	216,123	$	1,013,511		$	2,286

Unrealized gains/(losses), net on assets held at the end of the period⁽¹⁾	$	(272	)	$	1,184		$	(464	)	$	351		$	(1,370	)	$	631	$	(16	)	$	—
Unrealized gains/(losses), net on liabilities held at the end of the period⁽²⁾	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(1,998	)


(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 years ended December 31, 2019 and December 31, 2018 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 years ended December 31, 2019 and December 31, 2018.

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 December 31, 2019 and December 31, 2018, in the consolidated financial statements (dollars in thousands):



	December 31, 2019				December 31, 2018
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets
Residential Bridge Loans	$	3,150	$	3,148	$	9,720	$	9,603
Total	$	3,150	$	3,148	$	9,720	$	9,603

Liabilities
Borrowings under repurchase agreements	$	2,824,801	$	2,829,093	$	2,818,837	$	2,823,615
Convertible senior unsecured notes	197,299		209,172		110,060		108,531
Securitized debt⁽¹⁾	801,109		810,914		—		—
Total	$	3,823,209	$	3,849,179	$	2,928,897	$	2,932,146

^{(1) Carrying value excludes}^{$5.3 million}^{of deferred financing costs}

"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 bridge loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Borrowings under repurchase agreements

The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. This fair value measurement is based on observable inputs, and as such, are classified as Level II.

Convertible senior unsecured notes

The fair value of the convertible senior unsecured notes is based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I.

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 Level III. At December 31, 2019, 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.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details

Mortgage-Backed Securities and other securities

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

Mortgage-Backed Securities and other securities

The following tables present certain information about the Company's investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency 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	%



	December 31, 2018
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,493,675	$	5,820		$	—		$	1,499,495	$	12,083	$	(29,594	)	$	1,481,984	3.3	%
Agency CMBS Interest-Only Strips, accounted for as derivatives⁽¹⁾⁽²⁾	N/A		N/A			N/A			N/A		N/A		N/A			4,158		0.4	%
Subtotal Agency CMBS	1,493,675		5,820			—			1,499,495		12,083		(29,594		)	1,486,142		3.0	%
Agency RMBS Interest-Only Strips⁽¹⁾	N/A		N/A			N/A			11,480		1,062		(407		)	12,135		2.2	%
Agency RMBS Interest-Only Strips, accounted for as derivatives⁽¹⁾⁽²⁾	N/A		N/A			N/A			N/A		N/A		N/A			7,702		2.9	%
Subtotal Agency RMBS	—		—			—			11,480		1,062		(407		)	19,837		2.5	%
Total Agency MBS	1,493,675		5,820			—			1,510,975		13,145		(30,001		)	1,505,979		2.9	%

Non-Agency RMBS	54,887		6,909			(23,731		)	38,065		961		—			39,026		4.8	%
Non-Agency RMBS Interest- Only Strips⁽¹⁾	N/A		N/A			N/A			11,154		382		(7		)	11,529		0.6	%
Subtotal Non-Agency RMBS	54,887		6,909			(23,731		)	49,219		1,343		(7		)	50,555		1.0	%
Non-Agency CMBS	240,431		(20,317		)	(22,189		)	197,925		5,021		(2,645		)	200,301		5.9	%
Total Non-Agency MBS	295,318		(13,408		)	(45,920		)	247,144		6,364		(2,652		)	250,856		2.4	%

Other securities⁽³⁾	47,042		(1,129		)	(7,603		)	55,284		5,012		(390		)	59,906		9.0	%
Total	$	1,836,035	$	(8,717	)	$	(53,523	)	$	1,813,403	$	24,521	$	(33,043	)	$	1,816,741	2.9	%

(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 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. At December 31, 2018, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $158.8 million, $519.9 million, $89.8 million, $172.2 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 $10.7 million and $17.0 million, as of December 31, 2019 and December 31, 2018, respectively.

As of December 31, 2019 and December 31, 2018, the weighted average expected remaining term of the MBS and other securities investment portfolio was 7.9 years and 8.5 years, respectively.

The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):



	Year ended December 31, 2019									Year ended December 31, 2018									Year ended December 31, 2017
	Discount Designated as Credit Reserve and OTTI			Accretable Discount⁽¹⁾			Amortizable Premium⁽¹⁾			Discount Designated as Credit Reserve and OTTI			Accretable Discount⁽¹⁾			Amortizable Premium⁽¹⁾			Discount Designated as Credit Reserve and OTTI			Accretable Discount⁽¹⁾			Amortizable Premium⁽¹⁾
Balance at beginning of period	$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872		$	(130,484	)	$	(109,822	)	$	44,527
Accretion of discount	—			4,364			—			—			7,137			—			—			10,715			—
Amortization of premium	—			—			(1,215		)	—			—			(675		)	—			—			(843		)
Realized credit losses	7,290			—			—			5,863			—			—			2,391			—			—
Purchases	(28		)	(7,953		)	819			(7,182		)	(6,473		)	435			(19,385		)	(1,205		)	7,259
Sales	26,706			—			(19,640		)	32,301			40,338			(9,590		)	89,628			33,166			(31,118		)
Net impairment losses recognized in earnings	(6,612		)	—			—			(9,733		)	—			—			(15,310		)	—			—
Transfers/release of credit reserve⁽²⁾	(22,308		)	2,889			19,419			(1,857		)	(2,029		)	3,886			245			(1,292		)	1,047
Balance at end of period	$	(48,475	)	$	(30,165	)	$	14,311		$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872


(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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years			Total
Agency 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 RMBS	—		—		8,966		29,165			38,131
Non-Agency RMBS Interest-Only Strips	—		—		1,716		5,967			7,683
Non-Agency CMBS	89,782		125,282		92,610		8,345			316,019
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



	December 31, 2018
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years		Total
Agency CMBS	$	1,101,820	$	380,164	$	—	$	—	$	1,481,984
Agency CMBS Interest-Only Strips, accounted for as derivatives	—		—		—		4,158		4,158
Agency RMBS Interest-Only Strips	3,577		2,402		6,156		—		12,135
Agency RMBS Interest-Only Strips, accounted for as derivatives	1,089		4,053		2,560		—		7,702
Subtotal Agency	1,106,486		386,619		8,716		4,158		1,505,979

Non-Agency RMBS	—		—		8,540		30,486		39,026
Non-Agency RMBS Interest-Only Strips	—		—		4,310		7,219		11,529
Non-Agency CMBS	28,754		53,653		72,921		44,973		200,301
Subtotal Non-Agency	28,754		53,653		85,771		82,678		250,856

Other securities	7,698		26,020		—		26,188		59,906
Total	$	1,142,938	$	466,292	$	94,487	$	113,024	$	1,816,741

The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities
Agency 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 RMBS	13,214		(260		)	1	—		—			—	13,214		(260		)	1
Non-Agency RMBS Interest-Only Strips	1,716		(658		)	1	—		—			—	1,716		(658		)	1
Non-Agency CMBS	171,650		(4,302		)	31	18,069		(571		)	4	189,719		(4,873		)	35
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



	December 31, 2018
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities
Agency CMBS	$	29,413	$	(307	)	3	$	879,549	$	(29,287	)	72	$	908,962	$	(29,594	)	75
Agency RMBS Interest-Only Strips	3,277		(124		)	7	3,917		(283		)	9	7,194		(407		)	16
Subtotal Agency	32,690		(431		)	10	883,466		(29,570		)	81	916,156		(30,001		)	91

Non-Agency RMBS	—		—			—	500		—			1	500		—			1
Non-Agency RMBS Interest-Only Strips	957		(7		)	2	—		—			—	957		(7		)	2
Non-Agency CMBS	65,339		(712		)	7	19,323		(1,933		)	3	84,662		(2,645		)	10
Subtotal Non-Agency	66,296		(719		)	9	19,823		(1,933		)	4	86,119		(2,652		)	13

Other securities	15,208		(390		)	2	—		—			—	15,208		(390		)	2
Total	$	114,194	$	(1,540	)	21	$	903,289	$	(31,503	)	85	$	1,017,483	$	(33,043	)	106

At December 31, 2019 and December 31, 2018, the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity date.

Generally, the Company records Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral deteriorates, and or the scheduled payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate or the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities."

The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands):



	For the year ended December 31, 2019		For the year ended December 31, 2018		For the year ended December 31, 2017
Agency RMBS⁽¹⁾	$	74	$	807	$	5,774
Non-Agency RMBS	1,331		996		—
Non-Agency CMBS	6,565		8,660		15,117
Other securities	604		717		1,982
Total	$	8,574	$	11,180	$	22,873


(1)	Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable.

The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively (dollars in thousands):



	For the year ended December 31, 2019							For the year ended December 31, 2018							For the year ended December 31, 2017
	Coupon Interest		Net (Premium Amortization/ Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/ Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/ Amortization Basis) Discount Amortization			Interest Income
Agency CMBS	$	51,286	$	(2,327	)	$	48,959	$	60,148	$	(646	)	$	59,502	$	40,064	$	507		$	40,571
Agency RMBS	12,181		(3,053		)	9,128		19,507		(5,092		)	14,415		38,108		(13,058		)	25,050
Non-Agency RMBS	4,682		(2,214		)	2,468		7,120		(1,073		)	6,047		5,602		525			6,127
Non-Agency CMBS	14,178		4,017			18,195		20,058		6,366			26,424		19,179		8,276			27,455
Other securities	11,633		(6,472		)	5,161		14,805		(6,371		)	8,434		8,280		1,559			9,839
Total	$	93,960	$	(10,049	)	$	83,911	$	121,638	$	(6,816	)	$	114,822	$	111,233	$	(2,191	)	$	109,042

The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively (dollars in thousands):



	For the year ended December 31, 2019
	Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency CMBS	$	891,072	$	32,793	$	(4,190	)	$	28,603
Agency RMBS	205,310		1,559		—			1,559
Non-Agency CMBS	40,235		317		(1,624		)	(1,307		)
Total	$	1,136,617	$	34,669	$	(5,814	)	$	28,855



	For the year ended December 31, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency CMBS	$	1,534,967	$	—	$	(51,045	)	$	(51,045	)
Agency RMBS	589,854		18		(23,997		)	(23,979		)
Non-Agency RMBS	99,842		7,008		(478		)	6,530
Non-Agency CMBS	140,292		3,086		(6,201		)	(3,115		)
Other securities	65,099		8,400		—			8,400
Total	$	2,430,054	$	18,512	$	(81,721	)	$	(63,209	)



	For the year ended December 31, 2017
	Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS⁽¹⁾	$	1,251,985	$	5,020	$	(7,936	)	$	(2,916	)
Non-Agency RMBS⁽²⁾	243,838		24,356		(2,241		)	22,115
Non-Agency CMBS	54,875		2,543		(1,803		)	740
Other securities	38,447		713		(54		)	659
Total	$	1,589,145	$	32,632	$	(12,034	)	$	20,598


(1)	Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of approximately $432 thousand.


(2)	Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million, gross realized gains of $274 thousand and gross realized losses of $180 thousand.

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 December 31, 2019 and December 31, 2018, the Company held ten and seven 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 December 31, 2019 and December 31, 2018, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $117.7 million and $118.4 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 December 31, 2019 and December 31, 2018, 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 Bridge Loans

12 Months Ended

Dec. 31, 2019

Variable Interest Entities

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 December 31, 2019 and December 31, 2018, the Company financed the trust certificate with $209.9 million and $618.7 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 December 31, 2019, and December 31, 2018, the Company financed the trust certificate with $164.3 million and $250.4 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 December 31, 2019 and December 31, 2018, the Company's trust certificate was financed with $8.1 million and $15.1 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 December 31, 2019, the Company's trust certificate was financed with $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 December 31, 2019 and December 31, 2018, the Company financed the trust certificate with $32.1 million and $207.5 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 3,520 Residential Whole Loans and the consolidated Bridge Loan Trust holds 68 Residential Bridge Loans and 9 Residential Whole Loans as of December 31, 2019.

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash and cash equivalents	$	1,811	$	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	19,138		42,945
Interest receivable	7,840		11,807
Other assets	90		178
Total assets	$	1,439,636	$	1,348,975
Securitized debt, net	$	795,811	$	—
Interest payable	2,367		—
Accounts payable and accrued expenses	173		677
Other liabilities	—		225
Total liabilities	$	798,351	$	902

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 years ended December 31, 2019 and December 31, 2018.

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾						Residential Bridge Loans, at Amortized Cost⁽¹⁾
	December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	1,325,443		$	1,023,524		$	34,041		$	212,491		$	3,155		$	9,766
Unamortized premium	28,588			17,629			79			1,164			6			16
Unamortized discount	(2,839		)	(3,145		)	(13		)	(316		)	(11		)	(62		)
Amortized cost	1,351,192			1,038,008			34,107			213,339			3,150			9,720
Gross unrealized gains	26,363			7,573			10			212			N/A			N/A
Gross unrealized losses	(1,695		)	(3,696		)	(848		)	(1,552		)	N/A			N/A
Fair value	$	1,375,860		$	1,041,885		$	33,269		$	211,999		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 2,908 Non-QM adjustable rate mortgages, 612 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 December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years) ⁽²⁾	Contractual Maturity (years)	Coupon Rate
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.



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
3.01 - 4.00%	66	$	22,046	61.6	%	738	6.5	29.0	3.9	%
4.01 - 5.00%	1,395	490,073		62.3	%	739	3.0	29.0	4.8	%
5.01 - 6.00%	1,283	496,722		62.7	%	727	2.5	28.5	5.4	%
6.01 - 7.00%	37	14,589		59.5	%	731	1.5	24.8	6.2	%
7.01 - 8.00%	1	94		70.0	%	689	1.8	29.1	8.0	%
Total	2,782	$	1,023,524	62.4	%	733	2.8	28.7	5.1	%


(1)	The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 2018. The Company has excluded these loans from the weighted average computations.

The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



	December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	66.1	%	$	875,738	California	67.1	%	$	686,275
New York	16.2	%	214,141		New York	17.1	%	175,390
Georgia	3.4	%	45,189		Georgia	2.6	%	26,918
Florida	2.8	%	36,641		Massachusetts	2.1	%	21,197
New Jersey	2.3	%	30,450		Florida	1.9	%	19,942
Other	9.2	%	123,284		Other	9.2	%	93,802
Total	100.0	%	$	1,325,443	Total	100.0	%	$	1,023,524

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
7.01 – 9.00%	36	$	22,409	70.2	%	5.8	8.4	%
9.01 – 11.00%	28	9,972		74.0	%	5.6	10.1	%
11.01 - 13.00%	9	2,741		63.1	%	2.0	11.7	%
13.01 - 15.00%	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	%



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
5.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 9.00%	275	140,675		72.6	%	5.9	8.3	%
9.01 – 11.00%	186	63,954		73.8	%	4.4	9.9	%
11.01 – 13.00%	39	11,017		71.3	%	4.6	11.8	%
13.01 – 15.00%	1	88		65.0	%	4.0	14.0	%
17.01 - 19.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity.

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	50.4	%	$	18,763	California	53.9	%	$	119,761
Washington	13.1	%	4,863		New York	9.5	%	21,160
New York	12.1	%	4,518		Washington	6.6	%	14,711
Florida	8.9	%	3,296		Florida	5.7	%	12,672
New Jersey	3.8	%	1,424		New Jersey	4.7	%	10,419
Other	11.7	%	4,332		Other	19.6	%	43,534
Total	100.0	%	$	37,196	Total	100.0	%	$	222,257

Non-performing Loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2019 (dollars in thousands):



	Residential Whole Loans					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3467	$	1,300,238	$	1,350,590	41	$	23,353	$	23,329
1-30 days delinquent	41	13,537		14,012		2	303		306
31-60 days delinquent	5	1,338		1,334		4	1,147		1,135
61-90 days delinquent	4	3,205		3,224		2	285		280
90+ days delinquent	12	7,125		6,700		27	12,108		11,369
Total	3,529	$	1,325,443	$	1,375,860	76	$	37,196	$	36,419

(1) Includes $3.1 million loans carried at amortize cost.

Residential Whole Loans

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. No allowance or provision for credit losses was recorded as of and for the year ended December 31, 2019 since the valuation adjustment, 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. As of December 31, 2018, there were no Residential Whole-Loans in non-accrual status.

Residential Bridge Loans

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 approximately $12.1 million and a fair value of $11.4 million. These nonperforming loans represent 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%.

As of December 31, 2018, there were 3 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.1 million and 9 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $4.0 million and a fair value of $3.8 million. These nonperforming loans represented approximately 2.3% of the total outstanding Bridge Loans principal balance of $222.3 million. These loans are collateral dependent with a weighted average original LTV of 70.0%.

The Company concluded that an allowance for loan loss was not necessary for loans carried at amortized costs as of and for the years ended December 31, 2019 and December 31, 2018 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 loan loss was recorded as of and for the years ended December 31, 2019 and December 31, 2018 since the valuation adjustment, 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.

As of December 31, 2019, the Company had real estate owned ("REO") with an aggregate carrying value of $3.3 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 Sheet.

Commercial Loans

Securitized Commercial Loans

Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2019, the Company had variable interests in three CMBS VIEs, CMSC Trust 2015 - Longhouse MZ, RETL 2019-RVP and MRCD 2019-PRKC Mortgage Trust, 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 VIEs 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 $13.5 million and a fair value of $13.5 million at December 31, 2019. 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 $13.5 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.0 million mezzanine loan, which bears an interest rate of 9%, collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.0 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

RETL 2019-RVP and RETL 2018-RVP

In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL 2018 Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G of the Exchange Act. Under the credit risk retention rules, the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5%. The Company determined that RETL 2018 Trust was a VIE and that the Company was 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. The owner of 50% or more of the controlling class has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company consolidated RETL 2018 and its investment in the trust certificates (HRR class) of RETL 2018 was eliminated in the consolidation. In March 2019, the securitized debt was refinanced and the outstanding principal balance issued by RETL 2018 Trust was paid in full.

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 $674.3 million as of December 31, 2019. 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. The MRCD Trust holds two commercial loans, class A and class HRR, collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on class A commercial loan is $234.5 million as of December 31, 2019 and bears an interest rate of 4.27%. The outstanding principal

balance on class HRR commercial loan is $10.5 million as of December 31, 2019 and bears an interest rate of 12.02%. The loans' stated maturity date is December 9, 2024.

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 December 31, 2019 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 1

March 2018

Interest-Only Mezzanine loan

$

20,000

$

20,000

71%

1-Month LIBOR plus 6.50%

12/9/2020

Two One-Year Extensions

Hotel

CRE 2

June 2018

Interest-Only First Mortgage

30,000

65%

1-Month LIBOR plus 4.50%

6/9/2020

One-Year Extension

Hotel

CRE 4

June 2019

Principal & Interest First Mortgage

50,000

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

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

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

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

13,206

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

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

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

$

279,425

$

279,425

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 December 31, 2019, the Company financed the trust certificate with $62.7 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 December 31, 2019 (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

$

45,188

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

84%

One-Month LIBOR plus 4.00%⁽²⁾

12/1/2021

One-Year Extension

Apartment Complex

SBC 5

January 2019

Interest-Only First Mortgage

32,000

49%

One-Month LIBOR plus 4.10%

7/1/2021

None

Nursing Facilities

$

90,788

$

90,788

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of 2.00%.

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 four consolidated trusts, CMSC Trust, RETL 2019 Trust, MRCD Trust and RSBC Trust collectively hold seven commercial loans as of December 31, 2019.

The following table presents a summary of the assets and liabilities of the four consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash	$	5,778	$	—
Restricted cash	52,948		55,808
Securitized commercial loans, at fair value	909,040		1,013,511
Commercial Loans, at fair value	90,788		166,123
Interest receivable	2,989		3,733
Total assets	$	1,061,543	$	1,239,175
Securitized debt, at fair value	$	681,643	$	949,626
Interest payable	1,519		2,419
Accounts payable and accrued expenses	12		31
Other liabilities	52,948		55,808
Total liabilities	$	736,122	$	1,007,884

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 years ended December 31, 2019 and December 31, 2018.

The following table presents the components of the carrying value of the commercial real estate loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				MRCD Trust Commercial Loans, at Fair Value					RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	December 31, 2019		December 31, 2018			December 31, 2019		December 31, 2018		December 31, 2019			December 31, 2018		December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	24,048	$	24,456		$	674,331	$	988,609	$	245,000		$	—	$	90,788		$	166,432		$	279,425		$	50,000
Unamortized premium	—		—			1,836		431		—			—		—			—			—			—
Unamortized discount	—		—			—		—		(35,119		)	—		(215		)	(736		)	(294		)	(205		)
Amortized cost	24,048		24,456			676,167		989,040		209,881			—		90,573			165,696			279,131			49,795
Gross unrealized gains	9		—			269		29					—		215			427			294			205
Gross unrealized losses	—		(14		)	—		—		(1,334		)	—		—			—			—			—
Fair value	$	24,057	$	24,442		$	676,436	$	989,069	$	208,547		$	—	$	90,788		$	166,123		$	279,425		$	50,000

Commercial Loans Commercial Loans

12 Months Ended

Dec. 31, 2019

Noncontrolling Interest [Abstract]

Commercial 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 December 31, 2019 and December 31, 2018, the Company financed the trust certificate with $209.9 million and $618.7 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 December 31, 2019, and December 31, 2018, the Company financed the trust certificate with $164.3 million and $250.4 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 December 31, 2019 and December 31, 2018, the Company's trust certificate was financed with $8.1 million and $15.1 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 December 31, 2019, the Company's trust certificate was financed with $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 December 31, 2019 and December 31, 2018, the Company financed the trust certificate with $32.1 million and $207.5 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 3,520 Residential Whole Loans and the consolidated Bridge Loan Trust holds 68 Residential Bridge Loans and 9 Residential Whole Loans as of December 31, 2019.

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash and cash equivalents	$	1,811	$	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	19,138		42,945
Interest receivable	7,840		11,807
Other assets	90		178
Total assets	$	1,439,636	$	1,348,975
Securitized debt, net	$	795,811	$	—
Interest payable	2,367		—
Accounts payable and accrued expenses	173		677
Other liabilities	—		225
Total liabilities	$	798,351	$	902

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 years ended December 31, 2019 and December 31, 2018.

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾						Residential Bridge Loans, at Amortized Cost⁽¹⁾
	December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	1,325,443		$	1,023,524		$	34,041		$	212,491		$	3,155		$	9,766
Unamortized premium	28,588			17,629			79			1,164			6			16
Unamortized discount	(2,839		)	(3,145		)	(13		)	(316		)	(11		)	(62		)
Amortized cost	1,351,192			1,038,008			34,107			213,339			3,150			9,720
Gross unrealized gains	26,363			7,573			10			212			N/A			N/A
Gross unrealized losses	(1,695		)	(3,696		)	(848		)	(1,552		)	N/A			N/A
Fair value	$	1,375,860		$	1,041,885		$	33,269		$	211,999		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 2,908 Non-QM adjustable rate mortgages, 612 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 December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years) ⁽²⁾	Contractual Maturity (years)	Coupon Rate
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.



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
3.01 - 4.00%	66	$	22,046	61.6	%	738	6.5	29.0	3.9	%
4.01 - 5.00%	1,395	490,073		62.3	%	739	3.0	29.0	4.8	%
5.01 - 6.00%	1,283	496,722		62.7	%	727	2.5	28.5	5.4	%
6.01 - 7.00%	37	14,589		59.5	%	731	1.5	24.8	6.2	%
7.01 - 8.00%	1	94		70.0	%	689	1.8	29.1	8.0	%
Total	2,782	$	1,023,524	62.4	%	733	2.8	28.7	5.1	%


(1)	The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 2018. The Company has excluded these loans from the weighted average computations.

The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



	December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	66.1	%	$	875,738	California	67.1	%	$	686,275
New York	16.2	%	214,141		New York	17.1	%	175,390
Georgia	3.4	%	45,189		Georgia	2.6	%	26,918
Florida	2.8	%	36,641		Massachusetts	2.1	%	21,197
New Jersey	2.3	%	30,450		Florida	1.9	%	19,942
Other	9.2	%	123,284		Other	9.2	%	93,802
Total	100.0	%	$	1,325,443	Total	100.0	%	$	1,023,524

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
7.01 – 9.00%	36	$	22,409	70.2	%	5.8	8.4	%
9.01 – 11.00%	28	9,972		74.0	%	5.6	10.1	%
11.01 - 13.00%	9	2,741		63.1	%	2.0	11.7	%
13.01 - 15.00%	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	%



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
5.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 9.00%	275	140,675		72.6	%	5.9	8.3	%
9.01 – 11.00%	186	63,954		73.8	%	4.4	9.9	%
11.01 – 13.00%	39	11,017		71.3	%	4.6	11.8	%
13.01 – 15.00%	1	88		65.0	%	4.0	14.0	%
17.01 - 19.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity.

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	50.4	%	$	18,763	California	53.9	%	$	119,761
Washington	13.1	%	4,863		New York	9.5	%	21,160
New York	12.1	%	4,518		Washington	6.6	%	14,711
Florida	8.9	%	3,296		Florida	5.7	%	12,672
New Jersey	3.8	%	1,424		New Jersey	4.7	%	10,419
Other	11.7	%	4,332		Other	19.6	%	43,534
Total	100.0	%	$	37,196	Total	100.0	%	$	222,257

Non-performing Loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2019 (dollars in thousands):



	Residential Whole Loans					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3467	$	1,300,238	$	1,350,590	41	$	23,353	$	23,329
1-30 days delinquent	41	13,537		14,012		2	303		306
31-60 days delinquent	5	1,338		1,334		4	1,147		1,135
61-90 days delinquent	4	3,205		3,224		2	285		280
90+ days delinquent	12	7,125		6,700		27	12,108		11,369
Total	3,529	$	1,325,443	$	1,375,860	76	$	37,196	$	36,419

(1) Includes $3.1 million loans carried at amortize cost.

Residential Whole Loans

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. No allowance or provision for credit losses was recorded as of and for the year ended December 31, 2019 since the valuation adjustment, 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. As of December 31, 2018, there were no Residential Whole-Loans in non-accrual status.

Residential Bridge Loans

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 approximately $12.1 million and a fair value of $11.4 million. These nonperforming loans represent 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%.

As of December 31, 2018, there were 3 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.1 million and 9 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $4.0 million and a fair value of $3.8 million. These nonperforming loans represented approximately 2.3% of the total outstanding Bridge Loans principal balance of $222.3 million. These loans are collateral dependent with a weighted average original LTV of 70.0%.

The Company concluded that an allowance for loan loss was not necessary for loans carried at amortized costs as of and for the years ended December 31, 2019 and December 31, 2018 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 loan loss was recorded as of and for the years ended December 31, 2019 and December 31, 2018 since the valuation adjustment, 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.

As of December 31, 2019, the Company had real estate owned ("REO") with an aggregate carrying value of $3.3 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 Sheet.

Commercial Loans

Securitized Commercial Loans

Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2019, the Company had variable interests in three CMBS VIEs, CMSC Trust 2015 - Longhouse MZ, RETL 2019-RVP and MRCD 2019-PRKC Mortgage Trust, 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 VIEs 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 $13.5 million and a fair value of $13.5 million at December 31, 2019. 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 $13.5 million investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.0 million mezzanine loan, which bears an interest rate of 9%, collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.0 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

RETL 2019-RVP and RETL 2018-RVP

In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL 2018 Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G of the Exchange Act. Under the credit risk retention rules, the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5%. The Company determined that RETL 2018 Trust was a VIE and that the Company was 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. The owner of 50% or more of the controlling class has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company consolidated RETL 2018 and its investment in the trust certificates (HRR class) of RETL 2018 was eliminated in the consolidation. In March 2019, the securitized debt was refinanced and the outstanding principal balance issued by RETL 2018 Trust was paid in full.

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 $674.3 million as of December 31, 2019. 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. The MRCD Trust holds two commercial loans, class A and class HRR, collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on class A commercial loan is $234.5 million as of December 31, 2019 and bears an interest rate of 4.27%. The outstanding principal

balance on class HRR commercial loan is $10.5 million as of December 31, 2019 and bears an interest rate of 12.02%. The loans' stated maturity date is December 9, 2024.

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 December 31, 2019 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 1

March 2018

Interest-Only Mezzanine loan

$

20,000

$

20,000

71%

1-Month LIBOR plus 6.50%

12/9/2020

Two One-Year Extensions

Hotel

CRE 2

June 2018

Interest-Only First Mortgage

30,000

65%

1-Month LIBOR plus 4.50%

6/9/2020

One-Year Extension

Hotel

CRE 4

June 2019

Principal & Interest First Mortgage

50,000

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

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

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

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

13,206

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

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

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

$

279,425

$

279,425

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 December 31, 2019, the Company financed the trust certificate with $62.7 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 December 31, 2019 (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

$

45,188

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

84%

One-Month LIBOR plus 4.00%⁽²⁾

12/1/2021

One-Year Extension

Apartment Complex

SBC 5

January 2019

Interest-Only First Mortgage

32,000

49%

One-Month LIBOR plus 4.10%

7/1/2021

None

Nursing Facilities

$

90,788

$

90,788

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of 2.00%.

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 four consolidated trusts, CMSC Trust, RETL 2019 Trust, MRCD Trust and RSBC Trust collectively hold seven commercial loans as of December 31, 2019.

The following table presents a summary of the assets and liabilities of the four consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash	$	5,778	$	—
Restricted cash	52,948		55,808
Securitized commercial loans, at fair value	909,040		1,013,511
Commercial Loans, at fair value	90,788		166,123
Interest receivable	2,989		3,733
Total assets	$	1,061,543	$	1,239,175
Securitized debt, at fair value	$	681,643	$	949,626
Interest payable	1,519		2,419
Accounts payable and accrued expenses	12		31
Other liabilities	52,948		55,808
Total liabilities	$	736,122	$	1,007,884

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 years ended December 31, 2019 and December 31, 2018.

The following table presents the components of the carrying value of the commercial real estate loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				MRCD Trust Commercial Loans, at Fair Value					RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	December 31, 2019		December 31, 2018			December 31, 2019		December 31, 2018		December 31, 2019			December 31, 2018		December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	24,048	$	24,456		$	674,331	$	988,609	$	245,000		$	—	$	90,788		$	166,432		$	279,425		$	50,000
Unamortized premium	—		—			1,836		431		—			—		—			—			—			—
Unamortized discount	—		—			—		—		(35,119		)	—		(215		)	(736		)	(294		)	(205		)
Amortized cost	24,048		24,456			676,167		989,040		209,881			—		90,573			165,696			279,131			49,795
Gross unrealized gains	9		—			269		29					—		215			427			294			205
Gross unrealized losses	—		(14		)	—		—		(1,334		)	—		—			—			—			—
Fair value	$	24,057	$	24,442		$	676,436	$	989,069	$	208,547		$	—	$	90,788		$	166,123		$	279,425		$	50,000

Financings

12 Months Ended

Dec. 31, 2019

Debt Disclosure [Abstract]

Financings

Repurchase Agreements

The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a time frame as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. Under the terms of the repurchase agreements the Company may rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement as incremental collateral in order to increase the Company’s cash position. At December 31, 2019 and December 31, 2018, the Company did not have any rehypothecated U.S. Treasury securities.

Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of December 31, 2019.

As of December 31, 2019, the Company had 34 master repurchase agreements with its counterparties and borrowings under 21 of the 34 counterparties. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019					December 31, 2018
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	$	1,352,248	2.05	%	26	$	1,392,649	2.71	%	40
Agency RMBS	348,274		1.99	%	52	14,650		3.09	%	21
Non-Agency RMBS	30,481		3.56	%	9	30,922		4.06	%	18
Non-Agency CMBS	190,390		3.05	%	35	134,814		4.05	%	48
Residential Whole Loans⁽¹⁾	102,029		3.51	%	27	863,356		4.08	%	93
Residential Bridge Loans⁽¹⁾	29,869		3.93	%	28	204,754		4.50	%	25
Commercial Loans⁽¹⁾	62,746		4.04	%	28	131,788		4.55	%	26
Securitized commercial loans⁽¹⁾	116,087		3.93	%	49	7,543		4.30	%	15
Other securities	56,762		3.23	%	34	38,361		4.18	%	26
Subtotal	2,288,886		2.41	%	32	2,818,837		3.45	%	54
Long Term Borrowings:
Residential Whole Loans ^{(1) (2)}	374,143		3.27	%	898	—		—	%	—
Commercial Loans ⁽²⁾	161,848		3.88	%	590	—		—	%	—
Subtotal	535,991		3.45	%	805	—		—	%	—
Repurchase agreements borrowings	$	2,824,877	2.61	%	179	$	2,818,837	3.45	%	54
Less unamortized debt issuance costs	76		N/A		N/A	—		N/A		N/A
Repurchase agreements borrowings, net	$	2,824,801	2.61	%	179	$	2,818,837	3.45	%	54


(1)	Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in 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 December 31, 2019 and December 31, 2018, repurchase agreements collateralized by investments had the following remaining maturities:



(dollars in thousands)	December 31, 2019		December 31, 2018
1 to 29 days	$	1,480,286	$	1,867,957
30 to 59 days	552,786		144,778
60 to 89 days	255,814		555,695
Greater than or equal to 90 days	535,991		250,407
Total	$	2,824,877	$	2,818,837

At December 31, 2019, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):



	December 31, 2019
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders' Equity
Credit Suisse AG, Cayman Islands Branch	$	132,306	1024	23.4	%
Barclays Capital Inc.	73,203		38	13.0	%

Collateral for Borrowings under Repurchase Agreements

The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019						December 31, 2018
	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	$	1,400,230	$	3,916	$	1,404,146	$	1,486,142	$	4,262	$	1,490,404
Agency RMBS, at fair value	356,687		1,336		358,023		19,837		453		20,290
Non-Agency RMBS, at fair value	45,816		414		46,230		50,555		479		51,034
Non-Agency CMBS, at fair value	246,797		951		247,748		186,552		915		187,467
Residential Whole Loans, at fair value ⁽¹⁾	529,495		3,704		533,199		1,041,885		8,145		1,050,030
Residential Bridge Loans⁽¹⁾	34,897		471		35,368		221,486		3,528		225,014
Commercial Loans, at fair value⁽¹⁾	350,213		1,855		352,068		196,123		1,067		197,190
Securitized commercial loans, at fair value⁽¹⁾	171,640		674		172,314		13,688		88		13,776
Other securities, at fair value	80,031		128		80,159		59,780		147		59,927
Cash⁽²⁾	43,499		—		43,499		1,226		—		1,226
Total	$	3,259,305	$	13,449	$	3,272,754	$	3,277,274	$	19,084	$	3,296,358


(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 December 31, 2019 and December 31, 2018, investments held by counterparties as security for repurchase agreements totaled approximately $3.2 billion and approximately $3.3 billion, respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2019 and December 31, 2018 was approximately $43.5 million and $1.2 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2019 and December 31, 2018, was approximately $709 thousand and $17.8 million, respectively. In addition, at December 31, 2019 and December 31, 2018, the Company held securities with a fair value of $0 and $5.2 million, 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 December 31, 2019, the Company had $205.0 million aggregate principal amount of 6.75% convertible senior unsecured notes outstanding through three issuances described below.

In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes for net proceeds of $111.1 million. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity.

In August 2019, the Company issued an additional $40.0 million aggregate principal amount of 6.75% convertible senior unsecured notes (the "August 2019 Reopened Notes") for net proceeds of $38.8 million after subtracting underwriting commissions and debt offering expenses. The August 2019 Reopened Notes have substantially identical terms as the existing notes issued in October 2017. 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.

In December 2019, the Company issued another $50.0 million aggregate principal amount of 6.75% convertible senior unsecured notes (the "December 2019 Reopened Notes") for net proceeds of $49.2 million. The December 2019 Reopened Notes have substantially identical terms as the existing notes issued in October 2017. 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.

The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock.

Securitized Debt

CMSC Trust 2015 - Longhouse MZ

CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding principal balance of the trust certificates was $24.0 million at December 31, 2019, with a fair value of $24.1 million. The trust certificates bear a fixed interest rate of 8.9% and mature on June 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 $13.5 million of the trust certificates which was eliminated in consolidation and the remaining $10.6 million is held by related parties and is carried at a fair value of $10.6 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 $24.0 million at December 31, 2019, 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 December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	219,431	2.9%	$	219,567	3/15/2021
Class B	101,200		3.3%	101,326		3/15/2021
Class C	308,400		3.8%	309,171		3/15/2021
Class HRR	45,300		10.2%	45,314		3/15/2021
Class X-CP⁽¹⁾	N/A		1.2%	1,026		4/15/2020
Class X-EXT⁽¹⁾	N/A		—%	31		3/15/2021
	$	674,331		$	676,435

(1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each.

The Company acquired $30.6 million of the class C certificates and the entire class of HRR certificates principal, which are eliminated in consolidation and the remaining RETL debt with a fair value of $600.5 million is recorded in "Securitized debt, net" in the consolidated balance sheets. Of the remaining outstanding principal balance of $598.5 million, excluding the interest-only debt securities, $60.6 million is owned by related parties and $537.9 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 $674.3 million at December 31, 2019, 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 costs 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 December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	681,668	3.3%	$	681,666	4/25/2049
Class A-2	36,525		3.5%	36,524		4/25/2049
Class A-3	57,866		3.8%	57,864		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	801,114		$	801,109
Less: Unamortized Deferred Financing Costs	N/A			5,298
Total	$	801,114		$	795,811

The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities are eliminated in the consolidation. The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2019, Residential Whole Loans, with an outstanding principal balance of approximately $814.0 million, serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest.

MRCD Trust

The following table summarizes MRCD Trust's commercial mortgage pass-through certificates at December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	234,500	4.3%	$	198,104	12/9/2024
Class HRR	10,500		12.0%	10,443		12/9/2024
	$	245,000		$	208,547

The Company acquired $150.9 million of the class A certificates and the entire class of HRR certificates principal, which are eliminated in consolidation and the remaining MRCD debt with a fair value of $70.6 million is recorded in "Securitized debt,

net" in the consolidated balance sheets. The remaining outstanding principal balance of $83.6 million is owned by related parties. The securitized debt of the MRCD Trust can only be settled with the commercial loan, with an outstanding principal balance of approximately $245.0 million at December 31, 2019, 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."

Derivative Instruments

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

The Company's derivatives may include interest rate swaps, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps.

The following table summarizes the Company's derivative instruments at December 31, 2019 and December 31, 2018 (dollars in thousands):



			December 31, 2019					December 31, 2018
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		$	1,128,400	$	2,057
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	60,100		948			50,000		549
TBA securities, asset	Non-Hedge	Derivative assets, at fair value	1,000,000		1,146			—		—
Total derivative instruments, assets					5,111					2,606
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	1,255,000		(501		)	2,727,800		(5,473		)
Futures contracts, liability	Non-Hedge	Derivative liability, at fair value	—		—			300,400		(4,657		)
Credit default swaps, liability	Non-Hedge	Derivative liability, at fair value	90,900		(3,795		)	—		—
TBA securities, liability	Non-Hedge	Derivative liability, at fair value	1,000,000		(2,074		)	—		—
Total derivative instruments, liabilities					(6,370		)			(10,130		)
Total derivative instruments, net					$	(1,259	)			$	(7,524	)

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 years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):



	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net			Total
Year ended December 31, 2019
Interest rate swaps	$	(4,978	)	$	(108,169	)	$	5,769		$	5,140		$	3,732		$	(98,506	)
Interest rate swaptions	(332		)	—			—			—			—			(332		)
Interest-Only Strips—accounted for as derivatives	—			—			(2,688		)	(508		)	3,277			81
Options	1,378			—			—			—			—			1,378
Futures contracts	(12,862		)	—			—			4,657			—			(8,205		)
Credit default swaps	(178		)	—			—			1,029			—			851
TBAs	1,934			—			—			(928		)	—			1,006
Total	$	(15,038	)	$	(108,169	)	$	3,081		$	9,390		$	7,009		$	(103,727	)

Year ended December 31, 2018
Interest rate swaps	$	163		$	76,979		$	2,465		$	(5,147	)	$	3,693		$	78,153
Interest-Only Strips—accounted for as derivatives	—			—			(3,661		)	(655		)	4,511			195
Options	(871		)	—			—			300			—			(571		)
Futures contracts	6,112			—			—			(5,285		)	—			827
Credit default swaps	(241		)	—			—			396			—			155
TBAs	(800		)	—			—			10			—			(790		)
Total	$	4,363		$	76,979		$	(1,196	)	$	(10,381	)	$	8,204		$	77,969

Year ended December 31, 2017
Interest rate swaps	$	(150,607	)	$	20,258		$	524		$	148,947		$	(14,606	)	$	4,516
Interest rate swaptions	(115		)	—			—			—			—			(115		)
Interest-Only Strips—accounted for as derivatives	526			—			(5,995		)	(902		)	7,438			1,067
Options	(1,453		)	—			—			(300		)	—			(1,753		)
Futures contracts	(9,130		)	—			—			3,044			—			(6,086		)
Foreign currency forwards	32			—			—			35			—			67
Total return swap	(552		)	—			—			1,673			469			1,590
Credit default swaps	(11		)	—			(22		)	—			—			(33		)
TBAs	4,049			—			—			(10		)	—			4,039
Total	$	(157,261	)	$	20,258		$	(5,471	)	$	152,465		$	(6,699	)	$	3,292

At December 31, 2019 and December 31, 2018, the Company had cash pledged as collateral for its derivatives which represents upfront cash collateral upon the Company entering into an interest rate swap transaction and cash collateral for other derivatives of approximately $55.4 million and approximately $38.0 million respectively, which is reported in "Due from 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. At December 31, 2019, the Company had made upfront cash collateral payments of $52.6 million, which is classified in "Due from counterparties" in the Consolidated Balance Sheets. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described.

The Company has not elected to account for its interest rate swaps as "hedges" under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations.

Interest Rate Swaps

The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2019 and December 31, 2018 (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 Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 years 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
Greater than 5 years	45,000		1.9	%	2.3	%	19.5
Total	$	1,405,000	2.0	%	1.9	%	3.5



	December 31, 2018
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)
1 year or less	$	400,000	1.5	%	2.8	%	0.5
Greater than 1 year and less than 3 years	200,000		1.8	%	2.6	%	1.4
Greater than 3 years and less than 5 years	1,104,700		2.3	%	2.5	%	3.8
Greater than 5 years	1,423,100		2.5	%	2.5	%	9.9
Total	$	3,127,800	2.3	%	2.6	%	6.0



	December 31, 2018
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 5 years	$	728,400	2.5	%	2.4	%	8.3
Total	$	728,400	2.5	%	2.4	%	8.3

As of December 31, 2019 and December 31, 2018, the Company had no variable pay or fixed pay forward starting swaps.

Futures Contracts

The Company may enter into Eurodollar, Volatility Index and U.S. Treasury futures. As of December 31, 2019, the Company had no open futures contracts. As of December 31, 2018, the Company had entered into contracts to sell or short positions for U.S. Treasuries with a notional amount of $300.4 million, with a fair value in a liability position of $4.7 million and an expiration date of March 2019.

To-Be-Announced Securities

The Company purchased or sold TBAs during the years ended December 31, 2019 and December 31, 2018. There were no open TBA positions as of December 31, 2018. The following is a summary of the Company's TBA positions as of December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands):



	December 31, 2019
	Notional Amount			Fair Value
Purchase contracts, asset	$	1,000,000		$	1,146
Purchase contracts, liability	(1,000,000		)	(2,074		)
TBA securities, net	$	—		$	(928	)

The following tables present additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2019 (dollars in thousands):



	Notional Amount				Settlement, Termination,			Notional Amount
	December 31, 2018		Additions		Expiration or Exercise			December 31, 2019
Purchase of TBAs	$	—	$	3,200,000	$	(2,200,000	)	$	1,000,000
Sale of TBAs	$	—	$	3,200,000	$	(2,200,000	)	$	1,000,000

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

In 2019, the Company entered into credit default swaps and, in the future, may continue to enter into these types of credit derivatives. Under these instruments, the buyer makes a monthly premium payment over the term of the contract in exchange for the seller making a payment for losses of the reference securities, upon the occurrence of a specified credit event.

Offsetting Assets and Liabilities

12 Months Ended

Dec. 31, 2019

Offsetting [Abstract]

Offsetting Assets and Liabilities

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments⁽¹⁾			Cash Collateral⁽¹⁾			Net Amount
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 column of the tables above represents amounts pledged or received as collateral against derivative transactions.


(2)	Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, 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.



	December 31, 2018
	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments⁽¹⁾			Cash Collateral⁽¹⁾			Net Amount
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value⁽²⁾	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value⁽²⁾⁽³⁾	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements⁽⁴⁾	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

(1)

Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.


(1)	Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.


(2)	Cash collateral pledged against the Company's derivative counterparties was approximately $38.0 million as of December 31, 2018.


(3)	The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.3 billion as of December 31, 2018.

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	12 Months Ended
Related Party Transactions	Dec. 31, 2019
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. On August 3, 2016, the Company and the Manager entered into an amendment to the Management Agreement that amended the definition of "Equity" in the Management Agreement. Under the new definition, for all periods beginning on January 1, 2016, OTTI will reduce the Company's "Equity" for any completed fiscal quarter that OTTI was recognized, which in turn will reduce the Company's management fee from what would have been payable before the amendment. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company's 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, 2021 It is automatically renewed for one year terms on each May 15th unless previously terminated as described below. The Company's independent directors review the Manager's performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company's independent directors, based upon: (i) the Manager's unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company's determination that any fees payable to the Manager are not fair, subject to the Manager's right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company's independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company's Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company's independent directors, which is defined as: (i) the Manager's continued material breach of any provision of the Management Agreement (including the Manager's failure to comply with the Company's investment guidelines); (ii) the Manager's fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager's gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. In September 2018, the Company completed a secondary public offering in which it sold 6,500,000 shares of its common stock for net proceeds of approximately $67.7 million after subtracting underwriting commissions and offering expenses. Refer to Note12- "Stockholders' Equity" for details on the secondary public offering. The Company's Manager did not earn a management fee on the issued equity through March 31, 2019, to reduce any impact on earnings as the Company fully deployed the capital into its target assets. For the years ended December 31, 2019, December 31, 2018 and December 31, 2017 the Company incurred $7.4 million, $8.7 million and $8.1 million in management fees, respectively. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company, as defined in the Management Agreement. For the years ended December 31, 2019, December 31, 2018 and December 31, 2017, the Company recorded expenses included in general and administrative expenses totaling approximately $1.6 million, $1.5 million and $1.4 million, respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company's general and administrative expense in the Consolidated Statements of Operations. At December 31, 2019 and December 31, 2018, approximately $2.0 million and approximately $4.2 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at December 31, 2019 and December 31, 2018, approximately $181 thousand and approximately $379 thousand, respectively of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.

Share-Based Payments

12 Months Ended

Dec. 31, 2019

Share-based Compensation [Abstract]

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 offering, the number of shares of common stock available under the Equity Incentive Plans increased to 1,582,594. Approximately 894,289 of shares have been issued under the Equity Plans with 688,305 shares available for issuance as of December 31, 2019.

Under the Equity Plan, the Company made the following grants during the years ended December 31, 2019 and December 31, 2018:

On June 7, 2018, the Company granted a total of 25,904 shares (6,476 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares vested in full on June 1, 2019, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director.

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 will vest 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 years ended December 31, 2019, December 31, 2018 and December 31, 2017, 29,200, 84,203 and 152,630 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $564 thousand, $265 thousand and $981 thousand for the years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively. In addition, the Company had unamortized compensation expense of $968 thousand and $117 thousand for equity awards at December 31, 2019 and December 31, 2018, 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 December 31, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan:



	December 31, 2019	December 31, 2018
Vesting Date	Shares Vesting	Shares Vesting
June 2019	—	27,476
March 2020	36,000	—
June 2020	30,592	—
March 2021	36,000	—
March 2022	36,000	—
	138,592	27,476

The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan:



	December 31, 2019			December 31, 2018
	Shares of Restricted Stock	Weighted Average Grant Date Fair Value⁽¹⁾		Shares of Restricted Stock	Weighted Average Grant Date Fair Value⁽¹⁾
Outstanding at beginning of period	753,973	$	16.77	725,449	$	17.00
Granted⁽²⁾	140,316	10.34		28,524	10.75
Outstanding at end of period	894,289	$	15.76	753,973	$	16.77
Unvested at end of period	138,592	$	10.34	27,476	$	10.78


(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 3,536 shares and 2,620 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2019 and December 31, 2018, respectively.

Stockholders' Equity

12 Months Ended

Dec. 31, 2019

Stockholders' Equity Note [Abstract]

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. During the year ended December 31, 2019, the Company sold 299,497 shares under this agreement for net proceeds of $3.0 million.

Secondary Public Offerings

In September 2018, the Company completed a secondary public offering in which it sold 6,500,000 of its common stock, including 303,422 shares of treasury stock, at a price of $10.85 per share, for net proceeds of approximately $67.7 million after subtracting underwriting commissions and offering expenses of approximately $2.8 million. The Company used the net proceeds from the offering to opportunistically invest in its target assets in accordance with its investment guidelines.

In May 2019, the Company completed a secondary public offering in which it sold 5,000,000 shares of our common stock at a price of $10.14 per share, for net proceeds of approximately $49.3 million after subtracting underwriting commissions and offering expenses of approximately $1.4 million. The Company used the net proceeds from the offering to opportunistically invest in its target assets in accordance with its investment guidelines.

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. The Company has repurchased 303,422 shares of common stock accounted for as treasury stock pursuant to the authorization. In September 2018, the Company re-issued all 303,422 shares in treasury stock as part of its secondary public offering.

Dividends

The following table presents cash dividends declared and paid by the Company on its common stock:



Declaration Date	Record Date	Payment Date	Amount per Share		Tax Characterization
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

2018
December 19, 2018	December 31, 2018	January 25, 2019	$	0.31	Ordinary income
September 17, 2018	September 27, 2018	October 26, 2018	$	0.31	Ordinary income
June 21, 2018	July 2, 2018	July 26, 2018	$	0.31	Ordinary income
March 22, 2018	April 2, 2018	April 26, 2018	$	0.31	Ordinary income

Net Income per Common Share

12 Months Ended

Dec. 31, 2019

Earnings Per Share [Abstract]

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 years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars, other than shares and per share amounts, in thousands):



	For the year ended December 31, 2019		For the year ended December 31, 2018		For the year ended December 31, 2017
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$	70,699	$	26,409	$	85,097
Less:
Dividends and undistributed earnings allocated to participating securities	303		138		312
Net income allocable to common stockholders—basic and diluted	$	70,396	$	26,271	$	84,785
Denominator:
Weighted average common shares outstanding for basic earnings per share	51,278,932		43,388,810		41,817,455
Weighted average common shares outstanding for diluted earnings per share	51,278,932		43,388,810		41,817,455
Basic earnings per common share	$	1.37	$	0.61	$	2.03
Diluted earnings per common share	$	1.37	$	0.61	$	2.03

For the years ended December 31, 2019, December 31, 2018 and December 31, 2017, 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 years ended December 31, 2019, December 31, 2018 and December 31, 2017, 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

12 Months Ended

Dec. 31, 2019

Income Tax Disclosure [Abstract]

Income Taxes

As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests.

Based on the Company's analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of December 31, 2019. The Company files U.S. federal and state income tax returns. As of December 31, 2019, 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 TRS. Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. For the years ended December 31, 2019, December 31, 2018 and December 31, 2017, the Company recorded a federal and state tax provision of approximately $1.1 million, $709 thousand and $3.5 million, respectively.

The following table summarizes the Company's income tax provision for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):



	For the year ended December 31, 2019		For the year ended December 31, 2018		For the year ended December 31, 2017
Current Tax Provision (Benefit)
Federal	$	860	$	709	$	4,076
State	197		—		(267		)
Total Current Provision for Income Taxes, net	1,057		709		3,809
Deferred Provision (Benefit) for Income Taxes
Federal	—		—		85
State	—		—		(407		)
Total Deferred Benefit for Income Taxes, net	—		—		(322		)
Total Income Tax Provision, net	$	1,057	$	709	$	3,487

Deferred Tax Asset and Deferred Tax Liability

As of December 31, 2019 and December 31, 2018, the Company recorded a deferred tax asset of approximately $8.5 million and $6.0 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 full valuation allowance.

In addition, the REIT generated net operating losses ("NOL's") for the year ended December 31, 2017 related to its swap terminations and for the California return a portion of the NOL's is apportioned to the TRS. The Company recorded a deferred

state tax asset of $6.0 million and $5.5 million in the REIT and $1.3 million and $993 thousand in the TRS as of December 31, 2019 and December 31, 2018, respectively. The TRS can carryback the NOL's to each of the two preceding years and receive a refund for taxes paid. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $6.9 million and $6.1 million as of December 31, 2019 and December 31, 2018, respectively. The Company also recorded a deferred federal tax liability of $85 thousand, as of December 31, 2019 and December 31, 2018, in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL.

The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2019 and 2018 (dollars in thousands):



Deferred Tax Asset	December 31, 2019			December 31, 2018
Net operating loss available for carry-back and carry-forward ⁽¹⁾	$	7,295		$	6,503
Net capital loss carry-forward ⁽¹⁾	6,775			4,271
Investments	1,719			1,720
Deferred tax asset	15,789			12,494
Allowance	(15,382		)	(12,087		)
Net deferred tax asset	$	407		$	407



Deferred Tax Liability	December 31, 2019		December 31, 2018
Net operating loss available for carry-back and carry-forward	$	85	$	85
Net deferred tax liability	$	85	$	85

⁽^{1) Net operating loss available for carry-forward begin to expire in 2037. Net capital loss available for carry-forward begin to expire in 2020.}

Reconciliation of Tax Rate to Effective Tax Rate

The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows:



	For the year ended December 31, 2019		For the year ended December 31, 2018
Federal statutory rate	21.0	%	21.0	%
State statutory rate, net of federal benefit	(1.0	)%	1.5	%
Other	0.1	%	(0.8	)%
Change in valuation allowance	3.6	%	(1.3	)%
REIT earnings not subject to corporate taxes	(22.2	)%	(17.8	)%
Effective Tax Rate	1.5	%	2.6	%

Tax Cuts and Jobs Act

On December 22, 2017, the President of the United States signed and enacted comprehensive tax legislation into law H.R. 1, commonly referred to as the Tax Cuts and Jobs Act (the “Tax Act”). The Tax Act significantly revised the U.S. corporate income tax by, among other things, lowering the corporate income tax rate from 35% to 21%.

Contingencies	12 Months Ended
Contingencies	Dec. 31, 2019
Commitments and Contingencies Disclosure [Abstract]
Contingencies	Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2019.

Summarized Quarterly Results (unaudited)

12 Months Ended

Dec. 31, 2019

Quarterly Financial Information Disclosure [Abstract]

Summarized Quarterly Results (unaudited)

The following is a presentation of selected unaudited results of operations:



	Quarter Ended
	March 31, 2019			June 30, 2019			September 30, 2019			December 31, 2019
Net Interest Income
Interest income	$	52,033		$	53,818		$	55,652		$	55,761
Interest expense	36,400			37,958			39,082			36,834
Net Interest Income	15,633			15,860			16,570			18,927

Other Income (Loss)
Realized gain (loss) on sale of investments, net	(5,105		)	(8		)	21,399			11,992
Other than temporary impairment	(1,232		)	(3,295		)	(1,819		)	(2,228		)
Unrealized gain (loss), net	50,781			74,614			35,030			(52,896		)
Gain (loss) on derivative instruments, net	(27,148		)	(71,530		)	(47,056		)	42,007
Other, net	236			532			918			518
Other Income (Loss)	17,532			313			8,472			(607		)

Expenses
Management fee to affiliate	1,735			1,832			1,800			1,987
Other operating expenses	1,598			1,253			1,589			1,079
General and administrative expenses:
Compensation expense	544			705			671			671
Professional fees	1,215			761			973			1,031
Other general and administrative expenses	185			530			344			441
Total general and administrative expenses	1,944			1,996			1,988			2,143
Total Expenses	5,277			5,081			5,377			5,209

Income before income taxes	27,888			11,092			19,665			13,111
Income tax provision (benefit)	12			478			(55		)	622
Net income	$	27,876		$	10,614		$	19,720		$	12,489

Net income per Common Share — Basic	$	0.58		$	0.21		$	0.37		$	0.23
Net income per Common Share — Diluted	$	0.58		$	0.21		$	0.37		$	0.23



	Quarter Ended
	March 31, 2018			June 30, 2018			September 30, 2018			December 31, 2018
Net Interest Income:
Interest income	$	39,727		$	57,154		$	54,461		$	58,020
Interest expense	20,697			38,134			38,517			40,892
Net Interest Income	19,030			19,020			15,944			17,128

Other Income (Loss):
Realized gain (loss) on sale of investments, net	575			(5,608		)	(24,229		)	(33,995		)
Other than temporary impairment	(2,916		)	(2,974		)	(2,533		)	(2,757		)
Unrealized gain (loss), net	(68,961		)	(31,693		)	13,128			62,855
Gain (loss) on derivative instruments, net	79,582			28,490			24,625			(54,728		)
Other, net	47			(145		)	(2		)	(89		)
Other Income (Loss)	8,327			(11,930		)	10,989			(28,714		)

Expenses:
Management fee to affiliate	2,180			2,259			2,284			1,950
Other operating expenses	969			1,555			1,609			1,943
General and administrative expenses:
Compensation expense	510			572			552			552
Professional fees	1,295			818			1,065			1,121
Other general and administrative expenses	361			397			335			349
Total general and administrative expenses	2,166			1,787			1,952			2,022
Total Expenses	5,315			5,601			5,845			5,915

Income (loss) before income taxes	22,042			1,489			21,088			(17,501		)
Income tax provision	313			36			206			154
Net income (loss)	$	21,729		$	1,453		$	20,882		$	(17,655	)

Net income (loss) per Common Share—Basic	$	0.52		$	0.03		$	0.50		$	(0.37	)
Net income (loss) per Common Share—Diluted	$	0.52		$	0.03		$	0.50		$	(0.37	)

Subsequent Events	12 Months Ended
Subsequent Events	Dec. 31, 2019
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events (unaudited)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 the Manager. The transaction is expected to close in the third quarter of 2020 and is subject to customary closing conditions. Upon completion of the transaction the Manager would become a wholly owned subsidiary of Franklin.

Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2019

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Schedule IV - Mortgage Loans on Real Estate



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms⁽¹⁾	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Residential Whole-Loans and Bridge Loans
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $0 - $249,999	730	Hybrid ARM 4.5% to 6.6%	11/01/2041 to 12/01/2049	P&I	$	—	$	120,652	$	125,569	$	—
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	1,051	Hybrid ARM 4.5% to 6.5%	01/01/2042 to 12/01/2049	P&I	—		356,183		370,434		1,446
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	345	Hybrid ARM 4.5% to 6.5%	02/01/2042 to 12/01/2049	P&I	—		198,888		206,818		646
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $750,000 - $999,999	147	Hybrid ARM 4.5% to 6.4%	05/01/2043 to 12/01/2049	P&I	—		121,140		125,727		790
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,000,000 - $1,249,999	34	Hybrid ARM 4.0% to 5.9%	09/01/2043 to 12/01/2049	P&I	—		36,536		37,649		1,006
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	14	Hybrid ARM 4.6% to 6.0%	12/01/2041 to 12/01/2049	P&I	—		18,452		19,228		—
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,500,000 and above	27	Hybrid ARM 4.8% to 6.2%	02/01/2042 to 11/01/2049	P&I	—		65,071		67,418		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $0 - $249,999	4	Variable 6.2% to 6.4%	02/01/2044 to 05/01/2044	P&I	—		558		586		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	6	Variable 5.5% to 6.3%	04/01/2044 to 11/01/2047	P&I	—		2,026		2,128		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	1	Variable 6.2% to 6.2%	04/01/2044 to 04/01/2044	P&I	—		450		473		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	2	Variable 6.2% to 6.4%	02/01/2044 to 05/01/2044	P&I	—		1,344		1,415		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $0 - $249,999	422	Fixed 3.8% to 7.1%	07/01/2026 to 12/01/2049	P&I	—		66,458		68,988		247



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms⁽¹⁾	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	552	Fixed 3.8% to 7.5%	09/01/2026 to 12/01/2049	P&I	—		189,163		195,762		719
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	128	Fixed 3.9% to 6.4%	11/01/2033 to 12/01/2049	P&I	—		73,638		76,076		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $750,000 - $999,999	35	Fixed 4.6% to 5.9%	11/01/2033 to 12/01/2049	P&I	—		30,096		31,212		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,000,000 - $1,249,999	12	Fixed 5.0% to 5.9%	02/01/2048 to 12/01/2049	P&I	—		13,095		13,586		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	8	Fixed 4.7% to 6.3%	02/01/2036 to 12/01/2049	P&I	—		9,980		10,371		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,500,000 and above	11	Fixed 5.3% to 5.7%	09/01/2048 to 10/01/2049	P&I	—		21,714		22,420		2,271
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $0 - $249,999	34	Fixed 7.5% to 18.0%	12/31/2019 to 03/01/2021	Interest Only⁽³⁾	—		4,722		4,545		1,930
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	13	Fixed 7.5% to 11.3%	12/31/2019 to 02/01/2021	Interest Only⁽³⁾	—		4,907		4,887		420
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	10	Fixed 7.8% to 12.7%	12/31/2019 to 08/01/2020	Interest Only⁽³⁾	—		6,251		6,133		2,071
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $750,000 - $999,999	11	Fixed 7.8% to 18.0%	12/31/2019 to 12/01/2020	Interest Only⁽³⁾	—		9,662		9,418		3,595
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $1,000,000 - $1,249,999	4	Fixed 8.0% to 13.5%	12/31/2019 to 09/01/2020	Interest Only⁽³⁾	—		4,526		4,464		1,125
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	2	Fixed 9.0% to 10.8%	12/31/2019 to 12/31/2019	Interest Only⁽³⁾	—		2,690		2,624		1,295
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $1,500,000 and above	2	Fixed 7.8% to 8.5%	12/31/2019 to 08/01/2020	Interest Only⁽³⁾	—		4,437		4,348		1,672
Total Residential Whole-Loans and Bridge Loans						$	—	$	1,362,639	$	1,412,279	$	19,233

Western Asset Mortgage Capital Corporation and Subsidiaries

Schedule IV

Commercial Real Estate Loans

As of December 31, 2019



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms(1)	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Commercial Loans
Commercial Loan Held in Securitization Trust	Original Loan Balance $45,187,500	1	LIBOR + 4.25%	07/01/2020	Interest Only⁽⁴⁾	$	—	$	45,188	$	45,188	$	—
Commercial Loan Held in Securitization Trust	Original Loan Balance $13,600,000	1	LIBOR + 4.00%	12/01/2021	Interest Only⁽⁴⁾	—		13,600		13,600		—
Commercial Loan Held in Securitization Trust	Original Loan Balance $32,000,000	1	LIBOR + 4.10%	07/01/2021	Interest Only⁽⁴⁾	$	—	$	32,000	$	32,000	$	—
Commercial Mezzanine Loan	Original Loan Balance $20,000,000	1	LIBOR + 6.50%	12/09/2020	Interest Only⁽⁴⁾	—		20,000		20,000		—
Commercial Loan	Original Loan Balance $30,000,000	1	LIBOR + 4.50%	06/09/2020	Interest Only⁽⁴⁾	—		30,000		30,000		—
Commercial Loan	Original Loan Balance $50,000,000	1	LIBOR + 4.75%	01/11/2022	Interest Only⁽⁴⁾	—		50,000		50,000		—
Commercial Loan	Original Loan Balance $90,000,000	1	LIBOR + 9.25%	06/29/2021	Interest Only⁽⁴⁾	—		90,000		90,000		—
Commercial Loan	Original Loan Balance $40,000,000	1	LIBOR + 3.02%	08/09/2021	Interest Only⁽⁴⁾	—		40,000		40,000		—
Commercial Loan	Original Loan Balance $13,206,521	1	LIBOR + 3.75%	11/06/2021	Interest Only⁽⁴⁾	—		13,206		13,206		—
Commercial Loan	Original Loan Balance $24,534,783	1	LIBOR + 3.75%	11/06/2021	Interest Only⁽⁴⁾	—		24,535		24,535		—
Commercial Loan	Original Loan Balance $7,258,696	1	LIBOR + 3.75%	11/06/2021	Interest Only⁽⁴⁾	—		7,259		7,259		—
Commercial Loan	Original Loan Balance $4,425,400	1	LIBOR + 4.85%	12/06/2022	Interest Only⁽⁴⁾	—		4,425		4,425		—
Total Commercial Loans						$	—	$	370,213	$	370,213	$	—

Securitized Commercial Loans
Commercial Loan Held in Securitization Trust	Original Loan Balance $900,000,000	1	LIBOR + 8.50%	03/09/2021	Interest Only⁽⁴⁾	—		674,331		676,436		—
Commercial Loan Held in Securitization Trust	Original Loan Balance $234,500,000	1	Fixed 4.27%	12/09/2024	Interest Only⁽⁴⁾	—		234,500		198,104		—



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms(1)	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Commercial Loan Held in Securitization Trust	Original Loan Balance $10,500,000	1	Fixed 12.02%	12/09/2024	Interest Only⁽⁴⁾	—		10,500		10,443		—
Commercial Mezzanine Loan Held in Securitization Trust	Original Loan Balance $25,000,000	1	Fixed 9.00%	07/06/2020	P&I⁽²⁾	—		24,048		24,057		—
Total Securitized Commercial Loans						$	—	$	943,379	$	909,040	$	—

Total Residential and Commercial Loans						$	—	$	2,676,231	$	2,691,532	$	19,233

(1) Principal and interest ("P&I")

(2) Interest only payments for initial 2 years. After 2 years, monthly P&I payments are based on an 2 years amortization schedule and a balloon payment is due on the maturity date.

(3) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity.

(4) The borrower may prepay the commercial loan in whole or in part at any time in accordance with the terms of the loan agreement.

Reconciliation of Carrying Value of Mortgage Loans on Real Estate:



	2019		2018		2017
Beginning balance	$	2,493,238	$	368,972	$	216,361
Additions during period:
New mortgage loans	2,042,587		2,901,479		232,545
Unrealized gains	21,291		631		3,167
Deductions during period:
Collections of principal	1,858,659		769,748		80,550
Amortization of premium and (discounts)	5,247		5,692		1,470
Unrealized losses	1,191		2,356		1,081
Realized losses	487		48		—
Balance at end of period	$	2,691,532	$	2,493,238	$	368,972

Basis of Presentation and Summary of Significant Accounting Policies (Policies)

12 Months Ended

Dec. 31, 2019

Accounting Policies [Abstract]

Basis of Presentation and Consolidation

The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). 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 Entity

Variable Interest Entities

VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE.

To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the

most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE.

To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company.

In instances 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.

Earnings (Loss) per share

Earnings (Loss) Per Share

GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company.

The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares.

Offering Costs

Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering.

Cash and Cash Equivalents

The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit.

Valuation of financial instruments

Valuation of Financial Instruments

The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows:

Level I — Quoted prices in active markets for identical assets or liabilities.

Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used.

The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments."

Mortgage-Backed Securities and Other Securities

The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities, these investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net.”

If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable.

The Company evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time.

When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as

of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” in the Consolidated Statements of Operations.

Increases in interest income may be recognized on a security in which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves.

In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided the Company did not intend to sell the security.

Residential Whole-Loans / Residential Bridge Loans

Residential Whole Loans

Investments in Residential Whole Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred.

On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as it has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated.

Residential Bridge Loans

For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred.

A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company evaluates each of its Residential Bridge Loans on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral less cost to sell, since these loans are collateral dependent. For loans the Company did not elect the fair value option, upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other

provisions such as guarantees. The Company will not record an allowance for loan loss for the Residential Bridge Loans that it has elected the fair value option.

Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated.

Interest income recognition

Interest Income Recognition

Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase

Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest," using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization.

Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives

Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities.

Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively.

Loan Portfolio

Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations.

Purchases and Sales of Investments

The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract.

Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

Due From Counterparties/Due To Counterparties

Due From Counterparties / Due To Counterparties

"Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets.

Derivatives and Hedging Activities

Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected.

GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations.

In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties," but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net." Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows.

In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows.

The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations.

The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

Repurchase Agreements and Reverse Repurchase Agreements

Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense.

The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Cash Flows.

Securitized Debt

Convertible Senior Unsecured Notes

Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes.

Share-based compensation

Share-based Compensation

Compensation cost related to restricted common stock issued to the Company’s independent directors, including any restricted stock which is subject to a deferred compensation program, is measured at its fair value at the grant date and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates, is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis.

Income taxes

Income Taxes

The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders.

As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.

The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP.

From time to time the Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and its value, along with all other TRS's, may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2019, the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS.

Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheet date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision (benefit)" in the Consolidated Statements of Operations.

Comprehensive Income (Loss)

The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented.

Recently adopted accounting pronouncements



Description	Adoption Date	Effect on Financial Statements

In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception." Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.	First quarter 2019.	The adoption of this standard did not have a material impact on the Company's consolidated financial statements.

In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.	First quarter 2019.	The adoption of this standard did not have a material impact on the Copompany's consolidated financial statements.

In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.	First quarter 2019.	The adoption of this standard did not have a material impact on the Company's consolidated financial statements.

Recently issued accounting pronouncements



Description	Effective Date	Effect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. 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 Company evaluated the impact this standard will have on its consolidated financial statements. However, since the Company elects the fair value option for its financial assets, the adoption of this guidance will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will not have a material impact on its consolidated 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 standard may have on its consolidated financial statements.

Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Summary of Significant Accounting Policies (Tables)

12 Months Ended

Dec. 31, 2019

Accounting Policies [Abstract]

Schedule of New Accounting Pronouncements and Changes in Accounting Principles

Recently adopted accounting pronouncements



Description	Adoption Date	Effect on Financial Statements

In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception." Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.	First quarter 2019.	The adoption of this standard did not have a material impact on the Company's consolidated financial statements.

In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.	First quarter 2019.	The adoption of this standard did not have a material impact on the Copompany's consolidated financial statements.

In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.	First quarter 2019.	The adoption of this standard did not have a material impact on the Company's consolidated financial statements.

Recently issued accounting pronouncements



Description	Effective Date	Effect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. 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 Company evaluated the impact this standard will have on its consolidated financial statements. However, since the Company elects the fair value option for its financial assets, the adoption of this guidance will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will 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 Company evaluated the impact this standard will have on its consolidated financial statements and the adoption will not have a material impact on its consolidated 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 standard may have on its consolidated financial statements.

Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value Disclosures [Abstract]

Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy

The following tables present the Company's financial instruments carried at fair value as of December 31, 2019 and December 31, 2018, based upon the valuation hierarchy (dollars in thousands):



	December 31, 2019
	Fair Value
Assets	Level I		Level II		Level III		Total
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 RMBS	—		—		38,131		38,131
Non-Agency RMBS Interest-Only Strips	—		—		7,683		7,683
Non-Agency CMBS	—		316,019		—		316,019
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
Commercial loans	—		—		370,213		370,213
Securitized 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



	December 31, 2018
	Fair Value
Assets	Level I		Level II		Level III		Total
Agency CMBS	$	—	$	1,481,984	$	—	$	1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		4,158		—		4,158
Agency RMBS Interest-Only Strips	—		—		12,135		12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		7,702		7,702
Subtotal Agency MBS	—		1,486,142		19,837		1,505,979

Non-Agency RMBS	—		—		39,026		39,026
Non-Agency RMBS Interest-Only Strips	—		—		11,529		11,529
Non-Agency CMBS	—		200,301		—		200,301
Subtotal Non-Agency MBS	—		200,301		50,555		250,856

Other securities	—		50,955		8,951		59,906
Total mortgage-backed securities and other securities	—		1,737,398		79,343		1,816,741

Residential Whole Loans	—		—		1,041,885		1,041,885
Residential Bridge Loans			—		211,999		211,999
Commercial loans	—		—		216,123		216,123
Securitized commercial loan	—		—		1,013,511		1,013,511
Derivative assets	—		2,606		—		2,606
Total Assets	$	—	$	1,740,004	$	2,562,861	$	4,302,865

Liabilities
Derivative liabilities	$	4,657	$	5,473	$	—	$	10,130
Securitized debt	—		947,340		2,286		949,626
Total Liabilities	$	4,657	$	952,813	$	2,286	$	959,756

Summary of 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 December 31, 2019 and December 31, 2018 (dollars in thousands).



	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⁽³⁾	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 Lie	0.4		2.9			1.6



	Fair Value at			Range
	December 31, 2018	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average
Residential Whole-Loans	1,041,885	Discounted Cash Flow	Yield	3.5	%	7.9	%		5.5	%
			Weighted Average Life	0.8		10.3			2.8
Residential Bridge Loans	211,999	Discounted Cash Flow	Yield	5.6	%	145.3	%	⁽¹⁾	11.3	%
			Weighted Average Life	0.1		1.6			0.5
Commercial Loans:	216,123	Discounted Cash Flow	Yield	6.7	%	9.2	%		7.6	%
			Weighted Average Life	0.9		2.7			2.1


(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.

(2)

Excludes $175,294 Conforming Residential Whole Loans, which are valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix.

Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value

The following tables present additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value:



	Year ended December 31, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential Whole Loans			Residential Bridge Loans			Commercial Loans			Securitized Commercial Loans			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	—			—			—			544,426			—			274,422			1,113,231			—
Sales and settlements	(401		)	—			—			—			—			—			—			3,769
Transfers to REO	—			—			—			—			(2,677		)	—			—			—
Principal repayments	—			(965		)	(555		)	(228,163		)	(175,422		)	(121,245		)	(1,214,688		)	—
Total net gains/losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(351		)	—			—			—
Other than temporary impairment	(222		)	(1,332		)	—			—			—			—			—			—
Unrealized gains/(losses), net on assets⁽¹⁾	762			(229		)	693			20,887			397			(122		)	(1,070		)	—
Unrealized (gains)/losses, net on liabilities⁽²⁾	—			—			—			—			—			—			—			(2,373		)
Premium and discount amortization, net	(4,061		)	(2,215		)	(279		)	(3,175		)	(677		)	1,035			(1,944		)	(2,625		)
Ending balance	$	15,915		$	45,814		$	17,196		$	1,375,860		$	33,269		$	370,213		$	909,040		$	1,057

Unrealized gains/(losses), net on assets held at the end of the period⁽¹⁾	$	780		$	(229	)	$	693		$	21,768		$	(488	)	$	128		$	(1,042	)	$	—
Unrealized gains/(losses), net on liabilities held at the end of the period⁽²⁾	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	375



	Year ended December 31, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential Whole Loans			Residential Bridge Loans			Commercial Loans		Securitized Commercial Loans			Securitized Debt
Beginning balance	$	17,217		$	8,735		$	9,239		$	237,423		$	64,526		$	—	$	24,876		$	10,945
Transfers into Level III from Level II	22,795			39,084			9,708			—			—			—		—			—
Transfers from Level III into Level II	(16,805		)	—			(8,697		)	—			—			—		—			(10,899		)
Purchases	2,093			8,602			—			860,576			207,705			215,322		1,353,020			—
Sales and settlements	—			(4,180		)	—			—			—			—		—			12
Principal repayments	(53		)	(307		)	(604		)	(55,186		)	(57,528		)	—		(361,782		)	(44		)
Total net gains / (losses) included in net income
Realized gains/(losses), net on assets	—			258			—			—			—			—		—			—
Other than temporary impairment	(735		)	(918		)	(161		)	—			—			—		—			—
Unrealized gains/(losses), net on assets⁽¹⁾	(630		)	1,183			(532		)	(415		)	(1,806		)	631		(16		)	—
Unrealized (gains)/losses, net on liabilities⁽²⁾	—			—			—			—			—			—		—			1,996
Premium and discount amortization, net	(4,045		)	(1,902		)	(2		)	(513		)	(898		)	170		(2,587		)	276
Ending balance	$	19,837		$	50,555		$	8,951		$	1,041,885		$	211,999		$	216,123	$	1,013,511		$	2,286

Unrealized gains/(losses), net on assets held at the end of the period⁽¹⁾	$	(272	)	$	1,184		$	(464	)	$	351		$	(1,370	)	$	631	$	(16	)	$	—
Unrealized gains/(losses), net on liabilities held at the end of the period⁽²⁾	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(1,998	)


(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 Other Fair Value Disclosures

The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2019 and December 31, 2018, in the consolidated financial statements (dollars in thousands):



	December 31, 2019				December 31, 2018
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets
Residential Bridge Loans	$	3,150	$	3,148	$	9,720	$	9,603
Total	$	3,150	$	3,148	$	9,720	$	9,603

Liabilities
Borrowings under repurchase agreements	$	2,824,801	$	2,829,093	$	2,818,837	$	2,823,615
Convertible senior unsecured notes	197,299		209,172		110,060		108,531
Securitized debt⁽¹⁾	801,109		810,914		—		—
Total	$	3,823,209	$	3,849,179	$	2,928,897	$	2,932,146

^{(1) Carrying value excludes}^{$5.3 million}^{of deferred financing costs}

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

Mortgage-Backed Securities and other securities (Tables)

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

Summary of certain information about the Company's investment portfolio

The following tables present certain information about the Company's investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency 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	%



	December 31, 2018
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,493,675	$	5,820		$	—		$	1,499,495	$	12,083	$	(29,594	)	$	1,481,984	3.3	%
Agency CMBS Interest-Only Strips, accounted for as derivatives⁽¹⁾⁽²⁾	N/A		N/A			N/A			N/A		N/A		N/A			4,158		0.4	%
Subtotal Agency CMBS	1,493,675		5,820			—			1,499,495		12,083		(29,594		)	1,486,142		3.0	%
Agency RMBS Interest-Only Strips⁽¹⁾	N/A		N/A			N/A			11,480		1,062		(407		)	12,135		2.2	%
Agency RMBS Interest-Only Strips, accounted for as derivatives⁽¹⁾⁽²⁾	N/A		N/A			N/A			N/A		N/A		N/A			7,702		2.9	%
Subtotal Agency RMBS	—		—			—			11,480		1,062		(407		)	19,837		2.5	%
Total Agency MBS	1,493,675		5,820			—			1,510,975		13,145		(30,001		)	1,505,979		2.9	%

Non-Agency RMBS	54,887		6,909			(23,731		)	38,065		961		—			39,026		4.8	%
Non-Agency RMBS Interest- Only Strips⁽¹⁾	N/A		N/A			N/A			11,154		382		(7		)	11,529		0.6	%
Subtotal Non-Agency RMBS	54,887		6,909			(23,731		)	49,219		1,343		(7		)	50,555		1.0	%
Non-Agency CMBS	240,431		(20,317		)	(22,189		)	197,925		5,021		(2,645		)	200,301		5.9	%
Total Non-Agency MBS	295,318		(13,408		)	(45,920		)	247,144		6,364		(2,652		)	250,856		2.4	%

Other securities⁽³⁾	47,042		(1,129		)	(7,603		)	55,284		5,012		(390		)	59,906		9.0	%
Total	$	1,836,035	$	(8,717	)	$	(53,523	)	$	1,813,403	$	24,521	$	(33,043	)	$	1,816,741	2.9	%

(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 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. At December 31, 2018, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $158.8 million, $519.9 million, $89.8 million, $172.2 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 $10.7 million and $17.0 million, as of December 31, 2019 and December 31, 2018, respectively.

Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities

The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):



	Year ended December 31, 2019									Year ended December 31, 2018									Year ended December 31, 2017
	Discount Designated as Credit Reserve and OTTI			Accretable Discount⁽¹⁾			Amortizable Premium⁽¹⁾			Discount Designated as Credit Reserve and OTTI			Accretable Discount⁽¹⁾			Amortizable Premium⁽¹⁾			Discount Designated as Credit Reserve and OTTI			Accretable Discount⁽¹⁾			Amortizable Premium⁽¹⁾
Balance at beginning of period	$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872		$	(130,484	)	$	(109,822	)	$	44,527
Accretion of discount	—			4,364			—			—			7,137			—			—			10,715			—
Amortization of premium	—			—			(1,215		)	—			—			(675		)	—			—			(843		)
Realized credit losses	7,290			—			—			5,863			—			—			2,391			—			—
Purchases	(28		)	(7,953		)	819			(7,182		)	(6,473		)	435			(19,385		)	(1,205		)	7,259
Sales	26,706			—			(19,640		)	32,301			40,338			(9,590		)	89,628			33,166			(31,118		)
Net impairment losses recognized in earnings	(6,612		)	—			—			(9,733		)	—			—			(15,310		)	—			—
Transfers/release of credit reserve⁽²⁾	(22,308		)	2,889			19,419			(1,857		)	(2,029		)	3,886			245			(1,292		)	1,047
Balance at end of period	$	(48,475	)	$	(30,165	)	$	14,311		$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872


(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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years			Total
Agency 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 RMBS	—		—		8,966		29,165			38,131
Non-Agency RMBS Interest-Only Strips	—		—		1,716		5,967			7,683
Non-Agency CMBS	89,782		125,282		92,610		8,345			316,019
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



	December 31, 2018
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years		Total
Agency CMBS	$	1,101,820	$	380,164	$	—	$	—	$	1,481,984
Agency CMBS Interest-Only Strips, accounted for as derivatives	—		—		—		4,158		4,158
Agency RMBS Interest-Only Strips	3,577		2,402		6,156		—		12,135
Agency RMBS Interest-Only Strips, accounted for as derivatives	1,089		4,053		2,560		—		7,702
Subtotal Agency	1,106,486		386,619		8,716		4,158		1,505,979

Non-Agency RMBS	—		—		8,540		30,486		39,026
Non-Agency RMBS Interest-Only Strips	—		—		4,310		7,219		11,529
Non-Agency CMBS	28,754		53,653		72,921		44,973		200,301
Subtotal Non-Agency	28,754		53,653		85,771		82,678		250,856

Other securities	7,698		26,020		—		26,188		59,906
Total	$	1,142,938	$	466,292	$	94,487	$	113,024	$	1,816,741

Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position

The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities
Agency 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 RMBS	13,214		(260		)	1	—		—			—	13,214		(260		)	1
Non-Agency RMBS Interest-Only Strips	1,716		(658		)	1	—		—			—	1,716		(658		)	1
Non-Agency CMBS	171,650		(4,302		)	31	18,069		(571		)	4	189,719		(4,873		)	35
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



	December 31, 2018
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities	Fair Value		Unrealized Losses			Number of Securities
Agency CMBS	$	29,413	$	(307	)	3	$	879,549	$	(29,287	)	72	$	908,962	$	(29,594	)	75
Agency RMBS Interest-Only Strips	3,277		(124		)	7	3,917		(283		)	9	7,194		(407		)	16
Subtotal Agency	32,690		(431		)	10	883,466		(29,570		)	81	916,156		(30,001		)	91

Non-Agency RMBS	—		—			—	500		—			1	500		—			1
Non-Agency RMBS Interest-Only Strips	957		(7		)	2	—		—			—	957		(7		)	2
Non-Agency CMBS	65,339		(712		)	7	19,323		(1,933		)	3	84,662		(2,645		)	10
Subtotal Non-Agency	66,296		(719		)	9	19,823		(1,933		)	4	86,119		(2,652		)	13

Other securities	15,208		(390		)	2	—		—			—	15,208		(390		)	2
Total	$	114,194	$	(1,540	)	21	$	903,289	$	(31,503	)	85	$	1,017,483	$	(33,043	)	106

Schedule of other-than-temporary impairments the Company recorded on its securities portfolio

The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands):



	For the year ended December 31, 2019		For the year ended December 31, 2018		For the year ended December 31, 2017
Agency RMBS⁽¹⁾	$	74	$	807	$	5,774
Non-Agency RMBS	1,331		996		—
Non-Agency CMBS	6,565		8,660		15,117
Other securities	604		717		1,982
Total	$	8,574	$	11,180	$	22,873

(1)

Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company 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 table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively (dollars in thousands):



	For the year ended December 31, 2019							For the year ended December 31, 2018							For the year ended December 31, 2017
	Coupon Interest		Net (Premium Amortization/ Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/ Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/ Amortization Basis) Discount Amortization			Interest Income
Agency CMBS	$	51,286	$	(2,327	)	$	48,959	$	60,148	$	(646	)	$	59,502	$	40,064	$	507		$	40,571
Agency RMBS	12,181		(3,053		)	9,128		19,507		(5,092		)	14,415		38,108		(13,058		)	25,050
Non-Agency RMBS	4,682		(2,214		)	2,468		7,120		(1,073		)	6,047		5,602		525			6,127
Non-Agency CMBS	14,178		4,017			18,195		20,058		6,366			26,424		19,179		8,276			27,455
Other securities	11,633		(6,472		)	5,161		14,805		(6,371		)	8,434		8,280		1,559			9,839
Total	$	93,960	$	(10,049	)	$	83,911	$	121,638	$	(6,816	)	$	114,822	$	111,233	$	(2,191	)	$	109,042

Schedule of sales and realized gains (loss) of the Company's MBS and other securities

The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively (dollars in thousands):



	For the year ended December 31, 2019
	Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency CMBS	$	891,072	$	32,793	$	(4,190	)	$	28,603
Agency RMBS	205,310		1,559		—			1,559
Non-Agency CMBS	40,235		317		(1,624		)	(1,307		)
Total	$	1,136,617	$	34,669	$	(5,814	)	$	28,855



	For the year ended December 31, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency CMBS	$	1,534,967	$	—	$	(51,045	)	$	(51,045	)
Agency RMBS	589,854		18		(23,997		)	(23,979		)
Non-Agency RMBS	99,842		7,008		(478		)	6,530
Non-Agency CMBS	140,292		3,086		(6,201		)	(3,115		)
Other securities	65,099		8,400		—			8,400
Total	$	2,430,054	$	18,512	$	(81,721	)	$	(63,209	)



	For the year ended December 31, 2017
	Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS⁽¹⁾	$	1,251,985	$	5,020	$	(7,936	)	$	(2,916	)
Non-Agency RMBS⁽²⁾	243,838		24,356		(2,241		)	22,115
Non-Agency CMBS	54,875		2,543		(1,803		)	740
Other securities	38,447		713		(54		)	659
Total	$	1,589,145	$	32,632	$	(12,034	)	$	20,598


(1)	Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of approximately $432 thousand.


(2)	Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million, gross realized gains of $274 thousand and gross realized losses of $180 thousand.

Residential Whole Loans and Bridge Loans (Tables)

12 Months Ended

Dec. 31, 2019

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash and cash equivalents	$	1,811	$	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	19,138		42,945
Interest receivable	7,840		11,807
Other assets	90		178
Total assets	$	1,439,636	$	1,348,975
Securitized debt, net	$	795,811	$	—
Interest payable	2,367		—
Accounts payable and accrued expenses	173		677
Other liabilities	—		225
Total liabilities	$	798,351	$	902

loans as of December 31, 2019.

The following table presents a summary of the assets and liabilities of the four consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash	$	5,778	$	—
Restricted cash	52,948		55,808
Securitized commercial loans, at fair value	909,040		1,013,511
Commercial Loans, at fair value	90,788		166,123
Interest receivable	2,989		3,733
Total assets	$	1,061,543	$	1,239,175
Securitized debt, at fair value	$	681,643	$	949,626
Interest payable	1,519		2,419
Accounts payable and accrued expenses	12		31
Other liabilities	52,948		55,808
Total liabilities	$	736,122	$	1,007,884

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾						Residential Bridge Loans, at Amortized Cost⁽¹⁾
	December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	1,325,443		$	1,023,524		$	34,041		$	212,491		$	3,155		$	9,766
Unamortized premium	28,588			17,629			79			1,164			6			16
Unamortized discount	(2,839		)	(3,145		)	(13		)	(316		)	(11		)	(62		)
Amortized cost	1,351,192			1,038,008			34,107			213,339			3,150			9,720
Gross unrealized gains	26,363			7,573			10			212			N/A			N/A
Gross unrealized losses	(1,695		)	(3,696		)	(848		)	(1,552		)	N/A			N/A
Fair value	$	1,375,860		$	1,041,885		$	33,269		$	211,999		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 following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years) ⁽²⁾	Contractual Maturity (years)	Coupon Rate
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.



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
3.01 - 4.00%	66	$	22,046	61.6	%	738	6.5	29.0	3.9	%
4.01 - 5.00%	1,395	490,073		62.3	%	739	3.0	29.0	4.8	%
5.01 - 6.00%	1,283	496,722		62.7	%	727	2.5	28.5	5.4	%
6.01 - 7.00%	37	14,589		59.5	%	731	1.5	24.8	6.2	%
7.01 - 8.00%	1	94		70.0	%	689	1.8	29.1	8.0	%
Total	2,782	$	1,023,524	62.4	%	733	2.8	28.7	5.1	%

(1)

The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 2018. The Company has excluded these loans from the weighted average computations.

Schedule of the US states represented in Residential Whole-Loans based on principal balance

The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



	December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	66.1	%	$	875,738	California	67.1	%	$	686,275
New York	16.2	%	214,141		New York	17.1	%	175,390
Georgia	3.4	%	45,189		Georgia	2.6	%	26,918
Florida	2.8	%	36,641		Massachusetts	2.1	%	21,197
New Jersey	2.3	%	30,450		Florida	1.9	%	19,942
Other	9.2	%	123,284		Other	9.2	%	93,802
Total	100.0	%	$	1,325,443	Total	100.0	%	$	1,023,524

Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans

The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
7.01 – 9.00%	36	$	22,409	70.2	%	5.8	8.4	%
9.01 – 11.00%	28	9,972		74.0	%	5.6	10.1	%
11.01 - 13.00%	9	2,741		63.1	%	2.0	11.7	%
13.01 - 15.00%	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	%



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
5.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 9.00%	275	140,675		72.6	%	5.9	8.3	%
9.01 – 11.00%	186	63,954		73.8	%	4.4	9.9	%
11.01 – 13.00%	39	11,017		71.3	%	4.6	11.8	%
13.01 – 15.00%	1	88		65.0	%	4.0	14.0	%
17.01 - 19.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity.

Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	50.4	%	$	18,763	California	53.9	%	$	119,761
Washington	13.1	%	4,863		New York	9.5	%	21,160
New York	12.1	%	4,518		Washington	6.6	%	14,711
Florida	8.9	%	3,296		Florida	5.7	%	12,672
New Jersey	3.8	%	1,424		New Jersey	4.7	%	10,419
Other	11.7	%	4,332		Other	19.6	%	43,534
Total	100.0	%	$	37,196	Total	100.0	%	$	222,257

Aging of residential whole loans and bridge loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2019 (dollars in thousands):



	Residential Whole Loans					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3467	$	1,300,238	$	1,350,590	41	$	23,353	$	23,329
1-30 days delinquent	41	13,537		14,012		2	303		306
31-60 days delinquent	5	1,338		1,334		4	1,147		1,135
61-90 days delinquent	4	3,205		3,224		2	285		280
90+ days delinquent	12	7,125		6,700		27	12,108		11,369
Total	3,529	$	1,325,443	$	1,375,860	76	$	37,196	$	36,419

(1) Includes $3.1 million loans carried at amortize cost.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details

Commercial Loans (Tables)

12 Months Ended

Dec. 31, 2019

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 December 31, 2019 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 1

March 2018

Interest-Only Mezzanine loan

$

20,000

$

20,000

71%

1-Month LIBOR plus 6.50%

12/9/2020

Two One-Year Extensions

Hotel

CRE 2

June 2018

Interest-Only First Mortgage

30,000

65%

1-Month LIBOR plus 4.50%

6/9/2020

One-Year Extension

Hotel

CRE 4

June 2019

Principal & Interest First Mortgage

50,000

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

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

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

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

13,206

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

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

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

$

279,425

$

279,425

The following table presents the commercial real estate loans held by RSBC Trust as of December 31, 2019 (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

$

45,188

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

84%

One-Month LIBOR plus 4.00%⁽²⁾

12/1/2021

One-Year Extension

Apartment Complex

SBC 5

January 2019

Interest-Only First Mortgage

32,000

49%

One-Month LIBOR plus 4.10%

7/1/2021

None

Nursing Facilities

$

90,788

$

90,788

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of 2.00%.

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 December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash and cash equivalents	$	1,811	$	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	19,138		42,945
Interest receivable	7,840		11,807
Other assets	90		178
Total assets	$	1,439,636	$	1,348,975
Securitized debt, net	$	795,811	$	—
Interest payable	2,367		—
Accounts payable and accrued expenses	173		677
Other liabilities	—		225
Total liabilities	$	798,351	$	902

loans as of December 31, 2019.

The following table presents a summary of the assets and liabilities of the four consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash	$	5,778	$	—
Restricted cash	52,948		55,808
Securitized commercial loans, at fair value	909,040		1,013,511
Commercial Loans, at fair value	90,788		166,123
Interest receivable	2,989		3,733
Total assets	$	1,061,543	$	1,239,175
Securitized debt, at fair value	$	681,643	$	949,626
Interest payable	1,519		2,419
Accounts payable and accrued expenses	12		31
Other liabilities	52,948		55,808
Total liabilities	$	736,122	$	1,007,884

Schedule of Carrying Value of the Commercial Real Estate Loans

ended December 31, 2019 and December 31, 2018.

The following table presents the components of the carrying value of the commercial real estate loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				MRCD Trust Commercial Loans, at Fair Value					RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	December 31, 2019		December 31, 2018			December 31, 2019		December 31, 2018		December 31, 2019			December 31, 2018		December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	24,048	$	24,456		$	674,331	$	988,609	$	245,000		$	—	$	90,788		$	166,432		$	279,425		$	50,000
Unamortized premium	—		—			1,836		431		—			—		—			—			—			—
Unamortized discount	—		—			—		—		(35,119		)	—		(215		)	(736		)	(294		)	(205		)
Amortized cost	24,048		24,456			676,167		989,040		209,881			—		90,573			165,696			279,131			49,795
Gross unrealized gains	9		—			269		29					—		215			427			294			205
Gross unrealized losses	—		(14		)	—		—		(1,334		)	—		—			—			—			—
Fair value	$	24,057	$	24,442		$	676,436	$	989,069	$	208,547		$	—	$	90,788		$	166,123		$	279,425		$	50,000

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details

Financings (Tables)

12 Months Ended

Dec. 31, 2019

Debt Disclosure [Abstract]

Summary of certain characteristics of the Company's repurchase agreements

The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019					December 31, 2018
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	$	1,352,248	2.05	%	26	$	1,392,649	2.71	%	40
Agency RMBS	348,274		1.99	%	52	14,650		3.09	%	21
Non-Agency RMBS	30,481		3.56	%	9	30,922		4.06	%	18
Non-Agency CMBS	190,390		3.05	%	35	134,814		4.05	%	48
Residential Whole Loans⁽¹⁾	102,029		3.51	%	27	863,356		4.08	%	93
Residential Bridge Loans⁽¹⁾	29,869		3.93	%	28	204,754		4.50	%	25
Commercial Loans⁽¹⁾	62,746		4.04	%	28	131,788		4.55	%	26
Securitized commercial loans⁽¹⁾	116,087		3.93	%	49	7,543		4.30	%	15
Other securities	56,762		3.23	%	34	38,361		4.18	%	26
Subtotal	2,288,886		2.41	%	32	2,818,837		3.45	%	54
Long Term Borrowings:
Residential Whole Loans ^{(1) (2)}	374,143		3.27	%	898	—		—	%	—
Commercial Loans ⁽²⁾	161,848		3.88	%	590	—		—	%	—
Subtotal	535,991		3.45	%	805	—		—	%	—
Repurchase agreements borrowings	$	2,824,877	2.61	%	179	$	2,818,837	3.45	%	54
Less unamortized debt issuance costs	76		N/A		N/A	—		N/A		N/A
Repurchase agreements borrowings, net	$	2,824,801	2.61	%	179	$	2,818,837	3.45	%	54


(1)	Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in 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.

Schedule of repurchase agreements collateralized by investments

At December 31, 2019 and December 31, 2018, repurchase agreements collateralized by investments had the following remaining maturities:



(dollars in thousands)	December 31, 2019		December 31, 2018
1 to 29 days	$	1,480,286	$	1,867,957
30 to 59 days	552,786		144,778
60 to 89 days	255,814		555,695
Greater than or equal to 90 days	535,991		250,407
Total	$	2,824,877	$	2,818,837

Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty

At December 31, 2019, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):



	December 31, 2019
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders' Equity
Credit Suisse AG, Cayman Islands Branch	$	132,306	1024	23.4	%
Barclays Capital Inc.	73,203		38	13.0	%

Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account

The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019						December 31, 2018
	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	$	1,400,230	$	3,916	$	1,404,146	$	1,486,142	$	4,262	$	1,490,404
Agency RMBS, at fair value	356,687		1,336		358,023		19,837		453		20,290
Non-Agency RMBS, at fair value	45,816		414		46,230		50,555		479		51,034
Non-Agency CMBS, at fair value	246,797		951		247,748		186,552		915		187,467
Residential Whole Loans, at fair value ⁽¹⁾	529,495		3,704		533,199		1,041,885		8,145		1,050,030
Residential Bridge Loans⁽¹⁾	34,897		471		35,368		221,486		3,528		225,014
Commercial Loans, at fair value⁽¹⁾	350,213		1,855		352,068		196,123		1,067		197,190
Securitized commercial loans, at fair value⁽¹⁾	171,640		674		172,314		13,688		88		13,776
Other securities, at fair value	80,031		128		80,159		59,780		147		59,927
Cash⁽²⁾	43,499		—		43,499		1,226		—		1,226
Total	$	3,259,305	$	13,449	$	3,272,754	$	3,277,274	$	19,084	$	3,296,358


(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 December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	219,431	2.9%	$	219,567	3/15/2021
Class B	101,200		3.3%	101,326		3/15/2021
Class C	308,400		3.8%	309,171		3/15/2021
Class HRR	45,300		10.2%	45,314		3/15/2021
Class X-CP⁽¹⁾	N/A		1.2%	1,026		4/15/2020
Class X-EXT⁽¹⁾	N/A		—%	31		3/15/2021
	$	674,331		$	676,435

(1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each.

The following table summarizes MRCD Trust's commercial mortgage pass-through certificates at December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	234,500	4.3%	$	198,104	12/9/2024
Class HRR	10,500		12.0%	10,443		12/9/2024
	$	245,000		$	208,547

The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at December 31, 2019 (dollars in thousands):



Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	681,668	3.3%	$	681,666	4/25/2049
Class A-2	36,525		3.5%	36,524		4/25/2049
Class A-3	57,866		3.8%	57,864		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	801,114		$	801,109
Less: Unamortized Deferred Financing Costs	N/A			5,298
Total	$	801,114		$	795,811

Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative instruments

Schedule of interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts and TBA derivative instruments, options and linked transactions

The following table summarizes the Company's derivative instruments at December 31, 2019 and December 31, 2018 (dollars in thousands):



			December 31, 2019					December 31, 2018
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		$	1,128,400	$	2,057
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	60,100		948			50,000		549
TBA securities, asset	Non-Hedge	Derivative assets, at fair value	1,000,000		1,146			—		—
Total derivative instruments, assets					5,111					2,606
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	1,255,000		(501		)	2,727,800		(5,473		)
Futures contracts, liability	Non-Hedge	Derivative liability, at fair value	—		—			300,400		(4,657		)
Credit default swaps, liability	Non-Hedge	Derivative liability, at fair value	90,900		(3,795		)	—		—
TBA securities, liability	Non-Hedge	Derivative liability, at fair value	1,000,000		(2,074		)	—		—
Total derivative instruments, liabilities					(6,370		)			(10,130		)
Total derivative instruments, net					$	(1,259	)			$	(7,524	)

Summary of the effect of interest rate swaps, swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on the Statements of Operations

The following tables summarize the 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 years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):



	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net			Total
Year ended December 31, 2019
Interest rate swaps	$	(4,978	)	$	(108,169	)	$	5,769		$	5,140		$	3,732		$	(98,506	)
Interest rate swaptions	(332		)	—			—			—			—			(332		)
Interest-Only Strips—accounted for as derivatives	—			—			(2,688		)	(508		)	3,277			81
Options	1,378			—			—			—			—			1,378
Futures contracts	(12,862		)	—			—			4,657			—			(8,205		)
Credit default swaps	(178		)	—			—			1,029			—			851
TBAs	1,934			—			—			(928		)	—			1,006
Total	$	(15,038	)	$	(108,169	)	$	3,081		$	9,390		$	7,009		$	(103,727	)

Year ended December 31, 2018
Interest rate swaps	$	163		$	76,979		$	2,465		$	(5,147	)	$	3,693		$	78,153
Interest-Only Strips—accounted for as derivatives	—			—			(3,661		)	(655		)	4,511			195
Options	(871		)	—			—			300			—			(571		)
Futures contracts	6,112			—			—			(5,285		)	—			827
Credit default swaps	(241		)	—			—			396			—			155
TBAs	(800		)	—			—			10			—			(790		)
Total	$	4,363		$	76,979		$	(1,196	)	$	(10,381	)	$	8,204		$	77,969

Year ended December 31, 2017
Interest rate swaps	$	(150,607	)	$	20,258		$	524		$	148,947		$	(14,606	)	$	4,516
Interest rate swaptions	(115		)	—			—			—			—			(115		)
Interest-Only Strips—accounted for as derivatives	526			—			(5,995		)	(902		)	7,438			1,067
Options	(1,453		)	—			—			(300		)	—			(1,753		)
Futures contracts	(9,130		)	—			—			3,044			—			(6,086		)
Foreign currency forwards	32			—			—			35			—			67
Total return swap	(552		)	—			—			1,673			469			1,590
Credit default swaps	(11		)	—			(22		)	—			—			(33		)
TBAs	4,049			—			—			(10		)	—			4,039
Total	$	(157,261	)	$	20,258		$	(5,471	)	$	152,465		$	(6,699	)	$	3,292

Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheets

The following is a summary of the Company's TBA positions as of December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands):



	December 31, 2019
	Notional Amount			Fair Value
Purchase contracts, asset	$	1,000,000		$	1,146
Purchase contracts, liability	(1,000,000		)	(2,074		)
TBA securities, net	$	—		$	(928	)

Schedule of additional information about the contracts to purchase and sell TBAs

The following tables present additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2019 (dollars in thousands):



	Notional Amount				Settlement, Termination,			Notional Amount
	December 31, 2018		Additions		Expiration or Exercise			December 31, 2019
Purchase of TBAs	$	—	$	3,200,000	$	(2,200,000	)	$	1,000,000
Sale of TBAs	$	—	$	3,200,000	$	(2,200,000	)	$	1,000,000

Fixed Pay Rate | Interest Rate Swaps

Derivative instruments

Summary of interest rate swaps or interest rate swaptions

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 and December 31, 2018 (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 Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 years 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
Greater than 5 years	45,000		1.9	%	2.3	%	19.5
Total	$	1,405,000	2.0	%	1.9	%	3.5



	December 31, 2018
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)
1 year or less	$	400,000	1.5	%	2.8	%	0.5
Greater than 1 year and less than 3 years	200,000		1.8	%	2.6	%	1.4
Greater than 3 years and less than 5 years	1,104,700		2.3	%	2.5	%	3.8
Greater than 5 years	1,423,100		2.5	%	2.5	%	9.9
Total	$	3,127,800	2.3	%	2.6	%	6.0



	December 31, 2018
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 5 years	$	728,400	2.5	%	2.4	%	8.3
Total	$	728,400	2.5	%	2.4	%	8.3

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
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Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
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Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
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Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
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-Name Accounting Standards Codification
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-Section S99
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-URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690

Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef
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-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959

+ Details

Offsetting Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2019

Offsetting [Abstract]

Schedule of gross and net information about the Company's assets and liabilities subject to master netting arrangements

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments⁽¹⁾			Cash Collateral⁽¹⁾			Net Amount
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 column of the tables above represents amounts pledged or received as collateral against derivative transactions.


(2)	Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, 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.



	December 31, 2018
	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments⁽¹⁾			Cash Collateral⁽¹⁾			Net Amount
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value⁽²⁾	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value⁽²⁾⁽³⁾	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements⁽⁴⁾	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

(1)

Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.


(1)	Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.


(2)	Cash collateral pledged against the Company's derivative counterparties was approximately $38.0 million as of December 31, 2018.

(3)

The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.3 billion as of December 31, 2018.

Share-Based Payments (Tables)

12 Months Ended

Dec. 31, 2019

Share-based Compensation [Abstract]

Summary of restricted common stock vesting dates

The following is a summary of restricted common stock vesting dates as of December 31, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan:



	December 31, 2019	December 31, 2018
Vesting Date	Shares Vesting	Shares Vesting
June 2019	—	27,476
March 2020	36,000	—
June 2020	30,592	—
March 2021	36,000	—
March 2022	36,000	—
	138,592	27,476

Schedule of restricted stock activity

The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan:



	December 31, 2019			December 31, 2018
	Shares of Restricted Stock	Weighted Average Grant Date Fair Value⁽¹⁾		Shares of Restricted Stock	Weighted Average Grant Date Fair Value⁽¹⁾
Outstanding at beginning of period	753,973	$	16.77	725,449	$	17.00
Granted⁽²⁾	140,316	10.34		28,524	10.75
Outstanding at end of period	894,289	$	15.76	753,973	$	16.77
Unvested at end of period	138,592	$	10.34	27,476	$	10.78


(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 3,536 shares and 2,620 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2019 and December 31, 2018, respectively.

Stockholders' Equity (Tables)

12 Months Ended

Dec. 31, 2019

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
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

2018
December 19, 2018	December 31, 2018	January 25, 2019	$	0.31	Ordinary income
September 17, 2018	September 27, 2018	October 26, 2018	$	0.31	Ordinary income
June 21, 2018	July 2, 2018	July 26, 2018	$	0.31	Ordinary income
March 22, 2018	April 2, 2018	April 26, 2018	$	0.31	Ordinary income

Net Income per Common Share (Tables)

12 Months Ended

Dec. 31, 2019

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 years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars, other than shares and per share amounts, in thousands):



	For the year ended December 31, 2019		For the year ended December 31, 2018		For the year ended December 31, 2017
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$	70,699	$	26,409	$	85,097
Less:
Dividends and undistributed earnings allocated to participating securities	303		138		312
Net income allocable to common stockholders—basic and diluted	$	70,396	$	26,271	$	84,785
Denominator:
Weighted average common shares outstanding for basic earnings per share	51,278,932		43,388,810		41,817,455
Weighted average common shares outstanding for diluted earnings per share	51,278,932		43,388,810		41,817,455
Basic earnings per common share	$	1.37	$	0.61	$	2.03
Diluted earnings per common share	$	1.37	$	0.61	$	2.03

Income Taxes (Tables)

12 Months Ended

Dec. 31, 2019

Income Tax Disclosure [Abstract]

Schedule of Components of Income Tax Expense (Benefit)

The following table summarizes the Company's income tax provision for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):



	For the year ended December 31, 2019		For the year ended December 31, 2018		For the year ended December 31, 2017
Current Tax Provision (Benefit)
Federal	$	860	$	709	$	4,076
State	197		—		(267		)
Total Current Provision for Income Taxes, net	1,057		709		3,809
Deferred Provision (Benefit) for Income Taxes
Federal	—		—		85
State	—		—		(407		)
Total Deferred Benefit for Income Taxes, net	—		—		(322		)
Total Income Tax Provision, net	$	1,057	$	709	$	3,487

Schedule of Deferred Tax Assets and Liabilities

The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2019 and 2018 (dollars in thousands):



Deferred Tax Asset	December 31, 2019			December 31, 2018
Net operating loss available for carry-back and carry-forward ⁽¹⁾	$	7,295		$	6,503
Net capital loss carry-forward ⁽¹⁾	6,775			4,271
Investments	1,719			1,720
Deferred tax asset	15,789			12,494
Allowance	(15,382		)	(12,087		)
Net deferred tax asset	$	407		$	407

Summary of Operating Loss Carryforwards



Deferred Tax Liability	December 31, 2019		December 31, 2018
Net operating loss available for carry-back and carry-forward	$	85	$	85
Net deferred tax liability	$	85	$	85

Schedule of Effective Income Tax Rate Reconciliation

The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows:



	For the year ended December 31, 2019		For the year ended December 31, 2018
Federal statutory rate	21.0	%	21.0	%
State statutory rate, net of federal benefit	(1.0	)%	1.5	%
Other	0.1	%	(0.8	)%
Change in valuation allowance	3.6	%	(1.3	)%
REIT earnings not subject to corporate taxes	(22.2	)%	(17.8	)%
Effective Tax Rate	1.5	%	2.6	%

Summarized Quarterly Results (unaudited) (Tables)

12 Months Ended

Dec. 31, 2019

Quarterly Financial Information Disclosure [Abstract]

Schedule of presentation of selected unaudited results of operations

The following is a presentation of selected unaudited results of operations:



	Quarter Ended
	March 31, 2019			June 30, 2019			September 30, 2019			December 31, 2019
Net Interest Income
Interest income	$	52,033		$	53,818		$	55,652		$	55,761
Interest expense	36,400			37,958			39,082			36,834
Net Interest Income	15,633			15,860			16,570			18,927

Other Income (Loss)
Realized gain (loss) on sale of investments, net	(5,105		)	(8		)	21,399			11,992
Other than temporary impairment	(1,232		)	(3,295		)	(1,819		)	(2,228		)
Unrealized gain (loss), net	50,781			74,614			35,030			(52,896		)
Gain (loss) on derivative instruments, net	(27,148		)	(71,530		)	(47,056		)	42,007
Other, net	236			532			918			518
Other Income (Loss)	17,532			313			8,472			(607		)

Expenses
Management fee to affiliate	1,735			1,832			1,800			1,987
Other operating expenses	1,598			1,253			1,589			1,079
General and administrative expenses:
Compensation expense	544			705			671			671
Professional fees	1,215			761			973			1,031
Other general and administrative expenses	185			530			344			441
Total general and administrative expenses	1,944			1,996			1,988			2,143
Total Expenses	5,277			5,081			5,377			5,209

Income before income taxes	27,888			11,092			19,665			13,111
Income tax provision (benefit)	12			478			(55		)	622
Net income	$	27,876		$	10,614		$	19,720		$	12,489

Net income per Common Share — Basic	$	0.58		$	0.21		$	0.37		$	0.23
Net income per Common Share — Diluted	$	0.58		$	0.21		$	0.37		$	0.23



	Quarter Ended
	March 31, 2018			June 30, 2018			September 30, 2018			December 31, 2018
Net Interest Income:
Interest income	$	39,727		$	57,154		$	54,461		$	58,020
Interest expense	20,697			38,134			38,517			40,892
Net Interest Income	19,030			19,020			15,944			17,128

Other Income (Loss):
Realized gain (loss) on sale of investments, net	575			(5,608		)	(24,229		)	(33,995		)
Other than temporary impairment	(2,916		)	(2,974		)	(2,533		)	(2,757		)
Unrealized gain (loss), net	(68,961		)	(31,693		)	13,128			62,855
Gain (loss) on derivative instruments, net	79,582			28,490			24,625			(54,728		)
Other, net	47			(145		)	(2		)	(89		)
Other Income (Loss)	8,327			(11,930		)	10,989			(28,714		)

Expenses:
Management fee to affiliate	2,180			2,259			2,284			1,950
Other operating expenses	969			1,555			1,609			1,943
General and administrative expenses:
Compensation expense	510			572			552			552
Professional fees	1,295			818			1,065			1,121
Other general and administrative expenses	361			397			335			349
Total general and administrative expenses	2,166			1,787			1,952			2,022
Total Expenses	5,315			5,601			5,845			5,915

Income (loss) before income taxes	22,042			1,489			21,088			(17,501		)
Income tax provision	313			36			206			154
Net income (loss)	$	21,729		$	1,453		$	20,882		$	(17,655	)

Net income (loss) per Common Share—Basic	$	0.52		$	0.03		$	0.50		$	(0.37	)
Net income (loss) per Common Share—Diluted	$	0.52		$	0.03		$	0.50		$	(0.37	)

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Assets
Derivative assets	$ 13,776	$ 14,466
Liabilities
Derivative liabilities	6,370	10,130
Securitized debt	1,057
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(8,574)	(11,180)	$ (22,873)
Premium and discount amortization, net	(7,398)	(5,374)	2,070
Residential Whole Loans
Assets
Fair value	1,200,566	1,041,885
Residential Bridge Loans
Assets
Fair value	33,269	211,999
Commercial Loans
Assets
Fair value	370,213	216,123
Securitized Commercial Loans
Assets
Fair value	909,040
Agency CMBS
Assets
Estimated Fair Value	1,435,477	1,481,984
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net	(2,327)	(646)	507
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	3,092	4,158
Agency RMBS
Assets
Estimated Fair Value	340,771
Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	10,343	12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,572	7,702
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,572	7,702
Subtotal Agency MBS
Assets
Estimated Fair Value	1,795,255	1,505,979
Non-Agency RMBS
Assets
Estimated Fair Value	38,131	39,026
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(1,331)	(996)	0
Premium and discount amortization, net	(2,214)	(1,073)	525
Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	7,683	11,529
Non-Agency CMBS
Assets
Estimated Fair Value	316,019	200,301
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(6,565)	(8,660)	(15,117)
Premium and discount amortization, net	4,017	6,366	8,276
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	361,833	250,856
Other securities
Assets
Estimated Fair Value	80,161	59,906
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(604)	(717)	(1,982)
Premium and discount amortization, net	(6,472)	(6,371)	1,559
Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	2,237,249	1,816,741
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net	(10,049)	(6,816)	(2,191)
Non-Agency MBS
Assets
Estimated Fair Value	361,833	250,856
Level I
Assets
Derivative assets	0	0
Total	0	0
Liabilities
Derivative liabilities	0	4,657
Securitized debt	0	0
Total Liabilities	0	4,657
Level I \| Residential Whole Loans
Assets
Fair value	0	0
Level I \| Residential Bridge Loans
Assets
Fair value	0
Level I \| Commercial Loans
Assets
Fair value	0	0
Level I \| Securitized Commercial Loans
Assets
Fair value	0	0
Level I \| Agency CMBS
Assets
Estimated Fair Value	0	0
Level I \| Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0	0
Level I \| Agency RMBS
Assets
Estimated Fair Value	0
Level I \| Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0	0
Level I \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value		0
Level I \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0
Level I \| Subtotal Agency MBS
Assets
Estimated Fair Value	0	0
Level I \| Non-Agency RMBS
Assets
Estimated Fair Value	0	0
Level I \| Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0	0
Level I \| Non-Agency CMBS
Assets
Estimated Fair Value	0	0
Level I \| Subtotal Non-Agency MBS
Assets
Estimated Fair Value	0	0
Level I \| Other securities
Assets
Estimated Fair Value	0	0
Level I \| Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	0	0
Level II
Assets
Derivative assets	5,111	2,606
Total	2,163,435	1,740,004
Liabilities
Derivative liabilities	6,370	5,473
Securitized debt	680,586	947,340
Total Liabilities	686,956	952,813
Level II \| Residential Whole Loans
Assets
Fair value	0	0
Level II \| Residential Bridge Loans
Assets
Fair value	0	0
Level II \| Commercial Loans
Assets
Fair value	0	0
Level II \| Securitized Commercial Loans
Assets
Fair value	0	0
Level II \| Agency CMBS
Assets
Estimated Fair Value	1,435,477	1,481,984
Level II \| Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	3,092	4,158
Level II \| Agency RMBS
Assets
Estimated Fair Value	340,771
Level II \| Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0	0
Level II \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value		0
Level II \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0
Level II \| Subtotal Agency MBS
Assets
Estimated Fair Value	1,779,340	1,486,142
Level II \| Non-Agency RMBS
Assets
Estimated Fair Value	0	0
Level II \| Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0	0
Level II \| Non-Agency CMBS
Assets
Estimated Fair Value	316,019	200,301
Level II \| Subtotal Non-Agency MBS
Assets
Estimated Fair Value	316,019	200,301
Level II \| Other securities
Assets
Estimated Fair Value	62,965	50,955
Level II \| Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	2,158,324	1,737,398
Level III
Assets
Derivative assets	0	0
Total	2,767,307	2,562,861
Liabilities
Derivative liabilities	0	0
Securitized debt		2,286
Total Liabilities	1,057	2,286
Level III \| Residential Whole Loans
Assets
Fair value	1,375,860
Level III \| Commercial Loans
Assets
Fair value		216,123
Level III \| Securitized Commercial Loans
Assets
Fair value		1,013,511
Level III \| Agency CMBS
Assets
Estimated Fair Value	0	0
Level III \| Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0	0
Level III \| Agency RMBS
Assets
Estimated Fair Value	0
Level III \| Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	10,343	12,135
Level III \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value		7,702
Level III \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,572
Level III \| Subtotal Agency MBS
Assets
Estimated Fair Value	15,915	19,837
Level III \| Non-Agency RMBS
Assets
Estimated Fair Value	38,131	39,026
Level III \| Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	7,683	11,529
Level III \| Non-Agency CMBS
Assets
Estimated Fair Value	0	0
Level III \| Subtotal Non-Agency MBS
Assets
Estimated Fair Value	45,814	50,555
Level III \| Other securities
Assets
Estimated Fair Value	17,196	8,951
Level III \| Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	78,925	79,343
Recurring basis \| Residential Bridge Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Realized gains/(losses), net on assets	(351)
Recurring basis \| Commercial Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	216,123
Principal repayments	(121,245)
Ending balance		216,123
Recurring basis \| Subtotal Agency MBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Sales and settlements	401
Recurring basis \| Level III \| Residential Whole Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,041,885	237,423
Purchases	544,426	860,576
Principal repayments	(228,163)	(55,186)
Unrealized gains/(losses), net	20,887	(415)
Premium and discount amortization, net	(3,175)	(513)
Ending balance	1,375,860	1,041,885	237,423
Recurring basis \| Level III \| Residential Bridge Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	211,999	64,526
Purchases		207,705
Transfers to REO	(2,677)
Principal repayments	(175,422)	(57,528)
Unrealized gains/(losses), net	397	(1,806)
Premium and discount amortization, net	(677)	(898)
Ending balance	33,269	211,999	64,526
Recurring basis \| Level III \| Commercial Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	216,123	0
Purchases	274,422	215,322
Unrealized gains/(losses), net	(122)	631
Premium and discount amortization, net	1,035	170
Ending balance	370,213	216,123	0
Recurring basis \| Level III \| Securitized Commercial Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,013,511	24,876
Purchases	1,113,231	1,353,020
Principal repayments	(1,214,688)	(361,782)
Unrealized gains/(losses), net	(1,070)	(16)
Premium and discount amortization, net	(1,944)	(2,587)
Ending balance	909,040	1,013,511	24,876
Recurring basis \| Level III \| Subtotal Agency MBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	19,837	17,217
Transfers into Level III from Level II		22,795
Transfers from Level III into Level II		(16,805)
Purchases		2,093
Principal repayments		(53)
Other than temporary impairment	(222)	(735)
Unrealized gains/(losses), net	762	(630)
Premium and discount amortization, net	(4,061)	(4,045)
Ending balance	15,915	19,837	17,217
Recurring basis \| Level III \| Other securities
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	8,951	9,239
Transfers into Level III from Level II	8,386	9,708
Transfers from Level III into Level II		(8,697)
Principal repayments	(555)	(604)
Other than temporary impairment		(161)
Unrealized gains/(losses), net	693	(532)
Premium and discount amortization, net	(279)	(2)
Ending balance	17,196	8,951	9,239
Recurring basis \| Level III \| Non-Agency MBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	50,555	8,735
Transfers into Level III from Level II		39,084
Purchases		8,602
Sales and settlements		(4,180)
Principal repayments	(965)	(307)
Realized gains/(losses), net on assets		258
Other than temporary impairment	(1,332)	(918)
Unrealized gains/(losses), net	(229)	1,183
Premium and discount amortization, net	(2,215)	(1,902)
Ending balance	45,814	50,555	8,735
Securitized Debt \| Recurring basis \| Level III
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	375	(1,998)
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	2,286	10,945
Transfers from Level III into Level II		(10,899)
Sales and settlements		12
Principal repayments		(44)
Unrealized gains (losses), net	(2,373)	1,996
Premium and discount amortization, net	(2,625)	276
Ending balance	1,057	2,286	$ 10,945
Securitized Debt \| Recurring basis \| Level III \| Securitized Debt
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Sales and settlements	3,769
Assets \| Recurring basis \| Level III \| Residential Whole Loans
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	21,768	351
Assets \| Recurring basis \| Level III \| Residential Bridge Loans
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	(488)	(1,370)
Assets \| Recurring basis \| Level III \| Commercial Loans
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	128	631
Assets \| Recurring basis \| Level III \| Securitized Commercial Loans
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	(1,042)	(16)
Assets \| Recurring basis \| Level III \| Subtotal Agency MBS
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	780	(272)
Assets \| Recurring basis \| Level III \| Other securities
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	693	(464)
Assets \| Recurring basis \| Level III \| Non-Agency MBS
Fair Value of Financial Instruments
Debt Securities, Available-for-sale, Unrealized Gain (Loss)	(229)	1,184
Estimated Fair Value
Assets
Derivative assets	5,111	2,606
Total	4,930,742	4,302,865
Liabilities
Derivative liabilities	6,370	10,130
Securitized debt	681,643	949,626
Total Liabilities	688,013	959,756
Estimated Fair Value \| Residential Whole Loans
Assets
Fair value	1,375,860	1,041,885
Estimated Fair Value \| Residential Bridge Loans
Assets
Fair value	33,269	211,999
Estimated Fair Value \| Commercial Loans
Assets
Fair value	370,213	216,123
Estimated Fair Value \| Securitized Commercial Loans
Assets
Fair value	909,040	1,013,511
Estimated Fair Value \| Agency CMBS
Assets
Estimated Fair Value	1,435,477	1,481,984
Estimated Fair Value \| Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	3,092	4,158
Estimated Fair Value \| Agency RMBS
Assets
Estimated Fair Value	340,771
Estimated Fair Value \| Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	10,343	12,135
Estimated Fair Value \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value		7,702
Estimated Fair Value \| Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	5,572
Estimated Fair Value \| Subtotal Agency MBS
Assets
Estimated Fair Value	1,795,255	1,505,979
Estimated Fair Value \| Non-Agency RMBS
Assets
Estimated Fair Value	38,131	39,026
Estimated Fair Value \| Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	7,683	11,529
Estimated Fair Value \| Non-Agency CMBS
Assets
Estimated Fair Value	316,019	200,301
Estimated Fair Value \| Subtotal Non-Agency MBS
Assets
Estimated Fair Value	361,833	250,856
Estimated Fair Value \| Other securities
Assets
Estimated Fair Value	80,161	59,906
Estimated Fair Value \| Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	2,237,249	1,816,741
Estimated Fair Value \| Recurring basis
Liabilities
Securitized debt	810,914	0
Total Liabilities	$ 3,849,179	$ 2,932,146

Fair Value of Financial Instruments - Narrative (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Fair Value Disclosures [Abstract]
Derivative credit risk valuation adjustment, derivative assets	$ 0	$ 0

Fair Value of Financial Instruments - Summary of quantitative information (Details)	Dec. 31, 2019 USD ($)	Dec. 31, 2018 USD ($)
Residential Whole Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,200,566,000	$ 1,041,885,000
Residential Whole Loans \| To-Be-Announced Pricing Model (TBA)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	175,294
Residential Whole Loans \| To-Be-Announced Pricing Model (TBA) \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans Held-for-sale, Measurement Input, Pricing	101.39
Residential Whole Loans \| To-Be-Announced Pricing Model (TBA) \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans Held-for-sale, Measurement Input, Pricing	107.63
Residential Whole Loans \| Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,375,860,000
Residential Whole Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.034	0.035
Residential Whole Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.070	0.079
Residential Whole Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.037	0.055
Residential Whole Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 4 months 24 days	9 months 18 days
Residential Whole Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	7 years 9 months 18 days	10 years 3 months 18 days
Residential Whole Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	3 years	2 years 9 months 18 days
Residential Bridge Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 33,269,000	$ 211,999,000
Residential Bridge Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.075	0.056
Residential Bridge Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.270	1.453
Residential Bridge Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.098	0.113
Residential Bridge Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	3 months 18 days	1 month 6 days
Residential Bridge Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 9 months 18 days	1 year 7 months 6 days
Residential Bridge Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	9 months 18 days	6 months
Commercial Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 370,213,000	$ 216,123,000
Commercial Loans \| Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value		$ 216,123,000
Commercial Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.047	0.067
Commercial Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.109	0.092
Commercial Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Discount Rate \| Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.075	0.076
Commercial Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	4 months 24 days	10 months 24 days
Commercial Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 10 months 24 days	2 years 8 months 12 days
Commercial Loans \| Level III \| Discounted Cash Flow \| Measurement Input, Expected Term \| Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 7 months 6 days	2 years 1 month 6 days

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt	$ 1,057
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt	681,643	$ 949,626
Total	688,013	959,756
Recurring basis \| Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages	3,150	9,720
Borrowings under repurchase agreements	2,824,801	2,818,837
Convertible senior unsecured notes	197,299	110,060
Securitized debt	801,109	0
Total	3,823,209	2,928,897
Debt issuance costs, net	5,300
Recurring basis \| Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages	3,148	9,603
Borrowings under repurchase agreements	2,829,093	2,823,615
Convertible senior unsecured notes	209,172	108,531
Securitized debt	810,914	0
Total	3,849,179	2,932,146
Recurring basis \| Residential Bridge Loans \| Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages	3,150	9,720
Recurring basis \| Residential Bridge Loans \| Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages	$ 3,148	$ 9,603

Mortgage-Backed Securities and other securities - Company's investment portfolio (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Total mortgage-backed securities and other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 2,154,864	$ 1,836,035
Unamortized Premium (Discount), net	16,133	(8,717)
Discount Designated as Credit Reserve and OTTI	(48,475)	(53,523)
Amortized Cost	2,149,607	1,813,403
Unrealized Gain	90,911	24,521
Unrealized Loss	(11,933)	(33,043)
Estimated Fair Value	$ 2,237,249	$ 1,816,741
Net Weighted Average Coupon (as a percent)	3.10%	2.90%
Weighted average expected remaining term to the expected maturity of investment portfolio	7 years 10 months 24 days	8 years 6 months
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 1,347,929	$ 1,493,675
Unamortized Premium (Discount), net	26,514	5,820
Amortized Cost	1,374,443	1,499,495
Unrealized Gain	66,832	12,083
Unrealized Loss	(5,798)	(29,594)
Estimated Fair Value	$ 1,435,477	$ 1,481,984
Net Weighted Average Coupon (as a percent)	3.40%	3.30%
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 3,092	$ 4,158
Net Weighted Average Coupon (as a percent)	0.40%	0.40%
Notional balance	$ 160,200	$ 172,200
Subtotal Commercial Mortgage Backed Securities Issued By US Government Sponsored Enterprises
Debt Securities, Available-for-sale [Line Items]
Principal Balance	1,347,929	1,493,675
Unamortized Premium (Discount), net	26,514	5,820
Amortized Cost	1,374,443	1,499,495
Unrealized Gain	66,832	12,083
Unrealized Loss	(5,798)	(29,594)
Estimated Fair Value	$ 1,438,569	$ 1,486,142
Net Weighted Average Coupon (as a percent)	3.10%	3.00%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 327,814
Unamortized Premium (Discount), net	5,473
Amortized Cost	333,287
Unrealized Gain	7,484
Unrealized Loss	0
Estimated Fair Value	$ 340,771
Net Weighted Average Coupon (as a percent)	3.50%
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 8,661	$ 11,480
Unrealized Gain	1,820	1,062
Unrealized Loss	(138)	(407)
Estimated Fair Value	$ 10,343	$ 12,135
Net Weighted Average Coupon (as a percent)	2.80%	2.20%
Notional balance	$ 121,700	$ 158,800
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 5,572	$ 7,702
Net Weighted Average Coupon (as a percent)	3.00%	2.90%
Subtotal Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 327,814
Unamortized Premium (Discount), net	5,473
Amortized Cost	341,948	$ 11,480
Unrealized Gain	9,304	1,062
Unrealized Loss	(138)	(407)
Estimated Fair Value	$ 356,686	$ 19,837
Net Weighted Average Coupon (as a percent)	3.30%	2.50%
Subtotal Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 1,675,743	$ 1,493,675
Unamortized Premium (Discount), net	31,987	5,820
Amortized Cost	1,716,391	1,510,975
Unrealized Gain	76,136	13,145
Unrealized Loss	(5,936)	(30,001)
Estimated Fair Value	$ 1,795,255	$ 1,505,979
Net Weighted Average Coupon (as a percent)	3.10%	2.90%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 52,767	$ 54,887
Unamortized Premium (Discount), net	4,492	6,909
Discount Designated as Credit Reserve and OTTI	(20,256)	(23,731)
Amortized Cost	37,003	38,065
Unrealized Gain	1,388	961
Unrealized Loss	(260)	0
Estimated Fair Value	$ 38,131	$ 39,026
Net Weighted Average Coupon (as a percent)	4.80%	4.80%
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 7,705	$ 11,154
Unrealized Gain	636	382
Unrealized Loss	(658)	(7)
Estimated Fair Value	$ 7,683	$ 11,529
Net Weighted Average Coupon (as a percent)	0.60%	0.60%
Notional balance	$ 442,400	$ 519,900
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	5,572	7,702
Notional balance	64,800	89,800
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	52,767	54,887
Unamortized Premium (Discount), net	4,492	6,909
Discount Designated as Credit Reserve and OTTI	(20,256)	(23,731)
Amortized Cost	44,708	49,219
Unrealized Gain	2,024	1,343
Unrealized Loss	(918)	(7)
Estimated Fair Value	$ 45,814	$ 50,555
Net Weighted Average Coupon (as a percent)	1.00%	1.00%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 354,458	$ 240,431
Unamortized Premium (Discount), net	(17,909)	(20,317)
Discount Designated as Credit Reserve and OTTI	(22,016)	(22,189)
Amortized Cost	314,533	197,925
Unrealized Gain	6,359	5,021
Unrealized Loss	(4,873)	(2,645)
Estimated Fair Value	$ 316,019	$ 200,301
Net Weighted Average Coupon (as a percent)	5.10%	5.90%
Total Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 407,225	$ 295,318
Unamortized Premium (Discount), net	(13,417)	(13,408)
Discount Designated as Credit Reserve and OTTI	(42,272)	(45,920)
Amortized Cost	359,241	247,144
Unrealized Gain	8,383	6,364
Unrealized Loss	(5,791)	(2,652)
Estimated Fair Value	$ 361,833	$ 250,856
Net Weighted Average Coupon (as a percent)	2.70%	2.40%
Other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 71,896	$ 47,042
Unamortized Premium (Discount), net	(2,437)	(1,129)
Discount Designated as Credit Reserve and OTTI	(6,203)	(7,603)
Amortized Cost	73,975	55,284
Unrealized Gain	6,392	5,012
Unrealized Loss	(206)	(390)
Estimated Fair Value	$ 80,161	$ 59,906
Net Weighted Average Coupon (as a percent)	6.70%	9.00%
Residual interests in asset-backed securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance		$ 0
Amortized Cost	$ 10,700	$ 17,000

Mortgage-Backed Securities and other securities - Changes in the components of purchase discount and amortizable premium (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Discount Designated as Credit Reserve and OTTI
Other than temporary impairment	$ (2,228)	$ (1,819)	$ (3,295)	$ (1,232)	$ (2,757)	$ (2,533)	$ (2,974)	$ (2,916)
Non-Agency RMBS and Non-Agency CMBS and Other Securities
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period				(53,523)				(72,915)	$ (53,523)	$ (72,915)	$ (130,484)
Realized credit losses									7,290	5,863	2,391
Purchases									(28)	(7,182)	(19,385)
Sales									26,706	32,301	89,628
Other than temporary impairment									(6,612)	(9,733)	(15,310)
Transfers/release of credit reserve									(22,308)	(1,857)	245
Balance at end of period	(48,475)				(53,523)				(48,475)	(53,523)	(72,915)
Accretable Discount
Balance at beginning of period				(29,465)				(68,438)	(29,465)	(68,438)	(109,822)
Accretion of discount									4,364	7,137	10,715
Purchases									(7,953)	(6,473)	(1,205)
Sales									0	40,338	33,166
Transfers/release of credit reserve									2,889	(2,029)	(1,292)
Balance at end of period	(30,165)				(29,465)				(30,165)	(29,465)	(68,438)
Amortizable Premium
Balance at beginning of period				$ 14,928				$ 20,872	14,928	20,872	44,527
Amortization of premium									(1,215)	(675)	(843)
Purchases									819	435	7,259
Sales									(19,640)	(9,590)	(31,118)
Transfers/release of credit reserve									19,419	3,886	1,047
Balance at end of period	$ 14,311				$ 14,928				$ 14,311	$ 14,928	$ 20,872

- Fair value and contractual maturities of the Company's investment securities (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Total mortgage-backed securities and other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 2,237,249	$ 1,816,741
Total mortgage-backed securities and other securities \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,091,877	1,142,938
Total mortgage-backed securities and other securities \| More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	625,252	466,292
Total mortgage-backed securities and other securities \| More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	453,805	94,487
Total mortgage-backed securities and other securities \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	66,315	113,024
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,435,477	1,481,984
Agency CMBS \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	973,189	1,101,820
Agency CMBS \| More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	462,288	380,164
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, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,092	4,158
Agency CMBS 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	0	0
Agency CMBS 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	0	0
Agency CMBS 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	0	0
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,092	4,158
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	340,771
Agency RMBS \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0
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
Agency RMBS \| More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	340,771
Agency RMBS \| 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	10,343	12,135
Agency RMBS Interest-Only Strips \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,413	3,577
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	1,966	2,402
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	5,964	6,156
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	5,572	7,702
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	669	1,089
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	3,893	4,053
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	1,010	2,560
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
Subtotal Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,795,255	1,505,979
Subtotal Agency MBS \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	976,271	1,106,486
Subtotal Agency MBS \| More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	468,147	386,619
Subtotal Agency MBS \| More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	347,745	8,716
Subtotal Agency MBS \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,092	4,158
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	38,131	39,026
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	8,966	8,540
Non-Agency RMBS \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	29,165	30,486
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	7,683	11,529
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	1,716	4,310
Non-Agency RMBS Interest-Only Strips \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	5,967	7,219
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	316,019	200,301
Non-Agency CMBS \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	89,782	28,754
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	125,282	53,653
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	92,610	72,921
Non-Agency CMBS \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	8,345	44,973
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	361,833	250,856
Subtotal Non-Agency MBS \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	89,782	28,754
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	125,282	53,653
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	103,292	85,771
Subtotal Non-Agency MBS \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	43,477	82,678
Other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	80,161	59,906
Other securities \| Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	25,824	7,698
Other securities \| More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	31,823	26,020
Other securities \| More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,768	0
Other securities \| More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 19,746	$ 26,188

Mortgage-Backed Securities and other securities - Gross unrealized losses and estimated fair value (Details) $ in Thousands	Dec. 31, 2019 USD ($) item	Dec. 31, 2018 USD ($) item
Fair Value
Fair value, less than 12 Months	$ 412,552	$ 114,194
Fair value, 12 months or longer	19,897	903,289
Fair Value	432,449	1,017,483
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(11,267)	(1,540)
12 Months or Longer, Accumulated Loss	(666)	(31,503)
Unrealized Losses	$ (11,933)	$ (33,043)
Number of Securities
Number of positions, less than 12 Months \| item	55	21
Number of positions, 12 months or longer \| item	11	85
Number of Securities \| item	66	106
Agency CMBS
Fair Value
Fair value, less than 12 Months	$ 214,084	$ 29,413
Fair value, 12 months or longer	0	879,549
Fair Value	214,084	908,962
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(5,798)	(307)
12 Months or Longer, Accumulated Loss	0	(29,287)
Unrealized Losses	$ (5,798)	$ (29,594)
Number of Securities
Number of positions, less than 12 Months \| item	16	3
Number of positions, 12 months or longer \| item	0	72
Number of Securities \| item	16	75
Agency RMBS Interest-Only Strips
Fair Value
Fair value, less than 12 Months	$ 1,376	$ 3,277
Fair value, 12 months or longer	1,828	3,917
Fair Value	3,204	7,194
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(43)	(124)
12 Months or Longer, Accumulated Loss	(95)	(283)
Unrealized Losses	$ (138)	$ (407)
Number of Securities
Number of positions, less than 12 Months \| item	4	7
Number of positions, 12 months or longer \| item	7	9
Number of Securities \| item	11	16
Subtotal Agency RMBS
Fair Value
Fair value, less than 12 Months	$ 215,460	$ 32,690
Fair value, 12 months or longer	1,828	883,466
Fair Value	217,288	916,156
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(5,841)	(431)
12 Months or Longer, Accumulated Loss	(95)	(29,570)
Unrealized Losses	$ (5,936)	$ (30,001)
Number of Securities
Number of positions, less than 12 Months \| item	20	10
Number of positions, 12 months or longer \| item	7	81
Number of Securities \| item	27	91
Non-Agency RMBS
Fair Value
Fair value, less than 12 Months	$ 13,214	$ 0
Fair value, 12 months or longer	0	500
Fair Value	13,214	500
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(260)	0
12 Months or Longer, Accumulated Loss	0	0
Unrealized Losses	$ (260)	$ 0
Number of Securities
Number of positions, less than 12 Months \| item	1	0
Number of positions, 12 months or longer \| item	0	1
Number of Securities \| item	1	1
Non-Agency RMBS Interest-Only Strips
Fair Value
Fair value, less than 12 Months	$ 1,716	$ 957
Fair value, 12 months or longer	0	0
Fair Value	1,716	957
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(658)	(7)
12 Months or Longer, Accumulated Loss	0	0
Unrealized Losses	$ (658)	$ (7)
Number of Securities
Number of positions, less than 12 Months \| item	1	2
Number of positions, 12 months or longer \| item	0	0
Number of Securities \| item	1	2
Non-Agency CMBS
Fair Value
Fair value, less than 12 Months	$ 171,650	$ 65,339
Fair value, 12 months or longer	18,069	19,323
Fair Value	189,719	84,662
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(4,302)	(712)
12 Months or Longer, Accumulated Loss	(571)	(1,933)
Unrealized Losses	$ (4,873)	$ (2,645)
Number of Securities
Number of positions, less than 12 Months \| item	31	7
Number of positions, 12 months or longer \| item	4	3
Number of Securities \| item	35	10
Subtotal Non-Agency MBS
Fair Value
Fair value, less than 12 Months	$ 186,580	$ 66,296
Fair value, 12 months or longer	18,069	19,823
Fair Value	204,649	86,119
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(5,220)	(719)
12 Months or Longer, Accumulated Loss	(571)	(1,933)
Unrealized Losses	$ (5,791)	$ (2,652)
Number of Securities
Number of positions, less than 12 Months \| item	33	9
Number of positions, 12 months or longer \| item	4	4
Number of Securities \| item	37	13
Other securities
Fair Value
Fair value, less than 12 Months	$ 10,512	$ 15,208
Fair value, 12 months or longer	0	0
Fair Value	10,512	15,208
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(206)	(390)
12 Months or Longer, Accumulated Loss	0	0
Unrealized Losses	$ (206)	$ (390)
Number of Securities
Number of positions, less than 12 Months \| item	2	2
Number of positions, 12 months or longer \| item	0	0
Number of Securities \| item	2	2

Mortgage-Backed Securities and other securities - OTTI and Interest Income (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment									$ 8,574	$ 11,180	$ 22,873
Depreciation, Amortization and Accretion, Net [Abstract]
Net (Premium Amortization/Amortization Basis) Discount Amortization									(7,398)	(5,374)	2,070
Interest income	$ 55,761	$ 55,652	$ 53,818	$ 52,033	$ 58,020	$ 54,461	$ 57,154	$ 39,727	217,264	209,362	124,291
Total mortgage-backed securities and other securities
Depreciation, Amortization and Accretion, Net [Abstract]
Coupon Interest									93,960	121,638	111,233
Net (Premium Amortization/Amortization Basis) Discount Amortization									(10,049)	(6,816)	(2,191)
Interest income									83,911	114,822	109,042
Subtotal Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment									74	807	5,774
Depreciation, Amortization and Accretion, Net [Abstract]
Coupon Interest									12,181	19,507	38,108
Net (Premium Amortization/Amortization Basis) Discount Amortization									(3,053)	(5,092)	(13,058)
Interest income									9,128	14,415	25,050
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment									1,331	996	0
Depreciation, Amortization and Accretion, Net [Abstract]
Coupon Interest									4,682	7,120	5,602
Net (Premium Amortization/Amortization Basis) Discount Amortization									(2,214)	(1,073)	525
Interest income									2,468	6,047	6,127
Agency CMBS
Depreciation, Amortization and Accretion, Net [Abstract]
Coupon Interest									51,286	60,148	40,064
Net (Premium Amortization/Amortization Basis) Discount Amortization									(2,327)	(646)	507
Interest income									48,959	59,502	40,571
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment									6,565	8,660	15,117
Depreciation, Amortization and Accretion, Net [Abstract]
Coupon Interest									14,178	20,058	19,179
Net (Premium Amortization/Amortization Basis) Discount Amortization									4,017	6,366	8,276
Interest income									18,195	26,424	27,455
Other securities
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment									604	717	1,982
Depreciation, Amortization and Accretion, Net [Abstract]
Coupon Interest									11,633	14,805	8,280
Net (Premium Amortization/Amortization Basis) Discount Amortization									(6,472)	(6,371)	1,559
Interest income									$ 5,161	$ 8,434	$ 9,839

Mortgage-Backed Securities and other securities - Sales and realized gains (losses) (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds										$ 2,430,054
Net Gain (Loss)	$ 11,992	$ 21,399	$ (8)	$ (5,105)	$ (33,995)	$ (24,229)	$ (5,608)	$ 575	$ 28,278	(63,257)	$ 20,598
Total mortgage-backed securities and other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds									1,136,617		1,589,145
Gross Gains									34,669	18,512	32,632
Gross Losses									(5,814)	(81,721)	(12,034)
Net Gain (Loss)									28,855	(63,209)	20,598
Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds									891,072	1,534,967
Gross Gains									32,793	0
Gross Losses									(4,190)	(51,045)
Net Gain (Loss)									28,603	(51,045)
Subtotal Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds									205,310	589,854	1,251,985
Gross Gains									1,559	18	5,020
Gross Losses									0	(23,997)	(7,936)
Net Gain (Loss)									1,559	(23,979)	(2,916)
Subtotal Agency RMBS \| Agency interest only strips accounted for as derivatives
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds											2,600
Gross Gains											432
Subtotal Agency RMBS \| Non Agency RMBS Interest Only Strips Accounted For As Derivatives
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds											2,200
Gross Gains											274
Gross Losses											(180)
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds										99,842	243,838
Gross Gains										7,008	24,356
Gross Losses										(478)	(2,241)
Net Gain (Loss)										6,530	22,115
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds									40,235	140,292	54,875
Gross Gains									317	3,086	2,543
Gross Losses									(1,624)	(6,201)	(1,803)
Net Gain (Loss)									$ (1,307)	(3,115)	740
Other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds										65,099	38,447
Gross Gains										8,400	713
Gross Losses										0	(54)
Net Gain (Loss)										$ 8,400	$ 659

Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2019 loan	Dec. 31, 2019 USD ($) entity	Dec. 31, 2018 USD ($) loan
Schedule of Investments [Line Items]
VIE, consolidated, number of commercial loan trusts \| entity		4
Variable interest entity, reporting entity involvement, maximum loss exposure, amount \| $		$ 117.7	$ 118.4
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure
Schedule of Investments [Line Items]
VIE, consolidated, number of commercial loan trusts \| loan	10		7

Residential (Details) $ in Thousands	1 Months Ended	12 Months Ended
Residential (Details) $ in Thousands	May 31, 2019 USD ($)	Dec. 31, 2019 USD ($) loan	Dec. 31, 2018 USD ($) loan	Sep. 30, 2019 USD ($)
Variable Interest Entity [Line Items]
Repurchase agreements		$ 2,824,801	$ 2,818,837
Principal amount of delinquent loans		19,233
Principal balance		$ 2,676,231
Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans \| loan		3,529	2,782
Fair value		$ 1,200,566	$ 1,041,885
Principal balance		1,325,443	1,023,524
Residential Bridge Loans
Variable Interest Entity [Line Items]
Fair value		$ 33,269	211,999
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure \| Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans \| loan		9
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure \| Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of Loans \| loan		68
VIE \| Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements		$ 209,900	$ 618,700
Number of Loans \| loan		3,520
Mortgage loans on real estate, number of loans		12	0
Principal amount of delinquent loans		$ 7,100
Mortgage loans on real estate, number of loans, nonperforming, percentage		0.50%
VIE \| Residential Bridge Loans
Variable Interest Entity [Line Items]
Repurchase agreements		$ 32,100	$ 207,500
Number of Loans \| loan		76	520
Mortgage loans on real estate, number of loans			3
Principal amount of delinquent loans			$ 1,100
Mortgage loans on real estate, number of loans, nonperforming, percentage		32.60%	2.30%
Principal amount at fair value of delinquent loans		$ 12,100
Principal balance		$ 37,196	$ 222,257
Original LTV, collateral dependent		72.10%	70.00%
Other Real Estate, Foreclosed Assets, and Repossessed Assets		$ 3,300
RCR Trust \| Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements		164,300	$ 250,400
RNR Trust \| Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements		8,100	15,100
Arroyo Mortgage Trust 2019-2 \| Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements		919,000		$ 919,000
RBR Trust \| Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements		91,700
Estimated Fair Value \| Residential Whole Loans
Variable Interest Entity [Line Items]
Fair value		1,375,860	1,041,885
Estimated Fair Value \| Residential Bridge Loans
Variable Interest Entity [Line Items]
Fair value		33,269	$ 211,999
Estimated Fair Value \| VIE \| Residential Whole Loans
Variable Interest Entity [Line Items]
Fair value		$ 6,700
Estimated Fair Value \| VIE \| Residential Bridge Loans
Variable Interest Entity [Line Items]
Mortgage loans on real estate, number of loans		27	9
Principal amount of delinquent loans			$ 4,000
Fair value		$ 11,400	$ 3,800
Arroyo Trust \| Arroyo Mortgage Trust 2019-2 \| Residential Whole Loans
Variable Interest Entity [Line Items]
Transfer of residential mortgage-backed securitization	$ 945,500

Residential Whole Loans and Bridge Loans Summary of the Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Variable Interest Entity [Line Items]
Cash and cash equivalents	$ 31,331	$ 21,987	$ 48,024
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860	1,041,885
Commercial Loans, at fair value	350,213	196,123
Investment related receivable	19,931	42,945
Interest receivable	19,413	21,959
Other assets	4,509	2,488
Total assets	5,160,971	4,497,395
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	1,477,454	949,626
Interest payable	15,001	8,532
Accounts payable and accrued expenses	3,188	3,858
Other liabilities	52,948	56,031
Total liabilities	4,596,510	3,994,386
VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents	7,589	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897	221,486
Commercial Loans, at fair value	90,788	196,123
Investment related receivable		42,945
Interest receivable	10,829	15,540
Other assets	90	178
Total assets	2,501,179	2,588,150
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	1,477,454	949,626
Interest payable	3,886	2,419
Accounts payable and accrued expenses	185	708
Other liabilities	52,948	56,033
Total liabilities	1,534,473	1,008,786
Residential Whole-Loan And Residential Bridge Loan \| VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents	1,811	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860	1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897	221,486
Commercial Loans, at fair value	0	30,000
Investment related receivable	19,138	42,945
Interest receivable	7,840	11,807
Other assets	90	178
Total assets	1,439,636	1,348,975
Securitized debt, net ($681,643 and $949,626 at fair value and $142,905 and $246,802 held by affiliates, respectively)	795,811	0
Interest payable	2,367	0
Accounts payable and accrued expenses	173	677
Other liabilities	0	225
Total liabilities	$ 798,351	$ 902

Residential Whole Loans and Bridge Loans Carrying Value Components (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Variable Interest Entity [Line Items]
Principal balance	$ 2,676,231
Residential Whole Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	1,325,443	$ 1,023,524
Unamortized premium	28,588	17,629
Unamortized discount	(2,839)	(3,145)
Amortized cost	1,351,192	1,038,008
Gross unrealized gains	26,363	7,573
Gross unrealized losses	(1,695)	(3,696)
Fair value	1,375,860	1,041,885
Residential Bridge Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	34,041	212,491
Unamortized premium	79	1,164
Unamortized discount	(13)	(316)
Amortized cost	34,107	213,339
Gross unrealized gains	10	212
Gross unrealized losses	(848)	(1,552)
Fair value	33,269	211,999
Residential Bridge Loans, at Amortized Cost
Variable Interest Entity [Line Items]
Principal balance	3,155	9,766
Unamortized premium	6	16
Unamortized discount	(11)	(62)
Amortized cost	$ 3,150	$ 9,720

Residential Whole Loans and Bridge Loans Investment Portfolio (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2019 USD ($) loan item score	Dec. 31, 2018 USD ($) loan item score
Variable Interest Entity [Line Items]
Principal balance \| $	$ 2,676,231
3.01 - 4.00%
Variable Interest Entity [Line Items]
Number of Loans	53	66
Principal balance \| $	$ 17,284	$ 22,046
Original LTV	61.70%	61.60%
Original FICO Score \| item	736	738
Expected Life (in years)	2 years 4 months 24 days	6 years 6 months
Contractual Maturity (years)	28 years	29 years
Coupon Rate	3.90%	3.90%
4.01 - 5.00%
Variable Interest Entity [Line Items]
Number of Loans	1,689	1,395
Principal balance \| $	$ 557,144	$ 490,073
Original LTV	61.40%	62.30%
Original FICO Score \| item	744	739
Expected Life (in years)	2 years 9 months 18 days	3 years
Contractual Maturity (years)	28 years 6 months	29 years
Coupon Rate	4.80%	4.80%
5.01 - 6.00%
Variable Interest Entity [Line Items]
Number of Loans	1,682	1,283
Principal balance \| $	$ 713,397	$ 496,722
Original LTV	62.00%	62.70%
Original FICO Score \| item	736	727
Expected Life (in years)	3 years	2 years 6 months
Contractual Maturity (years)	28 years 3 months 18 days	28 years 6 months
Coupon Rate	5.40%	5.40%
6.01 - 7.00%
Variable Interest Entity [Line Items]
Number of Loans	103	37
Principal balance \| $	$ 37,102	$ 14,589
Original LTV	54.10%	59.50%
Original FICO Score \| item	727	731
Expected Life (in years)	3 years 9 months 18 days	1 year 6 months
Contractual Maturity (years)	25 years 3 months 18 days	24 years 9 months 18 days
Coupon Rate	6.20%	6.20%
7.01 - 8.00%
Variable Interest Entity [Line Items]
Number of Loans	2	1
Principal balance \| $	$ 516	$ 94
Original LTV	73.20%	70.00%
Original FICO Score \| score	753	689
Expected Life (in years)	4 years 8 months 12 days	1 year 9 months 18 days
Contractual Maturity (years)	28 years 7 months 6 days	29 years 1 month 6 days
Coupon Rate	7.10%	8.00%
Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	3,529	2,782
Principal balance \| $	$ 1,325,443	$ 1,023,524
Original LTV	61.50%	62.40%
Original FICO Score \| item	739	733
Expected Life (in years)	3 years	2 years 9 months 18 days
Contractual Maturity (years)	28 years 3 months 18 days	28 years 8 months 12 days
Coupon Rate	5.20%	5.10%
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans	286	274
Principal balance \| $	$ 94,600	$ 93,200
5.01 - 7.00%
Variable Interest Entity [Line Items]
Number of Loans		8
Principal balance \| $		$ 3,169
Original LTV		60.40%
Contractual Maturity (years)		1 year 1 month 6 days
Coupon Rate		6.70%
7.01 – 9.00%
Variable Interest Entity [Line Items]
Number of Loans	36	275
Principal balance \| $	$ 22,409	$ 140,675
Original LTV	70.20%	72.60%
Contractual Maturity (years)	5 years 9 months 18 days	5 years 10 months 24 days
Coupon Rate	8.40%	8.30%
9.01 – 11.00%
Variable Interest Entity [Line Items]
Number of Loans		186
Principal balance \| $		$ 63,954
Original LTV		73.80%
Contractual Maturity (years)		4 years 4 months 24 days
Coupon Rate		9.90%
11.01 – 13.00%
Variable Interest Entity [Line Items]
Number of Loans	28	39
Principal balance \| $	$ 9,972	$ 11,017
Original LTV	74.00%	71.30%
Contractual Maturity (years)	5 years 7 months 6 days	4 years 7 months 6 days
Coupon Rate	10.10%	11.80%
13.01 – 15.00%
Variable Interest Entity [Line Items]
Number of Loans		1
Principal balance \| $		$ 88
Original LTV		65.00%
Contractual Maturity (years)		4 years
Coupon Rate		14.00%
17.01 - 19.00%
Variable Interest Entity [Line Items]
Number of Loans	9	11
Principal balance \| $	$ 2,741	$ 3,354
Original LTV	63.10%	73.70%
Contractual Maturity (years)	2 years	2 years 3 months 18 days
Coupon Rate	11.70%	18.00%
13.01 - 14.00%
Variable Interest Entity [Line Items]
Number of Loans	1
Principal balance \| $	$ 1,125
Original LTV	75.00%
Contractual Maturity (years)	0 years
Coupon Rate	13.50%
17.01 – 19.00%
Variable Interest Entity [Line Items]
Number of Loans	2
Principal balance \| $	$ 949
Original LTV	75.00%
Contractual Maturity (years)	0 years
Coupon Rate	18.00%
VIE \| Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	3,520
VIE \| Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of Loans	76	520
Principal balance \| $	$ 37,196	$ 222,257
Original LTV	71.00%	72.70%
Contractual Maturity (years)	5 years 7 months 6 days	5 years 3 months 18 days
Coupon Rate	9.50%	9.10%
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 \| 5.01 - 7.00%
Variable Interest Entity [Line Items]
Coupon Rate		5.01%
Minimum \| 7.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.01%	7.01%
Minimum \| 11.01 – 13.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.01%	9.01%
Minimum \| 17.01 - 19.00%
Variable Interest Entity [Line Items]
Coupon Rate	11.01%	11.01%
Minimum \| 13.01 - 14.00%
Variable Interest Entity [Line Items]
Coupon Rate	13.01%	13.01%
Minimum \| 17.01 – 19.00%
Variable Interest Entity [Line Items]
Coupon Rate	17.01%	17.01%
Minimum \| Residential Portfolio Segment Current Coupon Rate Five
Variable Interest Entity [Line Items]
Coupon Rate	7.01%	7.01%
Maximum \| 3.01 - 4.00%
Variable Interest Entity [Line Items]
Coupon Rate	4.00%	4.00%
Maximum \| 4.01 - 5.00%
Variable Interest Entity [Line Items]
Coupon Rate	5.00%	5.00%
Maximum \| 5.01 - 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.00%	6.00%
Maximum \| 6.01 - 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.00%	7.00%
Maximum \| 5.01 - 7.00%
Variable Interest Entity [Line Items]
Coupon Rate		7.00%
Maximum \| 7.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.00%	9.00%
Maximum \| 11.01 – 13.00%
Variable Interest Entity [Line Items]
Coupon Rate	11.00%	11.00%
Maximum \| 17.01 - 19.00%
Variable Interest Entity [Line Items]
Coupon Rate	13.00%	13.00%
Maximum \| 13.01 - 14.00%
Variable Interest Entity [Line Items]
Coupon Rate	15.00%	15.00%
Maximum \| 17.01 – 19.00%
Variable Interest Entity [Line Items]
Coupon Rate	19.00%	19.00%
Maximum \| Residential Portfolio Segment Current Coupon Rate Five
Variable Interest Entity [Line Items]
Coupon Rate	8.00%	8.00%
Non-Qualifying Adjustable Rate Mortgage \| Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	2,908
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	612
Investor Fixed Rate Mortgage \| Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	9

Residential Whole Loans and Bridge Loans Geographic Concentration (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Variable Interest Entity [Line Items]
Principal balance	$ 2,676,231
Residential Whole Loans
Variable Interest Entity [Line Items]
Principal balance	$ 1,325,443	$ 1,023,524
Geographic Concentration Risk \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal balance	$ 1,325,443	$ 1,023,524
Geographic Concentration Risk \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal balance	$ 37,196	$ 222,257
Geographic Concentration Risk \| California \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	66.10%	67.10%
Principal balance	$ 875,738	$ 686,275
Geographic Concentration Risk \| California \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	50.40%	53.90%
Principal balance	$ 18,763	$ 119,761
Geographic Concentration Risk \| New York \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	16.20%	17.10%
Principal balance	$ 214,141	$ 175,390
Geographic Concentration Risk \| New York \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	12.10%	9.50%
Principal balance	$ 4,518	$ 21,160
Geographic Concentration Risk \| Georgia \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	3.40%	2.60%
Principal balance	$ 45,189	$ 26,918
Geographic Concentration Risk \| Florida \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	2.80%	1.90%
Principal balance	$ 36,641	$ 19,942
Geographic Concentration Risk \| Florida \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	8.90%	5.70%
Principal balance	$ 3,296	$ 12,672
Geographic Concentration Risk \| New Jersey \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	2.30%
Principal balance	$ 30,450
Geographic Concentration Risk \| New Jersey \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	3.80%	4.70%
Principal balance	$ 1,424	$ 10,419
Geographic Concentration Risk \| Other \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	9.20%	9.20%
Principal balance	$ 123,284	$ 93,802
Geographic Concentration Risk \| Other \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	11.70%	19.60%
Principal balance	$ 4,332	$ 43,534
Geographic Concentration Risk \| Massachusetts \| Residential Whole Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration		2.10%
Principal balance		$ 21,197
Geographic Concentration Risk \| Washington \| Residential Bridge Loans \| Financing Receivables Total
Variable Interest Entity [Line Items]
Concentration	13.10%	6.60%
Principal balance	$ 4,863	$ 14,711

Residential Whole Loans and Bridge Loans Aging of Delinquent Loans (Details)	12 Months Ended
	Dec. 31, 2019 USD ($)	Dec. 31, 2018 USD ($)
Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans	3,529
Principal	$ 1,325,443,000
Fair Value	1,375,860,000	$ 1,041,885,000
Payments of loan costs	$ 1,351,192,000	$ 1,038,008,000
Bridge Loan
Variable Interest Entity [Line Items]
No of Loans	76
Principal	$ 37,196,000
Fair Value	36,419,000
Payments of loan costs	$ 3,100,000
Current \| Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans	3,467
Principal	$ 1,300,238,000
Fair Value	$ 1,350,590,000
Current \| Bridge Loan
Variable Interest Entity [Line Items]
No of Loans	41
Principal	$ 23,353,000
Fair Value	$ 23,329,000
1-30 days delinquent \| Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans	41
Principal	$ 13,537,000
Fair Value	$ 14,012,000
1-30 days delinquent \| Bridge Loan
Variable Interest Entity [Line Items]
No of Loans	2
Principal	$ 303,000
Fair Value	$ 306,000
31-60 days delinquent \| Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans	5
Principal	$ 1,338,000
Fair Value	$ 1,334,000
31-60 days delinquent \| Bridge Loan
Variable Interest Entity [Line Items]
No of Loans	4
Principal	$ 1,147,000
Fair Value	$ 1,135,000
61-90 days delinquent \| Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans	4
Principal	$ 3,205,000
Fair Value	$ 3,224,000
61-90 days delinquent \| Bridge Loan
Variable Interest Entity [Line Items]
No of Loans	2
Principal	$ 285,000
Fair Value	$ 280,000
90 days delinquent \| Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans	12
Principal	$ 7,125,000
Fair Value	$ 6,700,000
90 days delinquent \| Bridge Loan
Variable Interest Entity [Line Items]
No of Loans	27
Principal	$ 12,108,000
Fair Value	$ 11,369,000

Commercial Loans - Narrative (Details) $ in Thousands	1 Months Ended			3 Months Ended								12 Months Ended
Commercial Loans - Narrative (Details) $ in Thousands	Mar. 31, 2019 USD ($)	Mar. 31, 2018 USD ($)	Nov. 30, 2015 USD ($)	Dec. 31, 2019 USD ($)	Sep. 30, 2019 USD ($)	Jun. 30, 2019 USD ($)	Mar. 31, 2019 USD ($)	Dec. 31, 2018 USD ($)	Sep. 30, 2018 USD ($)	Jun. 30, 2018 USD ($)	Mar. 31, 2018 USD ($)	Dec. 31, 2019 USD ($) entity	Dec. 31, 2018 USD ($)	Dec. 31, 2017 USD ($)
Variable Interest Entity [Line Items]
Number of VIEs, as primary beneficiary \| entity												3
Securitized commercial loans, at fair value				$ 909,040				$ 1,013,511				$ 909,040	$ 1,013,511
Income tax provision (benefit)				622	$ (55)	$ 478	$ 12	154	$ 206	$ 36	$ 313	1,057	709	$ 3,487
Debt instrument, repurchase amount				62,700								$ 62,700
VIE, consolidated, number of commercial loan trusts \| entity												4
Commercial Loans
Variable Interest Entity [Line Items]
VIE, consolidated, number of commercial loan trusts \| entity												7
CMSC Trust
Variable Interest Entity [Line Items]
Trust certificates issued				24,000								$ 24,000
Principal balance				24,048				24,456				24,048	24,456
CMSC Trust \| Securitized Commercial Loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation			$ 14,000									13,500
VIE, consolidated, carrying amount, assets				13,500								13,500
Variable interest entity, fair value				13,500								13,500
RETL Trust
Variable Interest Entity [Line Items]
Trust certificates issued				598,500								598,500
Principal balance				674,331				988,609				674,331	988,609
RETL Trust \| Securitized Commercial Loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation	$ 65,300	$ 67,800
Variable interest entity, amount acquired, eligible risk retention	$ 45,300
MRCD Trust
Variable Interest Entity [Line Items]
Trust certificates issued				83,600								83,600
Principal balance				245,000				$ 0				245,000	$ 0
MRCD Trust \| Securitized Commercial Loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation												$ 161,400
VIE, consolidated, number of commercial loan trusts												2
MRCD Trust \| Commercial Loans
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate		4.27%
MRCD Trust \| Class HRR
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate												12.02%
CMSC Trust
Variable Interest Entity [Line Items]
Securitized commercial loans, at fair value				24,000								$ 24,000
Loans receivable, basis spread on variable rate												9.00%
Trust Certificate \| RETL Trust \| Securitized Commercial Loans
Variable Interest Entity [Line Items]
Weighted average expected remaining term to the expected maturity of investment portfolio		5 years
Class HRR \| MRCD Trust \| Securitized Commercial Loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation												$ 10,500
London Interbank Offered Rate (LIBOR) \| RETL Trust
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate		2.30%
London Interbank Offered Rate (LIBOR) \| Trust Certificate \| RETL Trust \| Securitized Commercial Loans
Variable Interest Entity [Line Items]
Loans receivable, basis spread on variable rate		9.50%
Mortgage Receivable \| RETL Trust \| Commercial Loans
Variable Interest Entity [Line Items]
Principal balance				674,300								674,300
Mortgage Receivable \| MRCD Trust \| Commercial Loans
Variable Interest Entity [Line Items]
Principal balance				234,500								234,500
Mortgage Receivable \| MRCD Trust \| Class HRR
Variable Interest Entity [Line Items]
Principal balance				$ 10,500								$ 10,500

Commercial Loans - Commercial loans held (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017	Dec. 31, 2016
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 2,676,231
Fair Value		2,691,532	$ 2,493,238	$ 368,972	$ 216,361
Securitized Commercial Loans \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		279,425
Fair Value		279,425
Securitized Commercial Loans \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		90,788
Fair Value		90,788
CRE One \| Interest-Only Mezzanine loan \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		20,000
Fair Value		$ 20,000
Coupon Rate		71.00%
CRE Two \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 30,000
Fair Value		$ 30,000
Coupon Rate		65.00%
CRE Four \| Principal & Interest First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 50,000
Fair Value		$ 50,000
Coupon Rate		75.00%
CRE Five \| Interest-Only Mezzanine loan \| Securitized Commercial Loans \| Entertainment and Retail \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 90,000
Fair Value		$ 90,000
Coupon Rate		58.00%
CRE Six \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Retail \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 40,000
Fair Value		$ 40,000
Coupon Rate		63.00%
CRE Seven \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 24,535
Fair Value		$ 24,535
Coupon Rate		62.00%
CRE Eight \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 13,206
Fair Value		$ 13,206
Coupon Rate		62.00%
CRE Nine \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 7,259
Fair Value		$ 7,259
Coupon Rate		62.00%
CRE Ten \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Assisted Living \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 4,425
Fair Value		$ 4,425
Coupon Rate		79.00%
SBC 1 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 45,188
Fair Value		$ 45,188
Coupon Rate		74.00%
SBC 4 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Apartment Complex \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 13,600
Fair Value		$ 13,600
Coupon Rate		84.00%
SBC 5 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance		$ 32,000
Fair Value		$ 32,000
Coupon Rate		49.00%
London Interbank Offered Rate (LIBOR) \| CRE One \| Interest-Only Mezzanine loan \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		6.50%
London Interbank Offered Rate (LIBOR) \| CRE Two \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		4.50%
London Interbank Offered Rate (LIBOR) \| CRE Four \| Principal & Interest First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		4.75%
London Interbank Offered Rate (LIBOR) \| CRE Five \| Interest-Only Mezzanine loan \| Securitized Commercial Loans \| Entertainment and Retail \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		9.25%
London Interbank Offered Rate (LIBOR) \| CRE Six \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Retail \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		3.02%
London Interbank Offered Rate (LIBOR) \| CRE Seven \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		3.75%
London Interbank Offered Rate (LIBOR) \| CRE Eight \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		3.75%
London Interbank Offered Rate (LIBOR) \| CRE Nine \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Hotel \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		3.75%
London Interbank Offered Rate (LIBOR) \| CRE Ten \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Assisted Living \| CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		4.85%
London Interbank Offered Rate (LIBOR) \| SBC 1 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		4.25%
London Interbank Offered Rate (LIBOR) \| SBC 4 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Apartment Complex \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		4.00%
London Interbank Offered Rate (LIBOR) \| SBC 5 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate		4.10%
London Interbank Offered Rate (LIBOR) Floor \| SBC 1 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Nursing Facilities \| RSBC Trust
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 \| Interest-Only First Mortgage \| Securitized Commercial Loans \| Apartment Complex \| RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate	2.00%

Commercial Loans - Consolidated trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Noncontrolling Interest [Line Items]
Cash	$ 31,331	$ 21,987	$ 48,024
Restricted cash	52,948	55,808	$ 0
Securitized commercial loans, at fair value	909,040	1,013,511
Commercial Loans, at fair value	350,213	196,123
Interest receivable	19,413	21,959
Total assets	5,160,971	4,497,395
Securitized debt	1,057
Interest payable	15,001	8,532
Accounts payable and accrued expenses	3,188	3,858
Other liabilities	52,948	56,031
Total liabilities	4,596,510	3,994,386
VIE
Noncontrolling Interest [Line Items]
Cash	7,589	674
Restricted cash	52,948	55,808
Securitized commercial loans, at fair value	909,040	1,013,511
Commercial Loans, at fair value	90,788	196,123
Interest receivable	10,829	15,540
Total assets	2,501,179	2,588,150
Interest payable	3,886	2,419
Accounts payable and accrued expenses	185	708
Other liabilities	52,948	56,033
Total liabilities	1,534,473	1,008,786
VIE \| Securitized Commercial Loans
Noncontrolling Interest [Line Items]
Cash	5,778	0
Restricted cash	52,948	55,808
Commercial Loans, at fair value	90,788	166,123
Interest receivable	2,989	3,733
Total assets	1,061,543	1,239,175
Securitized debt	681,643	949,626
Interest payable	1,519	2,419
Accounts payable and accrued expenses	12	31
Other liabilities	52,948	55,808
Total liabilities	$ 736,122	$ 1,007,884

Commercial Loans - Components of the carrying value of the commercial real estate loans (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Commercial Mezzanine Loan
Variable Interest Entity [Line Items]
Principal balance	$ 279,425	$ 50,000
Unamortized premium	0	0
Financing Receivables Unamortized Discount	(294)	(205)
Amortized cost	279,131	49,795
Gross unrealized gains	294	205
Gross unrealized losses	0	0
Fair value	279,425	50,000
CMSC Trust
Variable Interest Entity [Line Items]
Principal balance	24,048	24,456
Unamortized premium	0	0
Financing Receivables Unamortized Discount	0	0
Amortized cost	24,048	24,456
Gross unrealized gains	9	0
Gross unrealized losses	0	(14)
Fair value	24,057	24,442
RETL Trust
Variable Interest Entity [Line Items]
Principal balance	674,331	988,609
Unamortized premium	1,836	431
Financing Receivables Unamortized Discount	0	0
Amortized cost	676,167	989,040
Gross unrealized gains	269	29
Gross unrealized losses	0	0
Fair value	676,436	989,069
MRCD Trust
Variable Interest Entity [Line Items]
Principal balance	245,000	0
Unamortized premium	0	0
Financing Receivables Unamortized Discount	(35,119)	0
Amortized cost	209,881	0
Gross unrealized gains		0
Gross unrealized losses	(1,334)	0
Fair value	208,547	0
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance	90,788	166,432
Unamortized premium	0	0
Financing Receivables Unamortized Discount	(215)	(736)
Amortized cost	90,573	165,696
Gross unrealized gains	215	427
Gross unrealized losses	0	0
Fair value	$ 90,788	$ 166,123

Financings - Narrative (Details)	1 Months Ended						12 Months Ended
Financings - Narrative (Details)	Aug. 31, 2019 USD ($)	May 31, 2019 USD ($)	Mar. 31, 2019 USD ($)	Mar. 31, 2018 USD ($)	Oct. 31, 2017 USD ($)	Nov. 30, 2015 USD ($)	Dec. 31, 2019 USD ($) item	Dec. 31, 2018 USD ($)	Sep. 30, 2019 USD ($)
Borrowings Under Repurchase Agreements
Number of counterparties to master repurchase agreement \| item							34
Number of counterparties from whom the Company had borrowings \| item							21
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 2,824,877,000	$ 2,818,837,000
Less unamortized debt issuance costs							76,000	0
Borrowings under repurchase agreements							$ 2,824,801,000	$ 2,818,837,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							2.61%	3.45%
Weighted Average Remaining Maturity (days)							179 days	54 days
Securitized debt, at fair value							$ 1,477,454,000	$ 949,626,000
Securitized debt							$ 1,057,000
Convertible Debt \| Six Point Seventy Five Percent Convertible Senior Unsecured Notes
Borrowings Under Repurchase Agreements
Convertible senior unsecured notes, earliest redemption period by company	3 months				3 months		3 months
Certain characteristics of the Company's repurchase agreements
Principal Balance	$ 40,000,000.0				$ 115,000,000.0		$ 205,000,000.0
Convertible Debt \| Three Point Seventy Five Percent Convertible Senior Unsecured Notes
Certain characteristics of the Company's repurchase agreements
Convertible senior unsecured notes, conversion ratio					0.0831947
Repurchase Agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 535,991,000	$ 0
Long-term Debt, Weighted Average Interest Rate, at Point in Time							3.45%	0.00%
Weighted Average Remaining Maturity (days)							805 days	0 years
Whole-Loans and Securitized Commercial Loan \| Repurchase Agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 374,143,000	$ 0
Long-term Debt, Weighted Average Interest Rate, at Point in Time							3.27%	0.00%
Weighted Average Remaining Maturity (days)							898 days	0 years
Commercial Loans \| Repurchase Agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 161,848,000	$ 0
Long-term Debt, Weighted Average Interest Rate, at Point in Time							3.88%	0.00%
Weighted Average Remaining Maturity (days)							590 days	0 years
VIE
Certain characteristics of the Company's repurchase agreements
Securitized debt, at fair value							$ 1,477,454,000	$ 949,626,000
CMSC Trust
Certain characteristics of the Company's repurchase agreements
Commercial pass-through certificates, amount							25,000,000.0
Trust certificates issued							24,000,000.0
Financing receivable, gross							24,048,000	24,456,000
Trust certificates, at fair value							$ 24,100,000
Debt instrument, interest rate, effective percentage							8.90%
RETL Trust
Certain characteristics of the Company's repurchase agreements
Trust certificates issued							$ 598,500,000
Financing receivable, gross							674,331,000	988,609,000
RETL Trust \| Secured Debt
Certain characteristics of the Company's repurchase agreements
Principal Balance							674,331,000
Fair value							676,435,000
RETL Trust \| Secured Debt \| Class C
Certain characteristics of the Company's repurchase agreements
Principal Balance							308,400,000
Payments to acquire securitized debt							30,600,000
Fair value							309,171,000
RETL Trust \| Secured Debt \| Commercial Mortgage Pass-Through Certificate, Class A
Certain characteristics of the Company's repurchase agreements
Principal Balance							219,431,000
Fair value							219,567,000
RETL Trust \| Affiliated Entity
Certain characteristics of the Company's repurchase agreements
Trust certificates issued							60,600,000
RETL Trust \| Third Party
Certain characteristics of the Company's repurchase agreements
Trust certificates issued							537,900,000
Arroyo Trust \| Secured Debt
Certain characteristics of the Company's repurchase agreements
Principal Balance									$ 801,114,000
Fair value									795,811,000
MRCD Trust
Certain characteristics of the Company's repurchase agreements
Trust certificates issued							83,600,000
Financing receivable, gross							245,000,000.0	0
MRCD Trust \| Secured Debt
Certain characteristics of the Company's repurchase agreements
Principal Balance							245,000,000
Fair value							208,547,000
MRCD Trust \| Secured Debt \| Commercial Mortgage Pass-Through Certificate, Class A
Certain characteristics of the Company's repurchase agreements
Principal Balance							234,500,000
Payments to acquire securitized debt							150,900,000
Fair value							198,104,000
Repurchase Agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 2,288,886,000	$ 2,818,837,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							2.41%	3.45%
Weighted Average Remaining Maturity (days)							32 days	54 days
Repurchase Agreements \| Subtotal Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 348,274,000	$ 14,650,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							1.99%	3.09%
Weighted Average Remaining Maturity (days)							52 days	21 days
Repurchase Agreements \| Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 1,352,248,000	$ 1,392,649,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							2.05%	2.71%
Weighted Average Remaining Maturity (days)							26 days	40 days
Repurchase Agreements \| Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 30,481,000	$ 30,922,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							3.56%	4.06%
Weighted Average Remaining Maturity (days)							9 days	18 days
Repurchase Agreements \| Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 190,390,000	$ 134,814,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							3.05%	4.05%
Weighted Average Remaining Maturity (days)							35 days	48 days
Repurchase Agreements \| Whole-Loans and Securitized Commercial Loan
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 102,029,000	$ 863,356,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							3.51%	4.08%
Weighted Average Remaining Maturity (days)							27 days	93 days
Repurchase Agreements \| Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 29,869,000	$ 204,754,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							3.93%	4.50%
Weighted Average Remaining Maturity (days)							28 days	25 days
Repurchase Agreements \| Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 62,746,000	$ 131,788,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							4.04%	4.55%
Weighted Average Remaining Maturity (days)							28 days	26 days
Repurchase Agreements \| Securitized Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 116,087,000	$ 7,543,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							3.93%	4.30%
Weighted Average Remaining Maturity (days)							49 days	15 days
Repurchase Agreements \| Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings							$ 56,762,000	$ 38,361,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period							3.23%	4.18%
Weighted Average Remaining Maturity (days)							34 days	26 days
Securitized Commercial Loans \| VIE
Certain characteristics of the Company's repurchase agreements
Securitized debt							$ 681,643,000	$ 949,626,000
Securitized Commercial Loans \| CMSC Trust
Certain characteristics of the Company's repurchase agreements
Amount acquired, eliminated in consolidation						$ 14,000,000.0	13,500,000
Securitized debt, at fair value							10,600,000
Securitized Commercial Loans \| CMSC Trust \| Securitized Debt
Certain characteristics of the Company's repurchase agreements
Securitized debt, at fair value							10,600,000
Securitized Commercial Loans \| RETL Trust
Certain characteristics of the Company's repurchase agreements
Amount acquired, eliminated in consolidation			$ 65,300,000	$ 67,800,000
Securitized Commercial Loans \| MRCD Trust
Certain characteristics of the Company's repurchase agreements
Amount acquired, eliminated in consolidation							161,400,000
Residential Whole Loans, at Fair Value \| VIE
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements							209,900,000	618,700,000
Residential Whole Loans, at Fair Value \| Arroyo Mortgage Trust 2019-2
Certain characteristics of the Company's repurchase agreements
Borrowings under repurchase agreements							919,000,000.0		919,000,000.0
Residential Whole Loans, at Fair Value \| Arroyo Mortgage Trust 2019-2 \| Arroyo Trust
Certain characteristics of the Company's repurchase agreements
Transfer of residential mortgage-backed securitization		$ 945,500,000
Residential Whole Loans, at Fair Value \| Arroyo Trust \| Secured Debt
Certain characteristics of the Company's repurchase agreements
Fair value							$ 814,000,000.0
Debt instrument, collateral balance percentage							20.00%
Residential Facility
Certain characteristics of the Company's repurchase agreements
Line of credit facility, maximum borrowing capacity									$ 700,000,000.0
Commercial Facility
Certain characteristics of the Company's repurchase agreements
Line of credit facility, maximum borrowing capacity							$ 200.0
Estimate of Fair Value Measurement
Certain characteristics of the Company's repurchase agreements
Securitized debt							681,643,000	$ 949,626,000
Estimate of Fair Value Measurement \| RETL Trust \| Secured Debt \| Class C
Certain characteristics of the Company's repurchase agreements
Securitized debt							600,500,000
Estimate of Fair Value Measurement \| MRCD Trust \| Secured Debt \| Commercial Mortgage Pass-Through Certificate, Class A
Certain characteristics of the Company's repurchase agreements
Securitized debt							$ 70,600,000

Financings - Repurchase Agreements Remaining Maturities (Details) - USD ($)	Dec. 31, 2019	Dec. 31, 2018
Borrowings Under Repurchase Agreements
Securitized debt	$ 1,057,000
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	2,824,801,000	$ 2,818,837,000
Repurchase agreement, net amounts of assets presented in consolidated balance sheets	2,824,877,000	2,818,837,000
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	1,480,286,000	1,867,957,000
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	552,786,000	144,778,000
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	255,814,000	555,695,000
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements	535,991,000	$ 250,407,000
Commercial Facility
Borrowings Under Repurchase Agreements
Line of credit facility, maximum borrowing capacity	$ 200.0

Financings - Collateral at Risk Under its Repurchase Agreements Greater than 10% (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2019 USD ($)
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	$ 132,306
Weighted Average Remaining Maturity (days)	1024 days
Percentage of Stockholders' Equity	23.40%
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	$ 73,203
Weighted Average Remaining Maturity (days)	38 days
Percentage of Stockholders' Equity	13.00%

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Collateral Positions
Assets pledged- fair value	$ 3,259,305	$ 3,277,274
Accrued interest	13,449	19,084
Assets pledged and accrued interest	3,272,754	3,296,358
Due from counterparties	43,500	1,200
Due to counterparties	709	17,800
Securities received as collateral	0	5,200
VIE
Collateral Positions
Assets pledged	34,897	221,486
VIE \| Agency CMBS
Collateral Positions
Assets pledged	1,400,230	1,486,142
Accrued interest	3,916	4,262
Assets pledged and accrued interest	1,404,146	1,490,404
Repurchase Agreements
Collateral Positions
Assets pledged	3,200,000	3,300,000
Repurchase Agreements \| Subtotal Agency RMBS
Collateral Positions
Assets pledged	356,687	19,837
Accrued interest	1,336	453
Assets pledged and accrued interest	358,023	20,290
Repurchase Agreements \| Non-Agency RMBS
Collateral Positions
Assets pledged	45,816	50,555
Accrued interest	414	479
Assets pledged and accrued interest	46,230	51,034
Repurchase Agreements \| Non-Agency CMBS
Collateral Positions
Assets pledged	246,797	186,552
Accrued interest	951	915
Assets pledged and accrued interest	247,748	187,467
Repurchase Agreements \| Whole-Loans and Securitized Commercial Loan
Collateral Positions
Assets pledged	529,495	1,041,885
Accrued interest	3,704	8,145
Assets pledged and accrued interest	533,199	1,050,030
Repurchase Agreements \| Residential Bridge Loans
Collateral Positions
Assets pledged	34,897	221,486
Accrued interest	471	3,528
Assets pledged and accrued interest	35,368	225,014
Repurchase Agreements \| Commercial Loans
Collateral Positions
Assets pledged	350,213	196,123
Accrued interest	1,855	1,067
Assets pledged and accrued interest	352,068	197,190
Repurchase Agreements \| Securitized Commercial Loans
Collateral Positions
Assets pledged	171,640	13,688
Accrued interest	674	88
Assets pledged and accrued interest	172,314	13,776
Repurchase Agreements \| Other securities
Collateral Positions
Assets pledged	80,031	59,780
Accrued interest	128	147
Assets pledged and accrued interest	80,159	59,927
Repurchase Agreements \| Cash
Collateral Positions
Assets pledged- fair value	43,499	1,226
Assets pledged and accrued interest	$ 43,499	$ 1,226

Financings - Convertible Senior Unsecured Notes (Details)	1 Months Ended		12 Months Ended
	Aug. 31, 2019 USD ($)	Oct. 31, 2017 USD ($) $ / shares	Dec. 31, 2019 USD ($)
Convertible Debt \| Six Point Seventy Five Percent Convertible Senior Unsecured Notes
Debt Instrument [Line Items]
Debt instrument, face amount	$ 40,000,000.0	$ 115,000,000.0	$ 205,000,000.0
Interest rate, stated percentage	6.75%	6.75%	6.75%
Proceeds from issuance of long-term debt	$ 38,800,000	$ 111,100,000
Convertible senior unsecured notes, earliest redemption period by company	3 months	3 months	3 months
Redemption price, percentage		100.00%
Convertible senior unsecured notes, conversion price (in dollars per share) \| $ / shares		$ 12.02
Convertible Debt \| December 2019 Reopened Notes
Debt Instrument [Line Items]
Debt instrument, face amount			$ 50,000,000.0
Interest rate, stated percentage			6.75%
Proceeds from issuance of long-term debt			$ 49,200,000
Convertible Debt \| Three Point Seventy Five Percent Convertible Senior Unsecured Notes
Debt Instrument [Line Items]
Convertible senior unsecured notes, conversion ratio		0.0831947
RETL Trust \| Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount			674,331,000
RETL Trust \| Secured Debt \| Commercial Mortgage Pass-Through Certificate, Class A
Debt Instrument [Line Items]
Debt instrument, face amount			219,431,000
MRCD Trust \| Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount			245,000,000
MRCD Trust \| Secured Debt \| Commercial Mortgage Pass-Through Certificate, Class A
Debt Instrument [Line Items]
Payments to acquire securitized debt			150,900,000
Debt instrument, face amount			$ 234,500,000

Financings - Commercial Mortgage Pass-Through Certificates (Details) - Secured Debt - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2019
RETL Trust
Debt Instrument [Line Items]
Principal Balance		$ 674,331,000
Fair Value		676,435,000
RETL Trust \| Class A
Debt Instrument [Line Items]
Principal Balance		$ 219,431,000
Coupon		2.90%
Fair Value		$ 219,567,000
RETL Trust \| Class B
Debt Instrument [Line Items]
Principal Balance		$ 101,200,000
Coupon		3.30%
Fair Value		$ 101,326,000
RETL Trust \| Class C
Debt Instrument [Line Items]
Principal Balance		$ 308,400,000
Coupon		3.80%
Fair Value		$ 309,171,000
RETL Trust \| Class HRR
Debt Instrument [Line Items]
Principal Balance		$ 45,300,000
Coupon		10.20%
Fair Value		$ 45,314,000
RETL Trust \| Class X-CP
Debt Instrument [Line Items]
Notional amount of nonderivative instruments		$ 308,400,000
Coupon		1.20%
Fair Value		$ 1,026,000
RETL Trust \| Class X-EXT
Debt Instrument [Line Items]
Notional amount of nonderivative instruments		$ 308,400,000
Coupon		0.00%
Fair Value		$ 31,000
Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 801,114,000
Fair Value	795,811,000
Carrying Value	801,109,000
Less: Unamortized Deferred Financing Costs	5,298,000
Arroyo Trust \| Class A-1
Debt Instrument [Line Items]
Principal Balance	$ 681,668,000
Coupon	3.30%
Carrying Value	$ 681,666,000
Arroyo Trust \| Class A-2
Debt Instrument [Line Items]
Principal Balance	$ 36,525,000
Coupon	3.50%
Carrying Value	$ 36,524,000
Arroyo Trust \| Class A-3
Debt Instrument [Line Items]
Principal Balance	$ 57,866,000
Coupon	3.80%
Carrying Value	$ 57,864,000
Arroyo Trust \| Class M-1
Debt Instrument [Line Items]
Principal Balance	$ 25,055,000
Coupon	4.80%
Carrying Value	$ 25,055,000
MRCD Trust
Debt Instrument [Line Items]
Principal Balance		245,000,000
Fair Value		208,547,000
MRCD Trust \| Class A
Debt Instrument [Line Items]
Principal Balance		$ 234,500,000
Coupon		4.30%
Fair Value		$ 198,104,000
MRCD Trust \| Class HRR
Debt Instrument [Line Items]
Principal Balance		$ 10,500,000
Coupon		12.00%
Fair Value		$ 10,443,000

Derivative Instruments- Summary (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Derivative Instruments
Cash collateral, derivative liability, at fair value	$ 2,819	$ 8,073
Estimated Fair Value
Estimated Fair value, assets	13,776	14,466
Derivative liabilities	(6,370)	(10,130)
Derivative Instruments Not Accounted as Hedges Under GAAP
Estimated Fair Value
Estimated Fair value, assets	5,111	2,606
Derivative liabilities	(6,370)	(10,130)
Total derivative instruments	(1,259)	(7,524)
Interest Rate Swaps
Derivative Instruments
Cash collateral, derivative liability, at fair value	52,600
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP
Notional Amount
Notional amount, assets	2,701,000	1,128,400
Notional amount, liabilities	1,255,000	2,727,800
Estimated Fair Value
Estimated Fair value, assets	3,017	2,057
Derivative liabilities	(501)	(5,473)
Futures Contracts \| Derivative Instruments Not Accounted as Hedges Under GAAP
Notional Amount
Notional amount, liabilities		300,400
Estimated Fair Value
Derivative liabilities		(4,657)
Credit Default Swap \| Derivative Instruments Not Accounted as Hedges Under GAAP
Notional Amount
Notional amount, assets	60,100	50,000
Notional amount, liabilities	90,900
Estimated Fair Value
Estimated Fair value, assets	948	$ 549
Derivative liabilities	(3,795)
TBAs \| Derivative Instruments Not Accounted as Hedges Under GAAP
Notional Amount
Notional amount, assets	1,000,000
Notional amount, liabilities	1,000,000
Estimated Fair Value
Estimated Fair value, assets	1,146
Derivative liabilities	(2,074)
Total derivative instruments	$ (928)

Derivative Instruments - Gains and Losses (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									$ (9,631)	$ 10,316	$ (156,076)
Mark-to-Market									9,390	(10,381)	148,308
Total	$ 42,007	$ (47,056)	$ (71,530)	$ (27,148)	$ (54,728)	$ 24,625	$ 28,490	$ 79,582	(103,727)	77,969	3,292
Collateral already posted, aggregate fair value	$ 55,400				$ 38,000				55,400	38,000
Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(15,038)	4,363	(157,261)
Variation Margin Settlement									(108,169)	76,979	20,258
Return (Recovery) of Basis									3,081	(1,196)	(5,471)
Mark-to-Market									9,390	(10,381)	152,465
Contractual interest income (expense), net									7,009	8,204	(6,699)
Total									(103,727)	77,969	3,292
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									(4,978)	163	(150,607)
Variation Margin Settlement									(108,169)	76,979	20,258
Return (Recovery) of Basis									5,769	2,465	524
Mark-to-Market									5,140	(5,147)	148,947
Contractual interest income (expense), net									3,732	3,693	(14,606)
Total									(98,506)	78,153	4,516
Interest Sate Swaption \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(332)		(115)
Mark-to-Market									0
Total									(332)		(115)
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations											526
Return (Recovery) of Basis									(2,688)	(3,661)	(5,995)
Mark-to-Market									(508)	(655)	(902)
Contractual interest income (expense), net									3,277	4,511	7,438
Total									81	195	1,067
Option \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									1,378	(871)	(1,453)
Mark-to-Market										300	(300)
Total									1,378	(571)	(1,753)
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									(12,862)	6,112	(9,130)
Mark-to-Market									4,657	(5,285)	3,044
Total									(8,205)	827	(6,086)
Foreign Currency Forwards \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations											32
Mark-to-Market											35
Total											67
Total Return Swap \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations											(552)
Mark-to-Market											1,673
Contractual interest income (expense), net											469
Total											1,590
Credit Default Swap \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									(178)	(241)	(11)
Return (Recovery) of Basis											(22)
Mark-to-Market									1,029	396
Total									851	155	(33)
TBAs \| Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations									1,934	(800)	4,049
Mark-to-Market									(928)	10	(10)
Total									$ 1,006	$ (790)	$ 4,039

Derivative Instruments - Interest Rate Swaps (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Fixed Income Interest Rate
Currency swaps and forwards
Notional Amount	$ 2,551,000	$ 3,127,800
Average Fixed Pay Rate	2.20%	2.30%
Average Floating Receive Rate	2.00%	2.60%
Average Maturity (Years)	7 years 1 month 6 days	6 years
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 1,405,000	$ 728,400
Average Fixed Pay Rate	2.00%	2.50%
Average Floating Receive Rate	1.90%	2.40%
Average Maturity (Years)	3 years 6 months	8 years 3 months 18 days
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| 1 year or less \| Fixed Income Interest Rate
Currency swaps and forwards
Notional Amount	$ 200,000	$ 400,000
Average Fixed Pay Rate	1.80%	1.50%
Average Floating Receive Rate	1.90%	2.80%
Average Maturity (Years)	4 months 24 days	6 months
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Greater than 1 years and less than 3 years \| Fixed Income Interest Rate
Currency swaps and forwards
Notional Amount		$ 200,000
Average Fixed Pay Rate		1.80%
Average Floating Receive Rate		2.60%
Average Maturity (Years)		1 year 4 months 24 days
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Greater than 1 years and less than 3 years \| Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 810,000
Average Fixed Pay Rate	2.00%
Average Floating Receive Rate	2.00%
Average Maturity (Years)	1 year 7 months 6 days
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Greater than 3 years and less than 5 years \| Fixed Income Interest Rate
Currency swaps and forwards
Notional Amount	$ 622,400	$ 1,104,700
Average Fixed Pay Rate	2.60%	2.30%
Average Floating Receive Rate	1.90%	2.50%
Average Maturity (Years)	4 years 1 month 6 days	3 years 9 months 18 days
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Greater than 3 years and less than 5 years \| Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 550,000
Average Fixed Pay Rate	1.90%
Average Floating Receive Rate	1.60%
Average Maturity (Years)	5 years
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Greater than 5 years \| Fixed Income Interest Rate
Currency swaps and forwards
Notional Amount	$ 1,728,600	$ 1,423,100
Average Fixed Pay Rate	2.10%	2.50%
Average Floating Receive Rate	2.00%	2.50%
Average Maturity (Years)	8 years 10 months 24 days	9 years 10 months 24 days
Interest Rate Swaps \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Greater than 5 years \| Variable Pay Rate
Currency swaps and forwards
Notional Amount	$ 45,000	$ 728,400
Average Fixed Pay Rate	1.90%	2.50%
Average Floating Receive Rate	2.30%	2.40%
Average Maturity (Years)	19 years 6 months	8 years 3 months 18 days
Forward Starting Interest Rate Swap
Currency swaps and forwards
Notional Amount	$ 0	$ 0

Derivative Instruments- Currency Swaps and Forwards (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Derivative liability, at fair value	$ (6,370)	$ (10,130)
Derivative Instruments Not Accounted as Hedges Under GAAP
Derivative [Line Items]
Derivative liability, at fair value	$ (6,370)	(10,130)
Long \| Us Treasury Futures
Derivative [Line Items]
Derivative liability, at fair value		(4,700)
Short \| Us Treasury Futures
Derivative [Line Items]
Notional Amount		$ 300,400

Derivative Instruments - TBAs (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Currency swaps and forwards
Derivative assets	$ 13,776	$ 14,466
Derivative liability, at fair value	(6,370)	(10,130)
Derivative Instruments Not Accounted as Hedges Under GAAP
Currency swaps and forwards
Derivative assets	5,111	2,606
Derivative liability, at fair value	(6,370)	(10,130)
Derivative, fair value, net	(1,259)	(7,524)
TBAs \| Derivative Instruments Not Accounted as Hedges Under GAAP
Currency swaps and forwards
Notional amount, assets	1,000,000
Derivative notional amount net	0
Derivative assets	1,146
Derivative liability, at fair value	(2,074)
Derivative, fair value, net	(928)
TBAs \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Long
Currency swaps and forwards
Notional amount, assets	1,000,000
Derivative assets	1,146
Changes in notional amount
Notional Amount at the beginning of the period	0
Additions	3,200,000
Settlement, Termination, Expiration or Exercise	(2,200,000)
Notional Amount at the end of the period	1,000,000
TBAs \| Derivative Instruments Not Accounted as Hedges Under GAAP \| Short
Changes in notional amount
Notional Amount at the beginning of the period	0
Additions	3,200,000
Settlement, Termination, Expiration or Exercise	(2,200,000)
Notional Amount at the end of the period	1,000,000
To Be Announced Purchase Contracts \| Derivative Instruments Not Accounted as Hedges Under GAAP
Currency swaps and forwards
Derivative liability, notional amount, net		$ (1,000,000)
Derivative liability, at fair value	$ (2,074)

Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Offsetting of Derivative Assets
Gross Amounts	$ 13,776	$ 14,466
Derivative Asset	13,776	14,466
Net Amounts of Assets presented in the Consolidated Balance Sheets	5,111	2,606
Financial Instruments	(11,241)	(13,917)
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election	2,535	549
Gross amounts of derivative liability, fair value, gross liability	6,370	10,130
Derivative liabilities, net amounts of assets presented in consolidated balance sheets	6,370	10,130
Financial instruments, derivative liability, at fair value	(2,576)	(2,057)
Cash collateral, derivative liability, at fair value	(2,819)	(8,073)
Net Amount	975	0
Gross amounts of repurchase agreements	2,824,801	2,818,837
Repurchase agreement, net amounts of assets presented in consolidated balance sheets	2,824,801	2,818,837
Financial instruments, repurchase agreements	(2,824,801)	(2,818,837)
Gross amounts of derivative liability	2,831,171	2,828,967
Derivative liability, net amounts of assets presented in consolidated balance sheets	2,831,171	2,828,967
Derivative liability, financial instruments	(2,827,377)	(2,820,894)
Derivative liability, net amount	975	0
Derivative liability, cash collateral pledged	55,400	38,000
Fair value of investments pledged against repurchase agreements	3,200,000	3,300,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Offsetting of Derivative Assets
Gross Amounts	8,665	11,860
Derivative Asset	8,665	11,860
Financial Instruments	(8,665)	(11,860)
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election	0	0
Derivative asset
Offsetting of Derivative Assets
Gross Amounts	5,111	2,606
Net Amounts of Assets presented in the Consolidated Balance Sheets	5,111	2,606
Financial Instruments	(2,576)	(2,057)
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election	$ 2,535	$ 549

Related Party Transactions (Details) - USD ($) $ in Thousands	1 Months Ended		3 Months Ended								9 Months Ended	12 Months Ended
	May 31, 2019	Sep. 30, 2018	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Sep. 30, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Related Party Transactions
Net proceeds from issuance of common stock												$ 52,714	$ 64,880	$ 0
Management fees			$ 1,987	$ 1,800	$ 1,832	$ 1,735	$ 1,950	$ 2,284	$ 2,259	$ 2,180		$ 7,354	8,673	8,100
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
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												$ 7,400	8,700	8,100
Reimbursable employee costs												1,600	1,500	$ 1,400
Management fees incurred but not yet paid			2,000				4,200					2,000	4,200
Accounts payable, related parties			$ 181				$ 379					$ 181	$ 379
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%
Secondary Offering
Related Party Transactions
Sale of stock, number of shares issued in transaction (in shares)	5,000,000	6,500,000									6,500,000
Net proceeds from issuance of common stock	$ 49,300	$ 67,700

Share-Based Payments (Details) $ / shares in Units, $ in Thousands				12 Months Ended			50 Months Ended
	Jun. 06, 2019 director shares	Mar. 28, 2019 shares	Jun. 07, 2018 director shares	Dec. 31, 2019 USD ($) $ / shares shares	Dec. 31, 2018 USD ($) $ / shares shares	Dec. 31, 2017 USD ($) $ / shares shares	Jun. 30, 2016 shares
Share-Based Payments
Shares authorized (as a percent)					3.00%
Number of shares remained available for issuance (in shares)				688,305
Stock-based compensation expense recognized \| $				$ 564	$ 265	$ 981
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 \| $				$ 968	$ 117
Shares of Restricted Stock
Granted (in shares)							894,289
Restricted common stock
Share-Based Payments
Vested (in shares)				29,200	84,203	152,630
Shares of Restricted Stock
Restricted Stock Shares Outstanding, beginning of period (in shares)				753,973	725,449
Granted (in shares)		108,000		140,316	28,524
Restricted Stock Shares Outstanding, end of period (in shares)				894,289	753,973	725,449
Unvested at end of year (in shares)				138,592	27,476
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) \| $ / shares				$ 16.77	$ 17.00
Granted (in dollars per share) \| $ / shares				10.34	10.75
Outstanding at end of year (in dollars per share) \| $ / shares				15.76	16.77	$ 17.00
Unvested at end of year (in dollars per share) \| $ / shares				$ 10.34	$ 10.78
Restricted common stock \| Director Deferred Fee Plan
Shares of Restricted Stock
Granted (in shares)				3,536	2,620
Restricted common stock \| June 2019
Shares of Restricted Stock
Unvested at end of year (in shares)				0	27,476
Restricted common stock \| March 2020
Shares of Restricted Stock
Unvested at end of year (in shares)				36,000	0
Restricted common stock \| June 2020
Shares of Restricted Stock
Unvested at end of year (in shares)				30,592	0
Restricted common stock \| March 2021
Shares of Restricted Stock
Unvested at end of year (in shares)				36,000	0
Restricted common stock \| March 2022
Shares of Restricted Stock
Unvested at end of year (in shares)				36,000	0
Restricted common stock \| Director
Share-Based Payments
Awards granted to each of the entity's independent directors (in shares)	7,195		6,476
Share Based Compensation Arrangement by Share Based Payment Award, Number of Directors to whom Awards were Granted \| director	4		4
Shares of Restricted Stock
Granted (in shares)	28,780		25,904

Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands								1 Months Ended		9 Months Ended	12 Months Ended
	Sep. 19, 2019	Jun. 20, 2019	Mar. 21, 2019	Dec. 19, 2018	Sep. 17, 2018	Jun. 21, 2018	Mar. 22, 2018	May 31, 2019	Sep. 30, 2018	Sep. 30, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017	Dec. 21, 2017	Apr. 30, 2017
Shareholders equity
Net proceeds from issuance of common stock											$ 52,714	$ 64,880	$ 0
Payments of stock issuance costs											$ 580	$ 195	$ 94
Shares authorized to be repurchased (in shares)											2,700,000			2,100,000
Dividends declared per Share of Common Stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31
Dividends paid per Share of Common Stock (in dollars per share)	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31	$ 0.31
Common Stock
Shareholders equity
Treasury stock (in shares)										303,422
Treasury Stock
Shareholders equity
Treasury stock reissued (in shares)										303,422
Common Stock
Shareholders equity
Treasury stock reissued (in shares)												125,722
Treasury stock (in shares)													125,722
At The Market Offering
Shareholders equity
Equity distribution agreement, maximum value															$ 100,000
Sale of stock, number of shares issued in transaction (in shares)											299,497
Net proceeds from issuance of common stock											$ 3,000
Secondary Offering
Shareholders equity
Sale of stock, number of shares issued in transaction (in shares)								5,000,000	6,500,000	6,500,000
Treasury stock reissued (in shares)										303,422
Sale of stock, price per share (in dollars per share)								$ 10.14	$ 10.85	$ 10.85
Net proceeds from issuance of common stock								$ 49,300	$ 67,700
Payments of stock issuance costs								$ 1,400		$ 2,800

Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$ 12,489	$ 19,720	$ 10,614	$ 27,876	$ (17,655)	$ 20,882	$ 1,453	$ 21,729	$ 70,699	$ 26,409	$ 85,097
Dividends and undistributed earnings allocated to participating securities									303	138	312
Net income allocable to common stockholders—basic and diluted									$ 70,396	$ 26,271	$ 84,785
Denominator:
Weighted average common shares outstanding for basic earnings per share (in shares)									51,278,932	43,388,810	41,817,455
Weighted average common shares outstanding for diluted earnings per share (in shares)									51,278,932	43,388,810	41,817,455
Basic earnings per common share (in dollars per share)	$ 0.23	$ 0.37	$ 0.21	$ 0.58	$ (0.37)	$ 0.50	$ 0.03	$ 0.52	$ 1.37	$ 0.61	$ 2.03
Diluted earnings per common share (in dollars per share)	$ 0.23	$ 0.37	$ 0.21	$ 0.58	$ (0.37)	$ 0.50	$ 0.03	$ 0.52	$ 1.37	$ 0.61	$ 2.03

- Definition

The amount of net income (loss) for the period per each share of common stock or unit outstanding during the reporting period.

+ References

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+ Details

- Definition

The amount of net income (loss) for the period available to each share of common stock or common unit outstanding during the reporting period and to each share or unit that would have been outstanding assuming the issuance of common shares or units for all dilutive potential common shares or units outstanding during the reporting period.

+ References

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+ Details

- Definition

The portion of profit or loss for the period, net of income taxes, which is attributable to the parent.

+ References + Details

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
Income Taxes (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Income Tax Contingency [Line Items]
Income tax provision (benefit)	$ 622	$ (55)	$ 478	$ 12	$ 154	$ 206	$ 36	$ 313	$ 1,057	$ 709	$ 3,487
Net capital loss carry-forward	6,775				4,271				6,775	4,271
Net operating loss available for carry-back and carry-forward	7,295				6,503				7,295	6,503
Allowance	(15,382)				(12,087)				(15,382)	(12,087)
Net deferred tax liability	85				85				85	85
Operating Loss Carryforwards
Income Tax Contingency [Line Items]
Allowance	(6,900)				(6,100)				(6,900)	(6,100)
State and Local Jurisdiction
Income Tax Contingency [Line Items]
Net operating loss available for carry-back and carry-forward	6,000				5,500				6,000	5,500
Domestic Tax Authority
Income Tax Contingency [Line Items]
Net deferred tax liability	85				85				85	85
Taxable REIT Subsidiary
Income Tax Contingency [Line Items]
Net capital loss carry-forward	8,500				6,000				8,500	6,000
Taxable REIT Subsidiary \| State and Local Jurisdiction
Income Tax Contingency [Line Items]
Net operating loss available for carry-back and carry-forward	$ 1,300				$ 993				$ 1,300	$ 993

Income Taxes Components of Income Tax Expense (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Current Tax Provision (Benefit)
Federal									$ 860	$ 709	$ 4,076
State									197	0	(267)
Total Current Provision for Income Taxes, net									1,057	709	3,809
Deferred Provision (Benefit) for Income Taxes
Federal									0	0	85
State									0	0	(407)
Total Deferred Benefit for Income Taxes, net									0	0	(322)
Income Tax Expense (Benefit)	$ 622	$ (55)	$ 478	$ 12	$ 154	$ 206	$ 36	$ 313	$ 1,057	$ 709	$ 3,487

Income Taxes Deferred Tax Asset/Liability (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Deferred Tax Asset
Net operating loss available for carry-back and carry-forward	$ 7,295	$ 6,503
Net capital loss carry-forward	6,775	4,271
Investments	1,719	1,720
Deferred tax asset	15,789	12,494
Allowance	(15,382)	(12,087)
Net deferred tax asset	407	407
Deferred Tax Liability
Net operating loss available for carry-back and carry-forward	85	85
Net deferred tax liability	$ 85	$ 85

Income Taxes Effective Income Tax Rate Reconciliation (Details)	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Effective Income Tax Rate Reconciliation, Percent [Abstract]
Federal statutory rate	21.00%	21.00%
State statutory rate, net of federal benefit	(1.00%)	1.50%
Other	0.10%	(0.80%)
Change in valuation allowance	3.60%	(1.30%)
REIT earnings not subject to corporate taxes	(22.20%)	(17.80%)
Effective Tax Rate	1.50%	2.60%

Summarized Quarterly Results (unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Net Interest Income
Interest income	$ 55,761	$ 55,652	$ 53,818	$ 52,033	$ 58,020	$ 54,461	$ 57,154	$ 39,727	$ 217,264	$ 209,362	$ 124,291
Interest expense (includes $5,674, $13,739 and $981 on securitized debt held by affiliates, respectively)	36,834	39,082	37,958	36,400	40,892	38,517	38,134	20,697	150,274	138,240	48,373
Net Interest Income	18,927	16,570	15,860	15,633	17,128	15,944	19,020	19,030	66,990	71,122	75,918
Realized gain (loss) on sale of investments, net	11,992	21,399	(8)	(5,105)	(33,995)	(24,229)	(5,608)	575	28,278	(63,257)	20,598
Other Income (Loss)
Other than temporary impairment	(2,228)	(1,819)	(3,295)	(1,232)	(2,757)	(2,533)	(2,974)	(2,916)
Unrealized gain (loss), net					62,855	13,128	(31,693)	(68,961)	107,529	(24,671)	28,396
Unrealized gain (loss), net	(52,896)	35,030	74,614	50,781
Gain (loss) on derivative instruments, net	42,007	(47,056)	(71,530)	(27,148)	(54,728)	24,625	28,490	79,582	(103,727)	77,969	3,292
Other, net	518	918	532	236	(89)	(2)	(145)	47
Other Income (Loss)	(607)	8,472	313	17,532	(28,714)	10,989	(11,930)	8,327	2,204	(189)	1,031
Expenses
Management fee to affiliate	1,987	1,800	1,832	1,735	1,950	2,284	2,259	2,180	7,354	8,673	8,100
Other operating expenses	1,079	1,589	1,253	1,598	1,943	1,609	1,555	969	5,519	6,076	2,419
Compensation expense	671	671	705	544	552	552	572	510	2,591	2,186	2,692
Professional fees	1,031	973	761	1,215	1,121	1,065	818	1,295	3,980	4,299	3,242
Other general and administrative expenses	441	344	530	185	349	335	397	361	1,500	1,442	1,325
Total general and administrative expenses	2,143	1,988	1,996	1,944	2,022	1,952	1,787	2,166	8,071	7,927	7,259
Total Expenses	5,209	5,377	5,081	5,277	5,915	5,845	5,601	5,315	20,944	22,676	17,778
Income before income taxes	13,111	19,665	11,092	27,888	(17,501)	21,088	1,489	22,042	71,756	27,118	88,584
Income tax provision (benefit)	622	(55)	478	12	154	206	36	313	1,057	709	3,487
Net income (loss)	$ 12,489	$ 19,720	$ 10,614	$ 27,876	$ (17,655)	$ 20,882	$ 1,453	$ 21,729	$ 70,699	$ 26,409	$ 85,097
Net income per Common Share — Basic (in dollars per share)	$ 0.23	$ 0.37	$ 0.21	$ 0.58	$ (0.37)	$ 0.50	$ 0.03	$ 0.52	$ 1.37	$ 0.61	$ 2.03
Net income per Common Share — Diluted (in dollars per share)	$ 0.23	$ 0.37	$ 0.21	$ 0.58	$ (0.37)	$ 0.50	$ 0.03	$ 0.52	$ 1.37	$ 0.61	$ 2.03

Schedule IV Mortgage Loans on Real Estate (Details)	12 Months Ended
Schedule IV Mortgage Loans on Real Estate (Details)	Dec. 31, 2019 USD ($) loan	Dec. 31, 2018 USD ($)	Dec. 31, 2017 USD ($)	Dec. 31, 2019 USD ($)
Mortgage Loans on Real Estate
Principal balance				$ 2,676,231,000
Fair Value	$ 2,493,238,000	$ 2,493,238,000	$ 216,361,000	2,691,532,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				19,233,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Beginning balance	2,493,238,000	368,972,000	216,361,000
Unrealized gains	2,042,587,000	2,901,479,000	232,545,000
Unrealized gains	21,291,000	631,000	3,167,000
Collections of principal	1,858,659,000	769,748,000	80,550,000
Amortization of premium and (discounts)	5,247,000	5,692,000	1,470,000
Unrealized losses	1,191,000	2,356,000	1,081,000
Realized losses	487,000	48,000	0
Balance at end of period	$ 2,691,532,000	$ 2,493,238,000	$ 368,972,000
Original Loan Amount 25,000,000
Mortgage Loans on Real Estate
Coupon Rate	9.00%
Principal balance				25,000,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.50%
Principal balance				0
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.00%
Principal balance				249,999
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.50%
Principal balance				250,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.50%
Principal balance				499,999
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.50%
Principal balance				500,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.00%
Principal balance				749,999
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.50%
Principal balance				750,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.00%
Principal balance				999,999
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.00%
Principal balance				1,000,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	5.90%
Principal balance				1,249,999
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.80%
Principal balance				1,250,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	5.80%
Principal balance				1,499,999
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.80%
Principal balance				1,500,000
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	5.90%
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	5.40%
Principal balance				0
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	5.80%
Principal balance				249,999
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	4.00%
Principal balance				250,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.30%
Principal balance				499,999
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	5.50%
Principal balance				500,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.10%
Principal balance				749,999
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	6.50%
Principal balance				1,000,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.50%
Principal balance				1,249,999
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	5.40%
Principal balance				1,250,000
Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	5.70%
Principal balance				1,499,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	3.80%
Principal balance				0
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	8.40%
Principal balance				249,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	3.80%
Principal balance				250,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	7.20%
Principal balance				499,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	3.90%
Principal balance				500,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.10%
Principal balance				749,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	5.00%
Principal balance				1,000,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.30%
Principal balance				1,249,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	5.60%
Principal balance				1,250,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	6.30%
Principal balance				1,499,999
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Principal balance				1,500,000
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	8.00%
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	10.00%
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Balance $25,000,000
Mortgage Loans on Real Estate
Period for interest only payments	2 years
Amortization schedule	2 years
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Balance 45,185,500
Mortgage Loans on Real Estate
Principal balance				45,187,500
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 115,500,000
Mortgage Loans on Real Estate
Principal balance				115,500,000
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 5,744,800
Mortgage Loans on Real Estate
Principal balance				5,744,800
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 20,000,000
Mortgage Loans on Real Estate
Principal balance				20,000,000
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 30,000,000
Mortgage Loans on Real Estate
Principal balance				30,000,000
Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 1,350,000,000
Mortgage Loans on Real Estate
Principal balance				1,350,000,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans	730
Principal balance				120,652,000
Fair Value	$ 125,569,000			125,569,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 125,569,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans	1,051
Principal balance				356,183,000
Fair Value	$ 370,434,000			370,434,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				1,446,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 370,434,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans	345
Principal balance				198,888,000
Fair Value	$ 206,818,000			206,818,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				646,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 206,818,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Number of Loans	147
Principal balance				121,140,000
Fair Value	$ 125,727,000			125,727,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				790,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 125,727,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Number of Loans	34
Principal balance				36,536,000
Fair Value	$ 37,649,000			37,649,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				1,006,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 37,649,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans	14
Principal balance				18,452,000
Fair Value	$ 19,228,000			19,228,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 19,228,000
Residential Whole-Loan And Residential Bridge Loan \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Number of Loans	27
Principal balance				65,071,000
Fair Value	$ 67,418,000			67,418,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 67,418,000
Residential Whole-Loan And Residential Bridge Loan \| Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans	4
Principal balance				558,000
Fair Value	$ 586,000			586,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 586,000
Residential Whole-Loan And Residential Bridge Loan \| Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans	6
Principal balance				2,026,000
Fair Value	$ 2,128,000			2,128,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 2,128,000
Residential Whole-Loan And Residential Bridge Loan \| Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans	1
Principal balance				450,000
Fair Value	$ 473,000			473,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 473,000
Residential Whole-Loan And Residential Bridge Loan \| Variable Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans	2
Principal balance				1,344,000
Fair Value	$ 1,415,000			1,415,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 1,415,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans	422
Principal balance				66,458,000
Fair Value	$ 68,988,000			68,988,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				247,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 68,988,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans	552
Principal balance				189,163,000
Fair Value	$ 195,762,000			195,762,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				719,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 195,762,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans	128
Principal balance				73,638,000
Fair Value	$ 76,076,000			76,076,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 76,076,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Number of Loans	35
Principal balance				30,096,000
Fair Value	$ 31,212,000			31,212,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 31,212,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Number of Loans	12
Principal balance				13,095,000
Fair Value	$ 13,586,000			13,586,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 13,586,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans	8
Principal balance				9,980,000
Fair Value	$ 10,371,000			10,371,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 10,371,000
Residential Whole-Loan And Residential Bridge Loan \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Number of Loans	11
Principal balance				21,714,000
Fair Value	$ 22,420,000			22,420,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				2,271,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	22,420,000
Residential Bridge Loans \| Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal balance				1,362,639,000
Fair Value	1,412,279,000			1,412,279,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 1,412,279,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal Amount of Loans Subject to Delinquent Principal or Interest				19,233,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Number of Loans	34
Principal balance				4,722,000
Fair Value	$ 4,545,000			4,545,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				1,930,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 4,545,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	0.00%
Principal balance				0
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $0 - $249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	18.00%
Principal balance				249,999
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Number of Loans	13
Principal balance				4,907,000
Fair Value	$ 4,887,000			4,887,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				420,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 4,887,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	6.30%
Principal balance				250,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $250,000 - $499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	18.00%
Principal balance				499,999
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Number of Loans	10
Principal balance				6,251,000
Fair Value	$ 6,133,000			6,133,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				2,071,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 6,133,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	6.30%
Principal balance				500,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $500,000- $749,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	13.00%
Principal balance				749,999
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Number of Loans	11
Principal balance				9,662,000
Fair Value	$ 9,418,000			9,418,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				3,595,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 9,418,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	7.30%
Principal balance				750,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $750,000 - $999,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	18.00%
Principal balance				999,999
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Number of Loans	4
Principal balance				4,526,000
Fair Value	$ 4,464,000			4,464,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				1,125,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 4,464,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	7.30%
Principal balance				1,000,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,000,000 - $1,249,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	10.00%
Principal balance				1,249,999
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Number of Loans	2
Principal balance				2,690,000
Fair Value	$ 2,624,000			2,624,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				1,295,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 2,624,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	9.00%
Principal balance				1,250,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,250,000 - $1,499,999 \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	10.80%
Principal balance				1,499,999
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Number of Loans	2
Principal balance				4,437,000
Fair Value	$ 4,348,000			4,348,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				1,672,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 4,348,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above \| Minimum
Mortgage Loans on Real Estate
Coupon Rate	7.50%
Principal balance				1,500,000
Residential Bridge Loans \| Fixed Rate Residential Mortgage Loan Held in Securitization Trusts \| Original Loan Balance $1,500,000 and above \| Maximum
Mortgage Loans on Real Estate
Coupon Rate	10.00%
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust
Mortgage Loans on Real Estate
Principal balance				370,213,000
Fair Value	$ 370,213,000			370,213,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 370,213,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 20,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				20,000,000
Fair Value	$ 20,000,000			20,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 20,000,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 7,258,696
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				7,259,000
Fair Value	$ 7,259,000			7,259,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 7,259,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 30,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				30,000,000
Fair Value	$ 30,000,000			30,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 30,000,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 4,425,400
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				4,425,000
Fair Value	$ 4,425,000			4,425,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	4,425,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 50,000,000
Mortgage Loans on Real Estate
Principal balance				50,000,000
Fair Value	50,000,000			50,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 50,000,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 90,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				90,000,000
Fair Value	$ 90,000,000			90,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 90,000,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Balance Amount 40,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				40,000,000
Fair Value	$ 40,000,000			40,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 40,000,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 13,206,521
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				13,206,000
Fair Value	$ 13,206,000			13,206,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 13,206,000
Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 24,534,783
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				24,535,000
Fair Value	$ 24,535,000			24,535,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	24,535,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust
Mortgage Loans on Real Estate
Principal balance				943,379,000
Fair Value	909,040,000			909,040,000
Principal Amount of Loans Subject to Delinquent Principal or Interest				0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 909,040,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Balance 45,185,500
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				45,188,000
Fair Value	$ 45,188,000			45,188,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 45,188,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 13,600,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				13,600,000
Fair Value	$ 13,600,000			13,600,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 13,600,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 32,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				32,000,000
Fair Value	$ 32,000,000			32,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 32,000,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 900,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				674,331,000
Fair Value	$ 676,436,000			676,436,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 676,436,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 234,500,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				234,500,000
Fair Value	$ 198,104,000			198,104,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 198,104,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 25,000,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				24,048,000
Fair Value	$ 24,057,000			24,057,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 24,057,000
Securitized Commercial Loans \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 10,500,000
Mortgage Loans on Real Estate
Number of Loans \| loan	1
Principal balance				10,500,000
Fair Value	$ 10,443,000			$ 10,443,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 10,443,000
London Interbank Offered Rate (LIBOR) \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Balance 45,185,500
Mortgage Loans on Real Estate
Coupon Rate	4.25%
London Interbank Offered Rate (LIBOR) \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 115,500,000
Mortgage Loans on Real Estate
Coupon Rate	5.30%
London Interbank Offered Rate (LIBOR) \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 5,744,800
Mortgage Loans on Real Estate
Coupon Rate	5.25%
London Interbank Offered Rate (LIBOR) \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 20,000,000
Mortgage Loans on Real Estate
Coupon Rate	6.50%
London Interbank Offered Rate (LIBOR) \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 30,000,000
Mortgage Loans on Real Estate
Coupon Rate	4.50%
London Interbank Offered Rate (LIBOR) \| Commercial Mezzanine Loan Held in Securitization Trust \| Original Loan Amount 1,350,000,000
Mortgage Loans on Real Estate
Coupon Rate	9.50%