Cover - shares	6 Months Ended
Cover - shares	Jun. 30, 2020	Jul. 31, 2020
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2020
Document Transition Report	false
Entity File Number	001-34385
Entity Registrant Name	Invesco Mortgage Capital Inc.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-2749336
Entity Address, Address Line One	1555 Peachtree Street, N.E., Suite 1800,
Entity Address, City or Town	Atlanta,
Entity Address, State or Province	GA
Entity Address, Postal Zip Code	30309
City Area Code	404
Local Phone Number	892-0896
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		181,327,368
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q2
Amendment Flag	false
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	IVR
Security Exchange Name	NYSE
7.75% Series A Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpA
Security Exchange Name	NYSE
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpB
Security Exchange Name	NYSE
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpC
Security Exchange Name	NYSE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $1,070,928 and $21,132,742, respectively)	$ 1,584,158	$ 21,771,786
Cash and cash equivalents	270,161	172,507
Restricted cash	1,409	116,995
Due from counterparties	0	32,568
Investment related receivable	14,232	67,976
Derivative assets, at fair value	0	18,533
Other assets (including pledged security of $44,654 as of December 31, 2019)	79,512	166,180
Total assets	1,949,472	22,346,545
Liabilities:
Repurchase agreements	0	17,532,303
Secured loans	740,000	1,650,000
Derivative liabilities, at fair value	507	352
Dividends payable	6,339	74,841
Investment related payable	31,500	99,561
Accrued interest payable	167	43,998
Collateral held payable	0	170
Accounts payable and accrued expenses	2,606	1,560
Due to affiliate	10,561	11,861
Total liabilities	791,680	19,414,646
Commitments and contingencies
Stockholders' Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 181,327,368 and 144,256,357 shares issued and outstanding, respectively	1,813	1,443
Additional paid in capital	3,313,801	2,892,652
Accumulated other comprehensive income	106,348	288,963
Retained earnings (distributions in excess of earnings)	(2,827,494)	(814,483)
Total stockholders’ equity	1,157,792	2,931,899
Total liabilities and stockholders' equity	1,949,472	22,346,545
Series A Preferred Stock
Stockholders' Equity:
Preferred Stock	135,356	135,356
Series B Preferred Stock
Stockholders' Equity:
Preferred Stock	149,860	149,860
Series C Preferred Stock
Stockholders' Equity:
Preferred Stock	$ 278,108	$ 278,108

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Mortgage-backed and credit risk transfer securities, pledged	$ 1,070,928	$ 21,132,742
Other assets, pledged securities		$ 44,654
Preferred Stock - par value (in usd per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized	450,000,000	450,000,000
Common Stock - shares outstanding	181,327,368	144,256,357
Common Stock - shares issued	181,327,368	144,256,357
Series A Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares outstanding	5,600,000	5,600,000
Preferred Stock - shares issued	5,600,000	5,600,000
Preferred Stock - liquidation preference value	$ 140,000	$ 140,000
Series B Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares outstanding	6,200,000	6,200,000
Preferred Stock - shares issued	6,200,000	6,200,000
Preferred Stock - liquidation preference value	$ 155,000	$ 155,000
Series C Preferred Stock
Preferred Stock - dividend rate stated percentage	7.50%	7.50%
Preferred Stock - shares outstanding	11,500,000	11,500,000
Preferred Stock - shares issued	11,500,000	11,500,000
Preferred Stock - liquidation preference value	$ 287,500	$ 287,500

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($)
$ in Thousands

3 Months Ended

6 Months Ended

Jun. 30, 2020

Jun. 30, 2019

Jun. 30, 2020

Jun. 30, 2019

Interest Income

Mortgage-backed and credit risk transfer securities

$ 29,628

$ 200,737

$ 215,164

$ 386,229

Commercial and other loans

545

1,484

1,708

3,066

Total interest income

30,173

202,221

216,872

389,295

Interest Expense

Repurchase agreements

^[1]

(1,270)

117,978

77,772

219,853

Secured loans

1,712

11,258

8,358

22,402

Total interest expense

442

129,236

86,130

242,255

Net interest income

29,731

72,985

130,742

147,040

Other Income (loss)

Gain (loss) on investments, net

(306,366)

302,182

(1,061,849)

570,564

Equity in earnings (losses) of unconsolidated ventures

318

702

488

1,394

Gain (loss) on derivative instruments, net

(343)

(344,733)

(911,122)

(546,193)

Realized and unrealized credit derivative income (loss), net

(2,738)

(2,438)

(35,790)

5,446

Net gain (loss) on extinguishment of debt

3,701

0

(1,107)

0

Other investment income (loss), net

731

1,007

1,534

2,036

Total other income (loss)

(304,697)

(43,280)

(2,007,846)

33,247

Expenses

Management fee – related party

9,793

9,370

20,746

18,904

General and administrative

4,080

1,999

7,181

4,257

Total expenses

13,873

11,369

27,927

23,161

Net income (loss)

(288,839)

18,336

(1,905,031)

157,126

Dividends to preferred stockholders

11,106

22,213

Net income (loss) available to common stockholders

$ (299,945)

$ 7,230

$ (1,927,244)

$ 134,913

Earnings (loss) per share:

Basic (usd per share)

$ (1.80)

$ 0.06

$ (11.91)

$ 1.08

Diluted (usd per share)

$ (1.80)

$ 0.06

$ (11.91)

$ 1.08

[1]

Negative interest expense on repurchase agreements for the three months ended June 30, 2020 consists of $3.2 million of current period interest expense on repurchase agreements and $4.5 million of amortization of net deferred gains on de-designated interest rate swaps. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - "Derivatives and Hedging Activities" and Note 12 - "Stockholders' Equity".

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) (Parenthetical) $ in Thousands	3 Months Ended
	Jun. 30, 2020 USD ($)
Income Statement [Abstract]
Interest expense on repurchase agreements borrowings	$ 3,200
Amortization Of Net Deferred Gains On De-Designated Derivative	$ 4,500

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ (288,839)	$ 18,336	$ (1,905,031)	$ 157,126
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	(53,271)	47,188	(239,876)	99,537
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	34,782	(121)	71,739	10,026
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(4,503)	(5,916)	(14,570)	(11,767)
Currency translation adjustments on investment in unconsolidated venture	(388)	(320)	92	(596)
Total other comprehensive income (loss)	(23,380)	40,831	(182,615)	97,200
Comprehensive income (loss)	(312,219)	59,167	(2,087,646)	254,326
Less: Dividends to preferred stockholders	(11,106)	(11,106)	(22,213)	(22,213)
Comprehensive income (loss) attributable to common stockholders	$ (323,325)	$ 48,061	$ (2,109,859)	$ 232,113

CONDENSED CONSOLIDATED STATEMENTS OF EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Cumulative Effect, Period of Adoption, Adjustment	Preferred Stock Series A Preferred Stock	Preferred Stock Series B Preferred Stock	Preferred Stock Series C Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Distributions in excess of earnings)	Retained Earnings (Distributions in excess of earnings) Cumulative Effect, Period of Adoption, Adjustment
Beginning Balance (in shares) at Dec. 31, 2018			5,600,000	6,200,000	11,500,000	111,584,996
Beginning Balance at Dec. 31, 2018	$ 2,286,697		$ 135,356	$ 149,860	$ 278,108	$ 1,115	$ 2,383,532	$ 220,813	$ (882,087)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	138,790								138,790
Total other comprehensive income (loss)	56,369							56,369
Proceeds from issuance of common stock, net of offering costs (in shares)						16,672,000
Proceeds from issuance of common stock, net of offering costs	258,553					$ 167	258,386
Stock awards (in shares)						10,501
Common stock dividends	(57,720)								(57,720)
Preferred stock dividends	(11,107)								(11,107)
Amortization of equity-based compensation	132						132
Ending Balance (in shares) at Mar. 31, 2019			5,600,000	6,200,000	11,500,000	128,267,497
Ending Balance at Mar. 31, 2019	2,671,714		$ 135,356	$ 149,860	$ 278,108	$ 1,282	2,642,050	277,182	(812,124)
Beginning Balance (in shares) at Dec. 31, 2018			5,600,000	6,200,000	11,500,000	111,584,996
Beginning Balance at Dec. 31, 2018	2,286,697		$ 135,356	$ 149,860	$ 278,108	$ 1,115	2,383,532	220,813	(882,087)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	157,126
Total other comprehensive income (loss)	97,200
Ending Balance (in shares) at Jun. 30, 2019			5,600,000	6,200,000	11,500,000	128,795,528
Ending Balance at Jun. 30, 2019	2,670,101		$ 135,356	$ 149,860	$ 278,108	$ 1,287	2,650,329	318,013	(862,852)
Beginning Balance (in shares) at Mar. 31, 2019			5,600,000	6,200,000	11,500,000	128,267,497
Beginning Balance at Mar. 31, 2019	2,671,714		$ 135,356	$ 149,860	$ 278,108	$ 1,282	2,642,050	277,182	(812,124)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	18,336								18,336
Total other comprehensive income (loss)	40,831							40,831
Proceeds from issuance of common stock, net of offering costs (in shares)						521,136
Proceeds from issuance of common stock, net of offering costs	8,154					$ 5	8,149
Stock awards (in shares)						6,895
Common stock dividends	(57,958)								(57,958)
Preferred stock dividends	(11,106)								(11,106)
Amortization of equity-based compensation	130						130
Ending Balance (in shares) at Jun. 30, 2019			5,600,000	6,200,000	11,500,000	128,795,528
Ending Balance at Jun. 30, 2019	2,670,101		$ 135,356	$ 149,860	$ 278,108	$ 1,287	2,650,329	318,013	(862,852)
Beginning Balance (in shares) at Dec. 31, 2019			5,600,000	6,200,000	11,500,000	144,256,357
Beginning Balance at Dec. 31, 2019	2,931,899	$ 342	$ 135,356	$ 149,860	$ 278,108	$ 1,443	2,892,652	288,963	(814,483)	$ 342
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(1,616,192)								(1,616,192)
Total other comprehensive income (loss)	(159,235)							(159,235)
Proceeds from issuance of common stock, net of offering costs (in shares)						20,700,000
Proceeds from issuance of common stock, net of offering costs	347,026					$ 207	346,819
Stock awards (in shares)						10,000
Common stock dividends	(82,483)								(82,483)
Preferred stock dividends	(11,107)								(11,107)
Amortization of equity-based compensation	131						131
Ending Balance (in shares) at Mar. 31, 2020			5,600,000	6,200,000	11,500,000	164,966,357
Ending Balance at Mar. 31, 2020	1,410,381		$ 135,356	$ 149,860	$ 278,108	$ 1,650	3,239,602	129,728	(2,523,923)
Beginning Balance (in shares) at Dec. 31, 2019			5,600,000	6,200,000	11,500,000	144,256,357
Beginning Balance at Dec. 31, 2019	2,931,899	$ 342	$ 135,356	$ 149,860	$ 278,108	$ 1,443	2,892,652	288,963	(814,483)	$ 342
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(1,905,031)
Total other comprehensive income (loss)	(182,615)
Ending Balance (in shares) at Jun. 30, 2020			5,600,000	6,200,000	11,500,000	181,327,368
Ending Balance at Jun. 30, 2020	1,157,792		$ 135,356	$ 149,860	$ 278,108	$ 1,813	3,313,801	106,348	(2,827,494)
Beginning Balance (in shares) at Mar. 31, 2020			5,600,000	6,200,000	11,500,000	164,966,357
Beginning Balance at Mar. 31, 2020	1,410,381		$ 135,356	$ 149,860	$ 278,108	$ 1,650	3,239,602	129,728	(2,523,923)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(288,839)								(288,839)
Total other comprehensive income (loss)	(23,380)							(23,380)
Stock awards (in shares)						22,500
Common stock dividends (in shares)						16,338,511
Common stock dividends	70,608					$ 163	74,071		(3,626)
Preferred stock dividends	(11,106)								(11,106)
Amortization of equity-based compensation	128						128
Ending Balance (in shares) at Jun. 30, 2020			5,600,000	6,200,000	11,500,000	181,327,368
Ending Balance at Jun. 30, 2020	$ 1,157,792		$ 135,356	$ 149,860	$ 278,108	$ 1,813	$ 3,313,801	$ 106,348	$ (2,827,494)

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Cash Flows from Operating Activities
Net income (loss)	$ (1,905,031)	$ 157,126
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	9,967	13,800
Realized and unrealized (gain) loss on derivative instruments, net	923,046	558,227
Realized and unrealized (gain) loss on credit derivatives, net	41,635	5,204
(Gain) loss on investments, net	1,061,849	(570,564)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	243	(1,394)
Other amortization	(14,311)	(11,505)
Net (gain) loss on extinguishment of debt	1,107	0
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	54,567	(10,769)
Increase (decrease) in operating liabilities	(42,459)	16,877
Net cash provided by operating activities	130,613	157,002
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(4,953,645)	(5,644,867)
(Contributions to) distributions from investments in unconsolidated ventures, net	2,601	(865)
Change in other assets	40,846	7,096
Principal payments from mortgage-backed and credit risk transfer securities	690,085	760,639
Proceeds from sale of mortgage-backed and credit risk transfer securities	23,119,928	1,670,394
Payment on the sale of credit derivatives	(14,131)	0
Settlement (termination) of futures, currency forwards and interest rate swaps, net	(904,358)	(539,626)
Redemption of Federal Home Loan Bank of Indianapolis stock	36,562	0
Net change in due from counterparties and collateral held payable on derivative instruments	(170)	(9,435)
Principal payments from commercial loans held-for-investment	136	7,261
Net cash provided by (used in) investing activities	18,017,854	(3,749,403)
Cash Flows from Financing Activities
Proceeds from issuance of common stock	347,127	266,878
Principal repayments of secured loans	(910,000)	0
Proceeds from repurchase agreements	45,808,912	54,344,320
Principal repayments of repurchase agreements	(63,342,322)	(50,872,638)
Net change in due from counterparties and collateral held payable on repurchase agreements	32,568	0
Payments of deferred costs	(94)	(87)
Payments of dividends	(102,590)	(126,798)
Net cash provided by (used in) financing activities	(18,166,399)	3,611,675
Net change in cash, cash equivalents and restricted cash	(17,932)	19,274
Cash, cash equivalents and restricted cash, beginning of period	289,502	135,617
Cash, cash equivalents and restricted cash, end of period	271,570	154,891
Supplement Disclosure of Cash Flow Information
Interest paid	144,530	236,649
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	(168,137)	109,563
Dividends declared not paid	6,339	60,671
Increase (decrease) in Agency CMBS purchase commitments	(99,557)	246,709
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments	29,477	(17,740)
Dividend paid in common stock	74,234	0
Offering costs not paid	101	171
Net change in repurchase agreements, not settled	$ 0	$ 899

Organization and Business Operations	6 Months Ended
Organization and Business Operations	Jun. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company" or "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities ("MBS") and other mortgage-related assets. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership") and have one operating segment. We have historically invested in: •Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); •Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); •RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); •CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency CMBS"); •Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); •Residential and commercial mortgage loans; and •Other real estate-related financing agreements. We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits our exclusion from the "Investment Company" definition under the Investment Company Act of 1940. During the six months ended June 30, 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic that resulted in a material adverse change in our financial condition. In the three and six months ended June 30, 2020, we recorded a net loss of $299.9 million and $1.9 billion, respectively. Our stockholders' equity declined from $2.9 billion as of December 31, 2019 to $1.2 billion as of June 30, 2020. Due to significant spread widening in both Agency and non-Agency securities, we received an unusually high number of margin calls from counterparties in the latter half of March 2020. As a result, we were unable to meet margin calls and were not in compliance with the terms of our various borrowings arrangements as of March 31, 2020 as described in Note 6 - "Borrowings". To generate liquidity and reduce leverage, we sold MBS and GSE CRTs for cash proceeds of $23.1 billion and repaid $17.5 billion of our repurchase agreements and $910.0 million of Federal Home Loan Bank of Indianapolis "FHLBI" secured loans during the six months ended June 30, 2020. Our investment portfolio decreased from $21.9 billion as of December 31, 2019 to $1.6 billion as of June 30, 2020 primarily due to these asset sales. We also terminated our entire interest rate swap portfolio as our exposure to interest rate risk decreased as we sold Agency assets. While the Federal Reserve has taken a number of proactive measures to bolster liquidity, we expect market conditions for the mortgage REIT industry to continue to be challenging due to the uncertainty around the duration and ultimate impact of the COVID-19 pandemic.

Summary of Significant Accounting Policies	6 Months Ended
Summary of Significant Accounting Policies	Jun. 30, 2020
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2019. Our condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income recognition on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2019 other than as discussed below. Mortgage-Backed and Credit Risk Transfer Securities Allowances for Credit Losses on Available-For-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. Our available-for-sale GSE CRTs are hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. The embedded credit derivative is carried at fair value with changes in fair value reported in earnings. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate the allowance for credit losses as the difference between prepayment adjusted contractual cash flows without credit losses and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the condensed consolidated balance sheets and a provision for credit losses in the condensed consolidated statements of operations. Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within gain (loss) on investments, net in our condensed consolidated statements of operations. When we determine that we intend to sell, or more likely than not will be required to sell, an available-for-sale security in an unrealized loss position before we recover its amortized cost, we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within gain (loss) on investments, net in our condensed consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our condensed consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes relate to credit losses that will be reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Fair Value Measurements As of January 1, 2020, we report our commercial loan at fair value as determined by an independent pricing service. The pricing service values the loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market and a comparison of current market and collateral conditions to those present at origination. We discontinued reporting our commercial loan at amortized cost because we elected the fair value option for this loan in connection with our adoption of the new guidance for reporting credit losses discussed below. Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities is limited to those securities purchased prior to election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio, see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the three and six months ended June 30, 2020, we recorded $6.3 million and $85.1 million, respectively, of impairment on non-Agency securities that we intend to sell or more likely than not will be required to sell before we recover the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our condensed consolidated statements of operations. As of June 30, 2020, we have not recorded a credit loss allowance on any of our securities. We had one commercial loan as of December 31, 2019 that was measured at amortized cost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recognized $785,000 and $2.5 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three and six months ended June 30, 2020, respectively. Accounting Pronouncements Recently Issued In March 2020, new accounting guidance was issued for evaluating the effects of reference rate reform on financial reporting. The new guidance provides temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate "LIBOR" or another reference rate that is expected to be discontinued due to reference rate reform. The guidance may be adopted on or after March 12, 2020 and is only effective for the period from March 12, 2020 through December 31, 2022. We have not yet adopted this guidance and are currently evaluating what impact the guidance will have on our consolidated financial statements.

Variable Interest Entities ("VIEs")

6 Months Ended

Jun. 30, 2020

Variable Interest Entity Disclosure [Abstract]

Variable Interest Entities (VIEs)

Variable Interest Entities ("VIEs")

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2020 is presented in the table below.


$ in thousands	Carrying Amount	Company's Maximum Risk of Loss
Non-Agency CMBS	1,457,915	1,457,915
Non-Agency RMBS	14,404	14,404
Investments in unconsolidated ventures	19,246	19,246
Total	1,491,565	1,491,565

Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments.

Mortgage-Backed and Credit Risk Transfer Securities

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Mortgage-Backed and Credit Risk Transfer Securities

As discussed in Note 1 - "Organization and Business Operations", we sold MBS and GSE CRTs for cash proceeds of $23.1 billion during the six months ended June 30, 2020 to generate liquidity and reduce leverage given unprecedented market conditions as a result of the COVID-19 pandemic.

The following tables summarize our MBS and GSE CRT portfolio by asset type as of June 30, 2020 and December 31, 2019.


June 30, 2020
$ in thousands	Principal/ Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield ⁽¹⁾
Agency RMBS:
15 year fixed-rate	2,946	66	3,012	113	3,125	3.31	%
30 year fixed-rate	6,113	261	6,374	454	6,828	4.35	%

Total Agency RMBS pass-through	9,059	327	9,386	567	9,953	4.01	%
Agency-CMO ⁽²⁾	22,087	(22,087)	—	—	—	—	%

Non-Agency CMBS	1,491,783	(34,021)	1,457,762	153	1,457,915	5.50	%
Non-Agency RMBS ^(3)(4)(5)	1,126,569	(1,106,684)	19,885	(5,481)	14,404	4.09	%
GSE CRT ⁽⁶⁾	112,252	2,430	114,682	(12,796)	101,886	1.34	%
Total	2,761,750	(1,160,035)	1,601,715	(17,557)	1,584,158	5.17	%

(1)Period-end weighted average yield is based on amortized cost as of June 30, 2020 and incorporates future prepayment and loss assumptions.

(2)Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 100.0% of principal/notional balance, 0.0% of amortized cost and 0.0% of fair value.

(3)Non-Agency RMBS is 66.5% fixed rate, 32.7% variable rate, and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4)Of the total discount in non-Agency RMBS, $2.3 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities.

(5)Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 99.1% of principal/notional balance, 69.8% of amortized cost and 50.4% of fair value.

(6)GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.


December 31, 2019
$ in thousands	Principal/Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield ⁽¹⁾
Agency RMBS:
15 year fixed-rate	280,426	1,666	282,092	10,322	292,414	3.34	%
30 year fixed-rate	9,911,339	308,427	10,219,766	304,454	10,524,220	3.62	%
Hybrid ARM*	55,024	602	55,626	1,267	56,893	3.46	%
Total Agency RMBS pass-through	10,246,789	310,695	10,557,484	316,043	10,873,527	3.61	%
Agency-CMO ⁽²⁾	883,122	(467,840)	415,282	12,230	427,512	3.54	%
Agency CMBS ⁽³⁾	4,561,276	75,299	4,636,575	131,355	4,767,930	3.01	%
Non-Agency CMBS ⁽⁴⁾	4,464,525	(772,295)	3,692,230	131,244	3,823,474	5.16	%
Non-Agency RMBS ^(5)(6)(7)	2,340,119	(1,487,603)	852,516	103,155	955,671	6.98	%
GSE CRT ⁽⁸⁾	858,244	19,945	878,189	45,483	923,672	2.78	%
Total	23,354,075	(2,321,799)	21,032,276	739,510	21,771,786	3.85	%

* Adjustable-rate mortgage ("ARM")

(1)Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions.

(2)Agency-CMO includes Agency IO, which represent 56.3% of principal (notional) balance, 6.4% of amortized cost and 6.4% of fair value.

(3)Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million .

(4)Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value.

(5)Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate, and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(6)Of the total discount in non-Agency RMBS, $120.2 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities.

(7)Non-Agency RMBS includes interest-only securities, which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value.

(8)GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.

The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2020 and December 31, 2019, approximately 15% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. Our percentage of MBS and GSE CRTs accounted for under the fair value option declined as of June 30, 2020 due to sales of securities accounted for under the fair value option during the six months ended June 30, 2020.


	June 30, 2020					December 31, 2019
$ in thousands	Available-for-sale Securities	Securities under Fair Value Option	Total Fair Value	Available-for-sale Securities	Securities under Fair Value Option	Total Fair Value
Agency RMBS:
15 year fixed-rate	3,125	—	3,125	98,666	193,748	292,414
30 year fixed-rate	4,232	2,596	6,828	754,590	9,769,630	10,524,220
Hybrid ARM	—	—	—	31,522	25,371	56,893
Total RMBS Agency pass-through	7,357	2,596	9,953	884,778	9,988,749	10,873,527
Agency-CMO	—	—	—	146,733	280,779	427,512
Agency CMBS	—	—	—	—	4,767,930	4,767,930
Non-Agency CMBS	1,262,007	195,908	1,457,915	2,150,991	1,672,483	3,823,474
Non-Agency RMBS	7,837	6,567	14,404	715,479	240,192	955,671
GSE CRT	76,024	25,862	101,886	507,445	416,227	923,672
Total	1,353,225	230,933	1,584,158	4,405,426	17,366,360	21,771,786

The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2020 and December 31, 2019 are presented below.


	June 30, 2020
$ in thousands	MBS and GSE CRT Securities	Interest-Only Securities	Total
Principal/notional balance	1,623,408	1,138,342	2,761,750
Unamortized premium	10,600	—	10,600
Unamortized discount	(46,183)	(1,124,452)	(1,170,635)
Gross unrealized gains ⁽¹⁾	45,361	248	45,609
Gross unrealized losses ⁽¹⁾	(56,284)	(6,882)	(63,166)
Fair value	1,576,902	7,256	1,584,158


	December 31, 2019
$ in thousands	MBS and GSE CRT Securities	Interest-Only Securities	Total
Principal/notional balance	20,957,410	2,396,665	23,354,075
Unamortized premium	440,503	—	440,503
Unamortized discount	(419,983)	(2,342,319)	(2,762,302)
Gross unrealized gains ⁽¹⁾	807,324	4,782	812,106
Gross unrealized losses ⁽¹⁾	(66,064)	(6,532)	(72,596)
Fair value	21,719,190	52,596	21,771,786

(1)Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2020 and 2019 is provided below within this Note 4.

The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2020 and December 31, 2019.


$ in thousands	June 30, 2020	December 31, 2019
Less than one year	174,682	268,536
Greater than one year and less than five years	1,167,284	7,836,620
Greater than or equal to five years	242,192	13,666,630
Total	1,584,158	21,771,786

The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at June 30, 2020 and December 31, 2019.

June 30, 2020


	Less than 12 Months					12 Months or More				Total ⁽³⁾
$ in thousands	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities







Non-Agency CMBS ^{(1) (2)}	189,532	(43,325)	24	—	—	—	189,532	(43,325)	24
GSE CRT	95,747	(12,956)	6	—	—	—	95,747	(12,956)	6
Non-Agency RMBS	6,552	(6,870)	12	15	(15)	3	6,567	(6,885)	15
Total	291,831	(63,151)	42	15	(15)	3	291,846	(63,166)	45

(1)Includes non-Agency CMBS with a fair value of $129.7 million for which the fair value option has been elected. These securities have unrealized losses of $40.2 million.

(2)Unrealized losses on available-for-sale non-Agency CMBS are primarily due to the COVID-19 pandemic and its impact on market liquidity and underlying commercial real estate fundamentals. We have not recorded an allowance for credit losses on these securities as of June 30, 2020 based on a comparison of discounted expected cash flows to current amortized cost basis.

(3)Unrealized losses, other than those on available-for-sale non-Agency CMBS, relate to securities or embedded derivatives that are recorded at fair value through earnings.

December 31, 2019


	Less than 12 Months					12 Months or More				Total
$ in thousands	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities
Agency RMBS:
15 year fixed-rate	957	(1)	2	362	(3)	4	1,319	(4)	6
30 year fixed-rate	255,649	(207)	3	34,009	(256)	5	289,658	(463)	8
Hybrid ARM	434	(2)	1	1,524	(46)	3	1,958	(48)	4
Total Agency RMBS pass-through ⁽¹⁾	257,040	(210)	6	35,895	(305)	12	292,935	(515)	18
Agency-CMO ⁽²⁾	67,875	(1,194)	15	6,155	(1,513)	13	74,030	(2,707)	28
Agency CMBS ⁽³⁾	1,743,800	(50,521)	58	—	—	—	1,743,800	(50,521)	58
Non-Agency CMBS ⁽⁴⁾	203,129	(2,783)	19	101,021	(11,425)	7	304,150	(14,208)	26
Non-Agency RMBS ⁽⁵⁾	26,283	(3,935)	14	12,199	(636)	2	38,482	(4,571)	16
GSE CRT⁽⁶⁾	77,044	(74)	4	—	—	—	77,044	(74)	4
Total	2,375,171	(58,717)	116	155,270	(13,879)	34	2,530,441	(72,596)	150

(1)Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000.

(2)Includes Agency IO with fair value of $11.1 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.3 million.

(3)Fair value option has been elected for all Agency CMBS that are in an unrealized loss position.

(4)Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million.

(5)Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively.

(6)Fair value option has been elected for all GSE CRT that are in an unrealized loss position.

On January 1, 2020, we adopted accounting guidance that requires us to estimate an allowance for credit losses on available-for-sale securities in unrealized loss positions. As of June 30, 2020, we have not recorded an allowance for credit losses on any of our securities. We did not record any provisions for credit losses on our condensed consolidated statement of operations during the three and six months ended June 30, 2020. We recorded impairments of $6.3 million and $85.1 million on our condensed consolidated statement of operations during the three and six months ended June 30, 2020, respectively, because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis.

Prior to January 1, 2020, we assessed our investment securities for other-than-temporary impairment ("OTTI") on a quarterly basis. When the fair value of an investment was less than its amortized cost at the balance sheet date of the reporting

period for which impairment was assessed, the impairment was designated as either "temporary" or "other-than-temporary." This analysis included a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed included, but were not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration.

The following table summarizes OTTI included in earnings during the three and six months ended June 30, 2019:


	Three months ended June 30,		Six Months Ended June 30,
$ in thousands		2019	2019
RMBS interest-only securities		489	1,952
Non-Agency RMBS ⁽¹⁾		711	1,024

Total		1,200	2,976

(1)Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income.

OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations because we account for these securities under the fair value option.

The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2020 and 2019.


	Three months ended June 30,			Six Months Ended June 30,
$ in thousands	2020	2019	2020	2019
Gross realized gains on sale of investments	253,737	3,957	581,865	5,159
Gross realized losses on sale of investments	(658,476)	(1,928)	(990,889)	(14,245)
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis	(6,287)	—	(85,121)	—
Other-than-temporary impairment losses	—	(1,200)	—	(2,976)
Net unrealized gains and losses on MBS accounted for under the fair value option	(34,498)	304,692	(549,001)	584,731
Net unrealized gains and losses on GSE CRT accounted for under the fair value option	139,943	(3,339)	(12,426)	(2,105)
Net unrealized gains and losses on commercial loan and loan participation interest	3,023	—	(2,469)	—
Realized loss on loan participation interest	(3,808)	—	(3,808)	—
Total gain (loss) on investments, net	(306,366)	302,182	(1,061,849)	570,564

The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $1.1 million and $5.8 million for the three and six months ended June 30, 2020 (2019: $5.3 million and $10.7 million), respectively, that is recorded as realized and unrealized credit derivative income (loss), net.

For the three months ended June 30, 2020


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	1,561	(894)	667
Agency CMBS	1,827	(78)	1,749
Non-Agency CMBS	20,444	4,473	24,917
Non-Agency RMBS	1,524	(178)	1,346
GSE CRT	1,500	(536)	964
Other	(15)	—	(15)
Total	26,841	2,787	29,628

For the three months ended June 30, 2019


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	131,757	(17,153)	114,604
Agency CMBS	17,862	(909)	16,953
Non-Agency CMBS	40,615	3,350	43,965
Non-Agency RMBS	13,877	2,800	16,677
GSE CRT	9,426	(1,852)	7,574
Other	964	—	964
Total	214,501	(13,764)	200,737

For the six months ended June 30, 2020


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	107,439	(21,807)	85,632
Agency CMBS	35,822	(1,744)	34,078
Non-Agency CMBS	62,662	9,531	72,193
Non-Agency RMBS	12,284	2,520	14,804
GSE CRT	10,007	(2,286)	7,721
Other	736	—	736
Total	228,950	(13,786)	215,164

For the six months ended June 30, 2019


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	251,483	(29,347)	222,136
Agency CMBS	28,333	(1,440)	26,893
Non-Agency CMBS	79,445	6,381	85,826
Non-Agency RMBS	28,144	6,722	34,866
GSE CRT	18,022	(3,030)	14,992
Other	1,516	—	1,516
Total	406,943	(20,714)	386,229

Other Assets

6 Months Ended

Jun. 30, 2020

Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]

Other Assets

The following table summarizes our other assets as of June 30, 2020 and December 31, 2019:


$ in thousands	June 30, 2020	December 31, 2019
FHLBI stock	37,688	74,250
Loan participation interest	—	44,654
Commercial loan, held-for-investment	21,792	24,055
Investments in unconsolidated ventures	19,246	21,998
Prepaid expenses and other assets	786	1,223
Total	79,512	166,180

IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold Federal Home Loan Bank of Indianapolis ("FHLBI") stock as a condition of membership in the FHLBI. The stock is recorded at cost.

We had a participation interest in a secured loan collateralized by mortgage servicing rights that bears interest at a floating rate based on LIBOR plus a spread. We sold our participation interest for $21.6 million on April 1, 2020. The weighted average asset yield for the participation interest was 5.82% as of December 31, 2019. We recorded a realized loss of $3.8 million upon sale of the participation interest.

We have an investment in a commercial loan that matures in February 2021. The loan had a weighted average coupon rate of 8.67% as of June 30, 2020 and 10.19% as of December 31, 2019. As discussed in Note 2- "Summary of Significant Accounting Policies", we elected the fair value option for this loan on January 1, 2020 and recorded a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recorded an unrealized loss on this loan of $785,000 and $2.5 million during the three and six months ended June 30, 2020, respectively, based on a discounted cash flow valuation prepared by an independent pricing service. We previously reported this loan at amortized cost on our condensed consolidated balance sheet.

We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.

Borrowings

6 Months Ended

Jun. 30, 2020

Debt Disclosure [Abstract]

Borrowings

We have historically financed the majority of our investment portfolio through repurchase agreements and secured loans. We repaid all of our repurchase agreements as of May 7, 2020 and did not have any repurchase agreement borrowings as of June 30, 2020. The following tables summarize certain characteristics of our borrowings at June 30, 2020 and December 31, 2019. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans.

$ in thousands

June 30, 2020

Weighted

Average

Remaining

Amount

Interest

Maturity

Outstanding

Rate

(days)

Secured Loans

740,000

0.62

%

158

Total Borrowings

740,000

0.62

%

158


$ in thousands	December 31, 2019
							Weighted
					Weighted		Average
					Average		Remaining
		Amount			Interest		Maturity
		Outstanding			Rate		(days)
Repurchase Agreements:
Agency RMBS	9,666,964		1.95	%		46
Agency CMBS	4,246,359		1.95	%		43
Non-Agency CMBS	2,041,968		2.71	%		14
Non-Agency RMBS	790,412		2.65	%		16
GSE CRT	753,110		2.70	%		13
Loan participation interest	33,490		3.22	%		240
Total Repurchase Agreements	17,532,303		2.11	%		39
Secured Loans	1,650,000		1.93	%		1587

Total Borrowings	19,182,303		2.09	%		172

The following table shows the aggregate amount of maturities of our outstanding borrowings:


$ in thousands			As of
Borrowings maturing within:			June 30, 2020
7/1/2020 - 6/30/2021			740,000




Thereafter			—
Total			740,000

Secured Loans

As of June 30, 2020, IAS Services LLC had $740.0 million in outstanding secured loans from the FHLBI. These secured loans have variable rates that are based on the FHLBI's short-term cost of funds. For the six months ended June 30, 2020, IAS Services LLC had weighted average borrowings of $1.13 billion with a weighted average borrowing rate of 1.48%, and a weighted average maturity of 0.4 years.

In April 2020, the FHLBI modified the terms of our secured loans because we were not in compliance with all of the financial covenants of our secured loan agreements as of March 31, 2020. The modified loan terms require repayment of our secured loans by December 2020 but allow for prepayment at any time without penalty. We intend to repay our secured loans by December 2020 with proceeds from sales of mortgage-backed securities that are collateralizing our secured loans. We determined that the modification of our loan terms was a troubled debt restructuring that did not impact the accounting for our secured loans.

As discussed in Note 5 - "Other Assets," IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured loans from the FHLBI.

Repurchase Agreements

As discussed in Note 1 - “Organization and Business Operations”, we received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities. As a result, we were unable to meet margin and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. Certain of our repurchase agreement counterparties entered into forbearance discussions with us and permitted our repurchase agreements to remain outstanding while we were not in compliance.

In addition, certain of our counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. Gains and losses associated with the termination of these repurchase agreements are reported as a net gain (loss) on extinguishment of debt in our condensed consolidated statement of operations.

We repaid all of our repurchase agreements as of May 7, 2020 and did not have any repurchase agreement borrowings as of June 30, 2020.

Collateral Positions

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Collateral Positions

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2020 and December 31, 2019. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2019 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged was included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps, and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements was classified as due from counterparties on our condensed consolidated balance sheets.

Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $96.2 million of these securities as of December 31, 2019. We did not have any Agency CMBS purchase commitments as of June 30, 2020.

Cash collateral held on repurchase agreements that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2020 and December 31, 2019, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.


$ in thousands	As of
Collateral Pledged	June 30, 2020	December 31, 2019
Repurchase Agreements:
Agency RMBS	—	10,187,555
Agency CMBS	—	4,446,384
Non-Agency CMBS	—	2,549,841
Non-Agency RMBS	—	943,176
GSE CRT	—	918,117
Loan participation interest	—	44,654
Cash	—	32,568
Total repurchase agreements collateral pledged	—	19,122,295
Secured Loans:
Agency RMBS	—	621,471
Non-Agency CMBS	1,070,928	1,276,418
Restricted cash	929	600
Total secured loans collateral pledged	1,071,857	1,898,489
Interest Rate Swaps and Currency Forward Contracts:
Agency RMBS	—	189,780

Restricted cash	480	116,395
Total interest rate swaps and currency forward contracts collateral pledged	480	306,175

Total collateral pledged:
Mortgage-backed and credit risk transfer securities	1,070,928	21,132,742
Loan participation interest	—	44,654
Cash	—	32,568
Restricted cash	1,409	116,995
Total collateral pledged	1,072,337	21,326,959

	As of
Collateral Held	June 30, 2020	December 31, 2019
Repurchase Agreements:
Cash	—	10
Non-cash collateral	—	181
Total repurchase agreements collateral held	—	191
Interest Rate Swaps:
Cash	—	160

Total interest rate swap collateral held	—	160

Total collateral held:
Cash	—	170
Non-cash collateral	—	181
Total collateral held	—	351

Repurchase Agreements

Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined.

Our repurchase agreement collateral pledged ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/amount outstanding) was 109% as of December 31, 2019. We did not have any repurchase agreements as of June 30, 2020.

Secured Loans

Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. IAS Services LLC would be required to provide additional collateral to meet margin calls if the value of pledged assets declines. See Note 6 - "Borrowings" for a discussion of the status of our FHLBI secured loans.

Interest Rate Swaps

All of the interest rate swaps that we have entered into during 2020 were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statements of operations. Our FCM agreements include cross default provisions. We were not a party to any interest rate swaps as of June 30, 2020.

Currency Forward Contracts

Our currency forward contract provides for bilateral collateral pledging based on market value as determined by our counterparty. Collateral pledged with our currency forward counterparty is segregated in our books and records and can be in the form of cash or securities. Our counterparty has the right to repledge the collateral posted, but has the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the currency forward contract changes.

Derivatives and Hedging Activities

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

The following table summarizes changes in the notional amount of our derivative instruments during 2020:


$ in thousands	Notional Amount as of December 31, 2019	Additions	Settlement, Termination, Expiration or Exercise	Notional Amount as of June 30, 2020
Interest Rate Swaps	14,000,000	92,175,000	(106,175,000)	—

Currency Forward Contracts	23,111	45,674	(45,848)	22,937
Credit Derivatives	464,966	—	(380,047)	84,919


Total	14,488,077	92,220,674	(106,600,895)	107,856

Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties.

Interest Rate Swaps

Our repurchase agreements are usually settled on a short-term basis ranging from one to six months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. In addition, our secured loans have floating interest rates. As such, we are exposed to changing interest rates. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps involve making fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount.

Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $4.5 million and $14.6 million as a decrease (June 30, 2019: $5.9 million and $11.8 million as a decrease) to interest expense for the three and six months ended June 30, 2020, respectively. We increased the amount of gains and losses reclassified as a decrease to interest expense during the three and six months ended June 30, 2020 by $2.7 million because it is probable that the original forecasted repurchase agreement transactions will not occur by the end of the originally specified time period. During the next 12 months, we estimate that $20.0 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2020, $61.3 million (December 31, 2019: $75.9 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023.

We did not have any interest rate swaps outstanding as of June 30, 2020. As of December 31, 2019, we had interest rate swaps with the following maturities outstanding:


$ in thousands	As of December 31, 2019
Maturities	Notional Amount⁽¹⁾	Weighted Average Fixed Pay Rate		Weighted Average Receive Rate		Weighted Average Years to Maturity
2020	1,900,000	1.67	%	1.84	%	0.6
2021	2,500,000	1.40	%	1.77	%	1.3
2022	800,000	1.53	%	1.91	%	2.9
2023	2,400,000	1.44	%	1.72	%	3.9
2024	900,000	1.49	%	1.76	%	4.8
Thereafter	5,500,000	1.44	%	1.78	%	9.5
Total	14,000,000	1.47	%	1.79	%	5.2

(1)Notional amount includes $10.7 billion of interest rate swaps that received variable payments based on 1-month LIBOR and $3.3 billion of interest rate swaps that received variable payments based on 3-month LIBOR as of December 31, 2019.

Futures and Currency Forward Contracts

We purchase or sell U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. We did not have any futures contract outstanding as of June 30, 2020 and December 31, 2019.

We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of June 30, 2020, we had $22.9 million (December 31, 2019: $23.1 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro.

Credit Derivatives

Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets. At June 30, 2020 and December 31, 2019, terms of the GSE CRT embedded derivatives are:


$ in thousands	June 30, 2020	December 31, 2019
Fair value amount	(17,223)	10,281
Notional amount	84,919	464,966
Maximum potential amount of future undiscounted payments	84,919	464,966

Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet

The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2020 and December 31, 2019.

$ in thousands


Derivative Assets					Derivative Liabilities
	As of June 30, 2020	As of December 31, 2019		As of June 30, 2020	As of December 31, 2019
Balance Sheet	Fair Value	Fair Value	Balance Sheet	Fair Value	Fair Value
Interest Rate Swaps Asset	—	18,533	Interest Rate Swaps Liability	—	—
Currency Forward Contracts	—	—	Currency Forward Contracts	507	352

Total Derivative Assets	—	18,533	Total Derivative Liabilities	507	352

Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement

The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2020 and 2019.

$ in thousands

Three months ended June 30, 2020

Derivative
not designated as
hedging instrument

Realized gain (loss), net

GSE CRT embedded derivative coupon interest

Unrealized gain (loss), net

Realized and unrealized credit derivative income (loss), net

GSE CRT Embedded Derivatives

(16,414)

1,127

12,549

(2,738)

$ in thousands

Three months ended June 30, 2019

Derivative
not designated as
hedging instrument

Realized gain (loss), net

GSE CRT embedded derivative coupon interest

Unrealized gain (loss), net

Realized and unrealized credit derivative income (loss), net

GSE CRT Embedded Derivatives

—

5,300

(7,738)

(2,438)

$ in thousands

Six months ended June 30, 2020

Derivative
not designated as
hedging instrument

Realized gain (loss), net

GSE CRT embedded derivative coupon interest

Unrealized gain (loss), net

Realized and unrealized credit derivative income (loss), net

GSE CRT Embedded Derivatives

(14,131)

5,845

(27,504)

(35,790)

$ in thousands

Six months ended June 30, 2019

Derivative
not designated as
hedging instrument

Realized gain (loss), net

GSE CRT embedded derivative coupon interest

Unrealized gain (loss), net

Realized and unrealized credit derivative income (loss), net

GSE CRT Embedded Derivatives

—

10,650

(5,204)

5,446

The following tables summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2020 and 2019:


$ in thousands	Three Months Ended June 30, 2020
Derivative not designated as hedging instrument	Realized gain (loss) on derivative instruments, net	Contractual net interest income (expense)	Unrealized gain (loss), net	Gain (loss) on derivative instruments, net


Currency Forward Contracts	(138)	—	(205)	(343)

Total	(138)	—	(205)	(343)


$ in thousands	Three Months Ended June 30, 2019
Derivative not designated as hedging instrument	Realized gain (loss) on derivative instruments, net	Contractual net interest income (expense)	Unrealized gain (loss), net	Gain (loss) on derivative instruments, net
Interest Rate Swaps	(241,839)	7,525	(39,922)	(274,236)
Futures Contracts	(65,953)	—	(4,490)	(70,443)
Currency Forward Contracts	553	—	(607)	(54)

Total	(307,239)	7,525	(45,019)	(344,733)


$ in thousands	Six Months Ended June 30, 2020
Derivative not designated as hedging instrument	Realized gain (loss) on derivative instruments, net	Contractual net interest income (expense)	Unrealized gain (loss), net	Gain (loss) on derivative instruments, net
Interest Rate Swaps	(904,704)	11,924	(18,532)	(911,312)

Currency Forward Contracts	346	—	(156)	190

Total	(904,358)	11,924	(18,688)	(911,122)


$ in thousands	Six Months Ended June 30, 2019
Derivative not designated as hedging instrument	Realized gain (loss) on derivative instruments, net	Contractual net interest income (expense)	Unrealized gain (loss), net	Gain (loss) on derivative instruments, net
Interest Rate Swaps	(407,723)	12,034	(26,931)	(422,620)
Futures Contracts	(132,641)	—	8,454	(124,187)
Currency Forward Contracts	738	—	(124)	614

Total	(539,626)	12,034	(18,601)	(546,193)

Offsetting Assets and Liabilities

6 Months Ended

Jun. 30, 2020

Offsetting [Abstract]

Offsetting Assets and Liabilities

Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets.

The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.

As of June 30, 2020


				Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousands	Gross Amounts of Recognized Assets (Liabilities)	Gross Amounts Offset in the Balance Sheets	Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	Financial Instruments ⁽²⁾	Cash Collateral (Received) Pledged	Net Amount
Liabilities
Derivatives ⁽¹⁾⁽²⁾	(507)	—	(507)	—	480	(27)

Secured Loans ⁽³⁾	(740,000)	—	(740,000)	740,000	—	—
Total Liabilities	(740,507)	—	(740,507)	740,000	480	(27)

As of December 31, 2019


				Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousands	Gross Amounts of Recognized Assets (Liabilities)	Gross Amounts Offset in the Balance Sheets	Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	Financial Instruments ⁽²⁾	Cash Collateral (Received) Pledged	Net Amount
Liabilities
Derivatives ⁽¹⁾⁽²⁾	(352)	—	(352)	—	320	(32)
Repurchase Agreements ⁽⁴⁾	(17,532,303)	—	(17,532,303)	17,532,303	—	—
Secured Loans ⁽³⁾	(1,650,000)	—	(1,650,000)	1,650,000	—	—
Total Liabilities	(19,182,655)	—	(19,182,655)	19,182,303	320	(32)

(1)Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts.

(2)The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $480,000 and $116.4 million as of June 30, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019.

(3)The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.1 billion and $1.9 billion at June 30, 2020 and December 31, 2019, respectively. We pledged cash collateral against secured loans of $929,000 and $600,000 as of June 30, 2020 and December 31, 2019, respectively.

(4)The fair value of securities pledged against our borrowing under repurchase agreements was $19.1 billion at December 31, 2019. We pledged cash collateral of $32.6 million and held cash collateral of $10,000 under repurchase agreements as of December 31, 2019.

Fair Value of Financial Instruments

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows:

•Level 1 Inputs – Quoted prices for identical instruments in active markets.

•Level 2 Inputs – Quoted prices for similar instruments 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 3 Inputs – Instruments with primarily unobservable value drivers.

The following tables present our assets and liabilities measured at fair value on a recurring basis.


	June 30, 2020
	Fair Value Measurements Using:
$ in thousands	Level 1	Level 2	Level 3	NAV as a practical expedient ⁽³⁾	Total at Fair Value
Assets:
Mortgage-backed and credit risk transfer securities ⁽¹⁾⁽²⁾	—	1,601,381	(17,223)	—	1,584,158


Other assets ⁽⁴⁾	—	—	21,792	19,246	41,038
Total assets	—	1,601,381	4,569	19,246	1,625,196
Liabilities:
Derivative liabilities	—	507	—	—	507
Total liabilities	—	507	—	—	507


	December 31, 2019
	Fair Value Measurements Using:
$ in thousands	Level 1	Level 2	Level 3	NAV as a practical expedient ⁽³⁾	Total at Fair Value
Assets:
Mortgage-backed and credit risk transfer securities ⁽¹⁾⁽²⁾	—	21,761,505	10,281	—	21,771,786
Derivative assets	—	18,533	—	—	18,533
Other assets ⁽⁴⁾	—	—	44,654	21,998	66,652
Total assets	—	21,780,038	54,935	21,998	21,856,971
Liabilities:
Derivative liabilities	—	352	—	—	352
Total liabilities	—	352	—	—	352

(1)For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities."

(2)Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2020, the net embedded derivative liability position of $17.2 million includes $100,000 of embedded derivatives in an asset position and $17.3 million of embedded derivatives in a liability position. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position.

(3)Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures was 1.9 years and 2.2 years, respectively.

(4)Includes $44.7 million of a loan participation interest as of December 31, 2019 and $21.8 million of a commercial loan as of June 30, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued the loan based on a third party appraisal as of June 30, 2020. We sold the loan participation interest on April 1, 2020.

The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs:


	Three Months Ended June 30,			Six Months Ended June 30,
$ in thousands	2020	2019	2020	2019
Beginning balance	(29,772)	25,305	10,281	22,771


Sales and settlements	16,414	—	14,131	—
Total net credit derivative gains (losses) included in net income:
Realized credit derivative gains (losses), net	(16,414)	—	(14,131)	—
Unrealized credit derivative gains (losses), net	12,549	(7,738)	(27,504)	(5,204)
Ending balance	(17,223)	17,567	(17,223)	17,567

The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs:


	Three Months Ended June 30,			Six Months Ended June 30,
$ in thousands	2020	2019	2020	2019
Beginning balance	21,577	53,827	44,654	54,981
Purchases/Advances	—	—	—	577
Repayments	—	(5,942)	(19,269)	(7,673)
Sales	(21,577)	—	(21,577)	—
Total net gains and losses included in net income:
Realized losses	(3,808)	—	(3,808)	—
Net unrealized gains and losses	3,808	—	—	—
Ending balance	—	47,885	—	47,885

Realized and unrealized losses on our loan participation interest are included in gain (loss) on investments, net in our condensed consolidated statements of operations.

The following table shows a reconciliation of the beginning balance of our commercial loan at amortized cost and ending balance at fair value, which we have valued utilizing Level 3 inputs:


	Three Months Ended June 30,	Six Months Ended June 30,
$ in thousands	2020	2020
Beginning balance, at amortized cost	22,577	24,055
Cumulative effect of adoption of new accounting principle	—	342
Repayments	—	(136)
Total net unrealized losses included in net income:
Unrealized losses	(785)	(2,469)
Ending balance, at fair value	21,792	21,792

Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations.

The following tables summarize significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives:

Fair Value at

Valuation

Unobservable

Weighted

$ in thousands

June 30, 2020

Technique

Input

Range

Average

GSE CRT Embedded Derivatives

(17,223)

Market Comparables, Vendor Pricing

Weighted average life

1.9 - 2.8 years

2.2 years

Fair Value at

Valuation

Unobservable

Weighted

$ in thousands

December 31, 2019

Technique

Input

Range

Average

GSE CRT Embedded Derivatives

10,281

Market Comparables, Vendor Pricing

Weighted average life

1.1 - 4.2 years

2.9 years

These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement.

The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan:

Fair Value at

Valuation

Unobservable

$ in thousands

June 30, 2020

Technique

Input

Rate

Commercial Loan

21,792

Discounted Cash Flow

Discount rate

23.4

%

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2020 and December 31, 2019:


	June 30, 2020			December 31, 2019
$ in thousands	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value
Financial Assets
Commercial loan, held-for-investment ⁽¹⁾	N/A	N/A	24,055	24,397
FHLBI stock	37,688	37,688	74,250	74,250
Total	37,688	37,688	98,305	98,647
Financial Liabilities
Repurchase agreements	—	—	17,532,303	17,534,344
Secured loans	740,000	740,000	1,650,000	1,650,000
Total	740,000	740,000	19,182,303	19,184,344

(1)We elected the fair value option for our commercial loan on January 1, 2020.

The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets.

•The estimated fair value of our commercial loan, held-for-investment, included in "Other assets" on our condensed consolidated balance sheet as of December 31, 2019, is a Level 3 fair value measurement. The fair value was determined by an independent pricing service using a discounted cash flow analysis.

•The estimated fair value of FHLBI stock, included in "Other assets" on our condensed consolidated balance sheets, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at par. As a result, the cost of the FHLBI stock approximates its fair value.

•The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.

•The estimated fair value of secured loans is a Level 3 fair value measurement. As of June 30, 2020, the secured loans have variable rates based on the FHLBI's short-term cost of funds. As of December 31, 2020, the secured loans had floating rates based on an index plus a spread and the spread was typically consistent with those demanded in the

market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value.

- 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

Related Party Transactions

6 Months Ended

Jun. 30, 2020

Related Party Transactions

Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three and six months ended June 30, 2020, we reimbursed our Manager $242,000 and $484,000 (June 30, 2019: $213,000 and $396,000), respectively, for costs of support personnel.

We have invested $1.4 million as of June 30, 2020 (December 31, 2019: $154.0 million) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased.

Management Fee Expense

Effective October 1, 2019, our management fee is equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors.

We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager.

Expense Reimbursement

We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation.

The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2020 and 2019.


	Three Months Ended June 30,			Six Months Ended June 30,
$ in thousands	2020	2019	2020	2019
Incurred costs, prepaid or expensed	2,950	1,609	5,164	3,213
Incurred costs, charged against equity as a cost of raising capital	165	124	227	444
Total incurred costs, originally paid by our Manager	3,115	1,733	5,391	3,657

Stockholders' Equity

6 Months Ended

Jun. 30, 2020

Equity [Abstract]

Stockholders' Equity

Stockholders’ Equity

Preferred Stock

Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends are cumulative and payable quarterly in arrears.

Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears.

Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears.

As of July 2017, we have the option to redeem shares of our Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per

share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.

We may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under this equity distribution agreement through the filing date of this Quarterly Report.

Common Stock

On June 30, 2020, we issued 16,338,511 shares of common stock in connection with the payment of a common stock dividend. See "Dividends" below for further discussion of this payment.

We may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the six months ended June 30, 2020, we did not issue any shares of common stock under the equity distribution agreement. During the three and six months ended June 30, 2019, we issued 521,136 and 1,093,136 shares, respectively, of common stock under the equity distribution agreement for proceeds of $8.2 million and $17.2 million, net of approximately $170,000 and $363,000 in commissions and fees, respectively.

Share Repurchase Program

During the six months ended June 30, 2020 and 2019, we did not repurchase any shares of our common stock. As of June 30, 2020, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program.

Accumulated Other Comprehensive Income

The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three and six months ended June 30, 2020 and 2019. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option.


	Three Months Ended June 30, 2020
$ in thousands	Equity method investments	Available-for-sale securities	Derivatives and hedging	Total
Total other comprehensive income (loss)
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	—	(53,271)	—	(53,271)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	—	34,782	—	34,782
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	—	—	(4,503)	(4,503)
Currency translation adjustments on investment in unconsolidated venture	(388)	—	—	(388)
Total other comprehensive income (loss)	(388)	(18,489)	(4,503)	(23,380)

AOCI balance at beginning of period	(165)	64,053	65,840	129,728
Total other comprehensive income (loss)	(388)	(18,489)	(4,503)	(23,380)


AOCI balance at end of period	(553)	45,564	61,337	106,348


	Three Months Ended June 30, 2019
$ in thousands	Equity method investments	Available-for-sale securities	Derivatives and hedging	Total
Total other comprehensive income (loss)
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	—	47,188	—	47,188
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	—	(121)	—	(121)
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	—	—	(5,916)	(5,916)
Currency translation adjustments on investment in unconsolidated venture	(320)	—	—	(320)
Total other comprehensive income (loss)	(320)	47,067	(5,916)	40,831

AOCI balance at beginning of period	237	183,160	93,785	277,182
Total other comprehensive income (loss)	(320)	47,067	(5,916)	40,831


AOCI balance at end of period	(83)	230,227	87,869	318,013


	Six Months Ended June 30, 2020
$ in thousands	Equity method investments	Available-for-sale securities	Derivatives and hedging	Total
Total other comprehensive income/(loss)
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	—	(239,876)	—	(239,876)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	—	71,739	—	71,739
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	—	—	(14,570)	(14,570)
Currency translation adjustments on investment in unconsolidated venture	92	—	—	92
Total other comprehensive income/(loss)	92	(168,137)	(14,570)	(182,615)

AOCI balance at beginning of period	(645)	213,701	75,907	288,963
Total other comprehensive income/(loss)	92	(168,137)	(14,570)	(182,615)

AOCI balance at end of period	(553)	45,564	61,337	106,348


	Six Months Ended June 30, 2019
$ in thousands	Equity method investments	Available-for-sale securities	Derivatives and hedging	Total
Total other comprehensive income/(loss)
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	—	99,537	—	99,537
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	—	10,026	—	10,026
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	—	—	(11,767)	(11,767)
Currency translation adjustments on investment in unconsolidated venture	(596)	—	—	(596)
Total other comprehensive income/(loss)	(596)	109,563	(11,767)	97,200

AOCI balance at beginning of period	513	120,664	99,636	220,813
Total other comprehensive income/(loss)	(596)	109,563	(11,767)	97,200

AOCI balance at end of period	(83)	230,227	87,869	318,013

Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements.

Dividends

The tables below summarize the dividends we declared during the six months ended June 30, 2020 and 2019:


$ in thousands, except per share amounts	Dividends Declared
Series A Preferred Stock	Per Share	In Aggregate	Date of Payment
2020

June 17, 2020	0.4844	2,712	July 27, 2020
March 17, 2020	0.4844	2,713	May 22, 2020
2019

June 17, 2019	0.4844	2,712	July 25, 2019
March 18, 2019	0.4844	2,713	April 25, 2019


$ in thousands, except per share amounts	Dividends Declared
Series B Preferred Stock	Per Share	In Aggregate	Date of Payment
2020

May 9, 2020	0.4844	3,004	June 29, 2020
February 18, 2020	0.4844	3,003	May 22, 2020
2019

May 3, 2019	0.4844	3,004	June 27, 2019
February 14, 2019	0.4844	3,003	March 27, 2019


$ in thousands, except per share amounts	Dividends Declared
Series C Preferred Stock	Per Share	In Aggregate	Date of Payment
2020

May 9, 2020	0.46875	5,390	June 29, 2020
February 18, 2020	0.46875	5,391	May 22, 2020
2019

May 3, 2019	0.46875	5,390	June 27, 2019
February 14, 2019	0.46875	5,391	March 27, 2019


$ in thousands, except per share amounts	Dividends Declared
Common Stock	Per Share	In Aggregate	Date of Payment
2020

June 17, 2020	0.02	3,626	July 28, 2020
March 17, 2020	0.50	82,483	June 30, 2020
2019

June 17, 2019	0.45	57,958	July 26, 2019
March 18, 2019	0.45	57,720	April 26, 2019

On May 9, 2020, our board of directors approved payment of our common stock dividend that was declared on March 17, 2020 in a combination of cash and shares of our common stock. Stockholders had the opportunity to elect payment of the dividend all in cash or all in common shares, subject to a limit of 10% or approximately $8.2 million of cash in the aggregate (excluding any cash paid in lieu of issuing fractional shares). On June 30, 2020, we paid the dividend through the issuance of 16,338,511 shares of common stock and the payment of approximately $8.2 million in cash. The number of shares included in the dividend was calculated based on the $4.5435 volume weighted average trading price of our common stock on the New York Stock Exchange on June 17, 18 and 19, 2020.

Earnings (Loss) per Common Share

6 Months Ended

Jun. 30, 2020

Earnings Per Share [Abstract]

Earnings (Loss) per Common Share

Earnings (loss) per share for the three and six months ended June 30, 2020 and 2019 is computed as follows:


	Three months ended June 30,			Six Months Ended June 30,
In thousands except per share amounts	2020	2019	2020	2019
Numerator (Income)
Basic Earnings:
Net income (loss) available to common stockholders	(299,945)	7,230	(1,927,244)	134,913





Denominator (Weighted Average Shares)
Basic Earnings:
Shares available to common stockholders	166,943	128,659	161,857	124,900
Effect of dilutive securities:
Restricted stock awards	—	13	—	12


Dilutive Shares	166,943	128,672	161,857	124,912
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic	(1.80)	0.06	(11.91)	1.08
Diluted	(1.80)	0.06	(11.91)	1.08

The following potential common shares were excluded from diluted earnings per share for the three and six months ended June 30, 2020 as the effect would be antidilutive: 10,672 and 11,366 for restricted stock awards, respectively.

Commitments and Contingencies	6 Months Ended
Commitments and Contingencies	Jun. 30, 2020
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments and contingencies as of June 30, 2020 are discussed below. As discussed in Note 5 - "Other Assets", we have invested $19.2 million in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of June 30, 2020 and December 31, 2019, our undrawn capital and purchase commitments were $6.5 million and $6.5 million, respectively.

Subsequent Events	6 Months Ended
Subsequent Events	Jun. 30, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Dividends We declared the following dividends on our Series B and Series C Preferred Stock on August 5, 2020 to our stockholders of record as of September 5, 2020: a Series B Preferred Stock dividend of $0.4844 per share payable on September 28, 2020 and a Series C Preferred Stock dividend of $0.46875 per share payable on September 28, 2020. Repayment of Secured Loans In July 2020, we repaid $435.0 million of our secured loans with proceeds from asset sales. The balance of our secured loans as of July 31, 2020 is $305.0 million. Gain on Extinguishment of Debt As discussed in Note 6 - "Borrowings", certain of our repurchase agreement counterparties seized and sold securities that we had posted as collateral for our repurchase agreements when we were unable to meet margin calls commencing on March 23, 2020. As of June 30, 2020, we recorded a liability of $22.9 million in investment related payables on our condensed consolidated balance sheet for a claim asserted by one of our counterparties. We entered into a mutual release of claims with this counterparty in July 2020 and settled the claim resulting in a gain on extinguishment of debt of $15.9 million that will be recorded in our condensed consolidated statement of operations in the three months ended September 30, 2020.

Summary of Significant Accounting Policies (Policies)	6 Months Ended
Summary of Significant Accounting Policies (Policies)	Jun. 30, 2020
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2019.
Consolidation	Our condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Use of Estimates	Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income recognition on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates.
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities Allowances for Credit Losses on Available-For-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. Our available-for-sale GSE CRTs are hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. The embedded credit derivative is carried at fair value with changes in fair value reported in earnings. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate the allowance for credit losses as the difference between prepayment adjusted contractual cash flows without credit losses and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the condensed consolidated balance sheets and a provision for credit losses in the condensed consolidated statements of operations. Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within gain (loss) on investments, net in our condensed consolidated statements of operations. When we determine that we intend to sell, or more likely than not will be required to sell, an available-for-sale security in an unrealized loss position before we recover its amortized cost, we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within gain (loss) on investments, net in our condensed consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our condensed consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due.
Interest Income Recognition	Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes relate to credit losses that will be reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method.
Fair Value Measurements	Fair Value Measurements As of January 1, 2020, we report our commercial loan at fair value as determined by an independent pricing service. The pricing service values the loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market and a comparison of current market and collateral conditions to those present at origination. We discontinued reporting our commercial loan at amortized cost because we elected the fair value option for this loan in connection with our adoption of the new guidance for reporting credit losses discussed below.
Accounting Pronouncements Recently Adopted and Accounting Pronouncements Recently Issued	Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities is limited to those securities purchased prior to election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio, see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the three and six months ended June 30, 2020, we recorded $6.3 million and $85.1 million, respectively, of impairment on non-Agency securities that we intend to sell or more likely than not will be required to sell before we recover the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our condensed consolidated statements of operations. As of June 30, 2020, we have not recorded a credit loss allowance on any of our securities. We had one commercial loan as of December 31, 2019 that was measured at amortized cost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recognized $785,000 and $2.5 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three and six months ended June 30, 2020, respectively. Accounting Pronouncements Recently Issued In March 2020, new accounting guidance was issued for evaluating the effects of reference rate reform on financial reporting. The new guidance provides temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate "LIBOR" or another reference rate that is expected to be discontinued due to reference rate reform. The guidance may be adopted on or after March 12, 2020 and is only effective for the period from March 12, 2020 through December 31, 2022. We have not yet adopted this guidance and are currently evaluating what impact the guidance will have on our consolidated financial statements.

Variable Interest Entities ("VIEs") (Tables)

6 Months Ended

Jun. 30, 2020

Variable Interest Entity Disclosure [Abstract]

Schedule of Maximum Risk of Loss

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2020 is presented in the table below.


$ in thousands	Carrying Amount	Company's Maximum Risk of Loss
Non-Agency CMBS	1,457,915	1,457,915
Non-Agency RMBS	14,404	14,404
Investments in unconsolidated ventures	19,246	19,246
Total	1,491,565	1,491,565

- 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

Mortgage-Backed and Credit Risk Transfer Securities (Tables)

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Portfolio

The following tables summarize our MBS and GSE CRT portfolio by asset type as of June 30, 2020 and December 31, 2019.


June 30, 2020
$ in thousands	Principal/ Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield ⁽¹⁾
Agency RMBS:
15 year fixed-rate	2,946	66	3,012	113	3,125	3.31	%
30 year fixed-rate	6,113	261	6,374	454	6,828	4.35	%

Total Agency RMBS pass-through	9,059	327	9,386	567	9,953	4.01	%
Agency-CMO ⁽²⁾	22,087	(22,087)	—	—	—	—	%

Non-Agency CMBS	1,491,783	(34,021)	1,457,762	153	1,457,915	5.50	%
Non-Agency RMBS ^(3)(4)(5)	1,126,569	(1,106,684)	19,885	(5,481)	14,404	4.09	%
GSE CRT ⁽⁶⁾	112,252	2,430	114,682	(12,796)	101,886	1.34	%
Total	2,761,750	(1,160,035)	1,601,715	(17,557)	1,584,158	5.17	%

(1)Period-end weighted average yield is based on amortized cost as of June 30, 2020 and incorporates future prepayment and loss assumptions.

(2)Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 100.0% of principal/notional balance, 0.0% of amortized cost and 0.0% of fair value.

(3)Non-Agency RMBS is 66.5% fixed rate, 32.7% variable rate, and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4)Of the total discount in non-Agency RMBS, $2.3 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities.

(5)Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 99.1% of principal/notional balance, 69.8% of amortized cost and 50.4% of fair value.

(6)GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.


December 31, 2019
$ in thousands	Principal/Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield ⁽¹⁾
Agency RMBS:
15 year fixed-rate	280,426	1,666	282,092	10,322	292,414	3.34	%
30 year fixed-rate	9,911,339	308,427	10,219,766	304,454	10,524,220	3.62	%
Hybrid ARM*	55,024	602	55,626	1,267	56,893	3.46	%
Total Agency RMBS pass-through	10,246,789	310,695	10,557,484	316,043	10,873,527	3.61	%
Agency-CMO ⁽²⁾	883,122	(467,840)	415,282	12,230	427,512	3.54	%
Agency CMBS ⁽³⁾	4,561,276	75,299	4,636,575	131,355	4,767,930	3.01	%
Non-Agency CMBS ⁽⁴⁾	4,464,525	(772,295)	3,692,230	131,244	3,823,474	5.16	%
Non-Agency RMBS ^(5)(6)(7)	2,340,119	(1,487,603)	852,516	103,155	955,671	6.98	%
GSE CRT ⁽⁸⁾	858,244	19,945	878,189	45,483	923,672	2.78	%
Total	23,354,075	(2,321,799)	21,032,276	739,510	21,771,786	3.85	%