10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

ý Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended June 30, 2019

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the transition period from         to         

Commission File Number:  001-35543

Western Asset Mortgage Capital Corporation

(Exact name of Registrant as specified in its charter) 

Delaware	27-0298092
(State or other jurisdiction of incorporation or organization)	(IRS Employer Identification Number)

Western Asset Mortgage Capital Corporation

385 East Colorado Boulevard

Pasadena, California 91101

(Address of Registrant’s principal executive offices)

(626) 844-9400

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   Yes ý No o

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes ý No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act. 

Large accelerated filer	o	Accelerated filer	x
Non-accelerated filer	o	Smaller reporting company	o
		Emerging growth company	o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 under the Securities Exchange Act of 1934).  Yes o No ý

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Common Stock, $0.01 par value	WMC	New York Stock Exchange

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practical date.

As of August 5, 2019 there were 53,224,379 shares, par value $0.01, of the registrant’s common stock outstanding.

TABLE OF CONTENTS

		Page
	Part I — FINANCIAL INFORMATION
ITEM 1.	Financial Statements	2
ITEM 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	48
ITEM 3.	Quantitative and Qualitative Disclosures about Market Risk	86
ITEM 4.	Controls and Procedures	92
	Part II — OTHER INFORMATION	93
ITEM 1.	Legal Proceedings	93
ITEM 1A.	Risk Factors	93
ITEM 2.	Unregistered Sales of Equity Securities and Use of Proceeds	93
ITEM 3.	Defaults Upon Senior Securities	93
ITEM 4.	Mine Safety Disclosures	93
ITEM 5.	Other Information	93
ITEM 6.	Exhibits	94
Signatures		96

Part I

ITEM I. Financial Statements

Western Asset Mortgage Capital Corporation and Subsidiaries

Consolidated Balance Sheets

(in thousands—except share and per share data)

(Unaudited)

	June 30, 2019			December 31, 2018
Assets:
Cash and cash equivalents	$	81,761		$	21,987
Restricted cash	87,139			55,808
Agency mortgage-backed securities, at fair value ($2,388,337 and $1,505,979 pledged as collateral, at fair value, respectively)	2,488,151			1,505,979
Non-Agency mortgage-backed securities, at fair value ($214,946 and $237,107 pledged as collateral, at fair value, respectively)	266,891			250,856
Other securities, at fair value ($76,483 and $59,780 pledged as collateral, at fair value, respectively)	76,617			59,906
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)	1,206,220			1,041,885
Residential Bridge Loans ($87,402 and $211,999 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	94,892			221,719
Securitized commercial loans, at fair value	804,134			1,013,511
Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)	312,032			216,123
Investment related receivable	35,779			42,945
Interest receivable	19,413			21,959
Due from counterparties	55,519			39,623
Derivative assets, at fair value	3,329			2,606
Other assets	1,631			2,488
Total Assets (1)	$	5,533,508		$	4,497,395
Liabilities and Stockholders’ Equity:
Liabilities:
Repurchase agreements, net	$	3,001,220		$	2,818,837
Convertible senior unsecured notes, net	110,719			110,060
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)	1,617,813			949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)	11,982			8,532
Investment related payables	99,534			—
Due to counterparties	22,029			17,781
Derivative liability, at fair value	1,317			10,130
Accounts payable and accrued expenses	2,801			3,858
Payable to affiliate	2,827			4,615
Dividend payable	16,500			14,916
Other liabilities	87,140			56,031
Total Liabilities (2)	4,973,882			3,994,386
Commitments and contingencies
Stockholders’ Equity:
Common stock: $0.01 par value, 500,000,000 shares authorized, 53,224,379 and 48,116,379 outstanding, respectively	532			481
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding	—			—
Additional paid-in capital	883,417			833,810
Retained earnings (accumulated deficit)	(324,323		)	(331,282		)
Total Stockholders’ Equity	559,626			503,009
Total Liabilities and Stockholders’ Equity	$	5,533,508		$	4,497,395

 See notes to unaudited consolidated financial statements.

Western Asset Mortgage Capital Corporation and Subsidiaries

Consolidated Balance Sheets (Continued)

(in thousands—except share and per share data)

(Unaudited)

	June 30, 2019		December 31, 2018
(1) Assets of consolidated VIEs included in the total assets above:
Cash and cash equivalents	$	2,874	$	674
Restricted cash	87,139		55,808
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)	1,206,220		1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	90,606		221,486
Securitized commercial loans, at fair value	804,134		1,013,511
Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)	212,032		196,123
Investment related receivable	35,725		42,945
Interest receivable	10,494		15,540
Other assets	124		178
Total assets of consolidated VIEs	$	2,449,348	$	2,588,150
(2) Liabilities of consolidated VIEs included in the total liabilities above:
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)	$	1,617,813	$	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)	4,067		2,419
Accounts payable and accrued expenses	394		708
Other liabilities	87,139		56,033
Total liabilities of consolidated VIEs	$	1,709,413	$	1,008,786

See notes to unaudited consolidated financial statements.

2

Western Asset Mortgage Capital Corporation and Subsidiaries

Consolidated Statements of Operations

(in thousands—except share and per share data)

(Unaudited)

	For the three months ended June 30, 2019			For the three months ended June 30, 2018			For the six months ended June 30, 2019			For the six months ended June 30, 2018
Net Interest Income
Interest income	$	53,818		$	57,154		$	105,851		$	96,881
Interest expense (includes $1,106, $4,719, $3,444 and $5,207 on securitized debt held by affiliates, respectively)	37,958			38,134			74,358			58,831
Net Interest Income	15,860			19,020			31,493			38,050
Other Income (Loss)
Realized gain (loss) on investments, net	(8		)	(5,608		)	(5,113		)	(5,033		)
Other than temporary impairment	(3,295		)	(2,974		)	(4,527		)	(5,890		)
Unrealized gain (loss), net	74,614			(31,693		)	125,395			(100,654		)
Gain (loss) on derivative instruments, net	(71,530		)	28,490			(98,678		)	108,072
Other, net	532			(145		)	768			(98		)
Other Income (Loss)	313			(11,930		)	17,845			(3,603		)
Expenses
Management fee to affiliate	1,832			2,259			3,567			4,439
Other operating expenses	1,253			1,555			2,851			2,524
General and administrative expenses:
Compensation expense	705			572			1,249			1,082
Professional fees	761			818			1,976			2,113
Other general and administrative expenses	530			397			715			758
Total general and administrative expenses	1,996			1,787			3,940			3,953
Total Expenses	5,081			5,601			10,358			10,916
Income before income taxes	11,092			1,489			38,980			23,531
Income tax provision	478			36			490			349
Net income	$	10,614		$	1,453		$	38,490		$	23,182
Net income per Common Share — Basic	$	0.21		$	0.03		$	0.78		$	0.55
Net income per Common Share — Diluted	$	0.21		$	0.03		$	0.78		$	0.55

See notes to unaudited consolidated financial statements.

3

Western Asset Mortgage Capital Corporation and Subsidiaries

Consolidated Statements of Changes in Stockholders’ Equity

(in thousands—except shares and share data)

(Unaudited)

	Three Months Ended June 30, 2019
	Common Stock Outstanding			Additional  Paid-In Capital			Retained  Earnings  (Accumulated Deficit)			Treasury Stock
	Shares	Par										Total
Balance at March 31, 2019	48,224,379	$	482	$	833,915		$	(318,391	)	$	—	$	516,006
Proceeds from public offerings of common stock	5,000,000	50		49,600			—			—		49,650
Offering costs, public offerings of common stock	—	—		(309		)	—			—		(309		)
Vesting of restricted stock	—	—		165			—			—		165
Net income	—	—		—			10,614			—		10,614
Dividends declared on common stock	—	—		46			(16,546		)	—		(16,500		)
Balance at June 30, 2019	53,224,379	$	532	$	883,417		$	(324,323	)	$	—	$	559,626

	Three Months Ended June 30, 2018
	Common Stock Outstanding				Additional  Paid-In Capital		Retained  Earnings  (Accumulated Deficit)			Treasury Stock
	Shares		Par										Total
Balance at March 31, 2018	41,679,679		$	419	$	768,862	$	(293,128	)	$	(2,339	)	$	473,814
Vesting of restricted stock	—		—		50		—			—			50
Treasury stock	(63,300	)	—		—		—			(626		)	(626		)
Net income	—		—		—		1,453			—			1,453
Dividends declared on common stock	—		—		33		(12,933		)	—			(12,900		)
Balance at June 30, 2018	41,616,379		$	419	$	768,945	$	(304,608	)	$	(2,965	)	$	461,791

	Six Months Ended June 30, 2019
	Common Stock Outstanding			Additional  Paid-In Capital			Retained  Earnings  (Accumulated Deficit)			Treasury Stock
	Shares	Par										Total
Balance at December 31, 2018	48,116,379	$	481	$	833,810		$	(331,282	)	$	—	$	503,009
Proceeds from public offerings of common stock	5,000,000	50		49,600			—			—		49,650
Offering costs, public offerings of common stock	—	—		(309		)	—			—		(309		)
Grants of restricted stock	108,000	1		(1		)	—			—		—
Vesting of restricted stock	—	—		235			—			—		235
Net income	—	—		—			38,490			—		38,490
Dividends declared on common stock	—	—		82			(31,531		)	—		(31,449		)
Balance at June 30, 2019	53,224,379	$	532	$	883,417		$	(324,323	)	$	—	$	559,626

4

	Six Months Ended June 30, 2018
	Common Stock Outstanding				Additional  Paid-In Capital		Retained  Earnings  (Accumulated Deficit)			Treasury Stock
	Shares		Par										Total
Balance at December 31, 2017	41,794,079		$	419	$	768,763	$	(301,912	)	$	(1,232	)	$	466,038
Vesting of restricted stock	—		—		125		—			—			125
Treasury stock	(177,700	)	—		—		—			(1,733		)	(1,733		)
Net income	—		—		—		23,182			—			23,182
Dividends declared on common stock	—		—		57		(25,878		)	—			(25,821		)
Balance at June 30, 2018	41,616,379		$	419	$	768,945	$	(304,608	)	$	(2,965	)	$	461,791

See notes to unaudited consolidated financial statements.

5

Western Asset Mortgage Capital Corporation and Subsidiaries

Consolidated Statements of Cash Flows (inthousands)

(Unaudited)

	For the six months ended June 30, 2019			For the six months ended June 30, 2018
Cash flows from operating activities:
Net income	$	38,490		$	23,182
Adjustments to reconcile net income to net cash (used in) provided by operating activities:
Premium amortization and (discount accretion), net	2,360			277
Amortization of deferred financing costs	483			384
Amortization of discount on convertible senior notes	275			275
Restricted stock amortization	235			125
Interest payments and basis recovered on MAC interest rate swaps	3,204			293
Premium on purchase of Residential Whole Loans	(4,882		)	(2,677		)
Premium on purchase of Residential Bridge Loans	—			(2,196		)
Premium on purchase of securitized commercial loans	(3,769		)	(3,019		)
Unrealized (gain) loss, net	(125,395		)	100,654
Unrealized (gain) loss on derivative instruments, net	(794		)	(5,576		)
Other than temporary impairment	4,527			5,890
Realized (gain) loss on investments, net	5,113			5,033
(Gain) loss on derivatives, net	1,777			(7,769		)
Changes in operating assets and liabilities:
Decrease (increase) in interest receivable	2,546			(5,884		)
Decrease (increase) in other assets	857			(1,267		)
Increase in interest payable	3,450			1,987
Decrease in accounts payable and accrued expenses	(961		)	(587		)
(Decrease) increase in payable to affiliate	(1,788		)	1,021
Net cash (used in) provided by operating activities	(74,272		)	110,146
Cash flows from investing activities:
Purchase of securities	(1,093,542		)	(235,043		)
Proceeds from sale of securities	221,875			416,869
Principal repayments and basis recovered on securities	55,175			67,259
Purchase of Residential Whole Loans	(244,317		)	(124,225		)
Principal repayments on Residential Whole Loans	87,615			23,871
Purchase of commercial loans	(171,188		)	(70,257		)
Principal repayments on commercial loans	76,000			—
Purchase of securitized commercial loans	(900,000		)	(1,350,000		)
Principal repayments on securitized commercial loans	1,113,884			78,907
Purchase of Residential Bridge Loans	—			(276,173		)
Principal repayments on Residential Bridge Loans	143,992			98,528
Payment of premium for option derivatives	(302		)	(467		)
Premium received from option derivatives	862			298
Premium for credit default swaps, net	(367		)	(174		)
Net settlements of TBAs	—			134
(Payments on) Proceeds from termination of futures, net	(10,338		)	4,591
Interest payments and basis recovered on MAC interest rate swaps	(3,204		)	(293		)
Premium for interest rate swaptions, net	(332		)	—
Net cash used in investing activities	(724,187		)	(1,366,175		)
Cash flows from financing activities:
Proceeds from issuance of common stock	49,650			—
Payment of offering costs	(405		)	—
Repurchase of common stock	—			(1,733		)

6

Western Asset Mortgage Capital Corporation and Subsidiaries

Consolidated Statements of Cash Flows (Continued) (inthousands)

(Unaudited)

	For the six months ended June 30, 2019			For the six months ended June 30, 2018
Proceeds from repurchase agreement borrowings	10,821,699			9,929,408
Repayments of repurchase agreement borrowings	(10,639,316		)	(9,913,725		)
Proceeds from securitized debt	1,757,464			1,285,219
Repayments of securitized debt	(1,083,560		)	(74,845		)
Payments made for deferred financing costs	(5,786		)	—
Due from counterparties, net	(15,896		)	22,139
Due to counterparties, net	4,248			3,718
Increase in other liabilities	31,331			58,746
Dividends paid on common stock	(29,865		)	(25,880		)
Net cash provided by financing activities	889,564			1,283,047
Net increase in cash, cash equivalents and restricted cash	91,105			27,018
Cash, cash equivalents and restricted cash, beginning of period	77,795			48,024
Cash, cash equivalents and restricted cash, end of period	$	168,900		$	75,042
Supplemental disclosure of operating cash flow information:
Interest paid	$	72,231		$	56,935
Income taxes paid	$	48		$	1,635
Supplemental disclosure of non-cash financing/investing activities:
Underwriting and offering costs payable	$	81		$	—
Securities purchased, not settled	$	(99,534	)	$	(52,530	)
Dividends and distributions declared, not paid	$	16,500		$	12,901
Principal payments of Residential Whole Loans, not settled	$	20,535		$	5,845
Principal payments of Residential Bridge Loans, not settled	$	15,244		$	31,441
Other assets	$	—		$	143

See notes to unaudited consolidated financial statements.

7

Western Asset Mortgage Capital Corporation and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

(in thousands- except share and per share data)

The following defines certain of the commonly used terms in these Notes to Consolidated Financial Statements: “Agency” or “Agencies” refer to a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae” or “FNMA”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac” or “FHLMC”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae” or “GNMA”); references to “MBS” refer to mortgage backed securities, including residential mortgage-backed securities or “RMBS,” commercial mortgage-backed securities or “CMBS,” and “Interest-Only Strips” (as defined herein); “Agency MBS” refer to RMBS, CMBS and Interest-Only Strips issued or guaranteed by the Agencies while “Non-Agency MBS” refer to RMBS, CMBS and Interest-Only Strips that are not issued or guaranteed by the Agencies; references to “ARMs” refers to adjustable rate mortgages; references to “Interest-Only Strips” refer to interest-only (“IO”) and inverse interest-only (“IIO”) securities issued as part of or collateralized with MBS; references to “TBA” refer to To-Be-Announced Securities; and references to “Residential Whole Loans”, “Residential Bridge Loans” and “Commercial Loans” (collectively “Whole Loans”) refer to individual mortgage loans secured by single family, multifamily and commercial properties.

Note 1 — Organization

Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, Whole Loans and other financial assets.  The Company’s portfolio is comprised of Agency CMBS, Agency RMBS, Non-Agency RMBS, Non-Agency CMBS, Residential Whole Loans, Residential Bridge Loans and Commercial Loans. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS as well as certain Non U.S. CMBS and in asset-backed securities (“ABS”) investments secured by a portfolio of private student loans.  The Company’s investment strategy is based on Western Asset Management Company, LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time.  The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”).  These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate.  Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole Loans and other real estate related assets.

The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”).  The Manager is a wholly-owned subsidiary of Legg Mason, Inc.  The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012.

Note 2 — Basis of Presentation and Summary of Significant Accounting Policies

Basis of Presentation and Consolidation

The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended June 30, 2019, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2018, filed with the SEC on March 6, 2019.

The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary.  All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.

8

Variable Interest Entities

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

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

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

In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed.  If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed.  If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 

Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.

Use of Estimates

The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.  Actual results could differ from those estimates.

Significant Accounting Policies

There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2018.

9

Recently adopted accounting pronouncements

Description	Adoption Date	Effect on Financial Statements
In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.
In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.
In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.

Recently issued accounting pronouncements

Description	Effective Date	Effect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements
In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits.	First quarter 2020.	The Company is evaluating the impact this standard may have on its consolidated financial statements.
In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. However, the Company does not foresee the Codification Improvements having a material impact on its financial statements
In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326). The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company already elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements

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Note 3 — Fair Value of Financial Instruments

The following tables present the Company’s financial instruments carried at fair value as of June 30, 2019 and December 31, 2018, based upon the valuation hierarchy (dollars in thousands):

	June 30, 2019
	Fair Value
	Level I		Level II		Level III		Total
Assets
Agency CMBS	$	—	$	1,839,654	$	40,285	$	1,879,939
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		3,829		—		3,829
Agency RMBS	—		585,751		—		585,751
Agency RMBS Interest-Only Strips	—		—		11,891		11,891
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		6,741		6,741
Subtotal Agency MBS	—		2,429,234		58,917		2,488,151
Non-Agency RMBS	—		—		38,086		38,086
Non-Agency RMBS Interest-Only Strips	—		—		9,101		9,101
Non-Agency CMBS	—		219,704		—		219,704
Subtotal Non-Agency MBS	—		219,704		47,187		266,891
Other securities	—		58,820		17,797		76,617
Total mortgage-backed securities and other securities	—		2,707,758		123,901		2,831,659
Residential Whole Loans	—		—		1,206,220		1,206,220
Residential Bridge Loans	—		—		87,402		87,402
Securitized commercial loans	—		—		804,134		804,134
Commercial Loans	—		—		312,032		312,032
Derivative assets	464		2,865		—		3,329
Total Assets	$	464	$	2,710,623	$	2,533,689	$	5,244,776
Liabilities
Derivative liabilities	$	553	$	764	$	—	$	1,317
Securitized debt	—		719,150		2,876		722,026
Total Liabilities	$	553	$	719,914	$	2,876	$	723,343

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	December 31, 2018
	Fair Value
	Level I		Level II		Level III		Total
Assets
Agency CMBS	$	—	$	1,481,984	$	—	$	1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		4,158		—		4,158
Agency RMBS Interest-Only Strips	—		—		12,135		12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		7,702		7,702
Subtotal Agency MBS	—		1,486,142		19,837		1,505,979
Non-Agency RMBS	—		—		39,026		39,026
Non-Agency RMBS Interest-Only Strips	—		—		11,529		11,529
Non-Agency CMBS	—		200,301		—		200,301
Subtotal Non-Agency MBS	—		200,301		50,555		250,856
Other securities	—		50,955		8,951		59,906
Total mortgage-backed securities and other securities	—		1,737,398		79,343		1,816,741
Residential Whole Loans	—		—		1,041,885		1,041,885
Residential Bridge Loans	—		—		211,999		211,999
Securitized commercial loan	—		—		1,013,511		1,013,511
Commercial Loans	—		—		216,123		216,123
Derivative assets	—		2,606		—		2,606
Total Assets	$	—	$	1,740,004	$	2,562,861	$	4,302,865
Liabilities
Derivative liabilities	$	4,657	$	5,473	$	—	$	10,130
Securitized debt	—		947,340		2,286		949,626
Total Liabilities	$	4,657	$	952,813	$	2,286	$	959,756

When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes.  The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available.  If independent pricing services or third party broker quotes, are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses.

In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable.

Mortgage-backed securities and other securities

In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Agency CMBS, given the amount of available observable market data, are classified in Level II.  For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is

12

sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III.

Values for the Company’s securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instrument, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group.

Residential Whole Loans and Residential Bridge Loans

Values for the Company's Non-QM and conforming Residential Whole Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. For the conforming Residential Whole Loan Portfolio, the third party pricing service valuation model assigns a loan value using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. In addition to pricing the underlying mortgages, the third party pricing service uses a service release premium valuation representing the sale of the right to service the mortgages. Together, the TBA price and service release premium price form the "All-In" price for these mortgages. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Commercial Loans

Values for the Company's Commercial Loans are based upon either prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution or a broker quote. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III.

Securitized commercial loans

Values for the Company’s securitized commercial loans are based on the CFE valuation methodology.  Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable.  Due to the inherent uncertainty of such valuation, the Company classifies its securitized commercial loans as Level III.

Securitized debt

Values for the Company's securitized debt are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III.

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Derivatives

Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the periods ended June 30, 2019 and December 31, 2018.

The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group.  The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations.  If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted.  To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price.

The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	Fair Value at			Range
	June 30, 2019	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average
Residential Whole-Loans	1,206,220	Discounted Cash Flow	Yield	3.2	%	7.7	%		4.3	%
			Weighted Average Life(2)	1.2		7.3			2.6
Residential Bridge Loans	87,402	Discounted Cash Flow	Yield	7.2	%	144.0	%	(1)	10.9	%
			Weighted Average Life	0.1		2.3			0.5
Commercial Loans	312,032	Discounted Cash Flow	Yield	5.6	%	8.5	%		6.7	%
			Weighted Average Life	0.4		2.5			1.8

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

(1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%.

(2) Includes the weighted average lives of Non-QM Residential Whole loans and excludes the expected lives of the conforming Residential Whole Loans.

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

	Three months ended June 30, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole Loans			Residential Bridge Loans			Commercial Loans			Securitized  commercial  loans			Securitized debt
Beginning balance	$	19,108		$	48,392		$	17,380		$	1,267,163		$	144,170		$	337,578		$	929,474		$	3,769
Transfers into Level III from Level II	—			—			—			—			—			—			—			—
Transfers from Level III into Level II	—			—			—			—			—			—			—			—
Purchases	39,856			—			—			—			—			50,000			—			—
Sales and settlements	—			—			—			—			—			—			—			—
Principal repayments	—			(274		)	(185		)	(69,312		)	(56,650		)	(75,835		)	(125,170		)	—
Total net gains / losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(162		)	—			—			—
Other than temporary impairment	(4		)	(936		)	—			—			—			—			—			—
Unrealized gains/(losses), net on assets(1)	984			716			697			9,170			291			(59		)	572			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—			—			(47		)
Premium and discount amortization, net	(1,027		)	(711		)	(95		)	(801		)	(247		)	348			(742		)	(846		)
Ending balance	$	58,917		$	47,187		$	17,797		$	1,206,220		$	87,402		$	312,032		$	804,134		$	2,876
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	984		$	716		$	697		$	9,869		$	(27	)	$	127		$	572		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	47

	Three months ended June 30, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	44,802		$	17,000		$	9,113		$	296,719		$	129,469		$	40,455	$	1,383,044		$	12
Transfers from Level III into Level II	(19,461		)	—			—			—			—			—		—			—
Purchases	52,530			—			—			54,019			156,730			29,851		—			—
Principal repayments	—			—			(177		)	(14,902		)	(49,402		)	—		(78,807		)	—
Total net gains / losses included in net income							0
Other than temporary impairment	(207		)	(19		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	(1,181		)	(53		)	(25		)	(475		)	(108		)	374		5,621			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			2,834
Premium and discount amortization, net	(1,440		)	(621		)	44			(212		)	(330		)	37		(663		)	24
Ending balance	$	75,043		$	16,307		$	8,955		$	335,149		$	236,359		$	70,717	$	1,309,195		$	2,870
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(798	)	$	(53	)	$	(25	)	$	(274	)	$	140		$	374	$	5,621		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(2,834	)

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	Six months ended June 30, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole-Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	19,837		$	50,555		$	8,951		$	1,041,885		$	211,999		$	216,123	$	1,013,511		$	2,286
Transfers into Level III from Level II	—			—			8,386			—			—			—		—			—
Transfers from Level III into Level II	—			—			—			—			—			—		—			—
Purchases	39,856			—			—			244,274			—			95,379		903,770			—
Sales and settlements	—			—			—			—			—			—		—			3,769
Principal repayments	—			(525		)	(185		)	(94,101		)	(123,262		)	—		(1,113,884		)	—
Total net gains / losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(249		)	—		—			—
Other than temporary impairment	(29		)	(1,177		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	1,371			(477		)	818			15,149			(489		)	164		1,921			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			(2,017		)
Premium and discount amortization, net	(2,118		)	(1,189		)	(173		)	(987		)	(597		)	366		(1,184		)	(1,162		)
Ending balance	$	58,917		$	47,187		$	17,797		$	1,206,220		$	87,402		$	312,032	$	804,134		$	2,876
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	1,371		$	(477	)	$	818		$	15,859		$	(997	)	$	164	$	1,949		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	19

	Six months ended June 30, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole-Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	17,217		$	8,735		$	9,239		$	237,423		$	64,526		$	—	$	24,876		$	10,945
Transfers into Level III from Level II	22,794			—			—			—			—			—		—			—
Transfers from Level III into Level II	(16,805		)	—			—			—			—			—		—			(10,899		)
Purchases	54,623			8,602			—			122,014			214,843			70,257		1,353,019			—
Sales and settlements	—			—			—			—			—			—		—			12
Principal repayments	(53		)	—			(317		)	(22,679		)	(42,544		)	—		(78,907		)	(44		)
Total net gains / losses included in net income
Other than temporary impairment	(207		)	(48		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	(1,070		)	(56		)	(54		)	(1,273		)	(130		)	416		10,870			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			2,832
Premium and discount amortization, net	(1,456		)	(926		)	87			(336		)	(336		)	44		(663		)	24
Ending balance	$	75,043		$	16,307		$	8,955		$	335,149		$	236,359		$	70,717	$	1,309,195		$	2,870
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(712	)	$	(56	)	$	(54	)	$	(888	)	$	151		$	416	$	10,870		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(2,834	)

(1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.

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(2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" or "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively.

Transfers between hierarchy levels during operations for the three and six months ended June 30, 2019 and June 30, 2018 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements form Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and six months ended June 30, 2019 and June 30, 2018.

Other Fair Value Disclosures

Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of June 30, 2019 and December 31, 2018 in the consolidated financial statements (dollars in thousands):

	June 30, 2019				December 31, 2018
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets
Residential Bridge Loans	$	7,490	$	7,377	$	9,720	$	9,603
Total	$	7,490	$	7,377	$	9,720	$	9,603
Liabilities
Borrowings under repurchase agreements	$	3,001,220	$	3,015,912	$	2,818,837	$	2,823,615
Convertible senior unsecured notes	110,719		113,339		110,060		108,531
Securitized debt(1)	901,474		914,413		—		—
Total	$	4,013,413	$	4,043,664	$	2,928,897	$	2,932,146

^{(1) Carrying value excludes $5.7 million of deferred financing costs} 

"Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value.

Residential Bridge Loans

Values for the Company's Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Borrowings under repurchase agreements

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

17

Convertible senior unsecured notes

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

Securitized debt

Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. For the quarter ended June 30, 2019, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III.

Note 4 – Mortgage-Backed Securities and other securities

The following tables present certain information about the Company’s investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,772,577	$	20,806		$	—		$	1,793,383	$	86,694	$	(138	)	$	1,879,939	3.3	%
Agency CMBS Interest-Only Strips accounted for as derivatives(1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			3,829		0.4	%
Subtotal Agency CMBS	1,772,577		20,806			—			1,793,383		86,694		(138		)	1,883,768		3.0	%
Agency RMBS	570,369		10,267			—			580,636		5,115		—			585,751		3.5	%
Agency RMBS Interest-Only Strips (1)(2)	N/A		N/A			N/A			10,202		1,956		(267		)	11,891		2.3	%
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			6,741		2.8	%
Subtotal Agency RMBS	570,369		10,267			N/A			590,838		7,071		(267		)	604,383		3.2	%
Total Agency MBS	2,342,946		31,073			—			2,384,221		93,765		(405		)	2,488,151		3.1	%
Non-Agency RMBS	53,458		5,250			(21,388		)	37,320		1,264		(498		)	38,086		4.8	%
Non-Agency RMBS Interest- Only Strips (1)	N/A		N/A			N/A			9,007		101		(7		)	9,101		0.6	%
Subtotal Non-Agency RMBS	53,458		5,250			(21,388		)	46,327		1,365		(505		)	47,187		1.0	%
Non-Agency CMBS	255,882		(17,406		)	(20,712		)	217,764		4,437		(2,497		)	219,704		5.8	%
Total Non-Agency MBS	309,340		(12,156		)	(42,100		)	264,091		5,802		(3,002		)	266,891		2.5	%
Other securities (3)	66,015		(1,985		)	(6,724		)	70,897		5,732		(12		)	76,617		7.6	%
Total	$	2,718,301	$	16,932		$	(48,824	)	$	2,719,209	$	105,299	$	(3,419	)	$	2,831,659	3.1	%

18

	December 31, 2018
	Principal Balance		Unamortized Premium (Discount), net			Discount  Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,493,675	$	5,820		$	—		$	1,499,495	$	12,083	$	(29,594	)	$	1,481,984	$	—
Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			4,158		0.4		%
Subtotal Agency CMBS	1,493,675		5,820			—			1,499,495		12,083		(29,594		)	1,486,142		3.0		%
Agency RMBS Interest-Only Strips (1)	N/A		N/A			N/A			$	11,480	$	1,062	$	(407	)	$	12,135	2.2		%
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			7,702		2.9		%
Subtotal Agency RMBS	—		—			—			11,480		1,062		(407		)	19,837		2.5		%
Total Agency MBS	1,493,675		5,820			—			1,510,975		13,145		(30,001		)	1,505,979		2.9		%
Non-Agency RMBS	54,887		6,909			(23,731		)	38,065		961		—			39,026		4.8		%
Non-Agency RMBS Interest- Only Strips (1)	N/A		N/A			N/A			11,154		382		(7		)	11,529		0.6		%
Subtotal Non-Agency RMBS	54,887		6,909			(23,731		)	49,219		1,343		(7		)	50,555		1.0		%
Non-Agency CMBS	240,431		(20,317		)	(22,189		)	197,925		5,021		(2,645		)	200,301		5.9		%
Total Non-Agency MBS	295,318		(13,408		)	(45,920		)	247,144		6,364		(2,652		)	250,856		2.4		%
Other securities (3)	47,042		(1,129		)	(7,603		)	55,284		5,012		(390		)	59,906		9.0		%
Total	$	1,836,035	$	(8,717	)	$	(53,523	)	$	1,813,403	$	24,521	$	(33,043	)	$	1,816,741	2.9		%

(1) IOs and IIOs have no principal balances and bear interest based on a notional balance.  The notional balance is used solely to determine interest distributions on interest-only class of securities.  At June 30, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $143.5 million, $488.5 million, $77.7 million and $169.0 million, respectively.  At December 31, 2018, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $158.8 million, $519.9 million, $89.8 million, and $172.2 million, respectively.

(2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

(3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $13.6 million and $17.0 million, as of June 30, 2019 and December 31, 2018, respectively.

19

As of June 30, 2019 and December 31, 2018 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.0 years and 8.5 years, respectively.

The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Three months ended June 30, 2019									Three months ended June 30, 2018
	Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)			Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)
Balance at beginning of period	$	(50,087	)	$	(27,632	)	$	14,661		$	(79,474	)	$	(72,868	)	$	21,494
Accretion of discount	—			1,043			—			—			2,786			—
Amortization of premium	—			—			(135		)	—			—			(223		)
Realized credit losses	1,752			—			—			2,095			—			—
Purchases	—			(3,106		)	287			—			—			—
Sales	3,340			—			(1,088		)	765			2,941			(554		)
Net impairment losses recognized in earnings	(2,000		)	—			—			(2,753		)	—			—
Transfers/release of credit reserve(2)	(1,829		)	1,113			716			530			(1,536		)	1,006
Balance at end of period	$	(48,824	)	$	(28,582	)	$	14,441		$	(78,837	)	$	(68,677	)	$	21,723

	Six months ended June 30, 2019									Six months ended June 30, 2018
	Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)			Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)
Balance at beginning of period	$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872
Accretion of discount	—			2,320			—			—			5,169			—
Amortization of premium	—			—			(616		)	—			—			(364		)
Realized credit losses	4,753			—			—			2,221			—			—
Purchases	—			(3,106		)	287			(7,182		)	(6,473		)	435
Sales	6,034			—			(1,611		)	3,339			3,728			(684		)
Net impairment losses recognized in earnings	(2,966		)	—			—			(5,499		)	—			—
Transfers/release of credit reserve(2)	(3,122		)	1,669			1,453			1,199			(2,663		)	1,464
Balance at end of period	$	(48,824	)	$	(28,582	)	$	14,441		$	(78,837	)	$	(68,677	)	$	21,723

(1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.

(2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.

20

The following tables present the fair value and contractual maturities of the Company’s investment securities at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years		Total
Agency RMBS	$	—	$	—	$	585,751	$	—	$	585,751
Agency RMBS Interest-Only Strips	2,952		2,633		6,306		—		11,891
Agency RMBS Interest-Only Strips, accounted for as derivatives	875		4,686		1,180		—		6,741
Agency CMBS	1,516,839		363,100		—		—		1,879,939
Agency CMBS Interest-Only Strips accounted for as derivatives	—		—		—		3,829		3,829
Subtotal Agency	1,520,666		370,419		593,237		3,829		2,488,151
Non-Agency RMBS	—		—		8,955		29,131		38,086
Non-Agency RMBS Interest- Only Strips	—		—		2,805		6,296		9,101
Non-Agency CMBS	68,951		53,444		70,739		26,570		219,704
Subtotal Non-Agency	68,951		53,444		82,499		61,997		266,891
Other securities	21,117		32,393		—		23,107		76,617
Total	$	1,610,734	$	456,256	$	675,736	$	88,933	$	2,831,659

	December 31, 2018
	< or equal to 10  years		> 10 years and < or  equal to 20 years		> 20 years and < or  equal to 30 years		> 30 years		Total
Agency RMBS Interest-Only Strips	$	3,577	$	2,402	$	6,156	$	—	$	12,135
Agency RMBS Interest-Only Strips, accounted for as derivatives	1,089		4,053		2,560		—		7,702
Agency CMBS	1,101,820		380,164		—		—		1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives	—		—		—		4,158		4,158
Subtotal Agency	1,106,486		386,619		8,716		4,158		1,505,979
Non-Agency RMBS	—		—		8,540		30,486		39,026
Non-Agency RMBS Interest- Only Strips	—		—		4,310		7,219		11,529
Non-Agency CMBS	28,754		53,653		72,921		44,973		200,301
Subtotal Non-Agency	28,754		53,653		85,771		82,678		250,856
Other securities	7,698		26,020		—		26,188		59,906
Total	$	1,142,938	$	466,292	$	94,487	$	113,024	$	1,816,741

21

The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities
Agency RMBS Interest-Only Strips	$	1,153	$	(70	)	3	$	2,081	$	(197	)	7	$	3,234	$	(267	)	10
Agency CMBS	59,530		(138		)	3	—		—			—	59,530		(138		)	3
Subtotal Agency	60,683		(208		)	6	2,081		(197		)	7	62,764		(405		)	13
Non-Agency RMBS	12,893		(498		)	1	—		—			—	12,893		(498		)	1
Non-Agency RMBS Interest-Only Strips	87		(7		)	1	—		—			—	87		(7		)	1
Non-Agency CMBS	24,684		(536		)	10	32,281		(1,961		)	6	56,965		(2,497		)	16
Subtotal Non-Agency	37,664		(1,041		)	12	32,281		(1,961		)	6	69,945		(3,002		)	18
Other securities	19,734		(12		)	2	—		—			—	19,734		(12		)	2
Total	$	118,081	$	(1,261	)	20	$	34,362	$	(2,158	)	13	$	152,443	$	(3,419	)	33

	December 31, 2018
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities
Agency RMBS Interest-Only Strips	$	3,277	$	(124	)	7	$	3,917	$	(283	)	9	$	7,194	$	(407	)	16
Agency CMBS	29,413		(307		)	3	879,549		(29,287		)	72	908,962		(29,594		)	75
Subtotal Agency	32,690		(431		)	10	883,466		(29,570		)	81	916,156		(30,001		)	91
Non-Agency RMBS	—		—			—	500		—			1	500		—			1
Non-Agency RMBS Interest-Only Strips	957		(7		)	2	—		—			—	957		(7		)	2
Non-Agency CMBS	65,339		(712		)	7	19,323		(1,933		)	3	84,662		(2,645		)	10
Subtotal Non-Agency	66,296		(719		)	9	19,823		(1,933		)	4	86,119		(2,652		)	13
Other securities	15,208		(390		)	2	—		—			—	15,208		(390		)	2
Total	$	114,194	$	(1,540	)	21	$	903,289	$	(31,503	)	85	$	1,017,483	$	(33,043	)	106

     At June 30, 2019, the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is "more likely than not" that that Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity date.

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

22

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

	Three months ended June 30, 2019		Three months ended June 30, 2018		Six months ended June 30, 2019		Six months ended June 30, 2018
Agency RMBS	$	—	$	201	$	25	$	343
Non-Agency RMBS	936		19		1,177		110
Non-Agency CMBS	1,952		2,754		2,918		5,437
Other securities	407		—		407		—
Total	$	3,295	$	2,974	$	4,527	$	5,890

The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018, respectively (dollars in thousands):

	For the three months ended June 30, 2019							For the three months ended June 30, 2018
	Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income
Agency RMBS	$	2,795	$	(620	)	$	2,175	$	5,796	$	(1,705	)	$	4,091
Agency CMBS	12,567		(733		)	11,834		15,943		(88		)	15,855
Non-Agency RMBS	1,385		(711		)	674		2,057		(281		)	1,776
Non-Agency CMBS	3,168		1,322			4,490		5,170		2,508			7,678
Other securities	3,070		(1,758		)	1,312		4,180		(1,803		)	2,377
Total	$	22,985	$	(2,500	)	$	20,485	$	33,146	$	(1,369	)	$	31,777

	Six months ended June 30, 2019							Six months ended June 30, 2018
	Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income
Agency RMBS	$	3,666	$	(1,275	)	$	2,391	$	12,920	$	(2,974	)	$	9,946
Agency CMBS	23,556		(789		)	22,767		31,941		32			31,973
Non-Agency RMBS	2,592		(1,188		)	1,404		3,477		(149		)	3,328
Non-Agency CMBS	6,279		2,246			8,525		9,983		4,404			14,387
Other securities	5,959		(3,349		)	2,610		7,936		(3,165		)	4,771
Total	$	42,052	$	(4,355	)	$	37,697	$	66,257	$	(1,852	)	$	64,405

The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018, respectively (dollars in thousands):

	For the three months ended June 30, 2019									For the three months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)		Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—	$	208,331	$	—	$	(4,531	)	$	(4,531	)
Agency CMBS	—		—		—			—		126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—		47,758		2,220		—			2,220
Non-Agency CMBS	6,165		183		(25		)	158		385		—		(38		)	(38		)
Other securities	—		—		—			—		21,757		1,757		—			1,757
Total	$	6,165	$	183	$	(25	)	$	158	$	405,098	$	3,977	$	(9,585	)	$	(5,608	)

23

	Six months ended June 30, 2019										Six months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)			Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—		$	209,581	$	18	$	(4,531	)	$	(4,513	)
Agency CMBS	206,710		—		(4,189		)	(4,189		)	126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—			51,958		3,114		—			3,114
Non-Agency CMBS	15,165		183		(854		)	(671		)	6,706		61		(436		)	(375		)
Other securities	—		—		—			—			21,757		1,757		—			1,757
Total	$	221,875	$	183	$	(5,043	)	$	(4,860	)	$	416,869	$	4,950	$	(9,983	)	$	(5,033	)

Unconsolidated CMBS VIEs

The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of June 30, 2019 and December 31, 2018, the Company held ten and sevenvariable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of June 30, 2019 and December 31, 2018, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $131.0 million and $118.4 million. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of June 30, 2019 and December 31, 2018, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.

Note 5 — Residential Whole Loans and Bridge Loans

Residential Whole-Loan Trust

The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust.  RMI 2015 Trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of June 30, 2019 and December 31, 2018, the Company financed the trust certificate with $11.8 million and $618.7 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation.

In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust , has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019 and December 31, 2018, the Company financed the trust certificate with $223.9 million and $250.4 million, respectively, of repurchase agreements , which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019, the Company's

24

trust certificates were not financed. At December 31, 2018, the Company's trust certificate were financed with $15.1 million of repurchase agreements , which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which represents the 5% eligible risk retention certificate. Refer to Note 7 - "Financings" for details on the associated securitized . The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation.

Residential Bridge Loan Trust

In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019 and December 31, 2018, the Company financed the trust certificate with $92.1 million and $207.5 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts

The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The four consolidated Residential Whole-Loan trusts collectively hold 3,053 Residential Whole Loans and the consolidated Bridge Loan Trust holds 173 Residential Bridge Loans and 12 Residential Whole Loans as of June 30, 2019. 

The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

25

	June 30, 2019		December 31, 2018
Cash and cash equivalents	$	2,411	$	674
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)	1,206,220		1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	90,606		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	35,725		42,945
Interest receivable	7,481		11,807
Other assets	124		178
Total assets	$	1,342,567	$	1,348,975
Securitized debt	$	895,787	$	—
Interest payable	2,574		—
Accounts payable and accrued expenses	361		677
Other liabilities	—		225
Total liabilities	$	898,722	$	902

The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and six months ended June 30, 2019 and June 30, 2018. 

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value(1)						Residential Bridge Loans, at Amortized Cost(1)
	June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018
Principal balance	$	1,169,136		$	1,023,524		$	88,982		$	212,491		$	7,503		$	9,766
Unamortized premium	21,215			17,629			205			1,164			9			16
Unamortized discount	(3,129		)	(3,145		)	(59		)	(316		)	(22		)	(62		)
Amortized cost	1,187,222			1,038,008			89,128			213,339			7,490			9,720
Gross unrealized gains	20,827			7,573			96			212			N/A			N/A
Gross unrealized losses	(1,829		)	(3,696		)	(1,822		)	(1,552		)	N/A			N/A
Fair value	$	1,206,220		$	1,041,885		$	87,402		$	211,999		N/A			N/A

(1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets.

Residential Whole Loans

The Residential Whole Loans have low LTV's and are comprised of 2,271 non-qualifying adjustable rate mortgages, 782 conforming fixed rate mortgages and 12 investor fixed rate mortgages.  The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

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June 30, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal  Balance		Original LTV		Original  FICO Score(1)	Expected  Life (years)(2)	Contractual  Maturity  (years)	Coupon  Rate
3.01 – 4.00%	62	$	20,600	61.8	%	738	2.2	28.5	3.9	%
4.01– 5.00%	1,265	434,936		62.2	%	740	2.2	28.5	4.8	%
5.01 – 6.00%	1,632	675,014		63.2	%	734	2.7	28.5	5.5	%
6.01 – 7.00%	104	38,139		57.0	%	729	3.7	25.7	6.1	%
7.01 - 8.00%	1	354		70.0	%	777	3.0	28.6	7.2	%
8.01 - 9.00%	1	93		70.0	%	689	4.2	28.6	8.4	%
Total	3,065	$	1,169,136	62.6	%	736	2.6	28.4	5.2	%

(1) The original FICO score is not available for 269 loans with a principal balance of approximately $91.1 million at June 30, 2019. The Company has excluded these loans from the weighted average computations.

(2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.

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

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

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at June 30, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):

June 30, 2019					December 31, 2018
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	70.5	%	$	823,888	California	67.1	%	$	686,275
New York	14.5	%	169,920		New York	17.1	%	175,390
Georgia	2.4	%	27,584		Georgia	2.6	%	26,918
Florida	2.3	%	27,074		Massachusetts	2.1	%	21,197
New Jersey	1.8	%	20,977		Florida	1.9	%	19,942
Other	8.5	%	99,693		Other	9.2	%	93,802
Total	100.0	%	$	1,169,136	Total	100.0	%	$	1,023,524

Residential Bridge Loans

The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

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June 30, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 – 7.00%	2	$	714	66.3	%	—	7.0	%
7.01 – 8.00%	29	20,354		73.5	%	5.2	7.8	%
8.01 – 9.00%	70	38,621		72.7	%	5.1	8.7	%
9.01 – 10.00%	51	24,751		71.2	%	2.7	9.8	%
10.01 – 11.00%	18	4,639		73.7	%	0.5	10.7	%
11.01 – 12.00%	12	3,095		58.4	%	1.3	11.3	%
12.01 – 13.00%	5	1,797		80.7	%	1.8	12.9	%
17.01 – 18.00%	6	2,514		73.6	%	2.2	18.0	%
Total	193	$	96,485	72.2	%	4.2	9.3	%

December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 8.00%	95	53,911		73.1	%	6.3	7.8	%
8.01 – 9.00%	180	86,764		72.3	%	5.6	8.7	%
9.01 – 10.00%	143	53,804		74.0	%	4.5	9.7	%
10.01 – 11.00%	43	10,150		72.7	%	4.0	10.7	%
11.01 – 12.00%	28	8,274		69.8	%	4.5	11.4	%
12.01 – 13.00%	11	2,743		75.8	%	5.2	12.8	%
13.01 – 14.00%	1	88		65.0	%	4.0	14.0	%
17.01 – 18.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at June 30, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):

June 30, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	52.0	%	$	50,152	California	53.9	%	$	119,761
Washington	9.6	%	9,219		New York	9.5	%	21,160
New York	8.5	%	8,188		Washington	6.6	%	14,711
Florida	6.3	%	6,095		Florida	5.7	%	12,672
New Jersey	5.2	%	5,008		New Jersey	4.7	%	10,419
Other	18.4	%	17,823		Other	19.6	%	43,534
Total	100.0	%	$	96,485	Total	100.0	%	$	222,257

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Non-performing Loans

Residential Whole Loans

As of June 30, 2019, there were 3 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $2.7 million. These nonperforming loans represent approximately 0.2% of the total outstanding principal balance. No allowance or provision for credit losses was recorded as of and for the three and six months ended June 30, 2019 and June 30, 2018, since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. As December 31, 2018, there were no Residential Whole-Loans in non-accrual status.

Residential Bridge Loans

As of June 30, 2019, there were 6 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $3.4 million and 40 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $17.1 million. These nonperforming loans represent approximately 21.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 73%. As of December 31, 2018, there were 3 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.1 million and 9 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $4.0 million. These nonperforming loans represented approximately 2.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 70%. No allowance or provision for credit losses for loans carried at amortized costs was recorded as of and for the three and six months ended June 30, 2019 and June 30, 2018 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. No allowance or provision for credit losses was recorded for loans carried at fair value as of and for the three and six months ended June 30, 2019 and June 30, 2018, since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent.

Note 6 — Commercial Loans

Securitized Commercial Loans

Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At June 30, 2019, the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2019- RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.

CMSC Trust 2015 - Longhouse MZ

In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.6 million and a fair value of $13.6 million at June 30, 2019. The Company determined that CMSC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate CMSC Trust and accordingly its investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.3 million mezzanine loan collateralized by interests in commercial real estate.  The mezzanine loan serves as collateral for the $24.3 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

RETL 2019-RVP and RETL 2018-RVP

In March 2018, the Company acquired a $67.8 million interest in the trust certificate issued by RETL 2018-RVP (“RETL 2018 Trust”), which represents the 5% eligible horizontal residual interest under the Credit Risk Retention Rules of Section 15G

29

of the Exchange Act. Under the credit risk retention rules, the Company must retain its investment for five years and is limited in its ability to finance and hedge its investment. The trust certificate's pass-through rate is one month LIBOR plus 9.5%. The Company determined that RETL 2018 Trust was a VIE and that the Company was the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. The owner of 50% or more of the controlling class has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company consolidated RETL 2018 and its investment in the trust certificates (HRR class) of RETL 2018 was eliminated in the consolidation. In March 2019, the securitized debt was refinanced and the outstanding principal balance issued by RETL 2018 Trust was paid in full.

RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates ( HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $774.9 million as of June 30, 2019. The loan's stated maturity date is March 15, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 2.30%.

Commercial Loans

In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, and WMC CRE Mezzanine Loan Subsidiary LCC ("CRE Mezz"), a wholly-owned subsidiary of CRE LLC, were formed for the purpose of acquiring commercial loans.

The following table presents the commercial loans held by CRE LLC and CRE Mezz as of June 30, 2019 (dollars in thousands):

Loan	Acquisition Date	Loan Type	Principal Balance		Fair Value		Original LTV	Interest Rate	Maturity Date	Extension Option	Collateral
CRE 1	March 2018	Interest-Only Mezzanine loan	$	20,000	$	20,000	71%	1-Month LIBOR plus 6.5%	11/15/2019	Three One-Year Extensions	Hotel
CRE 2	June 2018	Interest-Only First Mortgage	30,000		30,000		65%	1-Month LIBOR plus 4.5%	6/9/2020	One-Year Extension	Hotel
CRE 4	June 2019	Principal & Interest First Mortgage	50,000		50,000		75%	1-Month LIBOR plus 4.75%	1/11/2022	Two One-Year Extensions	Nursing Facilities
			$	100,000	$	100,000

Commercial Loan Trust

In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019, the Company financed the trust certificate with $137.8 million of repurchase agreements , which is a liability held outside the trust.

The following table presents the commercial real estate loans held by RSBC Trust as of June 30, 2019 (dollars in thousands):

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Loan	Acquisition Date	Loan Type	Principal Balance		Fair Value		LTV	Interest Rate	Maturity Date	Extension Option	Collateral
SBC 1	July 2018	Interest-Only First Mortgage	$	45,187	$	45,187	74%	One-Month LIBOR plus 4.25% (1)	7/1/2020	Two One-Year Extensions	Nursing Facilities
SBC 2	September and October 2018 (4)	Interest-Only First Mortgage	115,500		115,500		78%	One-Month LIBOR plus 5.3% (2)	9/6/2021	One-Year Extension	Assisted Care Living Facilities
SBC 3	November 2018	Interest-Only First Mortgage	5,745		5,745		59%	One-Month LIBOR plus 5.25%	12/1/2020	One-Year Extension	Nursing Facilities
SBC 4	January 2019	Interest-Only First Mortgage	13,600		13,600		84%	One-Month LIBOR plus 4.0% (3)	12/1/2021	One-Year Extension	Apartment Complex
SBC 5	January 2019	Interest-Only First Mortgage	32,000		32,000		49%	One-Month LIBOR plus 4.1%	7/1/2021	None	Nursing Facilities
			$	212,032	$	212,032

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of of 1.9% and LIBOR cap of 3.5%.

(3) Subject to LIBOR floor of 2%.

(4) Acquired $49.6 million of the loan in September 2018 and the remaining $65.9 million in October 2018

Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust

The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The three consolidated trusts, CMSC Trust, RETL 2019 Trust and RSBC Trust collectively hold seven commercial loans as of June 30, 2019. 

The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash	$	463	$	—
Restricted cash	87,139		55,808
Securitized commercial loans, at fair value	804,134		1,013,511
Commercial Loans, at fair value	212,032		166,123
Interest receivable	3,013		3,733
Total assets	$	1,106,781	$	1,239,175
Securitized debt, at fair value	$	722,026	$	949,626
Interest payable	1,493		2,419
Accounts payable and accrued expenses	33		31
Other liabilities	87,139		55,808
Total liabilities	$	810,691	$	1,007,884

The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and six months ended June 30, 2019 and June 30, 2018. 

The following table presents the components of the carrying value of the commercial real estate loans as of June 30, 2019 and December 31, 2018 (dollars in thousands):

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	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	June 30, 2019		December 31, 2018			June 30, 2019		December 31, 2018		June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018
Principal balance	$	24,253	$	24,456		$	774,930	$	988,609	$	212,032		$	166,432		$	100,000		$	50,000
Unamortized premium	—		—			3,016		431		—			—			—			—
Unamortized discount	—		—			—		—		(690		)	(736		)	(105		)	(205		)
Amortized cost	24,253		24,456			777,946		989,040		211,342			165,696			99,895			49,795
Gross unrealized gains	65		—			1,870		29		690			427			105			205
Gross unrealized losses	—		(14		)	—		—		—			—			—			—
Fair value	$	24,318	$	24,442		$	779,816	$	989,069	$	212,032		$	166,123		$	100,000		$	50,000

Note 7— Financings

Repurchase Agreements

The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to six months.  The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets.  Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call.  The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. 

     Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio.  For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of June 30, 2019.

As of June 30, 2019, the Company had 33 master repurchase agreements with its counterparties and borrowings under 18 of the 33 master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2019 and December 31, 2018 (dollars in thousands):

32

	June 30, 2019					December 31, 2018
Securities Pledged	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at  end of period		Weighted Average Remaining Maturity (days)	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)
Short Term Borrowings:
Agency RMBS	$	573,771	2.65	%	40	$	14,650	3.09	%	21
Agency CMBS	1,673,902		2.62	%	35	1,392,649		2.71	%	40
Non-Agency RMBS	11,488		3.86	%	23	30,922		4.06	%	18
Non-Agency CMBS	146,629		3.79	%	42	134,814		4.05	%	48
Residential Whole Loans (1)	226,784		3.63	%	68	863,356		4.08	%	93
Residential Bridge Loans (1)	89,241		4.59	%	29	204,754		4.50	%	25
Commercial loans (1)	137,821		4.67	%	36	131,788		4.55	%	26
Securitized commercial loans (1)	19,708		3.28	%	19	7,543		4.30	%	15
Other securities	53,114		3.93	%	32	38,361		4.18	%	26
Subtotal	2,932,458		2.95	%	39	2,818,837		3.45	%	54
Long Term Borrowings:
Residential Whole Loans (1) (2)	11,762		4.15	%	966	—		—	%	—
Commercial loans (2)	57,000		4.60	%	727	—		—	%	—
Subtotal	68,762		4.52	%	768	—		—	%	—
Total	$	3,001,220	2.99	%	55	$	2,818,837	3.45	%	54

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

(2) Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $150.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.

      At June 30, 2019 and December 31, 2018, repurchase agreements collateralized by investments had the following remaining maturities:

(dollars in thousands)	June 30, 2019		December 31, 2018
1 to 29 days	1,789,562		1,867,957
30 to 59 days	341,585		144,778
60 to 89 days	801,311		555,695
Greater than or equal to 90 days	68,762		250,407
Total	$	3,001,220	$	2,818,837

At June 30, 2019, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):

	June 30, 2019
Counterparty	Amount of  Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of  Stockholders’  Equity
Nomura Securities International, Inc.	$	78,104	33	14.0	%
Citigroup Global Markets Inc.	70,163		26	12.5	%

Collateral for Borrowings under Repurchase Agreements

33

The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019						December 31, 2018
	Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest		Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:
Agency RMBS, at fair value	$	604,384	$	2,080	$	606,464	$	19,837	$	453	$	20,290
Agency CMBS, at fair value	1,783,953		4,669		1,788,622		1,486,142		4,262		1,490,404
Non-Agency RMBS, at fair value	14,435		119		14,554		50,555		479		51,034
Non-Agency CMBS, at fair value	200,511		829		201,340		186,552		915		187,467
Residential Whole Loans, at fair value (1)	247,539		1,869		249,408		1,041,885		8,145		1,050,030
Residential Bridge Loans (1)	90,606		1,408		92,014		221,486		3,528		225,014
Commercial Loans, at fair value (1)	292,032		1,593		293,625		196,123		1,067		197,190
Securitized commercial loans, at fair value (1)	23,187		46		23,233		13,688		88		13,776
Other securities, at fair value	76,483		153		76,636		59,780		147		59,927
Cash (2)	—		—		—		1,226		—		1,226
Total	$	3,333,130	$	12,766	$	3,345,896	$	3,277,274	$	19,084	$	3,296,358

(1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.

(2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call.  At June 30, 2019 and December 31, 2018, investments held by counterparties as security for repurchase agreements totaled approximately $3.3 billion .  Cash collateral held by counterparties at June 30, 2019 and December 31, 2018 was $0 and approximately $1.2 million, respectively.  Cash posted by repurchase agreement counterparties at June 30, 2019 and December 31, 2018, was $21.6 million and approximately $17.8 million, respectively.  In addition, at June 30, 2019 and December 31, 2018, the Company held securities with a fair value of $3.3 million and $5.2 million, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements.  The Company has the ability to repledge collateral received from its repurchase counterparties.

Convertible Senior Unsecured Notes

In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes, which included the underwriter’s option to purchase $15.0 million aggregate principal amount of the notes for net proceeds of $111.1 million. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity.

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

Securitized Debt

CMSC Trust 2015 - Longhouse MZ

34

CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding balance of the trust certificates was $24.3 million at June 30, 2019, with a fair value of $24.3 million. The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company owns $13.6 million of the trust certificates which was eliminated in consolidation and the remaining $10.7 million is held by related parties and is carried at a fair value of $10.7 million. The securitized debt of the CMSC Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company.

RETL 2019 Trust

The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at June 30, 2019 (dollars in thousands):

Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	320,030	3.5%	$	320,628	3/15/2021
Class B	101,200		3.9%	101,452		3/15/2021
Class C	308,400		4.5%	309,556		3/15/2021
Class HRR	45,300		10.9%	45,304		3/15/2021
Class X-CP(1)	N/A		1.3%	2,846		4/15/2020
Class X-EXT(1)	N/A		—%	31		3/15/2021
	$	774,930		$	779,817

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

The Company acquired $23 million of the class C certificates and the entire class of HRR certificates, which are eliminated in consolidation and the remaining RETL debt with a fair value of $711.3 million is recorded in "Securitized Debt" in the consolidated balance sheets. Of the remaining outstanding principal balance of $706.5 million, excluding the interest-only debt securities, $70.0 million is owned by related parties and $636.6 million is owned by third parties. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company.

Arroyo Trust

The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates, excluding the Owner Certificates, at June 30, 2019 (dollars in thousands):

Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	769,825	3.3%	$	769,823	4/25/2049
Class A-2	41,248		3.5%	41,248		4/25/2049
Class A-3	65,350		3.8%	65,348		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	901,478		$	901,474
Less: Unamortized Deferred Financing Costs	N/A			5,686
Total	$	901,478		$	895,788

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The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At June 30, 2019, Residential Whole Loans, with an outstanding principal balance of approximately $917.6 million, serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest.

Note 8 — Derivative Instruments

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

The following table summarizes the Company’s derivative instruments at June 30, 2019 and December 31, 2018 (dollars in thousands):

			June 30, 2019					December 31, 2018
Derivative Instrument	Accounting Designation	Consolidated Balance Sheets Location	Notional Amount		Fair Value			Notional Amount		Fair Value
Interest rate swaps, asset	Non-Hedge	Derivative assets, at fair value	$	3,772,400	$	2,709		$	1,128,400	$	2,057
Swaptions, asset	Non-Hedge	Derivative assets, at fair value	162,803		156			—		—
Options, asset	Non-Hedge	Derivative assets, at fair value	45,000		464			—		—
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	—		—			50,000		549
Total derivative instruments, assets					3,329					2,606
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	974,400		(764		)	2,727,800		(5,473		)
Options, liability	Non-Hedge	Derivative liability, at fair value	672,700		(553		)	—		—
Futures contracts, liability	Non-Hedge	Derivative liability, at fair value	—		—			300,400		(4,657		)
Total derivative instruments, liabilities					(1,317		)			(10,130		)
Total derivative instruments, net					$	2,012				$	(7,524	)

The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

36

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)		Total
Three months ended June 30, 2019
Interest rate swaps	$	(588	)	$	(58,600	)	$	1,676		$	(10,832	)	$	2,174	$	(66,170	)
Interest rate swaptions	—			—			—			(176		)	—		(176		)
Interest-Only Strips— accounted for as derivatives	—			—			(655		)	19			819		183
Options	—			—			—			470			—		470
Futures contracts	(5,837		)	—			—			—			—		(5,837		)
Total	$	(6,425	)	$	(58,600	)	$	1,021		$	(10,519	)	$	2,993	$	(71,530	)
Three months ended June 30, 2018
Interest rate swaps	$	24		$	21,634		$	211		$	2,177		$	833	$	24,879
Interest-Only Strips— accounted for as derivatives	—			—			(783		)	(96		)	1,011		132
Options	(100		)	—			—			88			—		(12		)
Futures contracts	614			—			—			2,567			—		3,181
Credit default swap	(23		)	—			—			66			—		43
TBAs	801			—			—			(534		)	—		267
Total	$	1,316		$	21,634		$	(572	)	$	4,268		$	1,844	$	28,490

37

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)			Total
Six months ended June 30, 2019
Interest rate swaps	$	(591	)	$	(96,438	)	$	3,204		$	(3,742	)	$	4,929		$	(92,638	)
Interest rate swaptions	—			—			—			(176		)	—			(176		)
Interest-Only Strips— accounted for as derivatives	—			—			(1,250		)	(40		)	1,603			313
Options	—			—			—			470			—			470
Futures contracts	(10,340		)	—			—			4,657			—			(5,683		)
Credit default swaps	(589		)	—			—			(375		)	—			(964		)
Total	$	(11,520	)	$	(96,438	)	$	1,954		$	794		$	6,532		$	(98,678	)
Six months ended June 30, 2018
Interest rate swaps	$	19		$	97,864		$	292		$	2,245		$	(304	)	$	100,116
Interest-Only Strips— accounted for as derivatives	—			—			(1,974		)	(30		)	2,433			429
Options	(518		)	—			—			300			—			(218		)
Futures contracts	4,592			—			—			3,069			—			7,661
Credit default swap	(42		)	—			—			51			—			9
TBAs	134			—			—			(59		)	—			75
Total	$	4,185		$	97,864		$	(1,682	)	$	5,576		$	2,129		$	108,072

At June 30, 2019 and December 31, 2018, the Company had cash pledged as collateral for derivatives which represents upfront cash collateral upon the Company entering into the derivative transaction and cash collateral for derivatives not cleared through the Chicago Mercantile Exchange ("CME"), of approximately $55.5 million and approximately $38.0 million, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company received cash of approximately $380 thousand as collateral against derivatives at June 30, 2019, which is reported in "Due to counterparties" in the Consolidated Balance Sheets.

Interest rate swaps and interest rate swaptions

The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements.  Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount.  Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future.  The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap.  Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described.

38

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

Interest Rate Swaps

The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)	Forward Starting (1)
1 year or less	$	200,000	1.8	%	2.6	%	0.9	—	%
Greater than 1 year and less than 3 years	738,000		2.0	%	2.6	%	2.8	—	%
Greater than 3 years and less than 5 years	828,700		2.6	%	2.5	%	4.6	—	%
Greater than 5 years	2,005,700		2.4	%	2.6	%	9.2	20.6	%
Total	$	3,772,400	2.3	%	2.5	%	6.5	10.9	%

(1) Represents the percentage of notional that is forward starting.

	June 30, 2019
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 year and less than 3 years	$	225,000	2.6	%	2.4	%	1.8
Greater than 3 years and less than 5 years	66,000		2.4	%	2.2	%	5.0
Greater than 5 years	683,400		2.6	%	2.3	%	8.6
Total	$	974,400	2.6	%	2.4	%	6.8

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

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

Interest Rate Swaptions

39

The following table summarized the swaptions held by the Company as of June 30, 2019. As of December 31, 2018, the Company did not have any swaptions in its derivative holdings (dollars in thousands):

	June 30, 2019
	Option			Underlying Swap
Fixed-Pay Rate for Underlying Swap	Fair Value		Weighted Average Months Until Option Expiration	Notional		Weighted Average Swap Term (Years)
0.76 - 1.00%	$	156	2.6	$	162,803	5.0
Total	$	156	2.6	$	162,803	5.0

Options

As of June 30, 2019, the Company had a total long position options on U.S. Treasuries with a notional amount of $45.0 million with a fair value in an asset position of $464 thousand and a total short position options on U.S Treasuries with a notional amount of $672.7 million with a fair value in a liability position of $553 thousand. As of December 31, 2018, the Company did not have any options in its derivative holdings

Futures Contracts

The Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of June 30, 2019, the Company had no futures contracts. As of December 31, 2018, the Company had entered into contracts to sell or short positions for U.S. Treasuries with a notional amount of $300.4 million, with a fair value in a liability position of $4.7 million and an expiration date of March 2019. 

Interest-Only Strips

The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received.  The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets.

Credit Default Swaps

During 2018, the Company entered into credit default swaps and, in the future, may continue to enter into these types of credit derivatives. As of June 30, 2019, the Company had no credit default swaps. As of December 31, 2018, the Company had entered into credit default swaps with a notional amount of $50.0 million with a fair value in a asset position of $549 thousand. Under these instruments, the Company makes a monthly premium payment over the term of the contract in exchange for the counterparty making a payment to the Company for losses of the reference securities, upon the occurrence of a specified credit event.

Note 9 — Offsetting Assets and Liabilities

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at June 30, 2019 and December 31, 2018 (dollars in thousands):

40

	June 30, 2019
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
Description							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	10,570	$	—	$	10,570	$	(10,570	)	$	—		$	—
Interest rate swap asset, at fair value	3,329		—		3,329		(1,228		)	—			2,101
Total derivative assets	$	13,899	$	—	$	13,899	$	(11,798	)	$	—		$	2,101
Derivative Liabilities and Repurchase Agreements
Interest rate swap liability, at fair value(2)	$	1,317	$	—	$	1,317	$	(1,228	)	$	(89	)	$	—
Repurchase Agreements(3)	3,001,220		—		3,001,220		(3,001,220		)	—			—
Total derivative liability	$	3,002,537	$	—	$	3,002,537	$	(3,002,448	)	$	(89	)	$	—

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

(2) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.5 million as of June 30, 2019.

(3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of June 30, 2019.

	December 31, 2018
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value(2)	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements(4)	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

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

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

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

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

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Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.

Note 10 — Related Party Transactions

Management Agreement

In connection with the Company’s initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services.  The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (excluding OTTI ) that have impacted stockholders' equity as reported in the Company’s consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. However, if the Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter.

In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s chief financial officer , controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company’s reimbursement obligation is not subject to any dollar limitation. Because the Manager’s personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm’s-length basis.

The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2020.  It is automatically renewed for one-year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination.

The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing

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or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager.

In September 2018, the Company completed a secondary public offering in which it sold 6,500,000 share of its common stock for net proceeds of approximately $67.7 million after subtracting underwriting commissions and offering expenses. Refer to Note12- "Stockholders' Equity" for details on the secondary public offering. The Company's Manager did not earn a management fee on the issued equity through March 31, 2019, to reduce any impact on earnings as the Company fully deployed the capital into its target assets.

For the three months ended June 30, 2019 and June 30, 2018, the Company incurred approximately $1.8 million and approximately $2.3 million in management fees, respectively. For the six months ended June 30, 2019 and June 30, 2018, the Company incurred approximately $3.6 million and approximately $4.4 million in management fees, respectively.

In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company as defined in the Management Agreement. For the three months ended June 30, 2019 and June 30, 2018, the Company recorded expenses included in general and administrative expenses totaling approximately $959 thousand and approximately $872 thousand, respectively, related to reimbursable employee costs. For the six months ended June 30, 2019 and June 30, 2018, the Company recorded expenses included in general and administrative expenses totaling approximately $1.2 million and approximately $1.1 million, respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations.  At June 30, 2019 and December 31, 2018, approximately $1.8 million and approximately $4.2 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.  In addition, at June 30, 2019 and December 31, 2018, approximately $995 thousand and approximately $379 thousand, respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. 

Note 11 — Share-Based Payments

In conjunction with the Company’s IPO and concurrent private placement, the Company’s Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the “Equity Plan”) and the Western Asset Manager Equity Plan (the “Manager Equity Plan” and collectively the “Equity Incentive Plans”). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company’s directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company’s Equity Incentive Plans) under these Equity Incentive Plans. Upon the completion of the Company's secondary public offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,573,609. Approximately 892,477 shares have been issued under the Equity Plans with 681,132 shares available for issuance, as of June 30, 2019.

Under the Equity Plan, the Company made the following grants during the six months ended June 30, 2019 and the year ended December 31, 2018:

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

On March 28, 2019, the Company granted 108,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares will vest on March 28, 2020, one-third will vest on March 28, 2021 and the remaining one-third will vest on March 28, 2022.

On June 6, 2019, the Company granted a total of 28,780 shares (7,195 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 6, 2020, the first anniversary

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of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director.

During the six months ended June 30, 2019 and June 30, 2018, 29,200 and 84,203 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $165 thousand and approximately $50 thousand for the three months ended June 30, 2019 and June 30, 2018, respectively. The Company recognized stock-based compensation expense of approximately $235 thousand and approximately $125 thousand for the six months ended June 30, 2019 and June 30, 2018. In addition, the Company had unamortized compensation expense of $1.3 million and $117 thousand for equity awards at June 30, 2019 and December 31, 2018, respectively.

All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote.  Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account.  The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date.  Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee.

The following is a summary of restricted common stock vesting dates as of June 30, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan: 

	June 30, 2019	December 31, 2018
Vesting Date	Shares Vesting	Shares Vesting
June 2019	—	27,476
March 2020	36,000	—
June 2020	28,780	—
March 2021	36,000	—
March 2022	36,000	—
	136,780	27,476

The following table presents information with respect to the Company’s restricted stock for the six months ended June 30, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan:

	Shares of  Restricted Stock	Weighted Average  Grant Date Fair  Value (1)
Outstanding at beginning of period	753,973	$	16.77
Granted (2)	138,504	10.34
Cancelled/forfeited	—	—
Outstanding at end of period	892,477	15.77
Unvested at end of period	136,780	$	10.35

(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

(2) Includes 1,724 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.

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Note 12 — Stockholders’ Equity

At-The-Market Program

In April 2017, the Company entered into an equity distribution agreement with JMP Securities LLC under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. The Company has not sold any shares under this agreement.

Secondary Public Offerings

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

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

Stock Repurchase Program

On December 21, 2017, the Board of Directors of the Company reauthorized its repurchase program of up to 2,100,000 shares of its common stock through December 31, 2019. The previous reauthorization announced on February 25, 2016 of the Company's repurchase program of up to 2,050,000 shares of its common stock expired on December 31, 2017.  Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company’s discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors.  The Company has repurchased 303,422 shares of common stock accounted for as treasury stock pursuant to the authorization. In September 2018, the Company re-issued all 303,422 shares in treasury stock as part of its secondary public offering.

Dividends

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

Declaration Date	Record Date	Payment Date	Amount per Share		Tax Characterization
2019
June 20, 2019	July 1, 2019	July 26, 2019	$	0.31	Not yet determined
March 21, 2019	April 1, 2019	April 26, 2019	$	0.31	Not yet determined
2018
December 19, 2018	December 31, 2018	January 25, 2019	$	0.31	Ordinary income
September 17, 2018	September 27, 2018	October 26, 2018	$	0.31	Ordinary income
June 21, 2018	July 2, 2018	July 26, 2018	$	0.31	Ordinary income
March 22, 2018	April 2, 2018	April 26, 2018	$	0.31	Ordinary income

Note 13 — Net Income per Common Share

The table below presents basic and diluted net income per share of common stock using the two-class method for the three and six months ended June 30, 2019 and June 30, 2018 (dollars, other than shares and per share amounts, in thousands):

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	For the three months ended June 30, 2019		For the three months ended June 30, 2018		Six months ended June 30, 2019		Six months ended June 30, 2018
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$	10,614	$	1,453	$	38,490	$	23,182
Less:
Dividends and undistributed earnings allocated to participating securities	76		27		138		65
Net income allocable to common stockholders — basic and diluted	$	10,538	$	1,426	$	38,352	$	23,117
Denominator:
Weighted average common shares outstanding for basic earnings per share	50,588,906		41,619,198		49,359,473		41,671,278
Weighted average common shares outstanding for diluted earnings per share	50,588,906		41,619,198		49,359,473		41,671,278
Basic earnings per common share	$	0.21	$	0.03	$	0.78	$	0.55
Diluted earnings per common share	$	0.21	$	0.03	$	0.78	$	0.55

For the three and six months ended June 30, 2019 and June 30, 2018, the Company excluded the effects of the warrants and the convertible senior unsecured notes from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants and the convertible senior unsecured notes.

Note 14 — Income Taxes

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

Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of June 30, 2019.  The Company files U.S. federal and state income tax returns.  As of June 30, 2019, U.S. federal tax returns filed by the Company for 2017, 2016 and 2015 and state tax returns filed for 2017, 2016, 2015 and 2014 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes.

Income Tax Provision

Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended June 30, 2019 and June 30, 2018, the Company recorded a federal and state tax provision of approximately $478 thousand and $36 thousand, respectively, which is recorded in "Income tax provision" in the Consolidated Statements of Operations. During the six months ended June 30, 2019 and June 30, 2018, the Company recorded a federal and state tax provision of approximately $490 thousand and $349 thousand, respectively.

Deferred Tax Asset

As of June 30, 2019 and December 31, 2018, the Company recorded a deferred tax asset of approximately $8.0 million and $6.0 million, respectively, relating to capital loss carryforward and temporary differences as a result of the timing of income

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recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a valuation allowance of $8.0 million and $6.0 million as of June 30, 2019 and December 31, 2018, respectively.

In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2017, related to its interest rate swap terminations, and for its California return a portion of the NOL's is apportioned to the TRS. The Company recorded a deferred state tax asset relating to the NOLs of $5.4 million and $5.5 million in the REIT and $967 thousand and $993 thousand in the TRS as of June 30, 2019 and December 31, 2018, respectively. The TRS can carryback these NOLs to each of the two preceding years and receive a refund for taxes paid. As a result, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $5.9 million and $6.1 million as of June 30, 2019 and December 31, 2018, respectively. The Company also recorded a deferred federal tax liability of $85 thousand and $85 thousand as of June 30, 2019 and December 31, 2018, respectively, in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL.

Effective Tax Rate

The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a).

Note 15 — Contingencies

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at June 30, 2019.

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ITEM 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations.

FORWARD-LOOKING INFORMATION

The Company makes forward-looking statements herein and will make forward-looking statements in future filings with the Securities and Exchange Commission (the “SEC”), press releases or other written or oral communications within the meaning of Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”).  For these statements, the Company claims the protections of the safe harbor for forward-looking statements contained in such sections.  Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Company’s control.  These forward-looking statements include information about possible or assumed future results of the Company’s business, financial condition, liquidity, results of operations, plans and objectives.  When the Company uses the words “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may” or similar expressions, the Company intends to identify forward-looking statements.  Statements regarding the following subjects, among others, may be forward-looking: market trends in the Company’s industry, interest rates, real estate values, the debt securities markets, the U.S. housing and the U.S. and foreign commercial real estate markets or the general economy or the market for residential and/or commercial mortgage loans; the Company’s business and investment strategy; the Company’s projected operating results; changes in interest rates and the market value of the Company's target assets; credit risks; servicing - related risks, including those associated with foreclosure and liquidation; the state of the U.S. and to a lesser extent, international economy generally or in specific geographic regions; economic trends and economic recoveries; the Company’s ability to obtain and maintain financing arrangements, including under the Company's repurchase agreements, a form of secured financing, and securitizations; the current potential return dynamics available in residential mortgage-backed securities (“RMBS”), and commercial mortgage-backed securities (“CMBS” and collectively with RMBS, “MBS”); the level of government involvement in the U.S. mortgage market; the anticipated default rates on CMBS and Commercial Loans; the loss severity on Non-Agency MBS; the general volatility of the securities markets in which the Company participates; changes in the value of the Company’s assets; the Company’s expected portfolio of assets; the Company’s expected investment and underwriting process; interest rate mismatches between the Company’s target assets and any borrowings used to fund such assets; changes in prepayment rates on the Company’s target assets; effects of hedging instruments on the Company’s target assets; rates of default or decreased recovery rates on the Company’s target assets; the degree to which the Company’s hedging strategies may or may not protect the Company from interest rate volatility; the impact of and changes in governmental regulations, tax law and rates, accounting guidance and similar matters; the Company’s ability to maintain the Company’s qualification as a real estate investment trust for U.S. federal income tax purposes; the Company’s ability to maintain its exemption from registration under the Investment Company Act of 1940, as amended (the “1940 Act”); the availability of opportunities to acquire Agency RMBS, Non-Agency RMBS, CMBS, Residential and Commercial Whole Loans, Residential and Commercial Bridge Loans and other mortgage assets; the availability of qualified personnel; estimates relating to the Company’s ability to make distributions to its stockholders in the future; and the Company’s understanding of its competition.

The forward-looking statements are based on the Company’s beliefs, assumptions and expectations of its future performance, taking into account all information currently available to it.  Forward-looking statements are not predictions of future events.  These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to the Company.  Some of these factors, are described in “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” herein and in the Company’s Annual Report on Form 10-K for the year ended December 31, 2018, filed with the SEC on March 6, 2019. These and other risks, uncertainties and factors, including those described in the annual, quarterly and current reports that the Company files with the SEC, could cause its actual results to differ materially from those included in any forward-looking statements the Company makes.  All forward-looking statements speak only as of the date they are made.  New risks and uncertainties arise over time and it is not possible to predict those events or how they may affect the Company.  Except as required by law, the Company is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

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Overview

Western Asset Mortgage Capital Corporation, a Delaware corporation, and its Subsidiaries (the “Company” unless otherwise indicated or except where the context otherwise requires “we”, “us” or “our”) commenced operations in May 2012, focused on investing in, financing and managing a diversified portfolio of real estate related securities, whole loans and other financial assets, which we collectively refer to as our target assets.  We are externally managed by Western Asset Management Company, LLC (our “Manager”) pursuant to the terms of a management agreement. We conduct our operations to qualify and be taxed as a real estate investment trust, or REIT, for U.S. federal income tax purposes. Accordingly, we generally will not be subject to U.S. federal income taxes on our taxable income that we distribute currently to our stockholders as long as we maintain our intended qualification as a REIT. However, certain activities that we may perform may cause us to earn income which will not be qualifying income for REIT purposes. We have designated a subsidiary as a taxable REIT subsidiary, or TRS, to engage in such activities. We also intend to operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the "1940 Act"). Our common stock is traded on the New York Stock Exchange, or the NYSE, under the symbol "WMC".

Our objective is to provide attractive risk adjusted returns to our stockholders primarily through an attractive dividend, supported with sustainable core earnings, as well as the potential for higher returns through capital appreciation. Our investment strategy is based on our Manager's perspective of which mix of our target assets it believes provides us with the best risk-reward opportunities at any given time.  We also deploy leverage as part of our investment strategy to increase potential returns.

Factors Impacting Our Operating Results

Our business is affected by general U.S. residential and commercial real estate fundamentals and the overall U.S. and international economic environment. In particular, our strategy is influenced by the specific characteristics of these markets, including but not limited to interest rate levels and credit spreads.

Our operating results can be affected by a number of factors and primarily depend on, among other things, the size of our investment portfolio, our net interest income, changes in the market value of our investments, derivative instruments and to a lesser extent realized gains and losses on the sale of our investments and termination of our derivative instruments. Our overall performance is also impacted by the supply and demand for our target assets in the market, the terms and availability of financing for such assets, general economic conditions, the impact of U.S Government actions that affect the real estate and mortgage sectors, and the unanticipated credit events experienced by borrowers whose loans are included in our MBS, as well as our Residential Whole Loans, Residential Bridge Loan and Commercial Loan borrowers.

Our net interest income, which includes the amortization of purchase premiums and accretion of discounts, will vary primarily as a result of changes in interest rates, defaults and loss severity rates, borrowing costs, and prepayment speeds on our MBS and other Target Assets (as defined herein) investments.  Similarly, the overall value of our investment portfolio will be impacted by these factors as well as changes in the value of residential and commercial real estate and continuing regulatory changes.

See the caption "Risk Factors" in our Annual Report on Form 10-K for the year ended December 31, 2018, which is available on the SEC's website at www.sec.gov for additional factors that may impact our operating results.

Recent Market Conditions

Our Manager's 2019 outlook is for moderate U.S. growth, inflation will continue to moderate and a more accommodative Federal Reserve monetary policy. Our Manager believes that trade policy poses substantial risks, global growth has downshifted but should remain resilient and emerging markets and spread products should recover relative to government bonds. In the June meeting, the Federal Reserve taking a more dovish stance left fed funds rate unchanged. In the July meeting, it cut the federal funds rate by 25 basis points. The cut comes as the Federal Reserve continues to worry about a possible slowdown in the U.S. economy. The Federal Reserve reiterated that it will "act as appropriate to sustain the expansion" We continue to operate with interest rate risk protection intended to minimize the impact of the potential increase in long-term rates on our portfolio and mitigate interest rate risk to changes in short-term funding costs. The degree of interest rate protection and the duration gap will vary over time given market conditions and our Manager's outlook.

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During the second quarter of 2019, we saw interest rate decline and a modest steepening of the yield curve, with an increase in interest rate volatility. The yield of the 10-year treasury declining to 2.01% at June 30, 2019. The decline in interest rates further increased prepayment activity. By the end of the second quarter we saw tighter spreads, which benefited our Agency CMBS as well as our Agency RMBS (which were strategically acquired in mid-May). The decline in swap rates offset the appreciation in the portfolio resulting in a modest decline in book value.

We believe that the credit sectors will continue to perform well as the fundamentals in the U.S. housing market enters a more normalized phase and the commercial real estate market remains strong driven by ongoing expansion. Against this backdrop, we believe our diversified portfolio is positioned well to provide our shareholders with an attractive risk adjusted return.

Our Investment Strategy

Our Manager’s investment philosophy, which developed from a singular focus in fixed-income asset management over a variety of credit cycles and conditions, is to provide clients with a diversified, long-term value-oriented portfolio. We benefit from the breadth and depth of our Manager’s overall investment philosophy, which focuses on a macroeconomic analysis as well as an in-depth analysis of individual assets and their relative value. In making investment decisions on our behalf, our Manager seeks to identify assets across the broad mortgage universe with attractive risk adjusted returns, which incorporates its view on the outlook for the mortgage markets, including relative valuation, supply and demand trends, the level of interest rates, the shape of the yield curve, prepayment rates, financing and liquidity, commercial and residential real estate prices, delinquencies, default rates, recovery of various segments of the economy and vintage of collateral, subject to maintaining our REIT qualification and our exemption from registration under the 1940 Act.

Our Target Assets

Agency CMBS. — Fixed and floating rate CMBS, for which the principal and interest payments are guaranteed by a U.S. Government agency or U.S. Government-sponsored entity, but for which the underlying mortgage loans are secured by real property other than single family residences. These may include, but are not limited to Fannie Mae DUS (Delegated Underwriting and Servicing) MBS, Freddie Mac Multifamily Mortgage Participation Certificates, Ginnie Mae project loan pools, and/or CMOs structured from such collateral.

Agency RMBS. — Agency RMBS, which are RMBS for which the principal and interest payments are guaranteed by a U.S. Government agency, such as the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), or a U.S. Government-sponsored entity ("GSE"), such as the Federal National Mortgage Association (“FNMA” or “Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”).  The Agency RMBS we acquire can be secured by fixed-rate mortgages, adjustable-rate mortgages or hybrid adjustable-rate mortgages. Fixed-rate mortgages have interest rates that are fixed for the term of the loan and do not adjust. The interest rates on adjustable-rate mortgages generally adjust annually (although some may adjust more frequently) to an increment over a specified interest rate index. Hybrid adjustable-rate mortgages have interest rates that are fixed for a specified period of time (typically three, five, seven or ten years) and, thereafter, adjust to an increment over a specified interest rate index. Adjustable-rate mortgages and hybrid adjustable-rate mortgages generally have periodic and lifetime constraints on the amount by which the loan interest rate can change on any predetermined interest rate reset date.

Non-Agency RMBS. — RMBS that are not guaranteed by a U.S. Government agency or U.S. Government-sponsored entity. The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a U.S. Government agency or U.S. Government-sponsored entity due to certain factors, including mortgage balances in excess of Agency underwriting guidelines, borrower characteristics, loan characteristics and/or level of documentation, and therefore are not issued or guaranteed by a U.S. Government agency or U.S. Government-sponsored entity. The mortgage loan collateral may be classified as subprime, Alternative-A or prime depending on the borrower’s credit rating and the underlying level of documentation. Non-Agency RMBS collateral may also include reperforming loans, which are conventional mortgage loans that were current at the time of the securitization, but had been delinquent in the past. Non-Agency RMBS may be secured by fixed-rate mortgages, adjustable-rate mortgages or hybrid adjustable-rate mortgages.

Non-Agency CMBS. — Fixed and floating rate CMBS for which the principal and interest payments are not guaranteed by a U.S. Government agency or U.S. Government-sponsored entity.  We do not have an established minimum current rating requirement for such investments.

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Non U.S. CMBS. — CMBS which is not guaranteed by a U.S. Government agency or U.S. Government-sponsored entity and which is secured by commercial real estate located outside of the U.S.  Although our Manager believes that these investments can provide attractive risk-reward opportunities and offer additional asset diversification, investing in international real estate has a number of additional risks, including but not limited to currency risk, political risk and the legal risk of investing in jurisdictions with varying laws and regulations and potential tax implications. 

GSE Risk Sharing Securities Issued by Fannie Mae and Freddie Mac. — From time to time we have and may in the future continue to invest in risk sharing securities issued by Fannie Mae and Freddie Mac.  Principal and interest payments on these securities are based on the performance of a specified pool of Agency residential mortgages. The payments due on these securities, however, are not secured by the referenced mortgages. The payments due are full faith and credit obligations of Fannie Mae or Freddie Mac respectively, but neither agency guarantees full payment of the underlying mortgages.  Investments in these securities generally are not qualifying assets for purposes of the 75% real estate asset test applicable to REITs and generally do not generate qualifying income for purposes of the 75% real estate income test applicable to REITs. As a result, we may be limited in our ability to invest in such assets.

TBAs. — We may utilize TBAs, in order to invest in Agency RMBS. Pursuant to these TBAs, we agree to purchase (or deliver), for future settlement, Agency RMBS with certain principal and interest terms and certain underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. Our ability to invest in Agency RMBS through TBAs may be limited by the 75% real estate income and asset tests applicable to REITs.

Mortgage pass-through certificates. — Mortgage pass-through certificates are securities representing interests in “pools” of mortgage loans secured by residential real property where payments of both interest and scheduled principal, plus pre-paid principal, on the underlying loan pools are made monthly to holders of the securities, in effect “passing through” monthly payments made by the individual borrowers on the mortgage loans that underlie the securities, net of fees paid to the issuer/guarantor of the securities and servicers of the underlying mortgages.

Interest-Only Strips or IOs. — This type of security entitles the holder only to payments of interest based on a notional principal balance. The yield to maturity of Interest-Only Strips is extremely sensitive to the rate of principal payments (particularly prepayments) on the underlying pool of mortgages. We invest in these types of securities primarily to take advantage of particularly attractive prepayment-related or structural opportunities in the MBS markets, as well as to help manage the duration of our overall portfolio.

Inverse Interest-Only Strips or IIOs. — This type of security has a coupon with an inverse relationship to its index and is subject to caps and floors. Inverse Interest-Only MBS entitles the holder to interest only payments based on a notional principal balance, which is typically equal to a fixed rate of interest on the notional principal balance less a floating rate of interest on the notional principal balance that adjusts according to an index subject to set minimum and maximum rates. The current yield of Inverse Interest-Only MBS will generally decrease when its related index rate increases and increase when its related index rate decreases.

Agency and Non-Agency CMBS IO and IIO Securities. — Interest-Only and Inverse Interest-Only securities for which the underlying collateral is commercial mortgages the principal and interest on which may or may not be guaranteed by a U.S Government agency or U.S. Government-sponsored entity.  Unlike single family residential mortgages in which the borrower, generally, can prepay at any time, commercial mortgages frequently limit the ability of the borrower to prepay, thereby providing a certain level of prepayment protection.  Common restrictions include yield maintenance and prepayment penalties, the proceeds of which are generally at least partially allocable to these securities, as well as, defeasance.

Principal-Only Strips or POs. — This type of security generally only entitles the holder to receive cash flows that are derived from principal repayments of an underlying loan pool, but in the case of Non-Agency Principal-Only Strips will also include cash flows from default recoveries and excess interest.  The yield to maturity of Principal-Only Strips is extremely sensitive to the rate of principal payments (particularly prepayments) on the underlying pool of mortgages. We invest in these types of securities primarily to take advantage of structural opportunities in the MBS markets.

Residential Whole Loans. — Residential Whole Loans are mortgages secured by single family residences held directly by us or through consolidated trusts with us holding the beneficial interest in the trusts. Our Residential Whole Loans include

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conforming fixed rate mortgages and adjustable rate mortgages that do not qualify for the Consumer Finance Protection Bureau’s (or CFPB) safe harbor provision for “qualifying mortgages” ("Non QM" mortgages). Our Manager’s review, relating to Non QM mortgages, includes an analysis of the loan originator’s procedures and documentation for compliance with Ability to Repay requirements.   As discussed in Note 7 "Financing", we have and may continue to securitize whole loan interests, selling more senior interests in the pool of loans and retaining residual portions.  The characteristics of our Residential Whole Loans may vary going forward.

Residential Bridge Loans. —Residential Bridge Loans are mortgages secured by non owner occupied single family and multi-family residences, typically short-term, held directly by us or through structured Non-Agency RMBS programs crafted specifically for us and other clients of our Manager.  These loans are held in a consolidated trust with us holding the beneficial interest in the trust. 

Commercial Whole Loans. — Commercial Whole Loans are generally loans ranging from, $20 million to $125 million, secured by commercial real estate typically short-term loans. The collateral types may include hospitality, senior care living facilities, multifamily, office retail and industrial properties. These loans may be held directly by us or through consolidated trusts with us holding the beneficial interest in the trust.

Commercial Mezzanine Loans. —Commercialmezzanine loans are generally structured to represent a senior position in the borrower’s equity in, and subordinate to a first mortgage loan, on a property. These loans are generally secured by pledges of ownership interests, in whole or in part, in entities that directly or indirectly own the real property. At times, mezzanine loans may be secured by additional collateral, including letters of credit, personal guarantees, or collateral unrelated to the property. Mezzanine loans may be structured to carry either fixed or floating interest rates as well as carry a right to participate in a percentage of gross revenues and a percentage of the increase in the fair market value of the property securing the loan. Mezzanine loans may also contain prepayment lockouts, penalties, minimum profit hurdles and other mechanisms to protect and enhance returns to the lender. Mezzanine loans usually have maturities that match the maturity of the related mortgage loan but may have shorter or longer terms. Depending on the structure of a transaction, Commercial Mezzanine loans may or may not qualify as "qualifying real estate interests" for purposes of the 1940 Act.

Collateralized Mortgage Obligations or CMOs. — These are securities, which can be Agency or Non-Agency, that are structured from residential and/or commercial pass-through certificates, which receive monthly payments of principal and interest. CMOs divide the cash flows which come from the underlying mortgage pass-through certificates into different classes of securities that may have different maturities and different weighted average lives than the underlying pass-through certificates.

ABS. — Debt and/or equity tranches of securitizations backed by various asset classes including, but not limited to, automobiles, credit cards, equipment, franchises, recreational vehicles and student loans. Investments in ABS generally are not qualifying assets for purposes of the 75% real estate asset test applicable to REITs and generally do not generate qualifying income for purposes of the 75% real estate income test applicable to REITs. As a result, we may be limited in our ability to invest in such assets.

Other investments. — In addition to MBS, our principal investment, and ABS from time to time, we may also make other investments in securities, which our Manager believes will assist us in meeting our investment objective and are consistent with our overall investment policies.  These investments will normally be limited by the REIT requirements that 75% our assets be real estate assets and that 75% of our income be generated from real estate, thereby limiting our ability to invest in such assets.

Our Investment Portfolio

Our investment portfolio composition at June 30, 2019.    

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Our Financing Strategy

 We deploy leverage to increase potential returns to our stockholders and to fund the acquisition of our target assets. While we are not required to maintain any particular leverage ratio, we expect to maintain a debt-to-equity ratio of three to ten times the amount of our stockholders’ equity, depending on our investment composition.  The amount of leverage we use for our portfolio depends upon a variety of factors, such as, general economic, political and financial market conditions, the anticipated liquidity and price volatility of our assets, the availability and cost of financing the assets, the credit worthiness of financing counterparties and the health of the U.S. residential and commercial mortgage markets. At June 30, 2019, our aggregate debt-to-equity ratio was approximately 5.6 to 1 when we exclude our non-recourse debt and 8.5 to 1 when we include our non-recourse debt. The debt-to-equity ratio is not a comprehensive statement of overall investment portfolio leverage which is affected by any leverage embedded in TBAs and derivative instruments.

Repurchase Agreements

We primarily finance our investments through repurchase agreements for which we pledge our assets. Our repurchase agreements have maturities generally ranging from one to twelve months, but in some cases longer. Repurchase agreements involve the transfer of the pledged collateral to a counterparty at an agreed upon price in exchange for such counterparty’s simultaneous agreement to return the same security back to the borrower at a future date (i.e., the maturity of the borrowing). Under our repurchase agreements, we retain beneficial ownership of the pledged collateral, while the counterparty maintains custody of such collateral.  At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, we are required to repay the loan, including any accrued interest, and concurrently reacquire custody of the pledged collateral or, with the consent of the counterparty, we may renew the repurchase financing at the then prevailing market interest rate and terms.  The amount borrowed under our repurchase agreements is a specified percentage of the asset’s applicable fair value, which is dependent on the collateral type.  Our repurchase agreement counterparties generally require collateral in excess of the loan amount, or haircuts. As of June 30, 2019, the ranges of the haircuts on our investments were as follows:

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Collateral	Minimum	Maximum (excluding IOs and IIOs)	Maximum (including IOs and IIOs)
Agency RMBS	3.0%	5.0%	30.0%
Agency CMBS	5.0%	5.0%	15.0%
Non-Agency RMBS	15.0%	35.0%	n/a
Non-Agency CMBS	15.0%	35.0%	n/a
Other securities	16.7%	50.0%	n/a
Residential Whole Loans(1)	5.0%	20.0%	n/a
Commercial Loans(2)	15.0%	35.0%	n/a

⁽¹⁾Includes Residential Bridge Loans.

⁽²⁾ Includes Securitized commercial loans.

A significant decrease in asset value, advance rate, or an increase in the haircut could result in us having to sell assets in order to meet additional margin calls by our repurchase agreement counterparties. Our inability to post adequate collateral for a margin call by the counterparty could result in a condition of default under our repurchase agreements. We expect to mitigate our risk to margin calls by deploying leverage at the portfolio level at amounts below our available financing under our repurchase agreements.

In order to reduce our exposure of risk associated with concentration to any one repurchase agreement counterparty, we seek to diversify our exposure by entering into repurchase agreements with multiple counterparties. At June 30, 2019, we had 33 master repurchase agreements with our counterparties and outstanding borrowings under 18 of such agreements. Our total outstanding borrowings under our repurchase agreements was $3.0 billion, with a maximum net exposure to any single repurchase agreement counterparty of $78.1 million or 14.0% of equity.

Convertible Senior Unsecured Notes

In October 2017, we issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes, which included the underwriter’s option to purchase $15.0 million aggregate principal amount of the notes, for net proceeds to us of $111.1 million. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity. We view this financing as an attractive source of longer-term capital, which we believe was more cost efficient than issuing straight equity.

Mortgage-Backed Notes

In May of 2019, we issued $919.0 million of mortgage-backed notes in a securitization of $945.5 million of our Residential Whole Loans investments. The notes, excluding the Owner Certificates, issued by Arroyo Mortgage Trust 2019-2 (a subsidiary) were four classes, with a weighted average fixed interest rate of 3.425% per annum. All of the Notes are anticipated to have a final payment date in April 2049. We view the notes as an attractive source of longer-term financing for our Residential Whole Loan portfolio. We may redeem the offered notes on or after the earlier of (i) the three year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest.

The mortgage-backed notes are classified in "Securitized Debt" in the Consolidated Balance Sheets.

Our Hedging Strategy

Our overall portfolio strategy is designed to generate attractive returns to our investors through various economic cycles. We believe our broad approach to investing in the real estate mortgage markets, which considers all categories of real estate assets, allows us to invest in a diversified portfolio and help mitigate our portfolio from risks that arise from investing in a single or limited collateral type. In connection with our risk management activities, we enter into a variety of derivative and non-derivative instruments. Our primary objective for acquiring these derivatives and non-derivative instruments is to mitigate our exposure to future events that are outside our control. Our derivative instruments are designed to mitigate the effects market risk and cash flow volatility associated with interest rate risk, including associated prepayment risk. As part of our hedging strategy, we may enter

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into, interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, future contracts, TBAs, total return swaps, credit default swaps, CMBX indexes, foreign current swaps and forwards and other similar instruments.

Critical Accounting Policies

The consolidated financial statements include our accounts, those of our wholly-owned subsidiaries and certain VIEs in which we are the primary beneficiary.  All intercompany amounts have been eliminated in consolidation.  In accordance with GAAP, our consolidated financial statements require the use of estimates and assumptions that involve the exercise of judgment and use of assumptions as to future uncertainties.  In accordance with SEC guidance, the following discussion addresses the accounting policies that we currently apply. Our most critical accounting policies will involve decisions and assessments that could affect our reported assets and liabilities, as well as our reported revenues and expenses. We believe that all of the decisions and assessments upon which our consolidated financial statements have been based were reasonable at the time made and based upon information available to us at that time. For a review of recent accounting pronouncements that may impact our results of operations, see Note 2 of our “Notes to Consolidated Financial Statements (Unaudited)”.

There have been no significant changes to our critical accounting policies that are disclosed in our most recent Annual Report on Form 10-K for the year ended December 31, 2018.

2019 Activity

Investment Activity

We continually evaluate our investment portfolio, focusing on expected future prepayment trends, supply of and demand, costs of financing, costs of hedging, expected future interest rate volatility and the overall shape of the U.S. Treasury and interest rate swap yield curves. We utilized the proceeds from the May 2019 secondary equity offering to acquire Agency RMBS, Agency CMBS, Non-Agency CMBS and a commercial loan. Under current market conditions we expect to continue to opportunistically deploy capital to acquire, Agency CMBS, Agency RMBS, Non-Agency CMBS and Residential Whole and Commercial Loans.

The following table presents our investing activity for the six months ended June 30, 2019 (dollars in thousands):

	Balance at				Principal  Payments and Basis Recovery			Proceeds  from Sales			Realized Gain/(Loss)			Unrealized Gain/(loss)			Premium and discount amortization, net						Balance at
Investment Type	December 31, 2018		Purchases																	OTTI			June 30, 2019
Agency RMBS and Agency RMBS IOs	$	19,837	$	583,982	$	(5,443	)	$	—		$	—		$	6,058		$	(22	)	$	(29	)	$	604,383
Non-Agency RMBS	50,555		—		(1,543		)	—			—			(477		)	(171		)	(1,177		)	47,187
Agency CMBS and Agency CMBS IOs	1,486,142		525,105		(19,915		)	(206,710		)	(4,189		)	104,205			(789		)	(81		)	1,883,768
Non-Agency CMBS	200,301		64,217		(27,871		)	(15,165		)	(670		)	(437		)	2,247			(2,918		)	219,704
Other securities(1)	59,906		19,772		(403		)	—			—			1,098			(3,349		)	(407		)	76,617
Total MBS and other securities	1,816,741		1,193,076		(55,175		)	(221,875		)	(4,859		)	110,447			(2,084		)	(4,612		)	2,831,659
Residential Whole Loans	1,041,885		249,197		(98,920		)	—			—			15,119			(1,061		)	—			1,206,220
Residential Bridge Loans	221,719		—		(125,519		)	—			(254		)	(386		)	(668		)	—			94,892
Commercial Loans	216,123		171,189		(76,000		)	—			—			164			556			—			312,032
Securitized commercial loans	1,013,511		903,770		(1,113,884		)	—			—			1,921			(1,184		)	—			804,134
Total Investments	$	4,309,979	$	2,517,232	$	(1,469,498	)	$	(221,875	)	$	(5,113	)	$	127,265		$	(4,441	)	$	(4,612	)	$	5,248,937

(1) Other securities include $35.0 million of GSE CRTs and $41.6 million of ABS at June 30, 2019.

We continue to see favorable risk-adjusted return opportunities in credit sensitive investments, particularly Residential Whole Loans and Commercial Loans, including junior tranches of CMBS investments. As a result, we currently intend to continue to deploy capital into these investments. At June 30, 2019, we held $2.8 billion in credit sensitive investments, primarily consisting of 43.7% in Residential Whole Loans, 29.1% in securitized commercial loans (our risk is limited to only our direct ownership

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interest in the trust), 11.3% in Commercial Loans, 8.0% in Non-Agency CMBS, 3.4% in Residential Bridge Loans, 1.7% Non-Agency RMBS, 1.5% ABS, and 1.3% GSE credit risk transfer. We work to mitigate the credit risk on our credit sensitive holdings by developing relationships with originators that adhere to our investment guidelines for our Residential Whole Loans. For our Commercial Loans and other investments we perform a detailed credit analysis on the underlying collateral at the time of purchase.

Portfolio Characteristics

Our Agency Portfolio

The following table summarizes our Agency portfolio by investment category as of June 30, 2019 (dollars in thousands): 

	Principal Balance		Amortized Cost		Fair Value		Net Weighted Average Coupon
Agency RMBS	$	570,369	$	580,636	$	585,751	3.5	%
Agency RMBS IOs and IIOs (1)	N/A		10,202		11,891		2.3	%
Agency RMBS IOs and IIOs accounted for as derivatives (1)	N/A		N/A		6,741		2.8	%
Total Agency RMBS	570,369		590,838		604,383		3.2	%
Agency CMBS	1,772,577		1,793,383		1,879,939		3.3	%
Agency CMBS IOs and IIOs accounted for as derivatives (1)	N/A		N/A		3,829		0.4	%
Total Agency CMBS	1,772,577		1,793,383		1,883,768		3.0	%
Total	$	2,342,946	$	2,384,221	$	2,488,151	3.1	%

(1) IOs and IIOs have no principal balances and bear interest based on a notional balance.  The notional balance is used solely to determine interest distributions on the interest-only class of securities.

Credit Sensitive Portfolio

The following table presents information by vintage⁽¹⁾ as it relates to our credit sensitive investment portfolio at June 30, 2019:

Credit Sensitive Securities	Pre 2006		2006		2007		2011		2012		2013		2014		2015		2016		2017		2018		2019		Total
Non-Agency RMBS	—	%	0.1	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	1.0	%	0.3	%	—	%	1.4	%
Non-Agency RMBS IOs	—	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	0.2	%	0.1	%	—	%	0.3	%
Non-Agency CMBS	—	%	0.6	%	0.7	%	1.5	%	0.3	%	—	%	—	%	1.0	%	0.3	%	—	%	2.2	%	1.5	%	8.1	%
Other securities	0.3	%	—	%	—	%	—	%	—	%	—	%	0.2	%	0.3	%	0.8	%	0.2	%	1.1	%	—	%	2.9	%
Residential Whole Loans	0.1	%	—	%	—	%	0.2	%	0.2	%	2.0	%	0.9	%	0.1	%	1.4	%	6.4	%	31.8	%	0.5	%	43.6	%
Residential Bridge Loans	—	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	0.1	%	0.7	%	2.6	%	—	%	3.4	%
Securitized commercial loans	—	%	—	%	—	%	—	%	—	%	—	%	—	%	0.9	%	—	%	—	%	28.2	%	—	%	29.1	%
Commercial Loans	—	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	—	%	7.7	%	3.5	%	11.2	%
Total	0.4	%	0.7	%	0.7	%	1.7	%	0.5	%	2.0	%	1.1	%	2.3	%	2.6	%	8.5	%	74.0	%	5.5	%	100	%

(1) Based on carrying amount of the investments.

Non-Agency RMBS

The following table presents the fair value and weighted average purchase price for each of our Non-agency RMBS categories, including IOs accounted for as derivatives, together with certain of their respective underlying loan collateral attributes and current performance metrics as of June 30, 2019 (fair value dollars in thousands):

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			Weighted Average
Category	Fair Value		Purchase Price		Life (Years)	Original LTV		Original FICO	60+ Day Delinquent		6-Month CPR
Prime	$	11,759	$	58.37	11.7	68.9	%	769	0.1	%	15.0	%
Alt-A	35,428		64.60		12.1	80.9	%	663	6.1	%	10.2	%
Total	$	47,187	$	63.05	12.0	77.9	%	690	4.6	%	11.4	%

Non-Agency CMBS

The following table presents certain characteristics of our Non-Agency CMBS portfolio as of June 30, 2019 (dollars in thousands): 

		Principal				Weighted Average
Type	Vintage	Balance		Fair Value		Life (Years)	Original LTV
Conduit:
	2006-2009	$	46,235	$	34,116	1.6	72.4	%
	2010-2019	84,605		63,193		4.4	61.8	%
		130,840		97,309		3.4	65.5	%
Single Asset:
	2010-2019	125,042		122,395		2.2	62.9	%
Total		$	255,882	$	219,704	2.7	64.1	%

Residential Whole Loans

The Residential Whole Loans have low LTV's and are comprised of 2,271 non-qualifying adjustable rate mortgages, 782 conforming fixed rate mortgages and 12 investor fixed rate mortgages. The following table presents certain information about our Residential Whole Loans investment portfolio at June 30, 2019 (dollars in thousands): 

				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score(1)	Expected Life (years)(2)	Contractual Maturity (years)	Coupon Rate
3.01 – 4.00%	62	$	20,600	61.8	%	738	2.2	28.5	3.9	%
4.01– 5.00%	1,265	434,936		62.2	%	740	2.2	28.5	4.8	%
5.01 – 6.00%	1,632	675,014		63.2	%	734	2.7	28.5	5.5	%
6.01 – 7.00%	104	38,139		57.0	%	729	3.7	25.7	6.1	%
7.01 - 8.00%	1	354		70.0	%	777	3.0	28.6	7.2	%
8.01 - 9.00%	1	93		70.0	%	689	4.2	28.6	8.4	%
Total	3,065	$	1,169,136	62.6	%	736	2.6	28.4	5.2	%

(1) The original FICO score is not available for 269 loans with a principal balance of approximately $91.1 million at June 30, 2019. We have excluded those loans from the weighted average computation.

(2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.

As of June 30, 2019, there were 3 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $2.7 million. These nonperforming loans represent approximately 0.2% of the total outstanding principal balance. No allowance or provision for credit losses was recorded as of and for the three and six months ended June 30, 2019 and June 30, 2018, since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent.

Residential Bridge Loans

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Our Residential Bridge Loans are comprised of short-term fixed rate mortgages secured by non-owner occupied single and multi-family residences with low LTVs, generally up to 85%. The following table presents certain information about our Residential Bridge Loans investment portfolio at June 30, 2019 (dollars in thousands): 

				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 – 7.00%	2	$	714	66.3	%	—	7.0	%
7.01 – 8.00%	29	20,354		73.5	%	5.2	7.8	%
8.01 – 9.00%	70	38,621		72.7	%	5.1	8.7	%
9.01 – 10.00%	51	24,751		71.2	%	2.7	9.8	%
10.01 – 11.00%	18	4,639		73.7	%	0.5	10.7	%
11.01 – 12.00%	12	3,095		58.4	%	1.3	11.3	%
12.01 – 13.00%	5	1,797		80.7	%	1.8	12.9	%
17.01 – 18.00%	6	2,514		73.6	%	2.2	18.0	%
Total	193	$	96,485	72.2	%	4.2	9.3	%

As of June 30, 2019, there were 6 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $3.4 million and 40 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $17.1 million. These nonperforming Residential Bridge Loans represent approximately 21.3% of the total outstanding principal balance. We reviewed the estimated fair value of the collateral to determine if an allowance and provision of credit loss was required for loans carried at amortized costs. Based upon our evaluation, no allowance and provision for credit losses was recorded for loans carried at amortized cost as of and for the three and six months ended June 30, 2019 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. No allowance and provision for credit losses was recorded for loans carried at fair value as of and for the three and six months ended June 30, 2019 since valuation adjustments, if any, would be reflected in the fair value of these loans. We stopped accruing interest income for these loans when they became contractually 90 days delinquent.

Commercial Real Estate Investments

Securitized Commercial Loans

In November 2015, we acquired a $14.0 million variable interest in CMSC Trust, which is a VIE that we were required to consolidate. Please refer to Note 6 - "Commercial Real Estate Investments" for details. The CMSC Trust holds a $24.3 million mezzanine loan collateralized by interests in commercial real estate.  The mezzanine loan serves as collateral for the $24.3 million of securitized debt issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

In March 2018, we acquired a $67.8 million variable interest in RETL 2018 Trust, which is a VIE that we were required to consolidate. Please refer to Note 6 - "Commercial Real Estate Investments" for details. The RETL 2018 Trust held a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate located throughout the United States and Puerto Rico.  The commercial loan served as collateral for the securitized debt issued by RETL 2018 Trust. Refer to Note 7 - "Financings" for details on the associated securitized debt. In March 2019, RETL, the securitized debt was refinanced and the outstanding principal balance of the securitized debt issued by RETL 2018 Trust was paid in full and the trust was liquidated.

RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. We acquired a $65.3 million variable interest in the trust certificates issued by RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. Please refer to Note 6 - "Commercial Real Estate Investments" for details. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate located throughout the United States and Puerto Rico. The outstanding principal balance on this commercial loan is $774.9 million as of June 30, 2019. The commercial loan served as collateral for the $774.9 million securitized debt issued by RETL 2019 Trust. Refer to Note 7 - "Financings" for details on the associated securitized debt.

Commercial Loans

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In February 2019, our wholly owned subsidiary, CRE LLC acquired a $76.0 million commercial first mortgage loan ("CRE 3") secured by health care and rehabilitation centers. CRE 3 has a maturity date of January 9, 2021 with a one-year extension option and bears an interest rate of one month LIBOR plus 7.0%. In May 2019, CRE 3 was paid in full.

In June 2019, CRE LLC acquired a $50.0 million commercial first mortgage loan ("CRE 4") secured by nursing facilities. CRE 4 has a maturity date of January 11, 2022 with two one-year extension options and bears an interest rate of one month LIBOR plus 4.75%.

Commercial Loan Trust

Revolving Small Balance Commercial Trust 2018-1

In January 2019, RSBC Trust acquired a $13.6 million commercial real estate mortgage loan ("SBC 4") secured by multi-family apartment complex. SBC 4 matures on December 1, 2021 with a one-year extension option, bears an interest rate of one month LIBOR plus 4.0% subject to a LIBOR floor of 2.0% and requires a monthly principal and interest payments.

In January 2019, RSBC Trust acquired a $32.0 million interest-only commercial real estate mortgage loan ("SBC 5") secured by skilled nursing facilities. SBC 5 matures on July 6, 2021 and bears an interest rate of one month LIBOR plus 4.1%.

Geographic Concentration

The mortgages underlying our Non-Agency RMBS and Non-Agency CMBS are located in various states across the United States and other countries. The following table presents the five largest concentrations by location for the mortgages collateralizing our Non-Agency RMBS and Non-Agency CMBS as of June 30, 2019, based on fair value (dollars in thousands):

	Non-Agency RMBS					Non-Agency CMBS
	Concentration		Fair Value			Concentration		Fair Value
California	27.3	%	$	12,878	California	15.8	%	$	33,401
Florida	9.4	%	4,418		Nevada	10.8	%	22,855
New York	6.8	%	3,190		North Carolina	10.7	%	22,647
Georgia	5.0	%	2,356		Bahamas	7.1	%	15,038
Maryland	4.4	%	2,059		Florida	6.7	%	14,094

The following table presents the various states across the United States in which the collateral securing our Residential Whole Loans and Residential Bridge Loans at June 30, 2019, based on principal balance, is located (dollars in thousands): 

	Residential Whole Loans					Residential Bridge Loans
	State Concentration		Principal Balance			State Concentration		Principal Balance
California	70.5	%	$	823,888	California	52.0	%	$	50,152
New York	14.5	%	169,920		Washington	9.6	%	9,219
Georgia	2.4	%	27,584		New York	8.5	%	8,188
Florida	2.3	%	27,074		Florida	6.3	%	6,095
New Jersey	1.8	%	20,977		New Jersey	5.2	%	5,008
Other	8.5	%	99,693		Other	18.4	%	17,823
Total	100.0	%	$	1,169,136	Total	100.0	%	$	96,485

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Financing Activity

Repurchase Agreements

At June 30, 2019, we had 33 master repurchase agreements with our counterparties and had outstanding borrowings under 18 of such agreements. The following table summarizes our 2019 financing activity under our repurchase agreements for the six months ended June 30, 2019 (dollars in thousands):

	Balance at							Balance at
Collateral	December 31, 2018		Proceeds		Repayments			June 30, 2019
Agency RMBS	$	14,650	$	833,582	$	(274,461	)	$	573,771
Agency CMBS	1,392,649		3,897,972		(3,616,719		)	1,673,902
Non-Agency RMBS	30,922		121,226		(140,660		)	11,488
Non-Agency CMBS	134,814		273,480		(261,665		)	146,629
Residential Whole Loans(1)	863,356		3,470,904		(4,095,714		)	238,546
Residential Bridge Loans(1)	204,754		806,105		(921,618		)	89,241
Commercial loans(1)	131,788		1,165,574		(1,102,541		)	194,821
Securitized commercial loan(1)	7,543		111,035		(98,870		)	19,708
Other securities	38,361		141,821		(127,068		)	53,114
Borrowings under repurchase agreements	$	2,818,837	$	10,821,699	$	(10,639,316	)	$	3,001,220

(1) The borrowings and collateral pledged attributed to loans owned through trust certificates. The trust certificates are eliminated upon consolidation.

At June 30, 2019, we had outstanding repurchase agreement borrowings with the following counterparties:

(dollars in thousands) Repurchase Agreement Counterparties	Amount Outstanding		Percent of Total Amount Outstanding		Company Investments Held as Collateral		Counterparty Rating(1)
Citigroup Global Markets Inc.	$	763,030	25.3	%	$	833,794	A+
Royal Bank of Canada	593,617		19.8	%	625,634		AA-
JP Morgan Securities LLC	329,203		11.0	%	352,678		A+
JPMorgan Chase Bank, National Association	273,096		9.1	%	281,637		A-
Nomura Securities International, Inc.	229,914		7.7	%	305,535		Unrated (3)
UBS Securities LLC	196,845		6.6	%	207,170		A+
BNP Paribas Securities Corporation	140,635		4.7	%	152,416		A+
The Bank of Nova Scotia	116,994		3.9	%	121,217		A+
South Street Securities LLC	89,686		3.0	%	95,248		NR
UBS AG, London Branch	73,359		2.4	%	109,135		A+
Credit Suisse AG, Cayman Islands Branch (2)	68,762		2.3	%	93,750		A+
Mizuho Securities USA Inc.	49,260		1.6	%	56,569		A
SunTrust Robinson Humphrey, Inc.	43,623		1.5	%	46,469		Unrated (4)
All other counterparties (5)	33,196		1.1	%	51,878
Total	$	3,001,220	100.0	%	$	3,333,130

(1) The counterparty ratings presented above are the long-term issuer credit ratings as rated at June 30, 2019 by S&P.

(2) Includes master repurchase agreements in which the buyer includes Alpine Securitization LTD., a Credit Suisse sponsored asset-backed commercial paper conduit.

(3) Nomura Holdings, Inc., the parent company of Nomura Securities International, Inc., is rated A- by S&P at June 30, 2019.

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(4) SunTrust Banks Inc, the parent company of SunTrust Robinson Humphrey, Inc. is rated BBB+ *+ by S&P at June 30, 2019.

(5) Represents amount outstanding with fourcounterparties, which each holds collateral valued less than 5% of our stockholders’ equity as security for our obligations under the applicable repurchase agreements as of June 30, 2019.

The following table presents our average repurchase agreement borrowings, excluding unamortized debt issuance costs, by type of collateral pledged for the three and six months ended June 30, 2019 (dollars in thousands):

Collateral	Three Months Ended June 30, 2019		Six months ended June 30, 2019
Agency RMBS	$	212,630	$	114,002
Agency CMBS	1,369,530		1,314,570
Non-Agency RMBS	27,268		29,159
Non-Agency CMBS	123,973		126,050
Residential Whole Loans	704,189		826,272
Commercial loans	180,968		165,664
Securitized commercial loans	23,999		16,090
Residential Bridge Loans	122,612		151,189
Other securities	45,341		41,486
Total	$	2,810,510	$	2,784,482
Maximum borrowings during the period(1)	$	3,001,220	$	3,001,220

(1) Amount represents the maximum borrowings at month-end during each of the respective periods.

Securitized Debt

We acquired a variable interest in CMSC Trust and RETL 2019 Trust and were required to consolidate the CMBS VIEs. Refer to Note 7 - "Financings" for details. At June 30, 2019, the consolidated CMSC Trust's commercial mortgage pass-through certificate, which bears a fixed interest rate of 8.9% and matures on June 6, 2020, had an outstanding balance of $10.7 million and a fair value of $10.7 million.

The following table summarizes the consolidated RETL 2019 Trust's commercial mortgage pass-through certificates at June 30, 2019 which is classified in "Securitized debt" in the Consolidated Balance Sheets (dollars in thousands):

Classes	Principal Balance		Coupon		Fair Value		Contractual Maturity
Class A	$	320,030	3.5	%	$	320,628	3/15/2021
Class B	101,200		3.9	%	101,452		3/15/2021
Class C	285,300		4.5	%	286,369		3/15/2021
Class X-CP(1)	N/A		1.3	%	2,846		4/15/2020
Class X-EXT(1)	N/A		—	%	31		3/15/2021
	$	706,530			$	711,326

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

In May 2019, we completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust") and Arroyo Trust issued $919.0 million of mortgage-backed notes and we retained the subordinate Non-Offered Securities. At June 30, 2019, Residential Whole Loans, with an outstanding principal balance of approximately $917.6 million, serve as collateral for the Arroyo Trust's securitized debt.

The following table summarizes the consolidated Arroyo Trust's issued mortgage-backed notes at June 30, 2019 which is classified in "Securitized debt" in the Consolidated Balance Sheets (dollars in thousands):

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Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Issued Mortgage-Backed Notes
Class A-1	$	769,825	3.3%	$	769,823	4/25/2049
Class A-2	41,248		3.5%	41,248		4/25/2049
Class A-3	65,350		3.8%	65,348		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	901,478			$	901,474
Less: Unamortized deferred financing costs	N/A			5,686
Total	$	901,478		$	895,788

Hedging Activity

In connection with our risk management activities, we enter into a variety of derivative and non-derivative instruments. Our primary objective for acquiring these derivatives and non-derivative instruments is to mitigate our exposure to future events that are outside our control. Our derivative instruments are designed to mitigate the effects market risk and cash flow volatility associated with interest rate risk, including associated prepayment risk. As part of our hedging strategy, we may enter into, but not limited to, interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps, foreign current swaps and forwards and other similar instruments. 

The following tables summarize the hedging activity during the six months ended June 30, 2019 (dollars in thousands):

	Notional Amount at				Settlements, Terminations or Expirations			Notional Amount at
Derivative Instrument	December 31, 2018		Acquisitions					June 30, 2019
Fixed pay interest rate swaps	$	3,127,800	$	1,389,600	$	(745,000	)	$	3,772,400
Variable pay interest rate swaps	728,400		536,000		(290,000		)	974,400
Interest rate swaptions	—		162,803		—			162,803
Options - long positions	—		45,000		—			45,000
Options - short positions	—		672,700		—			672,700
Futures contracts - long positions	—		20,400		(20,400		)	—
Futures contracts - short positions	300,400		1,223,500		(1,523,900		)	—
Credit default swaps	50,000		—		(50,000		)	—
Total derivative instruments	$	4,206,600	$	4,050,003	$	(2,629,300	)	$	5,627,303

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	Fair Value at			Acquisitions			Settlements, Terminations or Expirations			Realized Gains / Losses			Mark-to-market			Fair Value at
Derivative Instrument	December 31, 2018															June 30, 2019
Fixed pay interest rate swaps	$	(5,470	)	$	(7,305	)	$	198,398		$	(190,948	)	$	8,034		$	2,709
Variable pay interest rate swaps	2,054			1,521			(86,482		)	93,919			(11,776		)	(764		)
Interest rate swaptions	—			332			—			—			(176		)	156
Options - long positions	—			302			—			—			162			464
Options - short positions	—			(861		)	—			—			308			(553		)
Futures contracts - long positions	—			—			(41		)	41			—			—
Futures contracts - short positions	(4,657		)	—			10,381			(10,381		)	4,657			—
Credit default swaps	549			—			367			(541		)	(375		)	—
Total derivative instruments	$	(7,524	)	$	(6,011	)	$	122,623		$	(107,910	)	$	834		$	2,012

As of June 30, 2019, we had approximately $3.4 billion of fixed pay rate interest rate swaps, excluding $412.3 million of forward starting swaps (forward starting dates of 2.6 months), and $974.4 million of variable pay rate interest rate swap. The following tables provide additional information on our fixed pay interest rate swaps and variable pay interest rate swap (dollars in thousands):

	June 30, 2019
Fixed Pay Interest Rate Swap Remaining Term	Notional  Amount		Average  Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)	Forward Starting(1)
1 year or less	$	200,000	1.8	%	2.6	%	0.9	—	%
Greater than 1 year and less than 3 years	738,000		2.0	%	2.6	%	2.8	—	%
Greater than 3 years and less than 5 years	828,700		2.6	%	2.5	%	4.6	—	%
Greater than 5 years	2,005,700		2.4	%	2.6	%	9.2	20.6	%
Total	$	3,772,400	2.3	%	2.5	%	6.5	10.9	%

	June 30, 2019
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 year and less than 3 years	$	225,000	2.6	%	2.4	%	1.8
Greater than 3 years and less than 5 years	66,000		2.4	%	2.2	%	5.0
Greater than 5 years	683,400		2.6	%	2.3	%	8.6
Total	$	974,400	2.6	%	2.4	%	6.8

Capital Markets Activity

The following is a summary of activity during 2019:

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

Dividends

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Our dividend remained stable at $0.31 for each of the 13 quarters ending on June 30, 2019. For the quarter ended June 30, 2019, we generated a dividend yield of approximately 12.4% based on the stock closing price of $9.98 at June 30, 2019.

Book Value

The following chart reflects our book value per common share basic and diluted over five consecutive quarters:

Our book value per common share basic and diluted, net of our quarterly dividends was $10.51 at June 30, 2019, a modest decrease of $0.19 or 1.8% when compared to our March 31, 2019 book value of $10.70. The decrease in book value was mainly a result of rate movements.

Results of Operations

Comparison of the three months ended June 30, 2019 to the three months ended June 30, 2018.

General

Our operating results mainly depend upon the difference between the yield on our investments, the cost of our borrowing, including our hedging activities, the composition and changes in market prices of our portfolio and our expenses. For the three months ended June 30, 2019, we generated net income of $10.6 million, or $0.21 per basic and diluted weighted common share, compared to net income of $1.5 million, or $0.03 per basic and diluted weighted common share, for the three months ended June 30, 2018. Our results of operations for the three months ended June 30, 2019, were positively impacted by tighter spreads on our Agency CMBS portfolio and our Agency RMBS investments. Our credit sensitive investments continue to perform well with a favorable environment in both residential and commercial real estate markets.

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Net Interest Income

The following tables set forth certain information regarding our net interest income on our investment portfolio for the three months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

Three Months Ended June 30, 2019	Average Amortized Cost of Assets		Total Interest Income		Yield on Average Assets
Investments
Agency RMBS	$	239,104	$	2,175	3.65	%
Agency CMBS	1,410,093		11,834		3.37	%
Non-Agency RMBS	48,051		674		5.63	%
Non-Agency CMBS	184,379		4,490		9.77	%
Residential Whole Loans	1,234,272		14,881		4.84	%
Residential Bridge Loans	131,955		2,144		6.52	%
Commercial loans	302,389		6,160		8.17	%
Securitized commercial loans	890,502		10,148		4.57	%
Other securities	63,453		1,312		8.29	%
Total investments	$	4,504,198	$	53,818	4.79	%
	Average Carrying Value		Total Interest Expense		Average Cost of Funds(1)
Borrowings
Repurchase agreements	$	2,810,510	$	23,925	3.41	%
Convertible senior unsecured notes, net	110,609		2,270		8.23	%
Securitized debt	1,380,415		11,763		3.42	%
Total borrowings	$	4,301,534	$	37,958	3.54	%
Net interest income and net interest margin(2)			$	15,860	1.41	%

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Three Months Ended June 30, 2018	Average Amortized Cost of Assets		Total Interest Income		Yield on Average Assets
Investments
Agency RMBS	$	537,544	$	4,091	3.05	%
Agency CMBS	2,155,858		15,855		2.95	%
Non-Agency RMBS	112,521		1,776		6.33	%
Non-Agency CMBS	339,034		7,678		9.08	%
Residential Whole Loans	328,669		3,705		4.52	%
Residential Bridge Loans	229,453		4,190		7.32	%
Commercial Loans	41,092		818		7.98	%
Securitized commercial loan	1,324,767		16,664		5.05	%
Other securities	112,916		2,377		8.44	%
Total investments	$	5,181,854	$	57,154	4.42	%
	Average Carrying Value		Total Interest Expense		Average Cost of Funds(1)
Borrowings
Repurchase agreements	$	3,425,977	$	21,523	2.52	%
Convertible senior unsecured notes, net	109,291		2,271		8.33	%
Securitized debt	1,245,722		14,340		4.62	%
Total borrowings	$	4,780,990	$	38,134	3.20	%
Net interest income and net interest margin(2)			$	19,020	1.47	%

(1) Average cost of funds does not include the interest expense related to our derivatives. In accordance with GAAP, such costs are included in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

(2) Since we do not apply hedge accounting, our net interest margin in this table does not reflect the benefit /cost of our interest rate swaps. See Non-GAAP Financial Measure section for net investment income table that includes the benefit/cost from our interest rate swaps.

Interest Income

For the three months ended June 30, 2019 and June 30, 2018, we earned interest income on our investments of approximately $53.8 million and $57.2 million, respectively, a decrease of approximately $3.3 million .  Although the the portfolio's weighted average yield increased to 4.79% for the three months ended June 30, 2019 from 4.42%, for the three months ended June 30, 2019 as compared to the three months ended June 30, 2018, we generated lower interest income as a result of an overall smaller average investment portfolio. Our credit sensitive investments contributed approximately $29.7 million or 55.2% to interest income for the period. Under the current market conditions we expect to continue to increase our investments in Residential Whole Loans, Commercial Loans and opportunistically invest in Agency CMBS and Agency RMBS. We utilized the proceeds from the May 2019 secondary equity offering to acquire Agency RMBS, Agency CMBS, Non-Agency CMBS and a commercial loan.

Interest Expense

Interest expense decreased from $38.1 million for the three months ended June 30, 2018 to $38.0 million for the three months ended June 30, 2019. The decrease was a result of a reduction in leverage. Although overall leverage declined our weighted average cost funded increased. The increase in our average cost of funds reflect: (i) higher interest rates on our repurchase agreements in 2019 coupled with higher costs associated with financing our credit-sensitive investments, which generally have higher interest rates. Our average cost of funds on our repurchase agreements increased from 2.52% for the three months ended June 30, 2018 to 3.41% for the three months ended June 30, 2019. We utilize interest rate swaps to mitigate our interest rate exposure. As of June 30, 2019, we have effectively hedged approximately 79.5% of our repurchase agreement debt by entering into interest rate swaps with a weighted average fixed rate of 2.4% for a weighted average term of 5.3 years (excludes forward starting swaps). However, since we do not apply hedge accounting the reduction in interest expense is reflected in "Gain (loss) on derivatives, net.

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Other income (loss), net

Realized gain (loss) on investments, net

Realized gain (loss) on investments represents the net gain (loss) on sales or settlements from our investment portfolio. Our Manager regularly reviews the characteristics of our portfolio and may make changes to our portfolio in order to adjust such portfolio characteristics in response to and/or anticipation of changing market conditions in an effort to achieve the appropriate risk reward ratio. 

The following table presents the realized gains (losses) of our investments for each of the three months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	For the three months ended June 30, 2019										For the three months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)			Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—		$	208,331	$	—	$	(4,531	)	$	(4,531	)
Agency CMBS	—		—		—			—			126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—			47,758		2,220		—			2,220
Non-Agency CMBS	6,165		183		(25		)	158			385		—		(38		)	(38		)
Other securities	—		—		—			—			21,757		1,757		—			1,757
Residential Bridge Loans(1)	—		35		(201		)	(166		)	—		—		—			—
Total	$	6,165	$	218	$	(226	)	$	(8	)	$	405,098	$	3,977	$	(9,585	)	$	(5,608	)

(1) Realized gains/losses recognized on the final settlement of the loans.

Other than temporary impairment

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

The following table presents the other-than-temporary impairments we recorded on our securities portfolio (dollars in thousands): 

	Three months ended June 30, 2019		Three months ended June 30, 2018
Agency RMBS	$	—	$	201
Non-Agency RMBS	936		19
Non-Agency CMBS	1,952		2,754
Other securities	407		—
Total	$	3,295	$	2,974

Unrealized gain (loss), net

Our investments, and securitized debt, for which we have elected the fair value option are recorded at fair value with the periodic changes in fair value being recorded in earnings.  The change in unrealized gain (loss) is directly attributable to changes in market pricing on the underlying investments and securitized debt during the period. In the second quarter of 2019, the tighter spreads on our investments at the end of the quarter coupled with a $1.0 billion of acquisitions of Agency CMBS and Agency RMBS investments resulted in the majority of the increase in unrealized gain for the period.

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The following table presents the net unrealized gains (losses) we recorded on our investments and securitized debt (dollars in thousands): 

	Three months ended June 30, 2019			Three months ended June 30, 2018
Agency RMBS	$	5,796		$	(457	)
Agency CMBS	55,264			(33,168		)
Non-Agency RMBS	716			(1,205		)
Non-Agency CMBS	2,990			4,924
Residential Whole Loans	9,232			(452		)
Residential Bridge Loans	286			(76		)
Commercial loans	(59		)	374
Securitized commercial loans	572			5,621
Other securities	416			(1,624		)
Securitized debt	(656		)	(5,798		)
Other liabilities	57			168
Total	$	74,614		$	(31,693	)

Gain (loss) on derivatives, net

In order to mitigate interest rate risk resulting from our repurchase agreement borrowings, we enter into a variety of derivative and non-derivative instruments. Our primary objective for acquiring these derivatives and non-derivative instruments is to mitigate our exposure to future events that are outside our control.    

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The following table presents the components of gain (loss) on derivatives for the three months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)		Total
Three months ended June 30, 2019
Interest rate swaps	$	(588	)	$	(58,600	)	$	1,676		$	(10,832	)	$	2,174	$	(66,170	)
Interest rate swaptions	—			—			—			(176		)	—		(176		)
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives	—			—			(655		)	19			819		183
Options	—			—			—			470			—		470
Futures contracts	(5,837		)	—			—			—			—		(5,837		)
Total	$	(6,425	)	$	(58,600	)	$	1,021		$	(10,519	)	$	2,993	$	(71,530	)
Three months ended June 30, 2018
Interest rate swaps	$	24		$	21,634		$	211		$	2,177		$	833	$	24,879
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives	—			—			(783		)	(96		)	1,011		132
Options	(100		)	—			—			88			—		(12		)
Futures contracts	614			—			—			2,567			—		3,181
Credit default swaps	(23		)	—			—			66			—		43
TBAs	801			—			—			(534		)	—		267
Total	$	1,316		$	21,634		$	(572	)	$	4,268		$	1,844	$	28,490

(1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.

Other, net

For the three months ended June 30, 2019 and June 30, 2018, "Other, net" was income of $532 thousand and an expense of $145 thousand, respectively. The balance is mainly comprised of income on cash balances, miscellaneous net interest income (expense) on cash collateral for our repurchase agreements and derivatives and miscellaneous fees collected on residential mortgage loans.

Expenses

Management Fee Expense

We incurred management fee expense of approximately $1.8 million and $2.3 million for the three months ended June 30, 2019 and June 30, 2018, respectively.  Pursuant to the terms of the Management Agreement, our Manager is paid a management fee equal to 1.5% per annum of our stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. The decrease was mainly attributable to the realized losses on our interest rate swaps and investments which decreased our stockholders' equity utilized to calculate our management fee.

The management fees, expense reimbursements and the relationship between our Manager and us are discussed further in Note 10, “Related Party Transactions” to the financial statements contained in this Quarterly Report on Form 10-Q.

Other Operating Expenses

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We incurred other operating expenses of approximately $1.3 million and $1.6 million for the three months ended June 30, 2019 and June 30, 2018, respectively. Other operating cost is comprised of derivative transaction costs, custody, and asset management/loan servicing fees. The decrease was primarily a result of a smaller bridge loan portfolio, which were acquired servicing released, thereby decreasing the associated third party asset management/loan servicing fees by approximately $686 thousand. The decrease was partially offset by acquisition costs and third party asset management/loan servicing fees related to our Residential Whole-Loans and Commercial Loans, which were acquired servicing released.

General and Administrative Expenses

General and administrative expenses for the three months ended June 30, 2019 was $2.0 million, an increase of $209 thousand from $1.8 million for the three months ended June 30, 2018. The increase was attributable to accrued state and local nexus taxes.

Comparison of the six months ended June 30, 2019 to the six months ended June 30, 2018.

General

Our operating results mainly depend upon the difference between the yield on our investments, the cost of our borrowing, including our hedging activities, the composition and changes in market prices of our portfolio and our expenses. For the six months ended June 30, 2019, we generated net income of $38.5 million, or $0.78 per basic and diluted weighted common share, compared to net income of $23.2 million, or $0.55 per basic and diluted weighted common share, for the six months ended June 30, 2018. The increase in net income was attributable to the following: i) spread tightening resulting in an increase in value of across our portfolio, ii) generally higher yielding investments, and iii) a decrease in our management fees resulting from realized losses on our derivatives. The increase in net income was offset by the following: i) higher interest rates on our repurchase agreements in 2019, ii) higher costs associated with financing our credit-sensitive investments, which generally have higher interest rates, iii) losses on our derivative instruments, and iv) an increase in investment related expenses as a result of a larger portfolio of Residential Whole-Loans and Commercial Loans. The key components of these changes are discussed in greater detail below.

Net Interest Income

The following tables set forth certain information regarding our net interest income on our investment portfolio for the six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

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Six months ended June 30, 2019	Average Amortized Cost of Assets		Total Interest Income		Yield on Average Assets
Investments
Agency RMBS	$	126,247	$	2,391	3.82	%
Agency CMBS	1,375,870		22,767		3.34	%
Non-Agency RMBS	48,786		1,404		5.80	%
Non-Agency CMBS	186,093		8,525		9.24	%
Residential Whole Loans	1,177,591		28,866		4.94	%
Residential Bridge Loans	166,001		5,800		7.05	%
Commercial loans	291,442		11,780		8.15	%
Securitized commercial loans	911,021		21,708		4.81	%
Other securities	60,157		2,610		8.75	%
Total investments	$	4,343,208	$	105,851	4.91	%
	Average Carrying Value		Total Interest Expense		Average Cost of Funds(1)
Borrowings
Repurchase agreements	$	2,784,482	$	48,898	3.54	%
Convertible senior unsecured notes, net	110,444		4,540		8.29	%
Securitized debt	1,130,148		20,920		3.73	%
Total borrowings	$	4,025,074	$	74,358	3.73	%
Net interest income and net interest margin(2)			$	31,493	1.46	%

Six months ended June 30, 2018	Average Amortized Cost of Assets		Total Interest Income		Yield on Average Assets
Investments
Agency RMBS	$	603,982	$	9,946	3.32	%
Agency CMBS	2,165,493		31,973		2.98	%
Non-Agency RMBS	102,967		3,328		6.52	%
Non-Agency CMBS	320,561		14,387		9.05	%
Residential Whole Loans	301,786		6,745		4.51	%
Residential Bridge Loans	175,263		6,541		7.53	%
Commercial loans	26,435		1,044		7.96	%
Securitized commercial loan	715,742		18,146		5.11	%
Other securities	113,116		4,771		8.51	%
Total investments	$	4,525,345	$	96,881	4.32	%
	Average Carrying Value		Total Interest Expense		Average Cost of Funds(1)
Borrowings
Repurchase agreements	$	3,380,843	$	38,912	2.32	%
Convertible senior unsecured notes, net	109,127		4,519		8.35	%
Securitized debt	842,516		15,400		3.69	%
Total borrowings	$	4,332,486	$	58,831	2.74	%
Net interest income and net interest margin(2)			$	38,050	1.70	%

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(1) Average cost of funds does not include the interest expense related to our derivatives. In accordance with GAAP, such costs are included in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

(2) Since we do not apply hedge accounting, our net interest margin in this table does not reflect the benefit /cost of our interest rate swaps. See Non-GAAP Financial Measure section for net investment income table that includes the benefit/cost from our interest rate swaps.

Interest Income

For the six months ended June 30, 2019 and June 30, 2018, we earned interest income on our investments of approximately $105.9 million and $96.9 million, respectively.  The increase in interest income for the six months ended June 30, 2019 as compared to the six months ended June 30, 2018 was primarily the result of an overall larger and higher yielding investment portfolio. The repositioning of our portfolio from Agency securities to a more credit sensitive portfolio increased the weighted average yield on our investments to 4.91% for the three months ended June 30, 2019 from 4.32%, for the three months ended June 30, 2019 as compared to the three months ended June 30, 2018. Interest income on our credit sensitive investments increased by approximately $25.7 million, due to a larger investment portfolio. This increase was partially offset by reduction in interest income of $16.8 million on Agency RMBS and Agency CMBS due to a smaller average Agency portfolio. Our credit sensitive investments generated $80.7 million or 76.2% of our interest income. Under the current market conditions we expect to continue to increase our investments in Residential Whole Loans, Commercial Loans and opportunistically invest in Agency CMBS and Agency RMBS. We utilized the proceeds from the May 2019 secondary equity offering to acquire Agency RMBS, Agency CMBS, Non-Agency CMBS and a commercial loan.

Interest Expense

Interest expense increased from $58.8 million for the six months ended June 30, 2018 to $74.4 million for the six months ended June 30, 2019. The increase in our borrowing costs reflects generally higher interest rates on our repurchase agreements in 2019 coupled with higher costs associated with financing our credit-sensitive investments, which generally have higher interest rates (our average cost of funds on our repurchase agreements increased from 2.32% for the six months ended June 30, 2018 to 3.54% for the six months ended June 30, 2019). As of June 30, 2019, we have effectively hedged approximately 79.5% of our repurchase agreement debt by entering into interest rate swaps with a weighted average fixed rate of 2.4% for a weighted average term of 5.3 years (excludes forward starting swaps). However, since we do not apply hedge accounting the reduction in interest expense is reflected in "Gain (loss) on derivatives, net. In addition, in May of 2019, we issued $919.0 million of mortgage-backed notes in a securitization of $945.5 million of our Residential Whole Loans investments. These notes have a weighted average fixed interest rate of 3.425% per annum. All of the Notes are anticipated to have a final payment date in April 2049. We view the notes as a cheaper source of longer-term financing for our Residential Whole Loan portfolio.

Other income (loss), net

Realized gain (loss) on investments

Realized gain (loss) on investments represents the net gain (loss) on sales from our investment portfolio. Our Manager regularly reviews the characteristics of our portfolio and may make changes to our portfolio in order to adjust such portfolio characteristics in response to and/or anticipation of changing market conditions in an effort to achieve the appropriate risk reward ratio.  Accordingly, we expect to continue to redeploy our capital into credit sensitive investments and opportunistically into Agency CMBS and Agency RMBS.

The following table presents the sales and realized gains (losses) of our investments for each of the six months ended June 30, 2019 and six months ended June 30, 2018 (dollars in thousands):

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	For the six months ended June 30, 2019										For the six months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)			Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS (1)	$	—	$	—	$	—		$	—		$	209,581	$	18	$	(4,531	)	$	(4,513	)
Agency CMBS	206,710		—		(4,189		)	(4,189		)	126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS (1)	—		—		—			—			51,958		3,114		—			3,114
Non-Agency CMBS	15,165		183		(854		)	(671		)	6,706		61		(436		)	(375		)
Other securities	—		—		—			—			21,757		1,757		—			1,757
Residential Bridge Loans(2)	—		35		(288		)	(253		)	—		—		—			—
Total	$	221,875	$	218	$	(5,331	)	$	(5,113	)	$	416,869	$	4,950	$	(9,983	)	$	(5,033	)

(1) Excludes Interest-Only Strips, accounted for as derivatives.

(2) Realized losses recognized on the final settlement of the loans.

Other than temporary impairment

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

The following table presents the other-than-temporary impairments we recorded on our securities portfolio (dollars in thousands): 

	Six months ended June 30, 2019		Six months ended June 30, 2018
Agency RMBS(1)	$	25	$	343
Non-Agency RMBS	1,177		110
Non-Agency CMBS	2,918		5,437
Other securities	407		—
Total	$	4,527	$	5,890

(1) Normally, unrealized losses on Agency securities (excluding Agency IOs) with explicit guarantee of principal and interest by the governmental sponsored entity are not credit losses but rather due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security.

Unrealized gain (loss), net

Our investments, and securitized debt, for which we have elected the fair value option are recorded at fair value with the periodic changes in fair value being recorded in earnings.  The change in unrealized gain (loss) is directly attributable to changes in market pricing on the underlying investments and securitized debt during the period. We experienced overall tighter spreads, which resulted in a significant increase in the value of our Agency MBS portfolio, which accounts for the majority of the increase in unrealized loss for the period.

The following table presents the net unrealized gains (losses) we recorded on our investments and securitized debt (dollars in thousands): 

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	Six months ended June 30, 2019			Six months ended June 30, 2018
Agency RMBS	$	6,151		$	(16,654	)
Agency CMBS	104,067			(87,470		)
Non-Agency RMBS	(477		)	(1,684		)
Non-Agency CMBS	(436		)	6,897
Residential Whole Loans	15,119			(1,241		)
Residential Bridge Loans	(386		)	(229		)
Commercial loans	164			416
Securitized commercial loans	1,921			10,870
Other securities	1,098			(269		)
Securitized debt	(2,051		)	(10,728		)
Other liabilities	225			(562		)
Total	$	125,395		$	(100,654	)

Gain (loss) on derivatives, net

In order to mitigate interest rate risk resulting from our repurchase agreement borrowings, we enter into a variety of derivative and non-derivative instruments. Our primary objective for acquiring these derivatives and non-derivative instruments is to mitigate our exposure to future events that are outside our control.    

The following table presents the components of gain (loss) on derivatives for the six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)			Total
Six months ended June 30, 2019
Interest rate swaps	$	(591	)	$	(96,438	)	$	3,204		$	(3,742	)	$	4,929		$	(92,638	)
Interest rate swaptions	—			—			—			(176		)	—			(176		)
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives	—			—			(1,250		)	(40		)	1,603			313
Options	—			—			—			470			—			470
Futures contracts	(10,340		)	—			—			4,657			—			(5,683		)
Credit default swaps	(589		)	—			—			(375		)	—			(964		)
Total	$	(11,520	)	$	(96,438	)	$	1,954		$	794		$	6,532		$	(98,678	)
Six months ended June 30, 2018
Interest rate swaps	$	19		$	97,864		$	292		$	2,245		$	(304	)	$	100,116
Agency and Non-Agency Interest-Only Strips— accounted for as derivatives	—			—			(1,974		)	(30		)	2,433			429
Options	(518		)	—			—			300			—			(218		)
Futures contracts	4,592			—			—			3,069			—			7,661
Credit default swaps	(42		)	—			—			51			—			9
TBAs	134			—			—			(59		)	—			75
Total	$	4,185		$	97,864		$	(1,682	)	$	5,576		$	2,129		$	108,072

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(1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received.

Other, net

For the six months ended June 30, 2019 and June 30, 2018, "Other, net" was an income of $768 thousand and an expense of $98 thousand, respectively. The balance is mainly comprised of miscellaneous net interest income (expense) on cash collateral for our repurchase agreements and derivatives and miscellaneous fees collected on residential mortgage loans.

Expenses

Management Fee Expense

We incurred management fee expense of approximately $3.6 million and $4.4 million for the six months ended June 30, 2019 and June 30, 2018, respectively.  Pursuant to the terms of the Management Agreement, our Manager is paid a management fee equal to 1.5% per annum of our stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. Although in May 2019, we completed a secondary public offering for net proceeds of approximately $49.3 million after subtracting underwriting commissions, the increase was offset by the realized losses on our interest rate swaps which resulted in a decrease in stockholders' equity that was utilized to calculate our management fee.

The management fees, expense reimbursements and the relationship between our Manager and us are discussed further in Note 10, “Related Party Transactions” to the financial statements contained in this Quarterly Report on Form 10-Q.

Other Operating Expenses

We incurred other operating expenses of approximately $2.9 million and $2.5 million for the six months ended June 30, 2019 and June 30, 2018, respectively. Other operating cost is comprised of derivative transaction costs, custody, and asset management/loan servicing fees. The increase was primarily a result of acquisition costs and third party asset management/loan servicing fees related to our Residential Whole-Loans and Commercial Loans, which were acquired servicing released.

General and Administrative Expenses

General and administrative expenses were flat period over period for the six months ended June 30, 2019 compared to the six months ended June 30, 2018.

Non-GAAP Financial Measures

We believe that our non-GAAP measures (described below), when considered with GAAP, provide supplemental information useful to investors in evaluating the results of our operations. Our presentations of such non-GAAP measures may not be comparable to similarly-titled measures of other companies, who may use different calculations. As a result, such non-GAAP measures should not be considered as substitutes for our GAAP net income, as measures of our financial performance or any measure of our liquidity under GAAP.

Core Earnings

Core Earnings is a non-GAAP financial measure that is used by us to approximate cash yield or income associated with our portfolio and is defined as GAAP net income (loss) as adjusted, excluding: (i) net realized gain (loss) on investments and termination of derivative contracts; (ii) net unrealized gain (loss) on investments; (iii) net unrealized gain (loss) resulting from mark-to-market adjustments on derivative contracts; (iv) other than temporary impairment; (v) provision for income taxes; (vi) non-cash stock-based compensation expense; (vii) non-cash amortization of the convertible senior unsecured notes discount; (viii) one-time charges such as acquisition costs and impairment on loans; and (ix) one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between us, our Manager and our independent directors and after approval by a majority of the our independent directors.

We utilize Core Earnings as a key metric to evaluate the effective yield of the portfolio. Core Earnings allows us to reflect the net investment income of our portfolio as adjusted to reflect the net interest rate swap interest expense.  Core Earnings allows

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us to isolate the interest expense associated with our interest rate swaps in order to monitor and project our borrowing costs and interest rate spread.

The table below reconciles Net Income (Loss) to Core Earnings for the three and six months ended June 30, 2019 and June 30, 2018:

(dollars in thousands)	Three months ended June 30, 2019			Three months ended June 30, 2018			Six months ended June 30, 2019			Six months ended June 30, 2018
Net Income	$	10,614		$	1,453		$	38,490		$	23,182
Income tax provision	478			36			490			349
Net Income before income taxes	11,092			1,489			38,980			23,531
Adjustments:
Investments:
Unrealized (gain) loss on investments, securitized debt and other liabilities	(74,614		)	31,693			(125,395		)	100,654
Other than temporary impairment	3,295			2,974			4,527			5,890
Realized (gain) loss on sale of investments	8			5,608			5,113			5,033
One-time transaction costs	130			163			399			204
Derivative Instruments:
Net realized (gain) loss on derivatives	65,025			(22,973		)	107,910			(102,091		)
Net unrealized (gain) loss on derivatives	10,519			(4,268		)	(794		)	(5,576		)
Amortization of discount on convertible senior unsecured notes	138			138			275			275
Non-cash stock-based compensation expense	165			50			235			125
Total adjustments	4,666			13,385			(7,730		)	4,514
Core Earnings	$	15,758		$	14,874		$	31,250		$	28,045

Alternatively, our Core Earnings can also be derived as presented in the table below by starting with Adjusted net interest income, which includes interest income on Interest-Only Strips accounted for as derivatives and other derivatives, and net interest expense incurred on interest rate swaps and foreign currency swaps and forwards (a Non-GAAP financial measure) subtracting Total expenses, adding Non-cash stock based compensation, adding one-time transaction costs, adding amortization of discount on convertible senior notes and adding interest income on cash balances and other income (loss), net:

(dollars in thousands)	Three months ended June 30, 2019			Three months ended June 30, 2018			Six months ended June 30, 2019			Six months ended June 30, 2018
Adjusted net interest income	$	19,874		$	20,292		$	39,979		$	38,497
Total expenses	(5,081		)	(5,601		)	(10,358		)	(10,916		)
Non-cash stock-based compensation	165			50			235			125
One-time transaction costs	130			163			399			204
Amortization of discount on convertible unsecured senior notes	138			138			275			275
Interest income on cash balances and other income (loss), net	532			(168		)	720			(140		)
Core Earnings	$	15,758		$	14,874		$	31,250		$	28,045

Net Interest Income and Net Interest Margin

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The following tables set forth certain information regarding our net investment income for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

Three Months Ended June 30, 2019	Average Amortized Cost of Assets(1)			Total Interest Income(2)			Yield on Average Assets
Investments
Agency RMBS	$	245,206		$	2,314		3.79	%
Agency CMBS	1,414,206			11,859			3.36	%
Non-Agency RMBS	48,051			674			5.63	%
Non-Agency CMBS	184,379			4,490			9.77	%
Residential Whole Loans	1,234,272			14,881			4.84	%
Residential Bridge Loans	131,955			2,144			6.52	%
Commercial loans	302,389			6,160			8.17	%
Securitized commercial loans	890,502			10,148			4.57	%
Other securities	63,453			1,312			8.29	%
Total investments	4,514,413			53,982			4.80	%
Adjustments:
Securitized commercial loans from consolidated VIEs	(890,502		)	(10,148		)	4.57	%
Investments in consolidated VIEs eliminated in consolidation	80,206			1,806			9.03	%
Adjusted total investments	$	3,704,117		$	45,640		4.94	%
	Average Carrying Value			Total Interest Expense(3)			Average Effective Cost of Funds
Borrowings
Repurchase agreements	$	2,810,510		$	23,925		3.41	%
Convertible senior unsecured notes, net	110,609			2,270			8.23	%
Securitized debt	1,380,415			11,763			3.42	%
Interest rate swaps	n/a			(3,850		)	(0.36	)%
Total borrowings	4,301,534			34,108			3.18	%
Adjustments:
Securitized debt from consolidated VIEs(4)	(773,592		)	(8,215		)	4.26	%
Adjusted total borrowings	$	3,527,942		$	25,893		2.94	%
Adjusted net interest income and net interest margin				$	19,747		2.14	%

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Three Months Ended June 30, 2018	Average Amortized Cost of Assets(1)			Total Interest Income(2)			Yield on Average Assets
Investments
Agency RMBS	$	545,745		$	4,266		3.14	%
Agency CMBS	2,161,268			15,908			2.95	%
Non-Agency RMBS	112,521			1,776			6.33	%
Non-Agency CMBS	339,034			7,678			9.08	%
Residential Whole Loans	328,669			3,705			4.52	%
Residential Bridge Loans	229,453			4,190			7.32	%
Commercial loans	41,092			818			7.98	%
Securitized commercial loans	1,324,767			16,664			5.05	%
Other securities	112,916			2,377			8.44	%
Total investments	5,195,465			57,382			4.43	%
Adjustments:
Securitized commercial loans from consolidated VIEs	(1,324,767		)	(16,664		)	5.05	%
Investments in consolidated VIEs eliminated in consolidation	79,584			2,210			11.14	%
Adjusted total investments	$	3,950,282		$	42,928		4.36	%
	Average Carrying Value			Total Interest Expense(3)			Average Effective Cost of Funds
Borrowings
Repurchase agreements	$	3,425,977		$	21,523		2.52	%
Convertible senior unsecured notes, net	109,291			2,271			8.33	%
Securitized debt	1,245,722			14,340			4.62	%
Interest rate swaps	n/a			(1,044		)	(0.09	)%
Total borrowings	4,780,990			37,090			3.11	%
Adjustments:
Securitized debt from consolidated VIEs	(1,245,722		)	(14,340		)	4.62	%
Adjusted total borrowings	$	3,535,268		$	22,750		2.58	%
Adjusted net interest income and net interest margin				$	20,178		2.05	%

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Six Months Ended June 30, 2019	Average Amortized Cost of Assets(1)			Total Interest Income(2)			Yield on Average Assets
Investments
Agency RMBS	$	132,785		$	2,688		4.08	%
Agency CMBS	1,380,176			22,823			3.33	%
Non-Agency RMBS	48,786			1,404			5.80	%
Non-Agency CMBS	186,093			8,525			9.24	%
Residential Whole-Loans	1,177,591			28,866			4.94	%
Residential Bridge Loans	166,001			5,800			7.05	%
Commercial loans	291,442			11,780			8.15	%
Securitized commercial loans	911,021			21,708			4.81	%
Other securities	60,157			2,610			8.75	%
Total investments	4,354,052			106,204			4.92	%
Adjustments:
Securitized commercial loans from consolidated VIEs	(911,021		)	(21,708		)	4.81	%
Investments in consolidated VIEs eliminated in consolidation	68,709			3,396			9.97	%
Adjusted total investments	$	3,511,740		$	87,892		5.05	%
	Average Carrying Value			Total Interest Expense(3)			Average Effective Cost of Funds
Borrowings
Repurchase agreements	$	2,784,482		$	48,898		3.54	%
Convertible senior unsecured notes, net	110,444			4,540			8.29	%
Securitized debt	1,130,148			20,920			3.73	%
Interest rate swaps	n/a			(8,133		)	(0.41	)%
Total borrowings	4,025,074			66,225			3.32	%
Adjustments:
Securitized debt from consolidated VIEs(4)	(826,737		)	(17,372		)	4.24	%
Adjusted total borrowings	$	3,198,337		$	48,853		3.08	%
Adjusted net interest income and net interest margin				$	39,039		2.24	%

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Six Months Ended June 30, 2018	Average Amortized Cost of Assets(1)			Total Interest Income(2)			Yield on Average Assets
Investments
Agency RMBS	$	612,853		$	10,290		3.39	%
Agency CMBS	2,171,439			32,088			2.98	%
Non-Agency RMBS	102,967			3,328			6.52	%
Non-Agency CMBS	320,561			14,387			9.05	%
Residential Whole-Loans	301,786			6,745			4.51	%
Residential Bridge Loans	175,263			6,541			7.53	%
Commercial loans	26,435			1,044			7.96	%
Securitized commercial loans	715,742			18,146			5.11	%
Other securities	113,116			4,771			8.51	%
Total investments	4,540,162			97,340			2.87	%
Adjustments:
Securitized commercial loans from consolidated VIEs	(715,742		)	(18,146		)	5.11	%
Investments in consolidated VIEs eliminated in consolidation	48,787			2,626			10.85	%
Adjusted total investments	$	3,873,207		$	81,820		4.26	%
	Average Carrying Value			Total Interest Expense(3)			Average Effective Cost of Funds
Borrowings
Repurchase agreements	$	3,380,843		$	38,912		2.32	%
Convertible senior unsecured notes, net	109,127			4,519			8.35	%
Securitized debt	842,516			15,400			3.69	%
Interest rate swaps	n/a			12			—	%
Total borrowings	4,332,486			58,843			2.74	%
Adjustments:
Securitized debt from consolidated VIEs	(842,516		)	(15,400		)	3.69	%
Adjusted total borrowings	$	3,489,970		$	43,443		2.51	%
Adjusted net interest income and net interest margin				$	38,377		2.00	%

(1) Includes Agency and Non-Agency Interest-Only Strips accounted for as derivatives.

(2) Refer to below table for components of interest income.

(3) Includes the net amount paid, including accrued amounts and premium amortization for MAC interest rate swaps during the periods included in gain/loss on derivative instruments for GAAP.

(4) Includes only the third-party sponsored securitized debt from RETL Trust and CMSC Trust.

The following table reconciles total interest income to adjusted interest income, which includes interest income on Agency and Non-Agency Interest-Only Strips classified as derivatives (Non-GAAP financial measure) for the three and six months ended June 30, 2019 and June 30, 2018:

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(dollars in thousands)	Three months ended June 30, 2019			Three months ended June 30, 2018			Six months ended June 30, 2019			Six months ended June 30, 2018
Coupon interest income:
Agency RMBS	$	2,795		$	5,796		$	3,666		$	12,920
Agency CMBS	12,567			15,943			23,556			31,941
Non-Agency RMBS	1,385			2,057			2,592			3,477
Non-Agency CMBS	3,168			5,170			6,279			9,983
Residential Whole Loans	15,745			3,990			29,927			7,250
Residential Bridge Loans	2,360			4,799			6,468			7,284
Commercial loans	5,812			781			11,224			1,000
Securitized commercial loans	10,890			17,327			22,892			18,809
Other Securities	3,070			4,180			5,959			7,936
Subtotal coupon interest	57,792			60,043			112,563			100,600
Premium accretion, discount amortization and amortization of basis, net:
Agency RMBS	(620		)	(1,705		)	(1,275		)	(2,974		)
Agency CMBS	(733		)	(88		)	(789		)	32
Non-Agency RMBS	(711		)	(281		)	(1,188		)	(149		)
Non-Agency CMBS	1,322			2,508			2,246			4,404
Residential Whole Loans	(864		)	(285		)	(1,061		)	(505		)
Residential Bridge Loans	(216		)	(609		)	(668		)	(743		)
Commercial loans	348			37			556			44
Securitized commercial loans	(742		)	(663		)	(1,184		)	(663		)
Other Securities	(1,758		)	(1,803		)	(3,349		)	(3,165		)
Subtotal accretion and amortization	(3,974		)	(2,889		)	(6,712		)	(3,719		)
Interest income	$	53,818		$	57,154		$	105,851		$	96,881
Contractual interest income, net of amortization of basis on Agency and Non-Agency Interest-Only Strips, classified as derivatives(1):
Coupon interest income	$	819		$	1,011		$	1,603		$	2,433
Amortization of basis	(655		)	(783		)	(1,250		)	(1,974		)
Subtotal	164			228			353			459
Total adjusted interest income	$	53,982		$	57,382		$	106,204		$	97,340

(1) Reported in "Gain (loss) on derivative instruments, net" in our Consolidated Statements of Operations.

Effective Cost of Funds includes the net interest component related to our interest rate swaps, as well as the impact of our foreign currency swaps and forwards. While we have not elected hedge accounting for these instruments, such derivative instruments are viewed by us as an economic hedge against increases in future market interest rates on our liabilities and changes in foreign currency exchange rates on our assets and liabilities and are characterized as hedges for purposes of satisfying the REIT requirements and therefore the Effective Cost of Funds reflects interest expense adjusted to include the realized gain/loss (i.e., the interest income/expense component) for all of our interest rate swaps and the impact of our foreign currency swaps and forwards.

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The following table reconciles the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for the three and six months ended June 30, 2019 and June 30, 2018:

	Three months ended June 30, 2019					Three months ended June 30, 2018					Six months ended June 30, 2019					Six months ended June 30, 2018
(dollars in thousands)	Reconciliation			Cost of Funds/ Effective Borrowing Costs		Reconciliation			Cost of Funds/ Effective Borrowing Costs		Reconciliation			Cost of Funds/ Effective Borrowing Costs		Reconciliation			Cost of Funds/ Effective Borrowing Costs
Interest expense	$	37,958		3.54	%	$	38,134		3.20	%	$	74,358		3.73	%	$	58,831		2.74	%
Adjustments:
Interest expense on Securitized debt from consolidated VIEs	(8,215		)	(4.26	)%	(14,340		)	(4.62	)%	(17,372		)	(4.24	)%	(15,400		)	(3.69	)%
Net interest (received) paid - interest rate swaps	(3,850		)	(0.36	)%	(1,044		)	(0.09	)%	(8,133		)	(0.41	)%	12			—	%
Effective Borrowing Costs	$	25,893		2.94	%	$	22,750		2.58	%	$	48,853		3.08	%	$	43,443		2.51	%
Weighted average borrowings	$	3,527,942				$	3,535,268				$	3,198,337				$	3,489,970

Liquidity and Capital Resources

General

Liquidity is a measure of our ability to meet potential cash requirements, including ongoing commitments to repay borrowings, fund and maintain our assets and operations, make distributions to our stockholders, and other general business needs.  To maintain our REIT qualifications under the Internal Revenue Code, we must distribute annually at least 90% of our taxable income, excluding capital gains and, such distributions requirements limit our ability to retain earnings and increase capital for operations. We believe that our significant capital resources and access to financing will provide us with financial flexibility at levels sufficient to meet current and anticipated capital requirements, including funding new investment opportunities, paying distributions to our stockholders and servicing our debt obligations.

Our liquidity and capital resources are managed on a daily basis to ensure that we have sufficient liquidity to absorb market events that could negatively impact collateral valuations and result in margin calls as well as to ensure that we have the flexibility to manage our investment portfolio to take advantage of market opportunities. As of June 30, 2019, our principal sources of cash consist of borrowings under repurchase agreements, payments of principal and interest on our investment portfolio and cash generated from operations and, if market conditions permit, secondary public stock offerings.

As part of our risk management process, our Manager closely monitors our liquidity position. This includes the development and evaluation of various alternative processes and procedures, which continue to be updated with regard to scenario testing for purposes of assessing our liquidity in the face of different economic and market developments.  We believe we have sufficient current liquidity and access to additional liquidity to meet financial obligations for at least the next 12 months.

Sources of Liquidity

Principal Sources of Cash

We held cash of approximately $81.8 million and $16.3 million at June 30, 2019 and June 30, 2018, respectively. Our primary sources of cash currently consist of repurchase agreement borrowings, investment income, principal repayments on investments and the proceeds from debt and equity offerings, to the extent available in the capital markets. In the future, we expect our primary sources of liquidity to consist of payments of principal and investment income, unused borrowing capacity under our financing sources and future issuances of equity and debt securities.

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Repurchase Agreements

As of June 30, 2019, we had 33 master repurchase agreements with our counterparties.  We had borrowings under 18 of the 33 master repurchase agreements of approximately $3.0 billion at June 30, 2019.  The following tables present our repurchase agreement borrowings by type of collateral pledged, as of June 30, 2019 and June 30, 2018, and the respective effective cost of funds (Non-GAAP financial measure) for the three and six months ended June 30, 2019 and June 30, 2018, respectively.  See “Non-GAAP Financial Measures” (dollars in thousands):

	June 30, 2019						Three months ended June 30, 2019				Six months ended June 30, 2019
Collateral	Borrowings Outstanding		Value of Collateral Pledged		Weighted Average Interest Rate end of period		Weighted Average Cost of Funds		Weighted Average Effective Cost of Funds  (Non-GAAP)(1)		Weighted Average Cost of Funds		Weighted Average Effective Cost of Funds (Non-GAAP)(1)		Weighted Average Haircut end of period
Agency RMBS, at fair value	$	573,771	$	604,384	2.65	%	2.70	%	2.70	%	2.73	%	2.73	%	4.63	%
Agency CMBS, at fair value	1,673,902		1,783,953		2.62	%	2.69	%	2.69	%	2.72	%	2.72	%	5.02	%
Non-Agency RMBS, at fair value	11,488		14,435		3.86	%	4.09	%	4.09	%	4.16	%	4.16	%	22.74	%
Non-Agency CMBS, at fair value	146,629		200,511		3.79	%	3.99	%	3.99	%	4.08	%	4.08	%	24.40	%
Residential Whole Loans, at fair value(2)	238,546		247,539		3.66	%	4.22	%	4.22	%	4.27	%	4.27	%	5.25	%
Residential Bridge Loans(2)	89,241		90,606		4.59	%	4.71	%	4.71	%	4.73	%	4.73	%	20.00	%
Commercial loans, at fair value	194,821		292,032		4.65	%	5.00	%	5.00	%	5.17	%	5.17	%	33.08	%
Securitized commercial loan, at fair value(2)	19,708		23,187		3.28	%	3.63	%	3.63	%	3.81	%	3.81	%	15.00	%
Other securities, at fair value	53,114		76,483		3.93	%	4.12	%	4.12	%	4.22	%	4.22	%	29.29	%
Interest rate swaps	n/a		n/a		n/a		n/a		(0.55	)%	n/a		(0.59	)%	n/a
Total	$	3,001,220	$	3,333,130	2.99	%	3.41	%	2.87	%	3.54	%	2.95	%	8.75	%

(1) The effective cost of funds for the period presented is calculated on an annualized basis and includes interest expense for the period and net periodic interest payments on interest rate swaps, net of premium amortization on MAC swaps, of approximately $3.9 million and $8.1 million received for the three and six months ended June 30, 2019.  While interest rate swaps are not accounted for using hedge accounting, such instruments are viewed by us as an economic hedge against increases in interest rates on our liabilities and are treated as hedges for purposes of satisfying the REIT requirements.  See “Non-GAAP Financial Measures”.

(2) Repurchase agreement borrowings collateralized by Whole Loans, Bridge Loans and securitized commercial loans owned through trust certificates.  The trust certificates are eliminated upon consolidation.

	June 30, 2018						Three months ended June 30, 2018				Six months ended June 30, 2018
Collateral	Borrowings Outstanding		Fair Value of Collateral Pledged (1)		Weighted Average Interest Rate end of period		Weighted Average Cost of Funds		Weighted Average Effective Cost of Funds (Non-GAAP)(2)		Weighted Average Cost of Funds		Weighted Average Effective Cost of Funds (Non-GAAP)(2)		Weighted Average Haircut end of period
Agency RMBS	$	404,498	$	423,418	2.18	%	2.02	%	2.02	%	1.85	%	1.85	%	4.62	%
Agency CMBS	1,923,906		2,017,265		2.21	%	1.96	%	1.96	%	1.84	%	1.84	%	5.02	%
Non-Agency RMBS	73,152		101,190		3.71	%	3.59	%	3.59	%	3.38	%	3.38	%	28.01	%
Non-Agency CMBS	249,055		331,162		3.77	%	3.67	%	3.67	%	3.52	%	3.52	%	24.76	%
Residential Whole Loans, at fair value(3)	268,100		335,149		3.86	%	4.25	%	4.25	%	4.22	%	4.22	%	20.00	%
Residential Bridge Loans(3)	256,488		259,339		4.32	%	4.48	%	4.48	%	4.58	%	4.58	%	20.00	%
Commercial loans, at fair value	12,321		20,515		4.83	%	4.72	%	4.72	%	4.70	%	4.70	%	40.00	%
Securitized commercial loan, at fair value(3)	7,620		13,855		3.94	%	3.84	%	3.84	%	3.83	%	3.83	%	45.00	%
Other securities, at fair value	72,229		107,864		3.97	%	3.80	%	3.80	%	3.57	%	3.57	%	32.89	%
Interest rate swaps	n/a		n/a		n/a		n/a		(0.12	)%	n/a		—	%	n/a
Total	$	3,267,369	$	3,609,757	2.71	%	2.52	%	2.40	%	2.32	%	2.32	%	10.24	%

(1) Excludes approximately $9.7 million of cash collateral posted.

(2) The effective cost of funds for the period presented is calculated on an annualized basis and includes interest expense for the period and net periodic interest payments on interest rate swaps, net of premium amortization on MAC swaps, of approximately $1.0 million and $12 thousand for the three and six months ended June 30, 2018.  While interest rate swaps are not accounted for using hedge accounting, such instruments are viewed by us as an economic hedge against increases in interest rates on our liabilities and are treated as hedges for purposes of satisfying the REIT requirements.  See “Non-GAAP Financial Measures”.

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(3) Repurchase agreement borrowings collateralized by Whole Loans, Bridge Loans and securitized commercial loan owned through trust certificates.  The trust certificates are eliminated upon consolidation.

We are also required to pledge cash or securities as collateral as part of a margin arrangement for our derivative contracts, calculated daily, subject either to the terms of individual agreements for bilateral agreements and the clearinghouse rules in the case of cleared swaps. The amount of margin that we are required to post will vary and generally reflects collateral posted with respect to swaps that are in an unrealized loss position to us and a percentage of the aggregate notional amount of swaps per counterparty as well as margin posted with our clearing broker, pursuant to clearinghouse rules and practices, for cleared swaps.  Conversely, if our bilateral swaps and swaptions are in an unrealized gain position, our counterparties are required to post collateral with us, under the same terms that we post collateral with them.  We may enter into a MAC interest rate swap in which we may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap.  Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements.

At-The-Market Program

In April 2017, we entered into an equity distribution agreement with JMP Securities LLC, or "JMP", under which we may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering from time to time through JMP. As of June 30, 2019, we have not sold any shares under this agreement.    

Secondary Public Offering    

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

Cash Generated from Operations

For the six months ended June 30, 2019, net cash used in operating activities was approximately $74.3 million, this was primarily attributable to the net interest income we earned on our investments less operating expenses, general and administrative expenses and margin settlements of interest rate swaps. For the six months ended June 30, 2018, net cash from operating activities was approximately $110.1 million, this was primarily attributable to net interest income we earned on our investments less operating expenses, general and administrative expenses and margin settlements of interest rate swaps. The change period over period was mainly attributable to the settlement of interest rate swaps.

Cash Provided by and Used in Investing Activities

For the six months ended June 30, 2019, net cash used in investing activities was approximately $724.2 million. This was primarily attributable to investment acquisitions, including an investment from a consolidated CMBS VIE, which was partially offset by proceeds from sales and receipts of principal payments and payoffs on our investments investment. For the six months ended June 30, 2018, net cash used in investing activities was approximately $1.4 billion. The change period over period was mainly attributable to a decrease in investment acquisition coupled with an increase in proceeds from payoffs and principal payments on our investments.

Cash Provided by and Used in Financing Activities

For the six months ended June 30, 2019, net cash provided by financing activities was approximately $889.6 million. This was attributable to net proceeds from financings during the quarter and a secondary public offering. Our net cash provided by financing activities was partially offset by dividends paid on our common stock. For the six months ended June 30, 2018, net cash provided by financing activities was approximately $1.3 billion.  The change period over period was mainly attributable the payoff of the securitized debt related to a consolidated CMBS VIE, which was partially offset by the issuance of mortgage-backed notes in second quarter of 2019 coupled the securitized debt associated with the consolidation of a new CMBS VIE.

Contractual Obligations and Commitments

Our contractual obligations as of June 30, 2019 are as follows (dollars in thousands):

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	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
Borrowings under repurchase agreements	$	2,951,958	$	49,262	$	—	$	—	$	3,001,220
Contractual interest on repurchase agreements	18,392		3,486		—		—		21,878
Convertible senior unsecured notes	—		—		115,000		—		115,000
Contractual interest on convertible senior unsecured notes	7,763		15,525		3,881		—		27,169
Securitized debt(2)	—		717,201		—		901,478		1,618,679
Contractual interest on securitized debt(3)	60,999		84,063		62,713		778,126		985,901
Investment related payables	99,534		—		—		—		99,534
Total	$	3,138,646	$	869,537	$	181,594	$	1,679,604	$	5,869,381

(1) The table above does not include amounts due under the Management Agreement (as defined herein) with our Manager, as those obligations do not have fixed and determinable payments.

(2) The securitized debt is non-recourse to us from consolidated VIEs and can only be settled with the securitized loans with a principal balance of $1.7 billion held in the securitization. Assumes entire outstanding principal balance at June 30, 2019 is paid at maturity.

(3) For variable rate debt, the one month LIBOR rate as of June 30, 2019 of 2.4% was used to calculate the contractual interest.

Management Agreement

On May 9, 2012, we entered into a management agreement (the “Management Agreement”) with our Manager which describes the services to be provided by our Manager and compensation for such services. Our Manager is responsible for managing our operations, including: (i) performing all of our day-to-day functions; (ii) determining investment criteria in conjunction with our Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of our Board of Directors. Pursuant to the terms of the Management Agreement, our Manager is paid a management fee equal to 1.50% per annum of our stockholders’ equity, (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears.

Off-Balance Sheet Arrangements

We do not have any relationships with any entities or financial partnerships, such as entities often referred to as structured investment vehicles, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes.

Further, other than guaranteeing certain obligations of our wholly-owned taxable REIT subsidiary or TRS and the obligations of our wholly-owned subsidiary, WMC CRE LLC, we have not guaranteed any obligations of any entities or entered into any commitment to provide additional funding to any such entities.

Dividends

We intend to make regular quarterly dividend distributions to holders of our common stock.  U.S. federal income tax law generally requires that a REIT distribute annually, in accordance with the REIT regulations, at least 90% of its REIT taxable income for the taxable year, without regard to the deduction for dividends paid and excluding net capital gains as well as undistributed taxable income retained by a TRS.  To the extent that we distribute less than 100% of our net taxable income, in accordance with the REIT regulations, for any given year, we will pay tax on such amount at the regular corporate rates.  We intend to pay regular quarterly dividends to our stockholders based on our net taxable income, if and to the extent authorized by our Board of Directors.  Before we pay any dividend, whether for U.S. federal income tax purposes or otherwise, we must first meet both our operating requirements and debt service on our repurchase agreements and other debts payable.  If our cash available for distribution is less than our net taxable income, we could be required to sell assets or borrow funds to make cash distributions or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities.

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ITEM 3.    Quantitative and Qualitative Disclosures about Market Risk.

We seek to manage the risks related to the credit quality of our assets, interest rates, liquidity, prepayment speeds and market values while, at the same time, seeking to provide an opportunity to stockholders to realize attractive risk-adjusted returns from our assets through ownership of our common stock. While we do not seek to avoid risk completely, our Manager seeks to actively manage risk for us, to earn sufficient compensation to justify taking those risks and to maintain capital levels consistent with the risks we undertake.

Credit Risk

We are subject to varying degrees of credit risk in connection with our assets. Although we do not expect to encounter credit risk in our Agency CMBS, we are exposed to the risk of potential credit losses from general credit spread widening related to Non-Agency RMBS, Non-Agency CMBS, Residential Whole Loan, Residential Bridge Loans, Commercial Loans and other portfolio investments in addition to unexpected increase in borrower defaults on these investments, decisions are made following a bottom-up credit analysis and specific relevant risk assumptions. As part of the risk management process, our Manager uses detailed proprietary models, applicable to evaluate, depending on the asset class, house price appreciation and depreciation by region, prepayment speeds and foreclosure/default frequency, cost and timing. If our Manager determines that the proposed investment can meet the appropriate risk and return criteria as well as complement our existing asset portfolio, the investment will undergo a more thorough analysis.

As of June 30, 2019, 13 of the counterparties that we had outstanding repurchase agreement borrowings held collateral which we posted as security for such borrowings in excess of 5% of our stockholders’ equity.  Prior to entering into a repurchase agreement with any particular institution, our Manager does a thorough review of such potential counterparty.  Such review, however, does not assure the creditworthiness of such counterparty nor that the financial wherewithal of the counterparty will not deteriorate in the future.

Interest Rate Risk

Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. We are subject to interest rate risk in connection with our assets and our related financing obligations. In general, we expect to finance the acquisition of our assets through financings in the form of repurchase agreements, warehouse facilities, securitizations, bank credit facilities (including term loans and revolving facilities) and public and private equity and debt issuances in addition to transaction or asset specific funding arrangements. Subject to maintaining our qualification as a REIT for U.S. federal income tax purposes, we may utilize derivative financial instruments to hedge the interest rate risk associated with our borrowings. These hedging activities may not be effective. We also may engage in a variety of interest rate management techniques that seek to mitigate changes in interest rates or other potential influences on the values of our assets.

Interest Rate Effect on Net Interest Income

Our operating results will depend in large part on differences between the income earned on our assets and our borrowing costs. The cost of our borrowings is generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase and the yields earned on our leveraged fixed-rate mortgage assets will remain static. Further, the cost of such financing could increase at a faster pace than the yields earned on our leveraged ARM and hybrid ARM assets. This could result in a decline in our net interest spread and net interest margin. The severity of any such decline would depend on our asset/liability composition at the time as well as the magnitude and duration of the interest rate increase. Further, an increase in short-term interest rates could also have a negative impact on the market value of our assets. If any of these events happen, we could experience a decrease in net income or incur a net loss during these periods, which could adversely affect our liquidity and results of operations.

Interest Rate Cap Risk

To the extent we invest in adjustable-rate RMBS and Whole-Loans, such instruments may be subject to interest rate caps, which potentially could cause such instruments to acquire many of the characteristics of fixed-rate securities if interest rates were to rise above the cap levels. This issue is magnified to the extent we acquire ARM and hybrid ARM assets that are not based on

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mortgages which are fully indexed. In addition, ARM and hybrid ARM assets may be subject to periodic payment caps that result in some portion of the interest being deferred and added to the principal outstanding or a portion of the incremental interest rate increase being deferred. To the extent we invest in such ARM and/or hybrid ARM assets, we could potentially receive less cash income on such assets than we would need to pay the interest cost on our related borrowings. To mitigate interest rate mismatches, we may utilize the hedging strategies discussed above under “Interest Rate Risk.”

Interest Rate Effects on Fair value

Another component of interest rate risk is the effect that changes in interest rates will have on the market value of the assets that we acquire. We face the risk that the market value of our assets will increase or decrease at different rates than those of our liabilities, including our hedging instruments. See “Market Risk” below.

The impact of changing interest rates on fair value can change significantly when interest rates change materially. Therefore, the volatility in the fair value of our assets could increase significantly in the event interest rates change materially. In addition, other factors impact the fair value of our interest rate-sensitive investments and hedging instruments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions. Accordingly, changes in actual interest rates may have a material adverse effect on us.

Market Risk

Our MBS and other assets are reflected at their fair value with unrealized gains and losses included in earnings. The fair value of our investments fluctuates primarily due to changes in interest rates and other factors. Generally, in a rising interest rate environment, the fair value of these assets would be expected to decrease; conversely, in a decreasing interest rate environment, the fair value of these securities would be expected to increase.

The sensitivity analysis table presented below shows the estimated impact of an instantaneous parallel shift in the yield curve, up and down 50 and 100 basis points, on the market value of our interest rate-sensitive investments, including interest rate swaps, Interest-Only Strips, and net interest income at June 30, 2019, assuming a static portfolio of assets. When evaluating the impact of changes in interest rates, prepayment assumptions and principal reinvestment rates are adjusted based on our Manager’s expectations. The analysis presented utilizes our Manager’s assumptions, models and estimates, which are based on our Manager’s judgment and experience.

Change in Interest Rates	Percentage Change in Projected Net Interest Income		Percentage Change in Projected Portfolio Value
+1.00%	3.51	%	(1.47	)%
+0.50%	2.31	%	(0.55	)%
-0.50%	(3.27	)%	0.21	%
-1.00%	(7.15	)%	0.33	%

While the table above reflects the estimated immediate impact of interest rate increases and decreases on a static portfolio, we may rebalance our portfolio from time to time either to seek to take advantage of or reduce the impact of changes in interest rates. It is important to note that the impact of changing interest rates on market value and net interest income can change significantly when interest rates change beyond 100 basis points from current levels. Therefore, the volatility in the market value of our assets could increase significantly when interest rates change beyond amounts shown in the table above. In addition, other factors impact the market value of and net interest income from our interest rate-sensitive investments and derivative instruments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions. Accordingly, interest income would likely differ from that shown above and such difference might be material and adverse to our stockholders.

Certain assumptions have been made in connection with the calculation of the information set forth in the table above and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes.  The base interest rate scenario assumes interest rates at June 30, 2019.  The analysis presented utilizes assumptions and estimates based on our Manager’s judgment and experience.  Furthermore, while we generally expect to retain such assets and the associated interest rate risk, future purchases and sales of assets could materially change our interest rate risk profile.

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Prepayment Risk

The value of our Agency and Non-Agency RMBS and our Residential Whole Loans may be affected by prepayment rates on the underlying residential mortgage.  We acquire RMBS and Residential Whole Loans and anticipate that the underlying residential mortgages will prepay at a projected rate generating an expected yield.  If we purchase assets at a premium to par value, when borrowers prepay their residential mortgage loans faster than expected, the corresponding prepayments may reduce the expected yield on our residential mortgage assets because we will have to amortize the related premium on an accelerated basis and, in the case of Agency RMBS, other than interest-only strips, and certain other investment grade rated securities, we are required to make a retrospective adjustment to historical amortization.  Conversely, if we purchase assets at a discount to par value, when borrowers prepay their residential mortgage loans slower than expected, such decrease may reduce the expected yield on such assets because we will not be able to accrete the related discount as quickly as originally anticipated and, in the case of Agency RMBS, other than interest-only strips, and certain other investment grade rated securities, we will be required to make a retrospective adjustment to historical amortization.

The value of our Agency and Non-Agency CMBS, as well as Commercial Whole Loans, will also be affected by prepayment rates, however, commercial mortgages frequently limit the ability of the borrower to prepay, thereby providing a certain level of prepayment protection.  Common restrictions include yield maintenance and prepayment penalties, the proceeds of which are generally at least partially allocable to these securities, as well as defeasance.

Likewise, the value of our ABS and other structured securities will also be affected prepayment rates.  The collateral underlying such securities may, similar to most residential mortgages, allow the borrower to prepay at any time or, similar to commercial mortgages, limit the ability of the borrower to prepay by imposing lock-out provisions, prepayment penalties and/or make whole provisions.

Extension Risk

Most residential mortgage loans do not prohibit the partial or full prepayment of principal outstanding.  Accordingly, while the stated maturity of a residential mortgage loan may be 30 years, or in some cases even longer, historically the vast majority of residential mortgage loans are satisfied prior to their maturity date.  In periods of rising interest rates, borrowers have less incentive to refinance their existing mortgages and mortgage financing may not be as readily available.  This generally results in a slower rate of prepayments and a corresponding longer weighted average life for RMBS and Residential Whole Loans.  The increase, or extension, in weighted average life is commonly referred to as “Extension Risk” which can negatively impact our portfolio.  To the extent we receive smaller pre-payments of principal, we will have less capital to invest in new assets.  This is extremely detrimental in periods of rising interest rates as we will be unable to invest in new higher coupon investments and a larger portion of our portfolio will remain invested in lower coupon investments.  Further, our borrowing costs are generally short-term and, even if hedged, are likely to increase in a rising interest rate environment, thereby reducing our net interest margin.  Finally, to the extent we acquired securities at a discount to par, a portion of the overall return on such investments is based on the recovery of this discount.  Slower principal prepayments will result in a longer recovery period and a lower overall return on our investment.

Prepayment rates on Agency and Non-Agency CMBS, as well as Commercial Whole Loans, are generally less volatile than residential mortgage assets as commercial mortgages usually limit the ability of the borrower to prepay the mortgage prior to maturity or a period shortly before maturity.  Accordingly, extension risk for Agency and Non-Agency CMBS and Commercial Whole Loans is generally less than RMBS and Residential Whole Loans as it presumed that other than defaults (i.e. involuntary prepayments), most commercial mortgages will remain outstanding for the contractual term of the mortgage.

Prepayment rates on ABS and our other structured securities will be determined by the underlying collateral.  The extension risk of such securities will generally be less than residential mortgages, but greater than commercial mortgages.

Real Estate Risk

Residential and commercial property values are subject to volatility and may be adversely affected by a number of factors, including, but not limited to: national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors); local real estate conditions (such as the supply of housing stock); changes or continued weakness in specific industry segments; construction quality, age and design; demographic factors; and retroactive changes to building or

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similar codes. In addition, decreases in property values reduce the value of the collateral and the potential proceeds available to a borrower to repay our loans, which could also cause us to suffer losses.

Counterparty Risk

The following discussion on counterparty risk reflects how these transactions are structured, rather than how they are presented for financial reporting purposes.

When we engage in repurchase transactions, we generally sell securities to lenders (i.e., repurchase agreement counterparties) and receive cash from the lenders. The lenders are obligated to resell the same securities back to us at the end of the term of the transaction. Because the cash we receive from the lender when we initially sell the securities to the lender is less than the value of those securities (this difference is the haircut), if the lender defaults on its obligation to resell the same securities back to us, we could incur a loss on the transaction up to the amount of the haircut (assuming there was no change in the value of the securities).

If a counterparty to a bi-lateral interest rate swap cannot perform under the terms of the interest rate swap, we may not receive payments due under that agreement, and thus, we may lose any unrealized gain associated with the interest rate swap. We may also risk the loss of any collateral we have pledged to secure our obligations under interest rate swap if the counterparty becomes insolvent or files for bankruptcy. In the case of a cleared swap, if our clearing broker were to default, become insolvent or file for bankruptcy, we may also risk the loss of any collateral we have posted to the clearing broker unless we were able to transfer or “port” our positions and held collateral to another clearing broker. In addition, the interest rate swap would no longer mitigate the impact of changes in interest rates as intended.  Most of our interest swaps are currently cleared through a central clearing house which reduces but does not eliminate the aforementioned risks.  Also see “Liquidity Risk” below.

Prior to entering into a trading agreement or transaction with any particular institution where we take on counterparty risk, our Manager does a thorough review of such potential counterparty.  Such review, however, does not assure the creditworthiness of such counterparty nor that the financial wherewithal of the counterparty will not deteriorate in the future.

Funding Risk

We have financed a substantial majority of our assets with repurchase agreement financing. Over time, as market conditions change, in addition to these financings, we may use other forms of leverage. Changes in the regulatory environment, as well as, weakness in the financial markets, the residential mortgage markets, the commercial mortgage markets, the asset-backed securitization markets and the economy generally could adversely affect one or more of our potential lenders and could cause one or more of our potential lenders to be unwilling or unable to provide us with financing or to increase the costs of that financing.

Liquidity Risk

Our liquidity risk is principally associated with the financing of long-maturity assets with short-term borrowings in the form of repurchase agreements. Although the interest rate adjustments of these assets and liabilities fall within the guidelines established by our operating policies, maturities are not required to be, nor are they, matched.

Should the value of our assets pledged as collateral suddenly decrease, margin calls relating to our repurchase agreements could increase, causing an adverse change in our liquidity position. Our inability to post adequate collateral for a margin call by the counterparty could result in a condition of default under our repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by us, which may have a material adverse consequence on our business and results of operations.

In an instance of severe volatility, or where the additional stress on liquidity resulting from volatility is sustained over an extended period of time, we could be required to sell securities, possibly even at a loss to generate sufficient liquidity to satisfy collateral and margin requirements which could have a material adverse effect on our financial position, results of operations and cash flows.

Additionally, if one or more of our repurchase agreement counterparties chose not to provide on-going funding, our ability to finance would decline or exist at possibly less advantageous terms. Further, if we are unable to renew, replace or expand repurchase financing with other sources of financing on substantially similar terms, it may have a material adverse effect on our

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business, financial position, results of operations and cash flows, due to the long term nature of our investments and relatively short-term maturities of our repurchase agreements. As such, there is no assurance that we will always be able to roll over our repurchase agreements.

The costs associated with our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase while the yields earned on our existing portfolio of leveraged fixed-rate MBS and other fixed rate assets will remain static. Further, certain of our floating rate assets may contain annual or lifetime interest rate caps as well as limit the frequency or timing of changes to the underlying interest rate index. This could result in a decline in our net interest spread and net interest margin. The severity of any such decline would depend on our asset/liability composition at the time, as well as the magnitude and duration of the interest rate increase. Further, an increase in short-term interest rates could also have a negative impact on the market value of our assets. If any of these events happen, we could experience a decrease in net income or incur a net loss during these periods, which could have a material adverse effect on our liquidity and results of operations.

In addition, the assets that comprise our investment portfolio are not traded on a public exchange. A portion of these assets may be subject to legal and other restrictions on resale or will otherwise be less liquid than publicly-traded securities. The illiquidity of our assets may make it difficult for us to sell such assets if the need or desire arises, including in response to changes in economic and other conditions.  Recent regulatory changes have imposed new capital requirements and other restrictions on banks and other market intermediaries’ ability and desire to hold assets on their balance sheets and otherwise make markets in fixed income securities and other assets resulting in reduced liquidity in many sectors of the market.  This regulatory trend is expected to continue.  As a result of these developments, it may become increasingly difficult for us to sell assets in the market, especially in credit oriented sectors such as Non-Agency RMBS and CMBS, ABS and Whole Loans.

We enter into interest rate swaps to manage our interest rate risk. We are required to pledge cash or securities as collateral as part of a margin arrangement, calculated daily, in connection with the interest rate swaps. The amount of margin that we are required to post will vary and generally reflects collateral required to be posted with respect to interest rate swaps that are in an unrealized loss position to us and is generally based on a percentage of the aggregate notional amount of interest rate swaps per counterparty.  Margin calls could adversely affect our liquidity. Our inability to post adequate collateral for a margin call could result in a condition of default under our interest rate swap agreements, thereby resulting in liquidation of the collateral pledged by us, which may have a material adverse consequence on our business, financial position, results of operations and cash flows. Conversely, if our interest rate swaps are in an unrealized gain position, our counterparties to bilateral swaps are required to post collateral with us, under the same terms that we post collateral with them.  We generally enter into a MAC interest rate swap in which we receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap.  Similar to all other interest rate swaps, MAC interest rate swaps are subject to the margin requirements previously described.

Inflation

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors influence our performance far more so than does inflation. Changes in interest rates do not necessarily directly correlate with inflation rates or changes in inflation rates. Our consolidated financial statements are prepared in accordance with GAAP and our distributions will be determined by our Board of Directors consistent with our obligation to distribute to our stockholders at least 90% of our net taxable income on an annual basis, in accordance with the REIT regulations, in order to maintain our REIT qualification.  In each case, our activities and consolidated balance sheets are measured with reference to historical cost and/or fair market value without considering inflation.

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Foreign Investment risk

We have invested in non U.S. CMBS transactions and, in the future, we may make other investments in non U.S. issuers and transactions. These investments present certain unique risks, including those resulting from future political, legal, and economic developments, which could include favorable or unfavorable changes in currency exchange rates, exchange control regulations (including currency blockage), expropriation, nationalization, or confiscatory taxation of assets, adverse changes in investment capital or exchange control regulations (which may include suspension of the ability to transfer currency from a country), political changes, diplomatic developments, difficulty in obtaining and enforcing judgments against non U.S. entities, the possible imposition of the applicable country’s governmental laws or restrictions, and the reduced availability of public information concerning issuers. In the event of a nationalization, expropriation, or other confiscation of assets, we could lose our entire investment in a security. Legal remedies available to investors in certain jurisdictions may be more limited than those available to investors in the United States. Issuers of non U.S. securities may not be subject to the same degree of regulation as U.S. issuers.

Furthermore, non U.S. issuers are not generally subject to uniform accounting, auditing, and financial reporting standards or other regulatory practices and requirements comparable to those applicable to U.S. issuers. There is generally less government supervision and regulation of non U.S. exchanges, brokers, and issuers than there is in the United States, and there is greater difficulty in taking appropriate legal action in non U.S. courts. There are also special tax considerations that apply to securities of non U.S. issuers and securities principally traded overseas.

To the extent that our investments are denominated in U.S. dollars, these investments are not affected directly by changes in currency exchange rates relative to the dollar and exchange control regulations. We are, however, subject to currency risk with respect to such investments to the extent that a decline in a non U.S. issuer’s or borrower’s own currency relative to the dollar may impair such issuer’s or borrower’s ability to make timely payments of principal and/or interest on a loan or other debt security. To the extent that our investments are in non-dollar denominated securities, the value of the investment and the net investment income available for distribution may be affected favorably or unfavorably by changes in currency exchange rates relative to the dollar and exchange control regulations.

Currency exchange rates can be volatile and affected by, among other factors, the general economics of a country, the actions of governments or central banks and the imposition of currency controls and speculation. In addition, a security may be denominated in a currency that is different from the currency where the issuer is domiciled.

Currency Risk

We have and may continue in the future to invest in assets which are denominated in a currency other than U.S dollars and may finance such investments with repurchase financing or other forms of financing which may also be denominated in a currency other than U.S. dollars.  To the extent we make such investments and/or enter into such financing arrangements, we may utilize foreign currency swaps, forwards or other derivative instruments to hedge our exposure to foreign currency risk.  Despite being economic hedges, we have elected not to treat such derivative instruments as hedges for accounting purposes and therefore the changes in the value of such instruments, including actual and accrued payments, will be included in our Consolidated Statements of Operations.  While such transactions are entered into in an effort to minimize our foreign currency risk, there can be no assurance that they will perform as expected.  If actual prepayments of the foreign denominated asset are faster, or slower, than expected, the hedge instrument is unlikely to fully protect us from changes in the valuation of such foreign currency.  Further, as with interest rate swaps, there is counterparty risk associated with the future creditworthiness of such counterparty.

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ITEM 4.  Controls and Procedures

Disclosure Controls and Procedures: Our management is responsible for establishing and maintaining disclosure controls and procedures that are designed to ensure that information we are required to disclose in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that the required information is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure.

We have evaluated, with the participation of our principal executive officer and principal financial officer, the effectiveness of our disclosure controls and procedures as of June 30, 2019. There are inherent limitations to the effectiveness of any system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures. Accordingly, even effective disclosure controls and procedures can only provide reasonable assurance of achieving their control objectives. Based upon our evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

No change occurred in our internal control over financial reporting (as defined in Rule13a-15(f) and Rule 15d-15(f) of the Exchange Act) during the three months ended June 30, 2019 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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PART II — OTHER INFORMATION

ITEM 1.  Legal Proceedings

From time to time, the Company may be involved in various claims and legal actions arising in the ordinary course of business.  As of June 30, 2019, the Company was not involved in any legal proceedings.

ITEM 1A.  Risk Factors

There were no material changes during the period covered by this report to the risk factors previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2018, as filed with the SEC on March 6, 2019.  Additional risks not presently known, or that we currently deem immaterial, also may have a material adverse effect on our business, financial condition and results of operations.

ITEM 2.  Unregistered Sales of Equity Securities and Use of Proceeds

None.

ITEM 3.  Defaults Upon Senior Securities

None.

ITEM 4.  Mine Safety Disclosures

Not Applicable.

ITEM 5.  Other Information

None.

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ITEM 6.  Exhibits

The following exhibits are filed as part of this report.

Exhibit No.	Description
3.1*	Amended and restated certificate of incorporation of Western Asset Mortgage Capital Corporation, incorporated by reference to Exhibit 3.1 to Amendment No. 10 Form S-11 (Registration Statement No. 333-159962), filed May 8, 2012.
3.2*	Amendment to the amended and restated certificate of incorporation of Western Asset Mortgage Capital Corporation, dated June 3, 2016, incorporated by reference to Exhibit 3.3 to the Annual Report on Form 10-K, filed March 7, 2017.
3.3*	Amended and restated bylaws of Western Asset Mortgage Capital Corporation, incorporated by reference to Exhibit 3.2 to Amendment No. 10 to Form S-11 (Registration Statement No. 333-159962), filed May 8, 2012
4.1*	Specimen Common Stock Certificate of Western Asset Mortgage Capital Corporation, incorporated by reference to Exhibit 4.1 to Amendment No. 10 to Form S-11 (Registration Statement No. 333-159962), filed May 8, 2012.
4.2*	Indenture, dated as of October 2, 2017, between Western Asset Mortgage Capital Corporation and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 4.1 to the Current Report on Form 8-K, filed on October 3, 2017.
4.3*	First Supplemental Indenture, dated as of October 2, 2017, between Western Asset Mortgage Capital Corporation and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 4.2 to the Current Report on Form 8-K, filed on October 3, 2017.
4.4*	Form of 6.75% Convertible Senior Notes due 2022 (attached as Exhibit A to the First Supplemental Indenture filed as Exhibit 4.3 hereto), incorporated by reference to Exhibit 4.3 to the Current Report on Form 8-K, filed on October 3, 2017.
10.1*	Amendment to the Management Agreement between Western Asset Mortgage Capital Corporation and Western Asset Management Company, dated August 3, 2016, incorporated by reference to Exhibit 10.1 to the Quarterly Report on Form 10-Q, filed on August 5, 2016.
10.2*	Form of Warrant, incorporated by reference to Exhibit 10.2 to Amendment No. 9 to Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
10.3*	Management Agreement, dated May 9, 2012, between Western Asset Mortgage Capital Corporation and Western Asset Management Company, incorporated by reference to Exhibit 10.4 to the Quarterly Report on Form 10-Q, filed August 14, 2012.
10.4*	Registration Rights Agreement, dated May 15, 2012, among Western Asset Mortgage Capital Corporation, Western Asset Management Company and certain individual holders named therein, incorporated by reference to Exhibit 10.5 to the Quarterly Report on Form 10-Q, filed August 14, 2012.
10.5*	Western Asset Mortgage Capital Corporation Equity Plan, incorporated by reference to Exhibit 10.5 to Amendment No. 9 to Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
10.6*	Western Asset Mortgage Capital Corporation Manager Equity Plan, incorporated by reference to Exhibit 10.6 to Amendment No. 9 to Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
10.7*	Form of Indemnification Agreement between Western Asset Mortgage Capital Corporation and a director, incorporated by reference to Exhibit 10.7 to Amendment No. 9 Form S-11 (Registration Statement No. 333-159962), filed April 30, 2012.
10.8*	Restricted Stock Award Agreement, dated May 15, 2012, for Western Asset Management Company, incorporated by reference to Exhibit 10.9 to the Quarterly Report on Form 10-Q, filed August 14, 2012.
10.9*	Form of Restricted Stock Award Agreement for independent directors, incorporated by reference to Exhibit 10.2 to the Form S-8 dated May 15, 2012 (File No. 1-35543).
10.10*	Equity Distribution Agreement, dated March 6, 2017, among Western Asset Mortgage Capital Corporation, Western Asset Management Company and JMP Securities LLC, incorporated by reference to Exhibit 1.1 to the Current Report on Form 8-K, filed March 9, 2017.

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31.1	Rule 13a-14(a) / 15d-14(a) Certification of Chief Executive Officer.
31.2	Rule 13a-14(a) / 15d-14(a) Certification of Chief Financial Officer.
32.1	Section 1350 Certifications of Chief Executive Officer and Chief Financial Officer.
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

__________________________________

*Fully or partly previously filed.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ JENNIFER W. MURPHY
Jennifer W. Murphy
President, Chief Executive Officer and Director (Principal Executive Officer)
August 7, 2019
By:	/s/ LISA MEYER
Lisa Meyer
Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer)
August 7, 2019

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EX-31.1

Exhibit 31.1

CERTIFICATIONS

I, Jennifer W. Murphy, certify that:

1.           I have reviewed this report on Form 10-Q of Western Asset Mortgage Capital Corporation;

2.           Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.           Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.           The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have):

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, if any, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.           The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:  August 7, 2019

By:	/s/ JENNIFER W. MURPHY
	Name: Jennifer W. Murphy
	Title: President, Chief Executive Officer and Director

EX-31.2

Exhibit 31.2

CERTIFICATIONS

I, Lisa Meyer, certify that:

1.           I have reviewed this report on Form 10-Q of Western Asset Mortgage Capital Corporation;

2.           Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.           Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.           The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have):

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, if any, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.           The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:  August 7, 2019

By:	/s/ LISA MEYER
	Name: Lisa Meyer
	Title: Chief Financial Officer and Treasurer

EX-32.1

Exhibit 32.1

Certification of Chief Executive Officer and Chief Financial Officer

Pursuant to

18 U.S. C. Section 1350

as adopted pursuant to

Section 906 of The Sarbanes-Oxley Act of 2002

The undersigned, the President and Chief Executive Officer of Western Asset Mortgage Capital Corporation (the “Company”), hereby certifies on the date hereof, pursuant to 18 U.S.C. 1350(a), as adopted pursuant to Section 906 of The Sarbanes-Oxley Act of 2002, that the Quarterly Report on Form 10-Q for the quarter ended June 30, 2019 (the “Form 10-Q”), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date:	August 7, 2019	By:	/s/ JENNIFER W. MURPHY
		Name:	Jennifer W. Murphy
		Title:	President, Chief Executive Officer and Director

The undersigned, the Chief Financial Officer (principal financial officer and principal accounting officer) of Western Asset Mortgage Capital Corporation (the “Company”), hereby certifies on the date hereof, pursuant to 18 U.S.C. 1350(a), as adopted pursuant to Section 906 of The Sarbanes-Oxley Act of 2002, that the Quarterly Report on Form 10-Q for the quarter ended June 30, 2019 (the “Form 10-Q”), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date:	August 7, 2019	By:	/s/ LISA MEYER
		Name:	Lisa Meyer
		Title:	Chief Financial Officer and Treasurer

A signed original of this written statement required by Section 906 has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

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Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2019	Aug. 05, 2019
Document and Entity Information
Entity Registrant Name	Western Asset Mortgage Capital Corp
Entity Central Index Key	0001465885
Document Type	10-Q
Document Period End Date	Jun. 30, 2019
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		53,224,379
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q2

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Consolidated Balance Sheets - USD ($) $ in Thousands		Jun. 30, 2019	Dec. 31, 2018
Assets:
Cash and cash equivalents		$ 81,761	$ 21,987
Restricted cash		87,139	55,808
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)		1,206,220	1,041,885
Residential Bridge Loans ($87,402 and $211,999 at fair value and $90,606 and $221,486 pledged as collateral, respectively)		94,892	221,719
Securitized commercial loans, at fair value		804,134	1,013,511
Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)		312,032	216,123
Investment related receivable		35,779	42,945
Interest receivable		19,413	21,959
Due from counterparties		55,519	39,623
Derivative assets, at fair value		3,329	2,606
Other assets		1,631	2,488
Total assets	[1]	5,533,508	4,497,395
Liabilities:
Repurchase agreements, net		3,001,220	2,818,837
Convertible senior unsecured notes, net		110,719	110,060
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)		1,617,813	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)		11,982	8,532
Investment related payables		99,534	0
Due to counterparties		22,029	17,781
Derivative liability, at fair value		1,317	10,130
Accounts payable and accrued expenses		2,801	3,858
Payable to affiliate		2,827	4,615
Dividend payable		16,500	14,916
Other liabilities		87,140	56,031
Total liabilities	[2]	4,973,882	3,994,386
Commitments and contingencies
Stockholders’ Equity:
Common stock: $0.01 par value, 500,000,000 shares authorized, 53,224,379 and 48,116,379 outstanding, respectively		532	481
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding		0	0
Additional paid-in capital		883,417	833,810
Retained earnings (accumulated deficit)		(324,323)	(331,282)
Total Stockholders’ Equity		559,626	503,009
Total Liabilities and Stockholders’ Equity		5,533,508	4,497,395
Agency MBS
Assets:
Agency mortgage-backed securities, at fair value ($2,388,337 and $1,505,979 pledged as collateral, at fair value, respectively)		2,488,151	1,505,979
Non-Agency MBS
Assets:
Agency mortgage-backed securities, at fair value ($2,388,337 and $1,505,979 pledged as collateral, at fair value, respectively)		266,891	250,856
Other securities
Assets:
Agency mortgage-backed securities, at fair value ($2,388,337 and $1,505,979 pledged as collateral, at fair value, respectively)		$ 76,617	$ 59,906

[1] (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents2,874674Restricted cash87,13955,808Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)1,206,2201,041,885Residential Bridge Loans ($87,402 and $211,999 at fair value and $90,606 and $221,486 pledged as collateral, respectively)90,606221,486Securitized commercial loans, at fair value804,1341,013,511Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123Investment related receivable35,72542,945Interest receivable10,49415,540Other assets124178Total assets of consolidated VIEs2,449,3482,588,150Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)1,196,4151,041,885Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)83,116211,766Residential Bridge Loans ($83,394 and $211,766 at fair value and $90,884 and $221,486 pledged as collateral, respectively)90,606221,486Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)292,032196,123

[2] (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)1,614,813949,626Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)4,0672,419Accounts payable and accrued expenses394708Other liabilities87,13956,033Total liabilities of consolidated VIEs1,709,4131,008,786Securitized debt ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)722,02683,749Securitized debt ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)83,749246,802Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)374816

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Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Fair value of residential whole-loans pledged as collateral	$ 1,196,415	$ 1,041,885
Residential bridge loan, at fair value	$ 87,402	$ 211,999
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	500,000,000	500,000,000
Common stock, shares outstanding (in shares)	53,224,379	48,116,379
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)	100,000,000	100,000,000
Preferred stock, shares outstanding (in shares)	0	0
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	$ 90,606	$ 221,486
Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)	312,032	216,123
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)	1,617,813	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)	11,982	8,532
VIE
Fair value of residential whole-loans pledged as collateral	1,196,415	1,041,885
Residential bridge loan, at fair value	83,116	211,766
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	90,606	221,486
Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)	212,032	196,123
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)	1,617,813	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)	4,067	2,419
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)	214,946	237,107
Other securities
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)	76,483	59,780
Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)	2,388,337	1,505,979
Affiliated Entity
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)	83,749	246,802
Securitized debt	722,026	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)	374	816
Affiliated Entity | VIE
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)	83,749	246,802
Securitized debt	722,026	83,749
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)	$ 374	$ 816

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Consolidated Statements of Operations - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Net Interest Income
Interest income	$ 53,818	$ 57,154	$ 105,851	$ 96,881
Interest expense (includes $1,106, $4,719, $3,444 and $5,207 on securitized debt held by affiliates, respectively)	37,958	38,134	74,358	58,831
Net Interest Income	15,860	19,020	31,493	38,050
Other Income (Loss)
Realized gain (loss) on investments, net	(8)	(5,608)	(5,113)	(5,033)
Other than temporary impairment	(3,295)	(2,974)	(4,527)	(5,890)
Unrealized gain (loss), net	74,614	(31,693)	125,395	(100,654)
Gain (loss) on derivative instruments, net	(71,530)	28,490	(98,678)	108,072
Other, net	532	(145)	768	(98)
Other Income (Loss)	313	(11,930)	17,845	(3,603)
Expenses
Management fee to affiliate	1,832	2,259	3,567	4,439
Other operating expenses	1,253	1,555	2,851	2,524
General and administrative expenses:
Compensation expense	705	572	1,249	1,082
Professional fees	761	818	1,976	2,113
Other general and administrative expenses	530	397	715	758
Total general and administrative expenses	1,996	1,787	3,940	3,953
Total Expenses	5,081	5,601	10,358	10,916
Income before income taxes	11,092	1,489	38,980	23,531
Income tax provision	478	36	490	349
Net income	$ 10,614	$ 1,453	$ 38,490	$ 23,182
Net income (loss) per Common Share — Basic (in dollars per share)	$ 0.21	$ 0.03	$ 0.78	$ 0.55
Net income (loss) per Common Share — Diluted (in dollars per share)	$ 0.21	$ 0.03	$ 0.78	$ 0.55

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Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Interest expense (includes $1,106, $4,719, $3,444 and $5,207 on securitized debt held by affiliates, respectively)	$ 37,958	$ 38,134	$ 74,358	$ 58,831
Affiliated Entity
Interest expense (includes $1,106, $4,719, $3,444 and $5,207 on securitized debt held by affiliates, respectively)	$ 1,106	$ 4,719	$ 3,444	$ 5,207

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Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands	Total	Common Stock Outstanding	Additional Paid-In Capital	Retained Earnings (Accumulated Deficit)	Treasury Stock
Balance at Dec. 31, 2017	$ 466,038	$ 419	$ 768,763	$ (301,912)	$ (1,232)
Balance (in shares) at Dec. 31, 2017		41,794,079
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	125		125
Net income (loss)	23,182			23,182
Dividends declared on common stock	(25,821)		57	(25,878)
Treasury stock (shares)		(177,700)
Treasury stock	(1,733)				(1,733)
Balance at Jun. 30, 2018	461,791	$ 419	768,945	(304,608)	(2,965)
Balance (in shares) at Jun. 30, 2018		41,616,379
Balance at Mar. 31, 2018	473,814	$ 419	768,862	(293,128)	(2,339)
Balance (in shares) at Mar. 31, 2018		41,679,679
Increase (Decrease) in Stockholders' Equity
Vesting of restricted stock	50		50
Net income (loss)	1,453			1,453
Dividends declared on common stock	(12,900)		33	(12,933)
Treasury stock (shares)		(63,300)
Treasury stock	(626)				(626)
Balance at Jun. 30, 2018	461,791	$ 419	768,945	(304,608)	(2,965)
Balance (in shares) at Jun. 30, 2018		41,616,379
Balance at Dec. 31, 2018	503,009	$ 481	833,810	(331,282)	0
Balance (in shares) at Dec. 31, 2018		48,116,379
Increase (Decrease) in Stockholders' Equity
Proceeds from public offerings of common stock (in shares)		5,000,000
Proceeds from public offerings of common stock	49,650	$ 50	49,600
Offering costs, public offerings of common stock	(309)		(309)
Vesting of restricted stock	235		235
Net income (loss)	38,490			38,490
Dividends declared on common stock	(31,449)		82	(31,531)
Grants of restricted stock (shares)		108,000
Grants of restricted stock		$ 1	(1)
Balance at Jun. 30, 2019	559,626	$ 532	883,417	(324,323)	0
Balance (in shares) at Jun. 30, 2019		53,224,379
Balance at Mar. 31, 2019	516,006	$ 482	833,915	(318,391)	0
Balance (in shares) at Mar. 31, 2019		48,224,379
Increase (Decrease) in Stockholders' Equity
Proceeds from public offerings of common stock (in shares)		5,000,000
Proceeds from public offerings of common stock	49,650	$ 50	49,600
Offering costs, public offerings of common stock	(309)		(309)
Vesting of restricted stock	165		165
Net income (loss)	10,614			10,614
Dividends declared on common stock	(16,500)		46	(16,546)
Balance at Jun. 30, 2019	$ 559,626	$ 532	$ 883,417	$ (324,323)	$ 0
Balance (in shares) at Jun. 30, 2019		53,224,379

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Consolidated Statements of Cash Flows - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018
Cash flows from operating activities:
Net income (loss)	$ 38,490	$ 23,182
Adjustments to reconcile net income to net cash (used in) provided by operating activities:
Premium amortization and (discount accretion), net	2,360	277
Amortization of deferred financing costs	483	384
Amortization of discount on convertible senior notes	275	275
Restricted stock amortization	235	125
Interest payments and basis recovered on MAC interest rate swaps	3,204	293
Premium on purchase of Residential Whole Loans	(4,882)	(2,677)
Premium on purchase of Residential Bridge Loans	0	(2,196)
Premium on purchase of securitized commercial loans	(3,769)	(3,019)
Unrealized (gain) loss, net	(125,395)	100,654
Unrealized (gain) loss on derivative instruments, net	(794)	(5,576)
Other than temporary impairment	4,527	5,890
Realized (gain) loss on investments, net	5,113	5,033
(Gain) loss on derivatives, net	1,777	(7,769)
Changes in operating assets and liabilities:
Decrease (increase) in interest receivable	2,546	(5,884)
Decrease (increase) in other assets	857	(1,267)
Increase in interest payable	3,450	1,987
Decrease in accounts payable and accrued expenses	(961)	(587)
(Decrease) increase in payable to affiliate	(1,788)	1,021
Net cash (used in) provided by operating activities	(74,272)	110,146
Cash flows from investing activities:
Purchase of securities	(1,093,542)	(235,043)
Proceeds from sale of securities	221,875	416,869
Principal repayments and basis recovered on securities	55,175	67,259
Purchase of Residential Whole Loans	(244,317)	(124,225)
Principal repayments on Residential Whole Loans	87,615	23,871
Purchase of commercial loans	(171,188)	(70,257)
Principal repayments on commercial loans	76,000	0
Purchase of securitized commercial loans	(900,000)	(1,350,000)
Principal repayments on securitized commercial loans	1,113,884	78,907
Purchase of Residential Bridge Loans	0	(276,173)
Principal repayments on Residential Bridge Loans	143,992	98,528
Payment of premium for option derivatives	(302)	(467)
Premium received from option derivatives	862	298
Premium for credit default swaps, net	(367)	(174)
Net settlements of TBAs	0	134
(Payments on) Proceeds from termination of futures, net	(10,338)	4,591
Interest payments and basis recovered on MAC interest rate swaps	(3,204)	(293)
Premium for interest rate swaptions, net	(332)	0
Net cash used in investing activities	(724,187)	(1,366,175)
Cash flows from financing activities:
Proceeds from issuance of common stock	49,650	0
Payment of offering costs	(405)	0
Repurchase of common stock	0	(1,733)
Proceeds from repurchase agreement borrowings	10,821,699	9,929,408
Repayments of repurchase agreement borrowings	(10,639,316)	(9,913,725)
Proceeds from securitized debt	1,757,464	1,285,219
Repayments of securitized debt	(1,083,560)	(74,845)
Payments made for deferred financing costs	(5,786)	0
Due from counterparties, net	(15,896)	22,139
Due to counterparties, net	4,248	3,718
Increase in other liabilities	31,331	58,746
Dividends paid on common stock	(29,865)	(25,880)
Net cash provided by financing activities	889,564	1,283,047
Net increase in cash, cash equivalents and restricted cash	91,105	27,018
Cash, cash equivalents and restricted cash, beginning of period	77,795	48,024
Cash, cash equivalents and restricted cash, end of period	168,900	75,042
Supplemental disclosure of operating cash flow information:
Interest paid	72,231	56,935
Income taxes paid	48	1,635
Supplemental disclosure of non-cash financing/investing activities:
Underwriting and offering costs payable	81	0
Securities purchased, not settled	(99,534)	(52,530)
Dividends and distributions declared, not paid	16,500	12,901
Principal payments of Residential Whole Loans, not settled	20,535	5,845
Principal payments of Residential Bridge Loans, not settled	15,244	31,441
Other assets	$ 0	$ 143

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Organization

6 Months Ended

Jun. 30, 2019

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Organization

Organization

Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, Whole Loans and other financial assets.  The Company’s portfolio is comprised of Agency CMBS, Agency RMBS, Non-Agency RMBS, Non-Agency CMBS, Residential Whole Loans, Residential Bridge Loans and Commercial Loans. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS as well as certain Non U.S. CMBS and in asset-backed securities (“ABS”) investments secured by a portfolio of private student loans.  The Company’s investment strategy is based on Western Asset Management Company, LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time.  The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”).  These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate.  Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole Loans and other real estate related assets.

The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”).  The Manager is a wholly-owned subsidiary of Legg Mason, Inc.  The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012.

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Basis of Presentation and Summary of Significant Accounting Policies

6 Months Ended

Jun. 30, 2019

Accounting Policies [Abstract]

Basis of Presentation and Summary of Significant Accounting Policies

Basis of Presentation and Summary of Significant Accounting Policies

Basis of Presentation and Consolidation

The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended June 30, 2019, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2018, filed with the SEC on March 6, 2019.

The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary.  All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.

Variable Interest Entities

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

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

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

In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed.  If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed.  If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 

Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.

Use of Estimates

The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.  Actual results could differ from those estimates.

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, 2018.

Recently adopted accounting pronouncements

Description	Adoption Date	Effect on Financial Statements
In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.
In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.
In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.

Recently issued accounting pronouncements

Description	Effective Date	Effect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements
In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits.	First quarter 2020.	The Company is evaluating the impact this standard may have on its consolidated financial statements.
In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. However, the Company does not foresee the Codification Improvements having a material impact on its financial statements
In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326). The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company already elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements

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Fair Value of Financial Instruments

6 Months Ended

Jun. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

Fair Value of Financial Instruments

The following tables present the Company’s financial instruments carried at fair value as of June 30, 2019 and December 31, 2018, based upon the valuation hierarchy (dollars in thousands):

	June 30, 2019
	Fair Value
	Level I		Level II		Level III		Total
Assets
Agency CMBS	$	—	$	1,839,654	$	40,285	$	1,879,939
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		3,829		—		3,829
Agency RMBS	—		585,751		—		585,751
Agency RMBS Interest-Only Strips	—		—		11,891		11,891
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		6,741		6,741
Subtotal Agency MBS	—		2,429,234		58,917		2,488,151
Non-Agency RMBS	—		—		38,086		38,086
Non-Agency RMBS Interest-Only Strips	—		—		9,101		9,101
Non-Agency CMBS	—		219,704		—		219,704
Subtotal Non-Agency MBS	—		219,704		47,187		266,891
Other securities	—		58,820		17,797		76,617
Total mortgage-backed securities and other securities	—		2,707,758		123,901		2,831,659
Residential Whole Loans	—		—		1,206,220		1,206,220
Residential Bridge Loans	—		—		87,402		87,402
Securitized commercial loans	—		—		804,134		804,134
Commercial Loans	—		—		312,032		312,032
Derivative assets	464		2,865		—		3,329
Total Assets	$	464	$	2,710,623	$	2,533,689	$	5,244,776
Liabilities
Derivative liabilities	$	553	$	764	$	—	$	1,317
Securitized debt	—		719,150		2,876		722,026
Total Liabilities	$	553	$	719,914	$	2,876	$	723,343

	December 31, 2018
	Fair Value
	Level I		Level II		Level III		Total
Assets
Agency CMBS	$	—	$	1,481,984	$	—	$	1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		4,158		—		4,158
Agency RMBS Interest-Only Strips	—		—		12,135		12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		7,702		7,702
Subtotal Agency MBS	—		1,486,142		19,837		1,505,979
Non-Agency RMBS	—		—		39,026		39,026
Non-Agency RMBS Interest-Only Strips	—		—		11,529		11,529
Non-Agency CMBS	—		200,301		—		200,301
Subtotal Non-Agency MBS	—		200,301		50,555		250,856
Other securities	—		50,955		8,951		59,906
Total mortgage-backed securities and other securities	—		1,737,398		79,343		1,816,741
Residential Whole Loans	—		—		1,041,885		1,041,885
Residential Bridge Loans	—		—		211,999		211,999
Securitized commercial loan	—		—		1,013,511		1,013,511
Commercial Loans	—		—		216,123		216,123
Derivative assets	—		2,606		—		2,606
Total Assets	$	—	$	1,740,004	$	2,562,861	$	4,302,865
Liabilities
Derivative liabilities	$	4,657	$	5,473	$	—	$	10,130
Securitized debt	—		947,340		2,286		949,626
Total Liabilities	$	4,657	$	952,813	$	2,286	$	959,756

When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes.  The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available.  If independent pricing services or third party broker quotes, are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses.

In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable.

Mortgage-backed securities and other securities

In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Agency CMBS, given the amount of available observable market data, are classified in Level II.  For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III.

Values for the Company’s securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instrument, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group.

Residential Whole Loans and Residential Bridge Loans

Values for the Company's Non-QM and conforming Residential Whole Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. For the conforming Residential Whole Loan Portfolio, the third party pricing service valuation model assigns a loan value using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. In addition to pricing the underlying mortgages, the third party pricing service uses a service release premium valuation representing the sale of the right to service the mortgages. Together, the TBA price and service release premium price form the "All-In" price for these mortgages. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Commercial Loans

Values for the Company's Commercial Loans are based upon either prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution or a broker quote. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III.

Securitized commercial loans

Values for the Company’s securitized commercial loans are based on the CFE valuation methodology.  Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable.  Due to the inherent uncertainty of such valuation, the Company classifies its securitized commercial loans as Level III.

Securitized debt

Values for the Company's securitized debt are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III.

Derivatives

Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the periods ended June 30, 2019 and December 31, 2018.

The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group.  The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations.  If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted.  To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price.

The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	Fair Value at			Range
	June 30, 2019	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average
Residential Whole-Loans	1,206,220	Discounted Cash Flow	Yield	3.2	%	7.7	%		4.3	%
			Weighted Average Life(2)	1.2		7.3			2.6
Residential Bridge Loans	87,402	Discounted Cash Flow	Yield	7.2	%	144.0	%	(1)	10.9	%
			Weighted Average Life	0.1		2.3			0.5
Commercial Loans	312,032	Discounted Cash Flow	Yield	5.6	%	8.5	%		6.7	%
			Weighted Average Life	0.4		2.5			1.8

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

(1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%.

(2) Includes the weighted average lives of Non-QM Residential Whole loans and excludes the expected lives of the conforming Residential Whole Loans.

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

	Three months ended June 30, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole Loans			Residential Bridge Loans			Commercial Loans			Securitized  commercial  loans			Securitized debt
Beginning balance	$	19,108		$	48,392		$	17,380		$	1,267,163		$	144,170		$	337,578		$	929,474		$	3,769
Transfers into Level III from Level II	—			—			—			—			—			—			—			—
Transfers from Level III into Level II	—			—			—			—			—			—			—			—
Purchases	39,856			—			—			—			—			50,000			—			—
Sales and settlements	—			—			—			—			—			—			—			—
Principal repayments	—			(274		)	(185		)	(69,312		)	(56,650		)	(75,835		)	(125,170		)	—
Total net gains / losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(162		)	—			—			—
Other than temporary impairment	(4		)	(936		)	—			—			—			—			—			—
Unrealized gains/(losses), net on assets(1)	984			716			697			9,170			291			(59		)	572			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—			—			(47		)
Premium and discount amortization, net	(1,027		)	(711		)	(95		)	(801		)	(247		)	348			(742		)	(846		)
Ending balance	$	58,917		$	47,187		$	17,797		$	1,206,220		$	87,402		$	312,032		$	804,134		$	2,876
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	984		$	716		$	697		$	9,869		$	(27	)	$	127		$	572		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	47

	Three months ended June 30, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	44,802		$	17,000		$	9,113		$	296,719		$	129,469		$	40,455	$	1,383,044		$	12
Transfers from Level III into Level II	(19,461		)	—			—			—			—			—		—			—
Purchases	52,530			—			—			54,019			156,730			29,851		—			—
Principal repayments	—			—			(177		)	(14,902		)	(49,402		)	—		(78,807		)	—
Total net gains / losses included in net income							0
Other than temporary impairment	(207		)	(19		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	(1,181		)	(53		)	(25		)	(475		)	(108		)	374		5,621			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			2,834
Premium and discount amortization, net	(1,440		)	(621		)	44			(212		)	(330		)	37		(663		)	24
Ending balance	$	75,043		$	16,307		$	8,955		$	335,149		$	236,359		$	70,717	$	1,309,195		$	2,870
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(798	)	$	(53	)	$	(25	)	$	(274	)	$	140		$	374	$	5,621		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(2,834	)

	Six months ended June 30, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole-Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	19,837		$	50,555		$	8,951		$	1,041,885		$	211,999		$	216,123	$	1,013,511		$	2,286
Transfers into Level III from Level II	—			—			8,386			—			—			—		—			—
Transfers from Level III into Level II	—			—			—			—			—			—		—			—
Purchases	39,856			—			—			244,274			—			95,379		903,770			—
Sales and settlements	—			—			—			—			—			—		—			3,769
Principal repayments	—			(525		)	(185		)	(94,101		)	(123,262		)	—		(1,113,884		)	—
Total net gains / losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(249		)	—		—			—
Other than temporary impairment	(29		)	(1,177		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	1,371			(477		)	818			15,149			(489		)	164		1,921			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			(2,017		)
Premium and discount amortization, net	(2,118		)	(1,189		)	(173		)	(987		)	(597		)	366		(1,184		)	(1,162		)
Ending balance	$	58,917		$	47,187		$	17,797		$	1,206,220		$	87,402		$	312,032	$	804,134		$	2,876
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	1,371		$	(477	)	$	818		$	15,859		$	(997	)	$	164	$	1,949		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	19

	Six months ended June 30, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole-Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	17,217		$	8,735		$	9,239		$	237,423		$	64,526		$	—	$	24,876		$	10,945
Transfers into Level III from Level II	22,794			—			—			—			—			—		—			—
Transfers from Level III into Level II	(16,805		)	—			—			—			—			—		—			(10,899		)
Purchases	54,623			8,602			—			122,014			214,843			70,257		1,353,019			—
Sales and settlements	—			—			—			—			—			—		—			12
Principal repayments	(53		)	—			(317		)	(22,679		)	(42,544		)	—		(78,907		)	(44		)
Total net gains / losses included in net income
Other than temporary impairment	(207		)	(48		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	(1,070		)	(56		)	(54		)	(1,273		)	(130		)	416		10,870			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			2,832
Premium and discount amortization, net	(1,456		)	(926		)	87			(336		)	(336		)	44		(663		)	24
Ending balance	$	75,043		$	16,307		$	8,955		$	335,149		$	236,359		$	70,717	$	1,309,195		$	2,870
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(712	)	$	(56	)	$	(54	)	$	(888	)	$	151		$	416	$	10,870		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(2,834	)

(1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.

(2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" or "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively.

Transfers between hierarchy levels during operations for the three and six months ended June 30, 2019 and June 30, 2018 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements form Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and six months ended June 30, 2019 and June 30, 2018.

Other Fair Value Disclosures

Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of June 30, 2019 and December 31, 2018 in the consolidated financial statements (dollars in thousands):

	June 30, 2019				December 31, 2018
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets
Residential Bridge Loans	$	7,490	$	7,377	$	9,720	$	9,603
Total	$	7,490	$	7,377	$	9,720	$	9,603
Liabilities
Borrowings under repurchase agreements	$	3,001,220	$	3,015,912	$	2,818,837	$	2,823,615
Convertible senior unsecured notes	110,719		113,339		110,060		108,531
Securitized debt(1)	901,474		914,413		—		—
Total	$	4,013,413	$	4,043,664	$	2,928,897	$	2,932,146

^{(1) Carrying value excludes $5.7 million of deferred financing costs} 

"Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value.

Residential Bridge Loans

Values for the Company's Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Borrowings under repurchase agreements

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

Convertible senior unsecured notes

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

Securitized debt

Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. For the quarter ended June 30, 2019, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III.

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Mortgage-Backed Securities and other securities

6 Months Ended

Jun. 30, 2019

Investments, Debt and Equity Securities [Abstract]

Mortgage-Backed Securities and other securities

Mortgage-Backed Securities and other securities

The following tables present certain information about the Company’s investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,772,577	$	20,806		$	—		$	1,793,383	$	86,694	$	(138	)	$	1,879,939	3.3	%
Agency CMBS Interest-Only Strips accounted for as derivatives(1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			3,829		0.4	%
Subtotal Agency CMBS	1,772,577		20,806			—			1,793,383		86,694		(138		)	1,883,768		3.0	%
Agency RMBS	570,369		10,267			—			580,636		5,115		—			585,751		3.5	%
Agency RMBS Interest-Only Strips (1)(2)	N/A		N/A			N/A			10,202		1,956		(267		)	11,891		2.3	%
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			6,741		2.8	%
Subtotal Agency RMBS	570,369		10,267			N/A			590,838		7,071		(267		)	604,383		3.2	%
Total Agency MBS	2,342,946		31,073			—			2,384,221		93,765		(405		)	2,488,151		3.1	%
Non-Agency RMBS	53,458		5,250			(21,388		)	37,320		1,264		(498		)	38,086		4.8	%
Non-Agency RMBS Interest- Only Strips (1)	N/A		N/A			N/A			9,007		101		(7		)	9,101		0.6	%
Subtotal Non-Agency RMBS	53,458		5,250			(21,388		)	46,327		1,365		(505		)	47,187		1.0	%
Non-Agency CMBS	255,882		(17,406		)	(20,712		)	217,764		4,437		(2,497		)	219,704		5.8	%
Total Non-Agency MBS	309,340		(12,156		)	(42,100		)	264,091		5,802		(3,002		)	266,891		2.5	%
Other securities (3)	66,015		(1,985		)	(6,724		)	70,897		5,732		(12		)	76,617		7.6	%
Total	$	2,718,301	$	16,932		$	(48,824	)	$	2,719,209	$	105,299	$	(3,419	)	$	2,831,659	3.1	%

	December 31, 2018
	Principal Balance		Unamortized Premium (Discount), net			Discount  Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,493,675	$	5,820		$	—		$	1,499,495	$	12,083	$	(29,594	)	$	1,481,984	$	—
Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			4,158		0.4		%
Subtotal Agency CMBS	1,493,675		5,820			—			1,499,495		12,083		(29,594		)	1,486,142		3.0		%
Agency RMBS Interest-Only Strips (1)	N/A		N/A			N/A			$	11,480	$	1,062	$	(407	)	$	12,135	2.2		%
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			7,702		2.9		%
Subtotal Agency RMBS	—		—			—			11,480		1,062		(407		)	19,837		2.5		%
Total Agency MBS	1,493,675		5,820			—			1,510,975		13,145		(30,001		)	1,505,979		2.9		%
Non-Agency RMBS	54,887		6,909			(23,731		)	38,065		961		—			39,026		4.8		%
Non-Agency RMBS Interest- Only Strips (1)	N/A		N/A			N/A			11,154		382		(7		)	11,529		0.6		%
Subtotal Non-Agency RMBS	54,887		6,909			(23,731		)	49,219		1,343		(7		)	50,555		1.0		%
Non-Agency CMBS	240,431		(20,317		)	(22,189		)	197,925		5,021		(2,645		)	200,301		5.9		%
Total Non-Agency MBS	295,318		(13,408		)	(45,920		)	247,144		6,364		(2,652		)	250,856		2.4		%
Other securities (3)	47,042		(1,129		)	(7,603		)	55,284		5,012		(390		)	59,906		9.0		%
Total	$	1,836,035	$	(8,717	)	$	(53,523	)	$	1,813,403	$	24,521	$	(33,043	)	$	1,816,741	2.9		%

(1) IOs and IIOs have no principal balances and bear interest based on a notional balance.  The notional balance is used solely to determine interest distributions on interest-only class of securities.  At June 30, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $143.5 million, $488.5 million, $77.7 million and $169.0 million, respectively.  At December 31, 2018, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $158.8 million, $519.9 million, $89.8 million, and $172.2 million, respectively.

(2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

(3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $13.6 million and $17.0 million, as of June 30, 2019 and December 31, 2018, respectively.

As of June 30, 2019 and December 31, 2018 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.0 years and 8.5 years, respectively.

The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Three months ended June 30, 2019									Three months ended June 30, 2018
	Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)			Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)
Balance at beginning of period	$	(50,087	)	$	(27,632	)	$	14,661		$	(79,474	)	$	(72,868	)	$	21,494
Accretion of discount	—			1,043			—			—			2,786			—
Amortization of premium	—			—			(135		)	—			—			(223		)
Realized credit losses	1,752			—			—			2,095			—			—
Purchases	—			(3,106		)	287			—			—			—
Sales	3,340			—			(1,088		)	765			2,941			(554		)
Net impairment losses recognized in earnings	(2,000		)	—			—			(2,753		)	—			—
Transfers/release of credit reserve(2)	(1,829		)	1,113			716			530			(1,536		)	1,006
Balance at end of period	$	(48,824	)	$	(28,582	)	$	14,441		$	(78,837	)	$	(68,677	)	$	21,723

	Six months ended June 30, 2019									Six months ended June 30, 2018
	Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)			Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)
Balance at beginning of period	$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872
Accretion of discount	—			2,320			—			—			5,169			—
Amortization of premium	—			—			(616		)	—			—			(364		)
Realized credit losses	4,753			—			—			2,221			—			—
Purchases	—			(3,106		)	287			(7,182		)	(6,473		)	435
Sales	6,034			—			(1,611		)	3,339			3,728			(684		)
Net impairment losses recognized in earnings	(2,966		)	—			—			(5,499		)	—			—
Transfers/release of credit reserve(2)	(3,122		)	1,669			1,453			1,199			(2,663		)	1,464
Balance at end of period	$	(48,824	)	$	(28,582	)	$	14,441		$	(78,837	)	$	(68,677	)	$	21,723

(1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.

(2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.

The following tables present the fair value and contractual maturities of the Company’s investment securities at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years		Total
Agency RMBS	$	—	$	—	$	585,751	$	—	$	585,751
Agency RMBS Interest-Only Strips	2,952		2,633		6,306		—		11,891
Agency RMBS Interest-Only Strips, accounted for as derivatives	875		4,686		1,180		—		6,741
Agency CMBS	1,516,839		363,100		—		—		1,879,939
Agency CMBS Interest-Only Strips accounted for as derivatives	—		—		—		3,829		3,829
Subtotal Agency	1,520,666		370,419		593,237		3,829		2,488,151
Non-Agency RMBS	—		—		8,955		29,131		38,086
Non-Agency RMBS Interest- Only Strips	—		—		2,805		6,296		9,101
Non-Agency CMBS	68,951		53,444		70,739		26,570		219,704
Subtotal Non-Agency	68,951		53,444		82,499		61,997		266,891
Other securities	21,117		32,393		—		23,107		76,617
Total	$	1,610,734	$	456,256	$	675,736	$	88,933	$	2,831,659

	December 31, 2018
	< or equal to 10  years		> 10 years and < or  equal to 20 years		> 20 years and < or  equal to 30 years		> 30 years		Total
Agency RMBS Interest-Only Strips	$	3,577	$	2,402	$	6,156	$	—	$	12,135
Agency RMBS Interest-Only Strips, accounted for as derivatives	1,089		4,053		2,560		—		7,702
Agency CMBS	1,101,820		380,164		—		—		1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives	—		—		—		4,158		4,158
Subtotal Agency	1,106,486		386,619		8,716		4,158		1,505,979
Non-Agency RMBS	—		—		8,540		30,486		39,026
Non-Agency RMBS Interest- Only Strips	—		—		4,310		7,219		11,529
Non-Agency CMBS	28,754		53,653		72,921		44,973		200,301
Subtotal Non-Agency	28,754		53,653		85,771		82,678		250,856
Other securities	7,698		26,020		—		26,188		59,906
Total	$	1,142,938	$	466,292	$	94,487	$	113,024	$	1,816,741

The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities
Agency RMBS Interest-Only Strips	$	1,153	$	(70	)	3	$	2,081	$	(197	)	7	$	3,234	$	(267	)	10
Agency CMBS	59,530		(138		)	3	—		—			—	59,530		(138		)	3
Subtotal Agency	60,683		(208		)	6	2,081		(197		)	7	62,764		(405		)	13
Non-Agency RMBS	12,893		(498		)	1	—		—			—	12,893		(498		)	1
Non-Agency RMBS Interest-Only Strips	87		(7		)	1	—		—			—	87		(7		)	1
Non-Agency CMBS	24,684		(536		)	10	32,281		(1,961		)	6	56,965		(2,497		)	16
Subtotal Non-Agency	37,664		(1,041		)	12	32,281		(1,961		)	6	69,945		(3,002		)	18
Other securities	19,734		(12		)	2	—		—			—	19,734		(12		)	2
Total	$	118,081	$	(1,261	)	20	$	34,362	$	(2,158	)	13	$	152,443	$	(3,419	)	33

	December 31, 2018
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities
Agency RMBS Interest-Only Strips	$	3,277	$	(124	)	7	$	3,917	$	(283	)	9	$	7,194	$	(407	)	16
Agency CMBS	29,413		(307		)	3	879,549		(29,287		)	72	908,962		(29,594		)	75
Subtotal Agency	32,690		(431		)	10	883,466		(29,570		)	81	916,156		(30,001		)	91
Non-Agency RMBS	—		—			—	500		—			1	500		—			1
Non-Agency RMBS Interest-Only Strips	957		(7		)	2	—		—			—	957		(7		)	2
Non-Agency CMBS	65,339		(712		)	7	19,323		(1,933		)	3	84,662		(2,645		)	10
Subtotal Non-Agency	66,296		(719		)	9	19,823		(1,933		)	4	86,119		(2,652		)	13
Other securities	15,208		(390		)	2	—		—			—	15,208		(390		)	2
Total	$	114,194	$	(1,540	)	21	$	903,289	$	(31,503	)	85	$	1,017,483	$	(33,043	)	106

     At June 30, 2019, the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is "more likely than not" that that Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity date.

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

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

	Three months ended June 30, 2019		Three months ended June 30, 2018		Six months ended June 30, 2019		Six months ended June 30, 2018
Agency RMBS	$	—	$	201	$	25	$	343
Non-Agency RMBS	936		19		1,177		110
Non-Agency CMBS	1,952		2,754		2,918		5,437
Other securities	407		—		407		—
Total	$	3,295	$	2,974	$	4,527	$	5,890

The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018, respectively (dollars in thousands):

	For the three months ended June 30, 2019							For the three months ended June 30, 2018
	Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income
Agency RMBS	$	2,795	$	(620	)	$	2,175	$	5,796	$	(1,705	)	$	4,091
Agency CMBS	12,567		(733		)	11,834		15,943		(88		)	15,855
Non-Agency RMBS	1,385		(711		)	674		2,057		(281		)	1,776
Non-Agency CMBS	3,168		1,322			4,490		5,170		2,508			7,678
Other securities	3,070		(1,758		)	1,312		4,180		(1,803		)	2,377
Total	$	22,985	$	(2,500	)	$	20,485	$	33,146	$	(1,369	)	$	31,777

	Six months ended June 30, 2019							Six months ended June 30, 2018
	Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income
Agency RMBS	$	3,666	$	(1,275	)	$	2,391	$	12,920	$	(2,974	)	$	9,946
Agency CMBS	23,556		(789		)	22,767		31,941		32			31,973
Non-Agency RMBS	2,592		(1,188		)	1,404		3,477		(149		)	3,328
Non-Agency CMBS	6,279		2,246			8,525		9,983		4,404			14,387
Other securities	5,959		(3,349		)	2,610		7,936		(3,165		)	4,771
Total	$	42,052	$	(4,355	)	$	37,697	$	66,257	$	(1,852	)	$	64,405

The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018, respectively (dollars in thousands):

	For the three months ended June 30, 2019									For the three months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)		Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—	$	208,331	$	—	$	(4,531	)	$	(4,531	)
Agency CMBS	—		—		—			—		126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—		47,758		2,220		—			2,220
Non-Agency CMBS	6,165		183		(25		)	158		385		—		(38		)	(38		)
Other securities	—		—		—			—		21,757		1,757		—			1,757
Total	$	6,165	$	183	$	(25	)	$	158	$	405,098	$	3,977	$	(9,585	)	$	(5,608	)

	Six months ended June 30, 2019										Six months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)			Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—		$	209,581	$	18	$	(4,531	)	$	(4,513	)
Agency CMBS	206,710		—		(4,189		)	(4,189		)	126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—			51,958		3,114		—			3,114
Non-Agency CMBS	15,165		183		(854		)	(671		)	6,706		61		(436		)	(375		)
Other securities	—		—		—			—			21,757		1,757		—			1,757
Total	$	221,875	$	183	$	(5,043	)	$	(4,860	)	$	416,869	$	4,950	$	(9,983	)	$	(5,033	)

Unconsolidated CMBS VIEs

The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of June 30, 2019 and December 31, 2018, the Company held ten and sevenvariable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of June 30, 2019 and December 31, 2018, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $131.0 million and $118.4 million. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of June 30, 2019 and December 31, 2018, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.

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Residential Whole-Loans and Bridge Loans

6 Months Ended

Jun. 30, 2019

Variable Interest Entities

Residential Whole-Loans and Bridge Loans

Residential Whole Loans and Bridge Loans

Residential Whole-Loan Trust

The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust.  RMI 2015 Trust has issued a trust certificate that is wholly owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of June 30, 2019 and December 31, 2018, the Company financed the trust certificate with $11.8 million and $618.7 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation.

In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust , has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019 and December 31, 2018, the Company financed the trust certificate with $223.9 million and $250.4 million, respectively, of repurchase agreements , which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019, the Company's trust certificates were not financed. At December 31, 2018, the Company's trust certificate were financed with $15.1 million of repurchase agreements , which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which represents the 5% eligible risk retention certificate. Refer to Note 7 - "Financings" for details on the associated securitized . The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation.

Residential Bridge Loan Trust

In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019 and December 31, 2018, the Company financed the trust certificate with $92.1 million and $207.5 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts

The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The four consolidated Residential Whole-Loan trusts collectively hold 3,053 Residential Whole Loans and the consolidated Bridge Loan Trust holds 173 Residential Bridge Loans and 12 Residential Whole Loans as of June 30, 2019. 

The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash and cash equivalents	$	2,411	$	674
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)	1,206,220		1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	90,606		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	35,725		42,945
Interest receivable	7,481		11,807
Other assets	124		178
Total assets	$	1,342,567	$	1,348,975
Securitized debt	$	895,787	$	—
Interest payable	2,574		—
Accounts payable and accrued expenses	361		677
Other liabilities	—		225
Total liabilities	$	898,722	$	902

The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and six months ended June 30, 2019 and June 30, 2018. 

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value(1)						Residential Bridge Loans, at Amortized Cost(1)
	June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018
Principal balance	$	1,169,136		$	1,023,524		$	88,982		$	212,491		$	7,503		$	9,766
Unamortized premium	21,215			17,629			205			1,164			9			16
Unamortized discount	(3,129		)	(3,145		)	(59		)	(316		)	(22		)	(62		)
Amortized cost	1,187,222			1,038,008			89,128			213,339			7,490			9,720
Gross unrealized gains	20,827			7,573			96			212			N/A			N/A
Gross unrealized losses	(1,829		)	(3,696		)	(1,822		)	(1,552		)	N/A			N/A
Fair value	$	1,206,220		$	1,041,885		$	87,402		$	211,999		N/A			N/A

(1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets.

Residential Whole Loans

The Residential Whole Loans have low LTV's and are comprised of 2,271 non-qualifying adjustable rate mortgages, 782 conforming fixed rate mortgages and 12 investor fixed rate mortgages.  The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

June 30, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal  Balance		Original LTV		Original  FICO Score(1)	Expected  Life (years)(2)	Contractual  Maturity  (years)	Coupon  Rate
3.01 – 4.00%	62	$	20,600	61.8	%	738	2.2	28.5	3.9	%
4.01– 5.00%	1,265	434,936		62.2	%	740	2.2	28.5	4.8	%
5.01 – 6.00%	1,632	675,014		63.2	%	734	2.7	28.5	5.5	%
6.01 – 7.00%	104	38,139		57.0	%	729	3.7	25.7	6.1	%
7.01 - 8.00%	1	354		70.0	%	777	3.0	28.6	7.2	%
8.01 - 9.00%	1	93		70.0	%	689	4.2	28.6	8.4	%
Total	3,065	$	1,169,136	62.6	%	736	2.6	28.4	5.2	%

(1) The original FICO score is not available for 269 loans with a principal balance of approximately $91.1 million at June 30, 2019. The Company has excluded these loans from the weighted average computations.

(2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.

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

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

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at June 30, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):

June 30, 2019					December 31, 2018
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	70.5	%	$	823,888	California	67.1	%	$	686,275
New York	14.5	%	169,920		New York	17.1	%	175,390
Georgia	2.4	%	27,584		Georgia	2.6	%	26,918
Florida	2.3	%	27,074		Massachusetts	2.1	%	21,197
New Jersey	1.8	%	20,977		Florida	1.9	%	19,942
Other	8.5	%	99,693		Other	9.2	%	93,802
Total	100.0	%	$	1,169,136	Total	100.0	%	$	1,023,524

Residential Bridge Loans

The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

June 30, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 – 7.00%	2	$	714	66.3	%	—	7.0	%
7.01 – 8.00%	29	20,354		73.5	%	5.2	7.8	%
8.01 – 9.00%	70	38,621		72.7	%	5.1	8.7	%
9.01 – 10.00%	51	24,751		71.2	%	2.7	9.8	%
10.01 – 11.00%	18	4,639		73.7	%	0.5	10.7	%
11.01 – 12.00%	12	3,095		58.4	%	1.3	11.3	%
12.01 – 13.00%	5	1,797		80.7	%	1.8	12.9	%
17.01 – 18.00%	6	2,514		73.6	%	2.2	18.0	%
Total	193	$	96,485	72.2	%	4.2	9.3	%

December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 8.00%	95	53,911		73.1	%	6.3	7.8	%
8.01 – 9.00%	180	86,764		72.3	%	5.6	8.7	%
9.01 – 10.00%	143	53,804		74.0	%	4.5	9.7	%
10.01 – 11.00%	43	10,150		72.7	%	4.0	10.7	%
11.01 – 12.00%	28	8,274		69.8	%	4.5	11.4	%
12.01 – 13.00%	11	2,743		75.8	%	5.2	12.8	%
13.01 – 14.00%	1	88		65.0	%	4.0	14.0	%
17.01 – 18.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at June 30, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):

June 30, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	52.0	%	$	50,152	California	53.9	%	$	119,761
Washington	9.6	%	9,219		New York	9.5	%	21,160
New York	8.5	%	8,188		Washington	6.6	%	14,711
Florida	6.3	%	6,095		Florida	5.7	%	12,672
New Jersey	5.2	%	5,008		New Jersey	4.7	%	10,419
Other	18.4	%	17,823		Other	19.6	%	43,534
Total	100.0	%	$	96,485	Total	100.0	%	$	222,257

Non-performing Loans

Residential Whole Loans

As of June 30, 2019, there were 3 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $2.7 million. These nonperforming loans represent approximately 0.2% of the total outstanding principal balance. No allowance or provision for credit losses was recorded as of and for the three and six months ended June 30, 2019 and June 30, 2018, since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. As December 31, 2018, there were no Residential Whole-Loans in non-accrual status.

Residential Bridge Loans

As of June 30, 2019, there were 6 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $3.4 million and 40 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $17.1 million. These nonperforming loans represent approximately 21.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 73%. As of December 31, 2018, there were 3 Residential Bridge Loans carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $1.1 million and 9 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $4.0 million. These nonperforming loans represented approximately 2.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 70%. No allowance or provision for credit losses for loans carried at amortized costs was recorded as of and for the three and six months ended June 30, 2019 and June 30, 2018 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. No allowance or provision for credit losses was recorded for loans carried at fair value as of and for the three and six months ended June 30, 2019 and June 30, 2018, since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent.

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Commercial Loans

6 Months Ended

Jun. 30, 2019

Noncontrolling Interest [Abstract]

Commercial Loans

Commercial Loans

Securitized Commercial Loans

Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At June 30, 2019, the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2019- RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.

CMSC Trust 2015 - Longhouse MZ

In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.6 million and a fair value of $13.6 million at June 30, 2019. The Company determined that CMSC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate CMSC Trust and accordingly its investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $24.3 million mezzanine loan collateralized by interests in commercial real estate.  The mezzanine loan serves as collateral for the $24.3 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

RETL 2019-RVP and RETL 2018-RVP

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

RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates ( HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $774.9 million as of June 30, 2019. The loan's stated maturity date is March 15, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 2.30%.

Commercial Loans

In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, and WMC CRE Mezzanine Loan Subsidiary LCC ("CRE Mezz"), a wholly-owned subsidiary of CRE LLC, were formed for the purpose of acquiring commercial loans.

The following table presents the commercial loans held by CRE LLC and CRE Mezz as of June 30, 2019 (dollars in thousands):

Loan	Acquisition Date	Loan Type	Principal Balance		Fair Value		Original LTV	Interest Rate	Maturity Date	Extension Option	Collateral
CRE 1	March 2018	Interest-Only Mezzanine loan	$	20,000	$	20,000	71%	1-Month LIBOR plus 6.5%	11/15/2019	Three One-Year Extensions	Hotel
CRE 2	June 2018	Interest-Only First Mortgage	30,000		30,000		65%	1-Month LIBOR plus 4.5%	6/9/2020	One-Year Extension	Hotel
CRE 4	June 2019	Principal & Interest First Mortgage	50,000		50,000		75%	1-Month LIBOR plus 4.75%	1/11/2022	Two One-Year Extensions	Nursing Facilities
			$	100,000	$	100,000

Commercial Loan Trust

In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of June 30, 2019, the Company financed the trust certificate with $137.8 million of repurchase agreements , which is a liability held outside the trust.

The following table presents the commercial real estate loans held by RSBC Trust as of June 30, 2019 (dollars in thousands):

Loan	Acquisition Date	Loan Type	Principal Balance		Fair Value		LTV	Interest Rate	Maturity Date	Extension Option	Collateral
SBC 1	July 2018	Interest-Only First Mortgage	$	45,187	$	45,187	74%	One-Month LIBOR plus 4.25% (1)	7/1/2020	Two One-Year Extensions	Nursing Facilities
SBC 2	September and October 2018 (4)	Interest-Only First Mortgage	115,500		115,500		78%	One-Month LIBOR plus 5.3% (2)	9/6/2021	One-Year Extension	Assisted Care Living Facilities
SBC 3	November 2018	Interest-Only First Mortgage	5,745		5,745		59%	One-Month LIBOR plus 5.25%	12/1/2020	One-Year Extension	Nursing Facilities
SBC 4	January 2019	Interest-Only First Mortgage	13,600		13,600		84%	One-Month LIBOR plus 4.0% (3)	12/1/2021	One-Year Extension	Apartment Complex
SBC 5	January 2019	Interest-Only First Mortgage	32,000		32,000		49%	One-Month LIBOR plus 4.1%	7/1/2021	None	Nursing Facilities
			$	212,032	$	212,032

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of of 1.9% and LIBOR cap of 3.5%.

(3) Subject to LIBOR floor of 2%.

(4) Acquired $49.6 million of the loan in September 2018 and the remaining $65.9 million in October 2018

Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust

The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The three consolidated trusts, CMSC Trust, RETL 2019 Trust and RSBC Trust collectively hold seven commercial loans as of June 30, 2019. 

The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash	$	463	$	—
Restricted cash	87,139		55,808
Securitized commercial loans, at fair value	804,134		1,013,511
Commercial Loans, at fair value	212,032		166,123
Interest receivable	3,013		3,733
Total assets	$	1,106,781	$	1,239,175
Securitized debt, at fair value	$	722,026	$	949,626
Interest payable	1,493		2,419
Accounts payable and accrued expenses	33		31
Other liabilities	87,139		55,808
Total liabilities	$	810,691	$	1,007,884

The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and six months ended June 30, 2019 and June 30, 2018. 

The following table presents the components of the carrying value of the commercial real estate loans as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	June 30, 2019		December 31, 2018			June 30, 2019		December 31, 2018		June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018
Principal balance	$	24,253	$	24,456		$	774,930	$	988,609	$	212,032		$	166,432		$	100,000		$	50,000
Unamortized premium	—		—			3,016		431		—			—			—			—
Unamortized discount	—		—			—		—		(690		)	(736		)	(105		)	(205		)
Amortized cost	24,253		24,456			777,946		989,040		211,342			165,696			99,895			49,795
Gross unrealized gains	65		—			1,870		29		690			427			105			205
Gross unrealized losses	—		(14		)	—		—		—			—			—			—
Fair value	$	24,318	$	24,442		$	779,816	$	989,069	$	212,032		$	166,123		$	100,000		$	50,000

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Financings

6 Months Ended

Jun. 30, 2019

Debt Disclosure [Abstract]

Financings

Financings

Repurchase Agreements

The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to six months.  The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets.  Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call.  The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. 

     Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio.  For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of June 30, 2019.

As of June 30, 2019, the Company had 33 master repurchase agreements with its counterparties and borrowings under 18 of the 33 master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019					December 31, 2018
Securities Pledged	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at  end of period		Weighted Average Remaining Maturity (days)	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)
Short Term Borrowings:
Agency RMBS	$	573,771	2.65	%	40	$	14,650	3.09	%	21
Agency CMBS	1,673,902		2.62	%	35	1,392,649		2.71	%	40
Non-Agency RMBS	11,488		3.86	%	23	30,922		4.06	%	18
Non-Agency CMBS	146,629		3.79	%	42	134,814		4.05	%	48
Residential Whole Loans (1)	226,784		3.63	%	68	863,356		4.08	%	93
Residential Bridge Loans (1)	89,241		4.59	%	29	204,754		4.50	%	25
Commercial loans (1)	137,821		4.67	%	36	131,788		4.55	%	26
Securitized commercial loans (1)	19,708		3.28	%	19	7,543		4.30	%	15
Other securities	53,114		3.93	%	32	38,361		4.18	%	26
Subtotal	2,932,458		2.95	%	39	2,818,837		3.45	%	54
Long Term Borrowings:
Residential Whole Loans (1) (2)	11,762		4.15	%	966	—		—	%	—
Commercial loans (2)	57,000		4.60	%	727	—		—	%	—
Subtotal	68,762		4.52	%	768	—		—	%	—
Total	$	3,001,220	2.99	%	55	$	2,818,837	3.45	%	54

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

(2) Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $150.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.

      At June 30, 2019 and December 31, 2018, repurchase agreements collateralized by investments had the following remaining maturities:

(dollars in thousands)	June 30, 2019		December 31, 2018
1 to 29 days	1,789,562		1,867,957
30 to 59 days	341,585		144,778
60 to 89 days	801,311		555,695
Greater than or equal to 90 days	68,762		250,407
Total	$	3,001,220	$	2,818,837

At June 30, 2019, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):

	June 30, 2019
Counterparty	Amount of  Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of  Stockholders’  Equity
Nomura Securities International, Inc.	$	78,104	33	14.0	%
Citigroup Global Markets Inc.	70,163		26	12.5	%

Collateral for Borrowings under Repurchase Agreements

The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019						December 31, 2018
	Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest		Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:
Agency RMBS, at fair value	$	604,384	$	2,080	$	606,464	$	19,837	$	453	$	20,290
Agency CMBS, at fair value	1,783,953		4,669		1,788,622		1,486,142		4,262		1,490,404
Non-Agency RMBS, at fair value	14,435		119		14,554		50,555		479		51,034
Non-Agency CMBS, at fair value	200,511		829		201,340		186,552		915		187,467
Residential Whole Loans, at fair value (1)	247,539		1,869		249,408		1,041,885		8,145		1,050,030
Residential Bridge Loans (1)	90,606		1,408		92,014		221,486		3,528		225,014
Commercial Loans, at fair value (1)	292,032		1,593		293,625		196,123		1,067		197,190
Securitized commercial loans, at fair value (1)	23,187		46		23,233		13,688		88		13,776
Other securities, at fair value	76,483		153		76,636		59,780		147		59,927
Cash (2)	—		—		—		1,226		—		1,226
Total	$	3,333,130	$	12,766	$	3,345,896	$	3,277,274	$	19,084	$	3,296,358

(1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.

(2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call.  At June 30, 2019 and December 31, 2018, investments held by counterparties as security for repurchase agreements totaled approximately $3.3 billion .  Cash collateral held by counterparties at June 30, 2019 and December 31, 2018 was $0 and approximately $1.2 million, respectively.  Cash posted by repurchase agreement counterparties at June 30, 2019 and December 31, 2018, was $21.6 million and approximately $17.8 million, respectively.  In addition, at June 30, 2019 and December 31, 2018, the Company held securities with a fair value of $3.3 million and $5.2 million, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements.  The Company has the ability to repledge collateral received from its repurchase counterparties.

Convertible Senior Unsecured Notes

In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes, which included the underwriter’s option to purchase $15.0 million aggregate principal amount of the notes for net proceeds of $111.1 million. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity.

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

Securitized Debt

CMSC Trust 2015 - Longhouse MZ

CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding balance of the trust certificates was $24.3 million at June 30, 2019, with a fair value of $24.3 million. The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company owns $13.6 million of the trust certificates which was eliminated in consolidation and the remaining $10.7 million is held by related parties and is carried at a fair value of $10.7 million. The securitized debt of the CMSC Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company.

RETL 2019 Trust

The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at June 30, 2019 (dollars in thousands):

Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	320,030	3.5%	$	320,628	3/15/2021
Class B	101,200		3.9%	101,452		3/15/2021
Class C	308,400		4.5%	309,556		3/15/2021
Class HRR	45,300		10.9%	45,304		3/15/2021
Class X-CP(1)	N/A		1.3%	2,846		4/15/2020
Class X-EXT(1)	N/A		—%	31		3/15/2021
	$	774,930		$	779,817

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

The Company acquired $23 million of the class C certificates and the entire class of HRR certificates, which are eliminated in consolidation and the remaining RETL debt with a fair value of $711.3 million is recorded in "Securitized Debt" in the consolidated balance sheets. Of the remaining outstanding principal balance of $706.5 million, excluding the interest-only debt securities, $70.0 million is owned by related parties and $636.6 million is owned by third parties. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan that serves as collateral for the securitized debt and is non-recourse to the Company.

Arroyo Trust

The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates, excluding the Owner Certificates, at June 30, 2019 (dollars in thousands):

Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	769,825	3.3%	$	769,823	4/25/2049
Class A-2	41,248		3.5%	41,248		4/25/2049
Class A-3	65,350		3.8%	65,348		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	901,478		$	901,474
Less: Unamortized Deferred Financing Costs	N/A			5,686
Total	$	901,478		$	895,788

The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At June 30, 2019, Residential Whole Loans, with an outstanding principal balance of approximately $917.6 million, serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest.

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Derivative Instruments

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Derivative Instruments

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

The following table summarizes the Company’s derivative instruments at June 30, 2019 and December 31, 2018 (dollars in thousands):

			June 30, 2019					December 31, 2018
Derivative Instrument	Accounting Designation	Consolidated Balance Sheets Location	Notional Amount		Fair Value			Notional Amount		Fair Value
Interest rate swaps, asset	Non-Hedge	Derivative assets, at fair value	$	3,772,400	$	2,709		$	1,128,400	$	2,057
Swaptions, asset	Non-Hedge	Derivative assets, at fair value	162,803		156			—		—
Options, asset	Non-Hedge	Derivative assets, at fair value	45,000		464			—		—
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	—		—			50,000		549
Total derivative instruments, assets					3,329					2,606
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	974,400		(764		)	2,727,800		(5,473		)
Options, liability	Non-Hedge	Derivative liability, at fair value	672,700		(553		)	—		—
Futures contracts, liability	Non-Hedge	Derivative liability, at fair value	—		—			300,400		(4,657		)
Total derivative instruments, liabilities					(1,317		)			(10,130		)
Total derivative instruments, net					$	2,012				$	(7,524	)

The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)		Total
Three months ended June 30, 2019
Interest rate swaps	$	(588	)	$	(58,600	)	$	1,676		$	(10,832	)	$	2,174	$	(66,170	)
Interest rate swaptions	—			—			—			(176		)	—		(176		)
Interest-Only Strips— accounted for as derivatives	—			—			(655		)	19			819		183
Options	—			—			—			470			—		470
Futures contracts	(5,837		)	—			—			—			—		(5,837		)
Total	$	(6,425	)	$	(58,600	)	$	1,021		$	(10,519	)	$	2,993	$	(71,530	)
Three months ended June 30, 2018
Interest rate swaps	$	24		$	21,634		$	211		$	2,177		$	833	$	24,879
Interest-Only Strips— accounted for as derivatives	—			—			(783		)	(96		)	1,011		132
Options	(100		)	—			—			88			—		(12		)
Futures contracts	614			—			—			2,567			—		3,181
Credit default swap	(23		)	—			—			66			—		43
TBAs	801			—			—			(534		)	—		267
Total	$	1,316		$	21,634		$	(572	)	$	4,268		$	1,844	$	28,490

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)			Total
Six months ended June 30, 2019
Interest rate swaps	$	(591	)	$	(96,438	)	$	3,204		$	(3,742	)	$	4,929		$	(92,638	)
Interest rate swaptions	—			—			—			(176		)	—			(176		)
Interest-Only Strips— accounted for as derivatives	—			—			(1,250		)	(40		)	1,603			313
Options	—			—			—			470			—			470
Futures contracts	(10,340		)	—			—			4,657			—			(5,683		)
Credit default swaps	(589		)	—			—			(375		)	—			(964		)
Total	$	(11,520	)	$	(96,438	)	$	1,954		$	794		$	6,532		$	(98,678	)
Six months ended June 30, 2018
Interest rate swaps	$	19		$	97,864		$	292		$	2,245		$	(304	)	$	100,116
Interest-Only Strips— accounted for as derivatives	—			—			(1,974		)	(30		)	2,433			429
Options	(518		)	—			—			300			—			(218		)
Futures contracts	4,592			—			—			3,069			—			7,661
Credit default swap	(42		)	—			—			51			—			9
TBAs	134			—			—			(59		)	—			75
Total	$	4,185		$	97,864		$	(1,682	)	$	5,576		$	2,129		$	108,072

At June 30, 2019 and December 31, 2018, the Company had cash pledged as collateral for derivatives which represents upfront cash collateral upon the Company entering into the derivative transaction and cash collateral for derivatives not cleared through the Chicago Mercantile Exchange ("CME"), of approximately $55.5 million and approximately $38.0 million, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company received cash of approximately $380 thousand as collateral against derivatives at June 30, 2019, which is reported in "Due to counterparties" in the Consolidated Balance Sheets.

Interest rate swaps and interest rate swaptions

The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements.  Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount.  Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future.  The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap.  Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described.

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

Interest Rate Swaps

The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)	Forward Starting (1)
1 year or less	$	200,000	1.8	%	2.6	%	0.9	—	%
Greater than 1 year and less than 3 years	738,000		2.0	%	2.6	%	2.8	—	%
Greater than 3 years and less than 5 years	828,700		2.6	%	2.5	%	4.6	—	%
Greater than 5 years	2,005,700		2.4	%	2.6	%	9.2	20.6	%
Total	$	3,772,400	2.3	%	2.5	%	6.5	10.9	%

(1) Represents the percentage of notional that is forward starting.

	June 30, 2019
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 year and less than 3 years	$	225,000	2.6	%	2.4	%	1.8
Greater than 3 years and less than 5 years	66,000		2.4	%	2.2	%	5.0
Greater than 5 years	683,400		2.6	%	2.3	%	8.6
Total	$	974,400	2.6	%	2.4	%	6.8

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

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

Interest Rate Swaptions

The following table summarized the swaptions held by the Company as of June 30, 2019. As of December 31, 2018, the Company did not have any swaptions in its derivative holdings (dollars in thousands):

	June 30, 2019
	Option			Underlying Swap
Fixed-Pay Rate for Underlying Swap	Fair Value		Weighted Average Months Until Option Expiration	Notional		Weighted Average Swap Term (Years)
0.76 - 1.00%	$	156	2.6	$	162,803	5.0
Total	$	156	2.6	$	162,803	5.0

Options

As of June 30, 2019, the Company had a total long position options on U.S. Treasuries with a notional amount of $45.0 million with a fair value in an asset position of $464 thousand and a total short position options on U.S Treasuries with a notional amount of $672.7 million with a fair value in a liability position of $553 thousand. As of December 31, 2018, the Company did not have any options in its derivative holdings

Futures Contracts

The Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of June 30, 2019, the Company had no futures contracts. As of December 31, 2018, the Company had entered into contracts to sell or short positions for U.S. Treasuries with a notional amount of $300.4 million, with a fair value in a liability position of $4.7 million and an expiration date of March 2019. 

Interest-Only Strips

The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received.  The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets.

Credit Default Swaps

During 2018, the Company entered into credit default swaps and, in the future, may continue to enter into these types of credit derivatives. As of June 30, 2019, the Company had no credit default swaps. As of December 31, 2018, the Company had entered into credit default swaps with a notional amount of $50.0 million with a fair value in a asset position of $549 thousand. Under these instruments, the Company makes a monthly premium payment over the term of the contract in exchange for the counterparty making a payment to the Company for losses of the reference securities, upon the occurrence of a specified credit event.

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Offsetting Assets and Liabilities

6 Months Ended

Jun. 30, 2019

Offsetting [Abstract]

Offsetting Assets and Liabilities

Offsetting Assets and Liabilities

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
Description							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	10,570	$	—	$	10,570	$	(10,570	)	$	—		$	—
Interest rate swap asset, at fair value	3,329		—		3,329		(1,228		)	—			2,101
Total derivative assets	$	13,899	$	—	$	13,899	$	(11,798	)	$	—		$	2,101
Derivative Liabilities and Repurchase Agreements
Interest rate swap liability, at fair value(2)	$	1,317	$	—	$	1,317	$	(1,228	)	$	(89	)	$	—
Repurchase Agreements(3)	3,001,220		—		3,001,220		(3,001,220		)	—			—
Total derivative liability	$	3,002,537	$	—	$	3,002,537	$	(3,002,448	)	$	(89	)	$	—

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

(2) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.5 million as of June 30, 2019.

(3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of June 30, 2019.

	December 31, 2018
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value(2)	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements(4)	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

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

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

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

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

Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.

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Related Party Transactions

6 Months Ended

Jun. 30, 2019

Related Party Transactions [Abstract]

Related Party Transactions

Related Party Transactions

Management Agreement

In connection with the Company’s initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services.  The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (excluding OTTI ) that have impacted stockholders' equity as reported in the Company’s consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. However, if the Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter.

In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s chief financial officer , controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company’s reimbursement obligation is not subject to any dollar limitation. Because the Manager’s personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm’s-length basis.

The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2020.  It is automatically renewed for one-year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination.

The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager.

In September 2018, the Company completed a secondary public offering in which it sold 6,500,000 share of its common stock for net proceeds of approximately $67.7 million after subtracting underwriting commissions and offering expenses. Refer to Note12- "Stockholders' Equity" for details on the secondary public offering. The Company's Manager did not earn a management fee on the issued equity through March 31, 2019, to reduce any impact on earnings as the Company fully deployed the capital into its target assets.

For the three months ended June 30, 2019 and June 30, 2018, the Company incurred approximately $1.8 million and approximately $2.3 million in management fees, respectively. For the six months ended June 30, 2019 and June 30, 2018, the Company incurred approximately $3.6 million and approximately $4.4 million in management fees, respectively.

In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company as defined in the Management Agreement. For the three months ended June 30, 2019 and June 30, 2018, the Company recorded expenses included in general and administrative expenses totaling approximately $959 thousand and approximately $872 thousand, respectively, related to reimbursable employee costs. For the six months ended June 30, 2019 and June 30, 2018, the Company recorded expenses included in general and administrative expenses totaling approximately $1.2 million and approximately $1.1 million, respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations.  At June 30, 2019 and December 31, 2018, approximately $1.8 million and approximately $4.2 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.  In addition, at June 30, 2019 and December 31, 2018, approximately $995 thousand and approximately $379 thousand, respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.

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Share-Based Payments

6 Months Ended

Jun. 30, 2019

Share-based Compensation [Abstract]

Share-Based Payments

Share-Based Payments

In conjunction with the Company’s IPO and concurrent private placement, the Company’s Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the “Equity Plan”) and the Western Asset Manager Equity Plan (the “Manager Equity Plan” and collectively the “Equity Incentive Plans”). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company’s directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company’s Equity Incentive Plans) under these Equity Incentive Plans. Upon the completion of the Company's secondary public offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,573,609. Approximately 892,477 shares have been issued under the Equity Plans with 681,132 shares available for issuance, as of June 30, 2019.

Under the Equity Plan, the Company made the following grants during the six months ended June 30, 2019 and the year ended December 31, 2018:

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

On March 28, 2019, the Company granted 108,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares will vest on March 28, 2020, one-third will vest on March 28, 2021 and the remaining one-third will vest on March 28, 2022.

On June 6, 2019, the Company granted a total of 28,780 shares (7,195 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 6, 2020, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director.

During the six months ended June 30, 2019 and June 30, 2018, 29,200 and 84,203 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $165 thousand and approximately $50 thousand for the three months ended June 30, 2019 and June 30, 2018, respectively. The Company recognized stock-based compensation expense of approximately $235 thousand and approximately $125 thousand for the six months ended June 30, 2019 and June 30, 2018. In addition, the Company had unamortized compensation expense of $1.3 million and $117 thousand for equity awards at June 30, 2019 and December 31, 2018, respectively.

All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote.  Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account.  The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date.  Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee.

The following is a summary of restricted common stock vesting dates as of June 30, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan: 

	June 30, 2019	December 31, 2018
Vesting Date	Shares Vesting	Shares Vesting
June 2019	—	27,476
March 2020	36,000	—
June 2020	28,780	—
March 2021	36,000	—
March 2022	36,000	—
	136,780	27,476

The following table presents information with respect to the Company’s restricted stock for the six months ended June 30, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan:

	Shares of  Restricted Stock	Weighted Average  Grant Date Fair  Value (1)
Outstanding at beginning of period	753,973	$	16.77
Granted (2)	138,504	10.34
Cancelled/forfeited	—	—
Outstanding at end of period	892,477	15.77
Unvested at end of period	136,780	$	10.35

(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

(2) Includes 1,724 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.

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Stockholders' Equity

6 Months Ended

Jun. 30, 2019

Stockholders' Equity Note [Abstract]

Stockholders' Equity

Stockholders’ Equity

At-The-Market Program

In April 2017, the Company entered into an equity distribution agreement with JMP Securities LLC under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. The Company has not sold any shares under this agreement.

Secondary Public Offerings

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

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

Stock Repurchase Program

On December 21, 2017, the Board of Directors of the Company reauthorized its repurchase program of up to 2,100,000 shares of its common stock through December 31, 2019. The previous reauthorization announced on February 25, 2016 of the Company's repurchase program of up to 2,050,000 shares of its common stock expired on December 31, 2017.  Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company’s discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors.  The Company has repurchased 303,422 shares of common stock accounted for as treasury stock pursuant to the authorization. In September 2018, the Company re-issued all 303,422 shares in treasury stock as part of its secondary public offering.

Dividends

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

Declaration Date	Record Date	Payment Date	Amount per Share		Tax Characterization
2019
June 20, 2019	July 1, 2019	July 26, 2019	$	0.31	Not yet determined
March 21, 2019	April 1, 2019	April 26, 2019	$	0.31	Not yet determined
2018
December 19, 2018	December 31, 2018	January 25, 2019	$	0.31	Ordinary income
September 17, 2018	September 27, 2018	October 26, 2018	$	0.31	Ordinary income
June 21, 2018	July 2, 2018	July 26, 2018	$	0.31	Ordinary income
March 22, 2018	April 2, 2018	April 26, 2018	$	0.31	Ordinary income

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Net Income per Common Share

6 Months Ended

Jun. 30, 2019

Earnings Per Share [Abstract]

Net Income per Common Share

Net Income per Common Share

The table below presents basic and diluted net income per share of common stock using the two-class method for the three and six months ended June 30, 2019 and June 30, 2018 (dollars, other than shares and per share amounts, in thousands):

	For the three months ended June 30, 2019		For the three months ended June 30, 2018		Six months ended June 30, 2019		Six months ended June 30, 2018
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$	10,614	$	1,453	$	38,490	$	23,182
Less:
Dividends and undistributed earnings allocated to participating securities	76		27		138		65
Net income allocable to common stockholders — basic and diluted	$	10,538	$	1,426	$	38,352	$	23,117
Denominator:
Weighted average common shares outstanding for basic earnings per share	50,588,906		41,619,198		49,359,473		41,671,278
Weighted average common shares outstanding for diluted earnings per share	50,588,906		41,619,198		49,359,473		41,671,278
Basic earnings per common share	$	0.21	$	0.03	$	0.78	$	0.55
Diluted earnings per common share	$	0.21	$	0.03	$	0.78	$	0.55

For the three and six months ended June 30, 2019 and June 30, 2018, the Company excluded the effects of the warrants and the convertible senior unsecured notes from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants and the convertible senior unsecured notes.

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Income Taxes

6 Months Ended

Jun. 30, 2019

Income Tax Disclosure [Abstract]

Income Taxes

Income Taxes

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

Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of June 30, 2019.  The Company files U.S. federal and state income tax returns.  As of June 30, 2019, U.S. federal tax returns filed by the Company for 2017, 2016 and 2015 and state tax returns filed for 2017, 2016, 2015 and 2014 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes.

Income Tax Provision

Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended June 30, 2019 and June 30, 2018, the Company recorded a federal and state tax provision of approximately $478 thousand and $36 thousand, respectively, which is recorded in "Income tax provision" in the Consolidated Statements of Operations. During the six months ended June 30, 2019 and June 30, 2018, the Company recorded a federal and state tax provision of approximately $490 thousand and $349 thousand, respectively.

Deferred Tax Asset

As of June 30, 2019 and December 31, 2018, the Company recorded a deferred tax asset of approximately $8.0 million and $6.0 million, respectively, relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a valuation allowance of $8.0 million and $6.0 million as of June 30, 2019 and December 31, 2018, respectively.

In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2017, related to its interest rate swap terminations, and for its California return a portion of the NOL's is apportioned to the TRS. The Company recorded a deferred state tax asset relating to the NOLs of $5.4 million and $5.5 million in the REIT and $967 thousand and $993 thousand in the TRS as of June 30, 2019 and December 31, 2018, respectively. The TRS can carryback these NOLs to each of the two preceding years and receive a refund for taxes paid. As a result, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $5.9 million and $6.1 million as of June 30, 2019 and December 31, 2018, respectively. The Company also recorded a deferred federal tax liability of $85 thousand and $85 thousand as of June 30, 2019 and December 31, 2018, respectively, in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL.

Effective Tax Rate

The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a).

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Contingencies

6 Months Ended

Jun. 30, 2019

Commitments and Contingencies Disclosure [Abstract]

Contingencies

Contingencies

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at June 30, 2019.

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

6 Months Ended

Jun. 30, 2019

Accounting Policies [Abstract]

Basis of Presentation and Consolidation

Basis of Presentation and Consolidation

The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended June 30, 2019, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2018, filed with the SEC on March 6, 2019.

The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary.  All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.

Variable Interest Entities

Variable Interest Entities

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

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

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

In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed.  If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed.  If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 

Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.

Use of Estimates

Use of Estimates

The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.  Actual results could differ from those estimates.

Recent accounting pronouncements

Recently adopted accounting pronouncements

Description	Adoption Date	Effect on Financial Statements
In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.
In June 2018, the FASB issued ASU 2018-07, "Compensation-Stock Compensation (Topic 718), Improvements to Nonemployee Share-Based Payment Accounting." The amendments in this update expand the scope of Topic 718 to include share-based payment transactions for acquiring goods and services from nonemployees.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.
In July 2018, the FASB issued ASU 2018-09, "Codification Improvements." The amendments in this update affect a wide variety of Topics in the Codification including derivatives and hedging, stock compensation-income taxes, distinguishing liabilities from equity, debt modification and extinguishment, reporting comprehensive income, business combinations-income taxes, financial services and Plan accounting.	First quarter 2019.	The adoption of this standard did not have a material impact on its consolidated financial statements.

Recently issued accounting pronouncements

Description	Effective Date	Effect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements
In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits.	First quarter 2020.	The Company is evaluating the impact this standard may have on its consolidated financial statements.
In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. However, the Company does not foresee the Codification Improvements having a material impact on its financial statements
In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326). The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10.	First quarter 2020.	The Company is currently evaluating the impact the standard may have on its consolidated financial statements. However, since the Company already elects the fair value option for its financial assets, it does not foresee the adoption of this guidance having a material impact on its financial statements

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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2019

Fair Value Disclosures [Abstract]

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

The following tables present the Company’s financial instruments carried at fair value as of June 30, 2019 and December 31, 2018, based upon the valuation hierarchy (dollars in thousands):

	June 30, 2019
	Fair Value
	Level I		Level II		Level III		Total
Assets
Agency CMBS	$	—	$	1,839,654	$	40,285	$	1,879,939
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		3,829		—		3,829
Agency RMBS	—		585,751		—		585,751
Agency RMBS Interest-Only Strips	—		—		11,891		11,891
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		6,741		6,741
Subtotal Agency MBS	—		2,429,234		58,917		2,488,151
Non-Agency RMBS	—		—		38,086		38,086
Non-Agency RMBS Interest-Only Strips	—		—		9,101		9,101
Non-Agency CMBS	—		219,704		—		219,704
Subtotal Non-Agency MBS	—		219,704		47,187		266,891
Other securities	—		58,820		17,797		76,617
Total mortgage-backed securities and other securities	—		2,707,758		123,901		2,831,659
Residential Whole Loans	—		—		1,206,220		1,206,220
Residential Bridge Loans	—		—		87,402		87,402
Securitized commercial loans	—		—		804,134		804,134
Commercial Loans	—		—		312,032		312,032
Derivative assets	464		2,865		—		3,329
Total Assets	$	464	$	2,710,623	$	2,533,689	$	5,244,776
Liabilities
Derivative liabilities	$	553	$	764	$	—	$	1,317
Securitized debt	—		719,150		2,876		722,026
Total Liabilities	$	553	$	719,914	$	2,876	$	723,343

	December 31, 2018
	Fair Value
	Level I		Level II		Level III		Total
Assets
Agency CMBS	$	—	$	1,481,984	$	—	$	1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		4,158		—		4,158
Agency RMBS Interest-Only Strips	—		—		12,135		12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS	—		—		7,702		7,702
Subtotal Agency MBS	—		1,486,142		19,837		1,505,979
Non-Agency RMBS	—		—		39,026		39,026
Non-Agency RMBS Interest-Only Strips	—		—		11,529		11,529
Non-Agency CMBS	—		200,301		—		200,301
Subtotal Non-Agency MBS	—		200,301		50,555		250,856
Other securities	—		50,955		8,951		59,906
Total mortgage-backed securities and other securities	—		1,737,398		79,343		1,816,741
Residential Whole Loans	—		—		1,041,885		1,041,885
Residential Bridge Loans	—		—		211,999		211,999
Securitized commercial loan	—		—		1,013,511		1,013,511
Commercial Loans	—		—		216,123		216,123
Derivative assets	—		2,606		—		2,606
Total Assets	$	—	$	1,740,004	$	2,562,861	$	4,302,865
Liabilities
Derivative liabilities	$	4,657	$	5,473	$	—	$	10,130
Securitized debt	—		947,340		2,286		949,626
Total Liabilities	$	4,657	$	952,813	$	2,286	$	959,756

Summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments

The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	Fair Value at			Range
	June 30, 2019	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average
Residential Whole-Loans	1,206,220	Discounted Cash Flow	Yield	3.2	%	7.7	%		4.3	%
			Weighted Average Life(2)	1.2		7.3			2.6
Residential Bridge Loans	87,402	Discounted Cash Flow	Yield	7.2	%	144.0	%	(1)	10.9	%
			Weighted Average Life	0.1		2.3			0.5
Commercial Loans	312,032	Discounted Cash Flow	Yield	5.6	%	8.5	%		6.7	%
			Weighted Average Life	0.4		2.5			1.8

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

(1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%.

(2) Includes the weighted average lives of Non-QM Residential Whole loans and excludes the expected lives of the conforming Residential Whole Loans.

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

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

	Three months ended June 30, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole Loans			Residential Bridge Loans			Commercial Loans			Securitized  commercial  loans			Securitized debt
Beginning balance	$	19,108		$	48,392		$	17,380		$	1,267,163		$	144,170		$	337,578		$	929,474		$	3,769
Transfers into Level III from Level II	—			—			—			—			—			—			—			—
Transfers from Level III into Level II	—			—			—			—			—			—			—			—
Purchases	39,856			—			—			—			—			50,000			—			—
Sales and settlements	—			—			—			—			—			—			—			—
Principal repayments	—			(274		)	(185		)	(69,312		)	(56,650		)	(75,835		)	(125,170		)	—
Total net gains / losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(162		)	—			—			—
Other than temporary impairment	(4		)	(936		)	—			—			—			—			—			—
Unrealized gains/(losses), net on assets(1)	984			716			697			9,170			291			(59		)	572			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—			—			(47		)
Premium and discount amortization, net	(1,027		)	(711		)	(95		)	(801		)	(247		)	348			(742		)	(846		)
Ending balance	$	58,917		$	47,187		$	17,797		$	1,206,220		$	87,402		$	312,032		$	804,134		$	2,876
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	984		$	716		$	697		$	9,869		$	(27	)	$	127		$	572		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	47

	Three months ended June 30, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	44,802		$	17,000		$	9,113		$	296,719		$	129,469		$	40,455	$	1,383,044		$	12
Transfers from Level III into Level II	(19,461		)	—			—			—			—			—		—			—
Purchases	52,530			—			—			54,019			156,730			29,851		—			—
Principal repayments	—			—			(177		)	(14,902		)	(49,402		)	—		(78,807		)	—
Total net gains / losses included in net income							0
Other than temporary impairment	(207		)	(19		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	(1,181		)	(53		)	(25		)	(475		)	(108		)	374		5,621			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			2,834
Premium and discount amortization, net	(1,440		)	(621		)	44			(212		)	(330		)	37		(663		)	24
Ending balance	$	75,043		$	16,307		$	8,955		$	335,149		$	236,359		$	70,717	$	1,309,195		$	2,870
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(798	)	$	(53	)	$	(25	)	$	(274	)	$	140		$	374	$	5,621		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(2,834	)

	Six months ended June 30, 2019
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole-Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	19,837		$	50,555		$	8,951		$	1,041,885		$	211,999		$	216,123	$	1,013,511		$	2,286
Transfers into Level III from Level II	—			—			8,386			—			—			—		—			—
Transfers from Level III into Level II	—			—			—			—			—			—		—			—
Purchases	39,856			—			—			244,274			—			95,379		903,770			—
Sales and settlements	—			—			—			—			—			—		—			3,769
Principal repayments	—			(525		)	(185		)	(94,101		)	(123,262		)	—		(1,113,884		)	—
Total net gains / losses included in net income
Realized gains/(losses), net on assets	—			—			—			—			(249		)	—		—			—
Other than temporary impairment	(29		)	(1,177		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	1,371			(477		)	818			15,149			(489		)	164		1,921			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			(2,017		)
Premium and discount amortization, net	(2,118		)	(1,189		)	(173		)	(987		)	(597		)	366		(1,184		)	(1,162		)
Ending balance	$	58,917		$	47,187		$	17,797		$	1,206,220		$	87,402		$	312,032	$	804,134		$	2,876
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	1,371		$	(477	)	$	818		$	15,859		$	(997	)	$	164	$	1,949		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	19

	Six months ended June 30, 2018
$ in thousands	Agency MBS			Non-Agency MBS			Other Securities			Residential  Whole-Loans			Residential Bridge Loans			Commercial Loans		Securitized  commercial  loan			Securitized debt
Beginning balance	$	17,217		$	8,735		$	9,239		$	237,423		$	64,526		$	—	$	24,876		$	10,945
Transfers into Level III from Level II	22,794			—			—			—			—			—		—			—
Transfers from Level III into Level II	(16,805		)	—			—			—			—			—		—			(10,899		)
Purchases	54,623			8,602			—			122,014			214,843			70,257		1,353,019			—
Sales and settlements	—			—			—			—			—			—		—			12
Principal repayments	(53		)	—			(317		)	(22,679		)	(42,544		)	—		(78,907		)	(44		)
Total net gains / losses included in net income
Other than temporary impairment	(207		)	(48		)	—			—			—			—		—			—
Unrealized gains/(losses), net on assets(1)	(1,070		)	(56		)	(54		)	(1,273		)	(130		)	416		10,870			—
Unrealized (gains)/losses, net on liabilities(2)	—			—			—			—			—			—		—			2,832
Premium and discount amortization, net	(1,456		)	(926		)	87			(336		)	(336		)	44		(663		)	24
Ending balance	$	75,043		$	16,307		$	8,955		$	335,149		$	236,359		$	70,717	$	1,309,195		$	2,870
Unrealized gains/(losses), net on assets held at the end of the period(1)	$	(712	)	$	(56	)	$	(54	)	$	(888	)	$	151		$	416	$	10,870		$	—
Unrealized gains/(losses), net on liabilities held at the end of the period(2)	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	(2,834	)

(1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.

(2) Gains and losses on securitized debt and derivative liability are included in "Unrealized gain (loss), net" or "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively.

Schedule of fair value, by balance sheet grouping

The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of June 30, 2019 and December 31, 2018 in the consolidated financial statements (dollars in thousands):

	June 30, 2019				December 31, 2018
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets
Residential Bridge Loans	$	7,490	$	7,377	$	9,720	$	9,603
Total	$	7,490	$	7,377	$	9,720	$	9,603
Liabilities
Borrowings under repurchase agreements	$	3,001,220	$	3,015,912	$	2,818,837	$	2,823,615
Convertible senior unsecured notes	110,719		113,339		110,060		108,531
Securitized debt(1)	901,474		914,413		—		—
Total	$	4,013,413	$	4,043,664	$	2,928,897	$	2,932,146

^{(1) Carrying value excludes $5.7 million of deferred financing costs} 

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Mortgage-Backed Securities and other securities (Tables)

6 Months Ended

Jun. 30, 2019

Investments, Debt and Equity Securities [Abstract]

Summary of certain information about the Company's investment portfolio

The following tables present certain information about the Company’s investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Principal Balance		Unamortized Premium (Discount), net			Discount Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,772,577	$	20,806		$	—		$	1,793,383	$	86,694	$	(138	)	$	1,879,939	3.3	%
Agency CMBS Interest-Only Strips accounted for as derivatives(1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			3,829		0.4	%
Subtotal Agency CMBS	1,772,577		20,806			—			1,793,383		86,694		(138		)	1,883,768		3.0	%
Agency RMBS	570,369		10,267			—			580,636		5,115		—			585,751		3.5	%
Agency RMBS Interest-Only Strips (1)(2)	N/A		N/A			N/A			10,202		1,956		(267		)	11,891		2.3	%
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			6,741		2.8	%
Subtotal Agency RMBS	570,369		10,267			N/A			590,838		7,071		(267		)	604,383		3.2	%
Total Agency MBS	2,342,946		31,073			—			2,384,221		93,765		(405		)	2,488,151		3.1	%
Non-Agency RMBS	53,458		5,250			(21,388		)	37,320		1,264		(498		)	38,086		4.8	%
Non-Agency RMBS Interest- Only Strips (1)	N/A		N/A			N/A			9,007		101		(7		)	9,101		0.6	%
Subtotal Non-Agency RMBS	53,458		5,250			(21,388		)	46,327		1,365		(505		)	47,187		1.0	%
Non-Agency CMBS	255,882		(17,406		)	(20,712		)	217,764		4,437		(2,497		)	219,704		5.8	%
Total Non-Agency MBS	309,340		(12,156		)	(42,100		)	264,091		5,802		(3,002		)	266,891		2.5	%
Other securities (3)	66,015		(1,985		)	(6,724		)	70,897		5,732		(12		)	76,617		7.6	%
Total	$	2,718,301	$	16,932		$	(48,824	)	$	2,719,209	$	105,299	$	(3,419	)	$	2,831,659	3.1	%

	December 31, 2018
	Principal Balance		Unamortized Premium (Discount), net			Discount  Designated as Credit Reserve and OTTI			Amortized Cost		Unrealized Gain		Unrealized Loss			Estimated Fair Value		Net Weighted Average Coupon
Agency CMBS	$	1,493,675	$	5,820		$	—		$	1,499,495	$	12,083	$	(29,594	)	$	1,481,984	$	—
Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			4,158		0.4		%
Subtotal Agency CMBS	1,493,675		5,820			—			1,499,495		12,083		(29,594		)	1,486,142		3.0		%
Agency RMBS Interest-Only Strips (1)	N/A		N/A			N/A			$	11,480	$	1,062	$	(407	)	$	12,135	2.2		%
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)	N/A		N/A			N/A			N/A		N/A		N/A			7,702		2.9		%
Subtotal Agency RMBS	—		—			—			11,480		1,062		(407		)	19,837		2.5		%
Total Agency MBS	1,493,675		5,820			—			1,510,975		13,145		(30,001		)	1,505,979		2.9		%
Non-Agency RMBS	54,887		6,909			(23,731		)	38,065		961		—			39,026		4.8		%
Non-Agency RMBS Interest- Only Strips (1)	N/A		N/A			N/A			11,154		382		(7		)	11,529		0.6		%
Subtotal Non-Agency RMBS	54,887		6,909			(23,731		)	49,219		1,343		(7		)	50,555		1.0		%
Non-Agency CMBS	240,431		(20,317		)	(22,189		)	197,925		5,021		(2,645		)	200,301		5.9		%
Total Non-Agency MBS	295,318		(13,408		)	(45,920		)	247,144		6,364		(2,652		)	250,856		2.4		%
Other securities (3)	47,042		(1,129		)	(7,603		)	55,284		5,012		(390		)	59,906		9.0		%
Total	$	1,836,035	$	(8,717	)	$	(53,523	)	$	1,813,403	$	24,521	$	(33,043	)	$	1,816,741	2.9		%

(1) IOs and IIOs have no principal balances and bear interest based on a notional balance.  The notional balance is used solely to determine interest distributions on interest-only class of securities.  At June 30, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $143.5 million, $488.5 million, $77.7 million and $169.0 million, respectively.  At December 31, 2018, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $158.8 million, $519.9 million, $89.8 million, and $172.2 million, respectively.

(2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.

(3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $13.6 million and $17.0 million, as of June 30, 2019 and December 31, 2018, respectively.

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

The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Three months ended June 30, 2019									Three months ended June 30, 2018
	Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)			Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)
Balance at beginning of period	$	(50,087	)	$	(27,632	)	$	14,661		$	(79,474	)	$	(72,868	)	$	21,494
Accretion of discount	—			1,043			—			—			2,786			—
Amortization of premium	—			—			(135		)	—			—			(223		)
Realized credit losses	1,752			—			—			2,095			—			—
Purchases	—			(3,106		)	287			—			—			—
Sales	3,340			—			(1,088		)	765			2,941			(554		)
Net impairment losses recognized in earnings	(2,000		)	—			—			(2,753		)	—			—
Transfers/release of credit reserve(2)	(1,829		)	1,113			716			530			(1,536		)	1,006
Balance at end of period	$	(48,824	)	$	(28,582	)	$	14,441		$	(78,837	)	$	(68,677	)	$	21,723

	Six months ended June 30, 2019									Six months ended June 30, 2018
	Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)			Discount Designated as Credit Reserve and OTTI			Accretable  Discount(1)			Amortizable  Premium(1)
Balance at beginning of period	$	(53,523	)	$	(29,465	)	$	14,928		$	(72,915	)	$	(68,438	)	$	20,872
Accretion of discount	—			2,320			—			—			5,169			—
Amortization of premium	—			—			(616		)	—			—			(364		)
Realized credit losses	4,753			—			—			2,221			—			—
Purchases	—			(3,106		)	287			(7,182		)	(6,473		)	435
Sales	6,034			—			(1,611		)	3,339			3,728			(684		)
Net impairment losses recognized in earnings	(2,966		)	—			—			(5,499		)	—			—
Transfers/release of credit reserve(2)	(3,122		)	1,669			1,453			1,199			(2,663		)	1,464
Balance at end of period	$	(48,824	)	$	(28,582	)	$	14,441		$	(78,837	)	$	(68,677	)	$	21,723

(1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.

(2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.

Schedule of the fair value and contractual maturities of the Company's investment securities

The following tables present the fair value and contractual maturities of the Company’s investment securities at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	< or equal to 10 years		> 10 years and < or equal to 20 years		> 20 years and < or equal to 30 years		> 30 years		Total
Agency RMBS	$	—	$	—	$	585,751	$	—	$	585,751
Agency RMBS Interest-Only Strips	2,952		2,633		6,306		—		11,891
Agency RMBS Interest-Only Strips, accounted for as derivatives	875		4,686		1,180		—		6,741
Agency CMBS	1,516,839		363,100		—		—		1,879,939
Agency CMBS Interest-Only Strips accounted for as derivatives	—		—		—		3,829		3,829
Subtotal Agency	1,520,666		370,419		593,237		3,829		2,488,151
Non-Agency RMBS	—		—		8,955		29,131		38,086
Non-Agency RMBS Interest- Only Strips	—		—		2,805		6,296		9,101
Non-Agency CMBS	68,951		53,444		70,739		26,570		219,704
Subtotal Non-Agency	68,951		53,444		82,499		61,997		266,891
Other securities	21,117		32,393		—		23,107		76,617
Total	$	1,610,734	$	456,256	$	675,736	$	88,933	$	2,831,659

	December 31, 2018
	< or equal to 10  years		> 10 years and < or  equal to 20 years		> 20 years and < or  equal to 30 years		> 30 years		Total
Agency RMBS Interest-Only Strips	$	3,577	$	2,402	$	6,156	$	—	$	12,135
Agency RMBS Interest-Only Strips, accounted for as derivatives	1,089		4,053		2,560		—		7,702
Agency CMBS	1,101,820		380,164		—		—		1,481,984
Agency CMBS Interest-Only Strips accounted for as derivatives	—		—		—		4,158		4,158
Subtotal Agency	1,106,486		386,619		8,716		4,158		1,505,979
Non-Agency RMBS	—		—		8,540		30,486		39,026
Non-Agency RMBS Interest- Only Strips	—		—		4,310		7,219		11,529
Non-Agency CMBS	28,754		53,653		72,921		44,973		200,301
Subtotal Non-Agency	28,754		53,653		85,771		82,678		250,856
Other securities	7,698		26,020		—		26,188		59,906
Total	$	1,142,938	$	466,292	$	94,487	$	113,024	$	1,816,741

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

The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities
Agency RMBS Interest-Only Strips	$	1,153	$	(70	)	3	$	2,081	$	(197	)	7	$	3,234	$	(267	)	10
Agency CMBS	59,530		(138		)	3	—		—			—	59,530		(138		)	3
Subtotal Agency	60,683		(208		)	6	2,081		(197		)	7	62,764		(405		)	13
Non-Agency RMBS	12,893		(498		)	1	—		—			—	12,893		(498		)	1
Non-Agency RMBS Interest-Only Strips	87		(7		)	1	—		—			—	87		(7		)	1
Non-Agency CMBS	24,684		(536		)	10	32,281		(1,961		)	6	56,965		(2,497		)	16
Subtotal Non-Agency	37,664		(1,041		)	12	32,281		(1,961		)	6	69,945		(3,002		)	18
Other securities	19,734		(12		)	2	—		—			—	19,734		(12		)	2
Total	$	118,081	$	(1,261	)	20	$	34,362	$	(2,158	)	13	$	152,443	$	(3,419	)	33

	December 31, 2018
	Less than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities	Fair Value		Unrealized Losses			Number  of Securities
Agency RMBS Interest-Only Strips	$	3,277	$	(124	)	7	$	3,917	$	(283	)	9	$	7,194	$	(407	)	16
Agency CMBS	29,413		(307		)	3	879,549		(29,287		)	72	908,962		(29,594		)	75
Subtotal Agency	32,690		(431		)	10	883,466		(29,570		)	81	916,156		(30,001		)	91
Non-Agency RMBS	—		—			—	500		—			1	500		—			1
Non-Agency RMBS Interest-Only Strips	957		(7		)	2	—		—			—	957		(7		)	2
Non-Agency CMBS	65,339		(712		)	7	19,323		(1,933		)	3	84,662		(2,645		)	10
Subtotal Non-Agency	66,296		(719		)	9	19,823		(1,933		)	4	86,119		(2,652		)	13
Other securities	15,208		(390		)	2	—		—			—	15,208		(390		)	2
Total	$	114,194	$	(1,540	)	21	$	903,289	$	(31,503	)	85	$	1,017,483	$	(33,043	)	106

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

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

	Three months ended June 30, 2019		Three months ended June 30, 2018		Six months ended June 30, 2019		Six months ended June 30, 2018
Agency RMBS	$	—	$	201	$	25	$	343
Non-Agency RMBS	936		19		1,177		110
Non-Agency CMBS	1,952		2,754		2,918		5,437
Other securities	407		—		407		—
Total	$	3,295	$	2,974	$	4,527	$	5,890

Summary of the components of interest income on the Company's MBS and other securities

The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018, respectively (dollars in thousands):

	For the three months ended June 30, 2019							For the three months ended June 30, 2018
	Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income
Agency RMBS	$	2,795	$	(620	)	$	2,175	$	5,796	$	(1,705	)	$	4,091
Agency CMBS	12,567		(733		)	11,834		15,943		(88		)	15,855
Non-Agency RMBS	1,385		(711		)	674		2,057		(281		)	1,776
Non-Agency CMBS	3,168		1,322			4,490		5,170		2,508			7,678
Other securities	3,070		(1,758		)	1,312		4,180		(1,803		)	2,377
Total	$	22,985	$	(2,500	)	$	20,485	$	33,146	$	(1,369	)	$	31,777

	Six months ended June 30, 2019							Six months ended June 30, 2018
	Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income		Coupon Interest		Net (Premium Amortization/Amortization Basis) Discount Amortization			Interest Income
Agency RMBS	$	3,666	$	(1,275	)	$	2,391	$	12,920	$	(2,974	)	$	9,946
Agency CMBS	23,556		(789		)	22,767		31,941		32			31,973
Non-Agency RMBS	2,592		(1,188		)	1,404		3,477		(149		)	3,328
Non-Agency CMBS	6,279		2,246			8,525		9,983		4,404			14,387
Other securities	5,959		(3,349		)	2,610		7,936		(3,165		)	4,771
Total	$	42,052	$	(4,355	)	$	37,697	$	66,257	$	(1,852	)	$	64,405

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

The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2019 and June 30, 2018, respectively (dollars in thousands):

	For the three months ended June 30, 2019									For the three months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)		Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—	$	208,331	$	—	$	(4,531	)	$	(4,531	)
Agency CMBS	—		—		—			—		126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—		47,758		2,220		—			2,220
Non-Agency CMBS	6,165		183		(25		)	158		385		—		(38		)	(38		)
Other securities	—		—		—			—		21,757		1,757		—			1,757
Total	$	6,165	$	183	$	(25	)	$	158	$	405,098	$	3,977	$	(9,585	)	$	(5,608	)

	Six months ended June 30, 2019										Six months ended June 30, 2018
	Proceeds		Gross Gains		Gross Losses			Net Gain  (Loss)			Proceeds		Gross Gains		Gross Losses			Net Gain (Loss)
Agency RMBS	$	—	$	—	$	—		$	—		$	209,581	$	18	$	(4,531	)	$	(4,513	)
Agency CMBS	206,710		—		(4,189		)	(4,189		)	126,867		—		(5,016		)	(5,016		)
Non-Agency RMBS	—		—		—			—			51,958		3,114		—			3,114
Non-Agency CMBS	15,165		183		(854		)	(671		)	6,706		61		(436		)	(375		)
Other securities	—		—		—			—			21,757		1,757		—			1,757
Total	$	221,875	$	183	$	(5,043	)	$	(4,860	)	$	416,869	$	4,950	$	(9,983	)	$	(5,033	)

XML

Residential Whole-Loans and Bridge Loans - (Tables)

6 Months Ended

Jun. 30, 2019

Variable Interest Entities

Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets

The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash and cash equivalents	$	2,411	$	674
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)	1,206,220		1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	90,606		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	35,725		42,945
Interest receivable	7,481		11,807
Other assets	124		178
Total assets	$	1,342,567	$	1,348,975
Securitized debt	$	895,787	$	—
Interest payable	2,574		—
Accounts payable and accrued expenses	361		677
Other liabilities	—		225
Total liabilities	$	898,722	$	902

The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash	$	463	$	—
Restricted cash	87,139		55,808
Securitized commercial loans, at fair value	804,134		1,013,511
Commercial Loans, at fair value	212,032		166,123
Interest receivable	3,013		3,733
Total assets	$	1,106,781	$	1,239,175
Securitized debt, at fair value	$	722,026	$	949,626
Interest payable	1,493		2,419
Accounts payable and accrued expenses	33		31
Other liabilities	87,139		55,808
Total liabilities	$	810,691	$	1,007,884

Schedule of components of the carrying value of Residential Whole-Loans and securitized commercial loan

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value(1)						Residential Bridge Loans, at Amortized Cost(1)
	June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018
Principal balance	$	1,169,136		$	1,023,524		$	88,982		$	212,491		$	7,503		$	9,766
Unamortized premium	21,215			17,629			205			1,164			9			16
Unamortized discount	(3,129		)	(3,145		)	(59		)	(316		)	(22		)	(62		)
Amortized cost	1,187,222			1,038,008			89,128			213,339			7,490			9,720
Gross unrealized gains	20,827			7,573			96			212			N/A			N/A
Gross unrealized losses	(1,829		)	(3,696		)	(1,822		)	(1,552		)	N/A			N/A
Fair value	$	1,206,220		$	1,041,885		$	87,402		$	211,999		N/A			N/A

(1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets.

Schedule of certain information about the Residential Whole-Loans investment portfolio

The Residential Whole Loans have low LTV's and are comprised of 2,271 non-qualifying adjustable rate mortgages, 782 conforming fixed rate mortgages and 12 investor fixed rate mortgages.  The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

June 30, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal  Balance		Original LTV		Original  FICO Score(1)	Expected  Life (years)(2)	Contractual  Maturity  (years)	Coupon  Rate
3.01 – 4.00%	62	$	20,600	61.8	%	738	2.2	28.5	3.9	%
4.01– 5.00%	1,265	434,936		62.2	%	740	2.2	28.5	4.8	%
5.01 – 6.00%	1,632	675,014		63.2	%	734	2.7	28.5	5.5	%
6.01 – 7.00%	104	38,139		57.0	%	729	3.7	25.7	6.1	%
7.01 - 8.00%	1	354		70.0	%	777	3.0	28.6	7.2	%
8.01 - 9.00%	1	93		70.0	%	689	4.2	28.6	8.4	%
Total	3,065	$	1,169,136	62.6	%	736	2.6	28.4	5.2	%

(1) The original FICO score is not available for 269 loans with a principal balance of approximately $91.1 million at June 30, 2019. The Company has excluded these loans from the weighted average computations.

(2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.

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

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

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

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at June 30, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):

June 30, 2019					December 31, 2018
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	70.5	%	$	823,888	California	67.1	%	$	686,275
New York	14.5	%	169,920		New York	17.1	%	175,390
Georgia	2.4	%	27,584		Georgia	2.6	%	26,918
Florida	2.3	%	27,074		Massachusetts	2.1	%	21,197
New Jersey	1.8	%	20,977		Florida	1.9	%	19,942
Other	8.5	%	99,693		Other	9.2	%	93,802
Total	100.0	%	$	1,169,136	Total	100.0	%	$	1,023,524

Schedule of residential bridge loans

The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at June 30, 2019 and December 31, 2018 (dollars in thousands):

June 30, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 – 7.00%	2	$	714	66.3	%	—	7.0	%
7.01 – 8.00%	29	20,354		73.5	%	5.2	7.8	%
8.01 – 9.00%	70	38,621		72.7	%	5.1	8.7	%
9.01 – 10.00%	51	24,751		71.2	%	2.7	9.8	%
10.01 – 11.00%	18	4,639		73.7	%	0.5	10.7	%
11.01 – 12.00%	12	3,095		58.4	%	1.3	11.3	%
12.01 – 13.00%	5	1,797		80.7	%	1.8	12.9	%
17.01 – 18.00%	6	2,514		73.6	%	2.2	18.0	%
Total	193	$	96,485	72.2	%	4.2	9.3	%

December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
6.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 8.00%	95	53,911		73.1	%	6.3	7.8	%
8.01 – 9.00%	180	86,764		72.3	%	5.6	8.7	%
9.01 – 10.00%	143	53,804		74.0	%	4.5	9.7	%
10.01 – 11.00%	43	10,150		72.7	%	4.0	10.7	%
11.01 – 12.00%	28	8,274		69.8	%	4.5	11.4	%
12.01 – 13.00%	11	2,743		75.8	%	5.2	12.8	%
13.01 – 14.00%	1	88		65.0	%	4.0	14.0	%
17.01 – 18.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

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

The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at June 30, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):

June 30, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	52.0	%	$	50,152	California	53.9	%	$	119,761
Washington	9.6	%	9,219		New York	9.5	%	21,160
New York	8.5	%	8,188		Washington	6.6	%	14,711
Florida	6.3	%	6,095		Florida	5.7	%	12,672
New Jersey	5.2	%	5,008		New Jersey	4.7	%	10,419
Other	18.4	%	17,823		Other	19.6	%	43,534
Total	100.0	%	$	96,485	Total	100.0	%	$	222,257

XML

Commercial Loans (Tables)

6 Months Ended

Jun. 30, 2019

Noncontrolling Interest [Abstract]

Schedule of commercial real estate loans held

The following table presents the commercial real estate loans held by RSBC Trust as of June 30, 2019 (dollars in thousands):

Loan	Acquisition Date	Loan Type	Principal Balance		Fair Value		LTV	Interest Rate	Maturity Date	Extension Option	Collateral
SBC 1	July 2018	Interest-Only First Mortgage	$	45,187	$	45,187	74%	One-Month LIBOR plus 4.25% (1)	7/1/2020	Two One-Year Extensions	Nursing Facilities
SBC 2	September and October 2018 (4)	Interest-Only First Mortgage	115,500		115,500		78%	One-Month LIBOR plus 5.3% (2)	9/6/2021	One-Year Extension	Assisted Care Living Facilities
SBC 3	November 2018	Interest-Only First Mortgage	5,745		5,745		59%	One-Month LIBOR plus 5.25%	12/1/2020	One-Year Extension	Nursing Facilities
SBC 4	January 2019	Interest-Only First Mortgage	13,600		13,600		84%	One-Month LIBOR plus 4.0% (3)	12/1/2021	One-Year Extension	Apartment Complex
SBC 5	January 2019	Interest-Only First Mortgage	32,000		32,000		49%	One-Month LIBOR plus 4.1%	7/1/2021	None	Nursing Facilities
			$	212,032	$	212,032

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of of 1.9% and LIBOR cap of 3.5%.

(3) Subject to LIBOR floor of 2%.

(4) Acquired $49.6 million of the loan in September 2018 and the remaining $65.9 million in October 2018

The following table presents the commercial loans held by CRE LLC and CRE Mezz as of June 30, 2019 (dollars in thousands):

Loan	Acquisition Date	Loan Type	Principal Balance		Fair Value		Original LTV	Interest Rate	Maturity Date	Extension Option	Collateral
CRE 1	March 2018	Interest-Only Mezzanine loan	$	20,000	$	20,000	71%	1-Month LIBOR plus 6.5%	11/15/2019	Three One-Year Extensions	Hotel
CRE 2	June 2018	Interest-Only First Mortgage	30,000		30,000		65%	1-Month LIBOR plus 4.5%	6/9/2020	One-Year Extension	Hotel
CRE 4	June 2019	Principal & Interest First Mortgage	50,000		50,000		75%	1-Month LIBOR plus 4.75%	1/11/2022	Two One-Year Extensions	Nursing Facilities
			$	100,000	$	100,000

Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets

The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash and cash equivalents	$	2,411	$	674
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)	1,206,220		1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)	90,606		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	35,725		42,945
Interest receivable	7,481		11,807
Other assets	124		178
Total assets	$	1,342,567	$	1,348,975
Securitized debt	$	895,787	$	—
Interest payable	2,574		—
Accounts payable and accrued expenses	361		677
Other liabilities	—		225
Total liabilities	$	898,722	$	902

The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019		December 31, 2018
Cash	$	463	$	—
Restricted cash	87,139		55,808
Securitized commercial loans, at fair value	804,134		1,013,511
Commercial Loans, at fair value	212,032		166,123
Interest receivable	3,013		3,733
Total assets	$	1,106,781	$	1,239,175
Securitized debt, at fair value	$	722,026	$	949,626
Interest payable	1,493		2,419
Accounts payable and accrued expenses	33		31
Other liabilities	87,139		55,808
Total liabilities	$	810,691	$	1,007,884

Schedule of Carrying Value of the Commercial Real Estate Loans

The following table presents the components of the carrying value of the commercial real estate loans as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	June 30, 2019		December 31, 2018			June 30, 2019		December 31, 2018		June 30, 2019			December 31, 2018			June 30, 2019			December 31, 2018
Principal balance	$	24,253	$	24,456		$	774,930	$	988,609	$	212,032		$	166,432		$	100,000		$	50,000
Unamortized premium	—		—			3,016		431		—			—			—			—
Unamortized discount	—		—			—		—		(690		)	(736		)	(105		)	(205		)
Amortized cost	24,253		24,456			777,946		989,040		211,342			165,696			99,895			49,795
Gross unrealized gains	65		—			1,870		29		690			427			105			205
Gross unrealized losses	—		(14		)	—		—		—			—			—			—
Fair value	$	24,318	$	24,442		$	779,816	$	989,069	$	212,032		$	166,123		$	100,000		$	50,000

XML

Financings (Tables)

6 Months Ended

Jun. 30, 2019

Debt Disclosure [Abstract]

Summary of certain characteristics of the Company's repurchase agreements

The following table summarizes certain characteristics of the Company’s repurchase agreements at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019					December 31, 2018
Securities Pledged	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at  end of period		Weighted Average Remaining Maturity (days)	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)
Short Term Borrowings:
Agency RMBS	$	573,771	2.65	%	40	$	14,650	3.09	%	21
Agency CMBS	1,673,902		2.62	%	35	1,392,649		2.71	%	40
Non-Agency RMBS	11,488		3.86	%	23	30,922		4.06	%	18
Non-Agency CMBS	146,629		3.79	%	42	134,814		4.05	%	48
Residential Whole Loans (1)	226,784		3.63	%	68	863,356		4.08	%	93
Residential Bridge Loans (1)	89,241		4.59	%	29	204,754		4.50	%	25
Commercial loans (1)	137,821		4.67	%	36	131,788		4.55	%	26
Securitized commercial loans (1)	19,708		3.28	%	19	7,543		4.30	%	15
Other securities	53,114		3.93	%	32	38,361		4.18	%	26
Subtotal	2,932,458		2.95	%	39	2,818,837		3.45	%	54
Long Term Borrowings:
Residential Whole Loans (1) (2)	11,762		4.15	%	966	—		—	%	—
Commercial loans (2)	57,000		4.60	%	727	—		—	%	—
Subtotal	68,762		4.52	%	768	—		—	%	—
Total	$	3,001,220	2.99	%	55	$	2,818,837	3.45	%	54

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

(2) Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $150.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.

Schedule of repurchase agreements collateralized by investments

At June 30, 2019 and December 31, 2018, repurchase agreements collateralized by investments had the following remaining maturities:

(dollars in thousands)	June 30, 2019		December 31, 2018
1 to 29 days	1,789,562		1,867,957
30 to 59 days	341,585		144,778
60 to 89 days	801,311		555,695
Greater than or equal to 90 days	68,762		250,407
Total	$	3,001,220	$	2,818,837

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

At June 30, 2019, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):

	June 30, 2019
Counterparty	Amount of  Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of  Stockholders’  Equity
Nomura Securities International, Inc.	$	78,104	33	14.0	%
Citigroup Global Markets Inc.	70,163		26	12.5	%

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

The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019						December 31, 2018
	Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest		Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:
Agency RMBS, at fair value	$	604,384	$	2,080	$	606,464	$	19,837	$	453	$	20,290
Agency CMBS, at fair value	1,783,953		4,669		1,788,622		1,486,142		4,262		1,490,404
Non-Agency RMBS, at fair value	14,435		119		14,554		50,555		479		51,034
Non-Agency CMBS, at fair value	200,511		829		201,340		186,552		915		187,467
Residential Whole Loans, at fair value (1)	247,539		1,869		249,408		1,041,885		8,145		1,050,030
Residential Bridge Loans (1)	90,606		1,408		92,014		221,486		3,528		225,014
Commercial Loans, at fair value (1)	292,032		1,593		293,625		196,123		1,067		197,190
Securitized commercial loans, at fair value (1)	23,187		46		23,233		13,688		88		13,776
Other securities, at fair value	76,483		153		76,636		59,780		147		59,927
Cash (2)	—		—		—		1,226		—		1,226
Total	$	3,333,130	$	12,766	$	3,345,896	$	3,277,274	$	19,084	$	3,296,358

(1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.

(2) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.

Schedule of commercial mortgage pass-through certificates

The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at June 30, 2019 (dollars in thousands):

Classes	Principal Balance		Coupon	Fair Value		Contractual Maturity
Class A	$	320,030	3.5%	$	320,628	3/15/2021
Class B	101,200		3.9%	101,452		3/15/2021
Class C	308,400		4.5%	309,556		3/15/2021
Class HRR	45,300		10.9%	45,304		3/15/2021
Class X-CP(1)	N/A		1.3%	2,846		4/15/2020
Class X-EXT(1)	N/A		—%	31		3/15/2021
	$	774,930		$	779,817

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

The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates, excluding the Owner Certificates, at June 30, 2019 (dollars in thousands):

Classes	Principal Balance		Coupon	Carrying Value		Contractual Maturity
Offered Notes:
Class A-1	$	769,825	3.3%	$	769,823	4/25/2049
Class A-2	41,248		3.5%	41,248		4/25/2049
Class A-3	65,350		3.8%	65,348		4/25/2049
Class M-1	25,055		4.8%	25,055		4/25/2049
Subtotal	$	901,478		$	901,474
Less: Unamortized Deferred Financing Costs	N/A			5,686
Total	$	901,478		$	895,788

XML

Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2019

Derivative Instruments

Summary of the entity's derivative instruments

The following table summarizes the Company’s derivative instruments at June 30, 2019 and December 31, 2018 (dollars in thousands):

			June 30, 2019					December 31, 2018
Derivative Instrument	Accounting Designation	Consolidated Balance Sheets Location	Notional Amount		Fair Value			Notional Amount		Fair Value
Interest rate swaps, asset	Non-Hedge	Derivative assets, at fair value	$	3,772,400	$	2,709		$	1,128,400	$	2,057
Swaptions, asset	Non-Hedge	Derivative assets, at fair value	162,803		156			—		—
Options, asset	Non-Hedge	Derivative assets, at fair value	45,000		464			—		—
Credit default swaps, asset	Non-Hedge	Derivative assets, at fair value	—		—			50,000		549
Total derivative instruments, assets					3,329					2,606
Interest rate swaps, liability	Non-Hedge	Derivative liability, at fair value	974,400		(764		)	2,727,800		(5,473		)
Options, liability	Non-Hedge	Derivative liability, at fair value	672,700		(553		)	—		—
Futures contracts, liability	Non-Hedge	Derivative liability, at fair value	—		—			300,400		(4,657		)
Total derivative instruments, liabilities					(1,317		)			(10,130		)
Total derivative instruments, net					$	2,012				$	(7,524	)

Summary of the effect of entity's derivative instruments reported in Gain (loss) on derivative instruments, net on the Statements of Operations

The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and six months ended June 30, 2019 and June 30, 2018 (dollars in thousands):

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)		Total
Three months ended June 30, 2019
Interest rate swaps	$	(588	)	$	(58,600	)	$	1,676		$	(10,832	)	$	2,174	$	(66,170	)
Interest rate swaptions	—			—			—			(176		)	—		(176		)
Interest-Only Strips— accounted for as derivatives	—			—			(655		)	19			819		183
Options	—			—			—			470			—		470
Futures contracts	(5,837		)	—			—			—			—		(5,837		)
Total	$	(6,425	)	$	(58,600	)	$	1,021		$	(10,519	)	$	2,993	$	(71,530	)
Three months ended June 30, 2018
Interest rate swaps	$	24		$	21,634		$	211		$	2,177		$	833	$	24,879
Interest-Only Strips— accounted for as derivatives	—			—			(783		)	(96		)	1,011		132
Options	(100		)	—			—			88			—		(12		)
Futures contracts	614			—			—			2,567			—		3,181
Credit default swap	(23		)	—			—			66			—		43
TBAs	801			—			—			(534		)	—		267
Total	$	1,316		$	21,634		$	(572	)	$	4,268		$	1,844	$	28,490

	Realized Gain (Loss), net
Description	Other Settlements / Expirations			Variation Margin Settlement			Return (Recovery) of Basis			Mark-to-Market			Contractual interest income (expense), net(1)			Total
Six months ended June 30, 2019
Interest rate swaps	$	(591	)	$	(96,438	)	$	3,204		$	(3,742	)	$	4,929		$	(92,638	)
Interest rate swaptions	—			—			—			(176		)	—			(176		)
Interest-Only Strips— accounted for as derivatives	—			—			(1,250		)	(40		)	1,603			313
Options	—			—			—			470			—			470
Futures contracts	(10,340		)	—			—			4,657			—			(5,683		)
Credit default swaps	(589		)	—			—			(375		)	—			(964		)
Total	$	(11,520	)	$	(96,438	)	$	1,954		$	794		$	6,532		$	(98,678	)
Six months ended June 30, 2018
Interest rate swaps	$	19		$	97,864		$	292		$	2,245		$	(304	)	$	100,116
Interest-Only Strips— accounted for as derivatives	—			—			(1,974		)	(30		)	2,433			429
Options	(518		)	—			—			300			—			(218		)
Futures contracts	4,592			—			—			3,069			—			7,661
Credit default swap	(42		)	—			—			51			—			9
TBAs	134			—			—			(59		)	—			75
Total	$	4,185		$	97,864		$	(1,682	)	$	5,576		$	2,129		$	108,072

Summary of interest rate swaps or interest rate swaptions

The following table summarized the swaptions held by the Company as of June 30, 2019. As of December 31, 2018, the Company did not have any swaptions in its derivative holdings (dollars in thousands):

	June 30, 2019
	Option			Underlying Swap
Fixed-Pay Rate for Underlying Swap	Fair Value		Weighted Average Months Until Option Expiration	Notional		Weighted Average Swap Term (Years)
0.76 - 1.00%	$	156	2.6	$	162,803	5.0
Total	$	156	2.6	$	162,803	5.0

Fixed Pay Rate | Interest rate swaps

Derivative Instruments

Summary of interest rate swaps or interest rate swaptions

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

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

The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
Fixed Pay Interest Rate Swap Remaining Term	Notional Amount		Average Fixed Pay Rate		Average Floating Receive Rate		Average Maturity (Years)	Forward Starting (1)
1 year or less	$	200,000	1.8	%	2.6	%	0.9	—	%
Greater than 1 year and less than 3 years	738,000		2.0	%	2.6	%	2.8	—	%
Greater than 3 years and less than 5 years	828,700		2.6	%	2.5	%	4.6	—	%
Greater than 5 years	2,005,700		2.4	%	2.6	%	9.2	20.6	%
Total	$	3,772,400	2.3	%	2.5	%	6.5	10.9	%

(1) Represents the percentage of notional that is forward starting.

Variable Pay Rate | Interest rate swaps

Derivative Instruments

Summary of interest rate swaps or interest rate swaptions

	June 30, 2019
Variable Pay Interest Rate Swap Remaining Term	Notional Amount		Average  Variable Pay Rate		Average Fixed Receive Rate		Average Maturity (Years)
Greater than 1 year and less than 3 years	$	225,000	2.6	%	2.4	%	1.8
Greater than 3 years and less than 5 years	66,000		2.4	%	2.2	%	5.0
Greater than 5 years	683,400		2.6	%	2.3	%	8.6
Total	$	974,400	2.6	%	2.4	%	6.8

XML

Offsetting Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2019

Offsetting [Abstract]

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

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
Description							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	10,570	$	—	$	10,570	$	(10,570	)	$	—		$	—
Interest rate swap asset, at fair value	3,329		—		3,329		(1,228		)	—			2,101
Total derivative assets	$	13,899	$	—	$	13,899	$	(11,798	)	$	—		$	2,101
Derivative Liabilities and Repurchase Agreements
Interest rate swap liability, at fair value(2)	$	1,317	$	—	$	1,317	$	(1,228	)	$	(89	)	$	—
Repurchase Agreements(3)	3,001,220		—		3,001,220		(3,001,220		)	—			—
Total derivative liability	$	3,002,537	$	—	$	3,002,537	$	(3,002,448	)	$	(89	)	$	—

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

(2) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.5 million as of June 30, 2019.

(3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of June 30, 2019.

	December 31, 2018
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value(2)	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements(4)	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

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

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

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

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

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

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at June 30, 2019 and December 31, 2018 (dollars in thousands):

	June 30, 2019
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
Description							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	10,570	$	—	$	10,570	$	(10,570	)	$	—		$	—
Interest rate swap asset, at fair value	3,329		—		3,329		(1,228		)	—			2,101
Total derivative assets	$	13,899	$	—	$	13,899	$	(11,798	)	$	—		$	2,101
Derivative Liabilities and Repurchase Agreements
Interest rate swap liability, at fair value(2)	$	1,317	$	—	$	1,317	$	(1,228	)	$	(89	)	$	—
Repurchase Agreements(3)	3,001,220		—		3,001,220		(3,001,220		)	—			—
Total derivative liability	$	3,002,537	$	—	$	3,002,537	$	(3,002,448	)	$	(89	)	$	—

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

(2) Cash collateral pledged against the Company’s derivative counterparties was approximately $55.5 million as of June 30, 2019.

(3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.3 billion as of June 30, 2019.

	December 31, 2018
	Gross  Amounts		Gross  Amounts  Offset in the Consolidated Balance  Sheets		Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial  Instruments(1)			Cash  Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value(2)	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements(4)	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

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

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

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

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

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Share-Based Payments (Tables)

6 Months Ended

Jun. 30, 2019

Share-based Compensation [Abstract]

Summary of restricted common stock vesting dates

The following is a summary of restricted common stock vesting dates as of June 30, 2019 and December 31, 2018, including shares whose issuance has been deferred under the Director Deferred Fee Plan: 

	June 30, 2019	December 31, 2018
Vesting Date	Shares Vesting	Shares Vesting
June 2019	—	27,476
March 2020	36,000	—
June 2020	28,780	—
March 2021	36,000	—
March 2022	36,000	—
	136,780	27,476

Schedule of restricted stock activity

The following table presents information with respect to the Company’s restricted stock for the six months ended June 30, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan:

	Shares of  Restricted Stock	Weighted Average  Grant Date Fair  Value (1)
Outstanding at beginning of period	753,973	$	16.77
Granted (2)	138,504	10.34
Cancelled/forfeited	—	—
Outstanding at end of period	892,477	15.77
Unvested at end of period	136,780	$	10.35

(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

(2) Includes 1,724 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan.

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Stockholders' Equity (Tables)

6 Months Ended

Jun. 30, 2019

Stockholders' Equity Note [Abstract]

Schedule of cash dividends declared and paid on common stock

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

Declaration Date	Record Date	Payment Date	Amount per Share		Tax Characterization
2019
June 20, 2019	July 1, 2019	July 26, 2019	$	0.31	Not yet determined
March 21, 2019	April 1, 2019	April 26, 2019	$	0.31	Not yet determined
2018
December 19, 2018	December 31, 2018	January 25, 2019	$	0.31	Ordinary income
September 17, 2018	September 27, 2018	October 26, 2018	$	0.31	Ordinary income
June 21, 2018	July 2, 2018	July 26, 2018	$	0.31	Ordinary income
March 22, 2018	April 2, 2018	April 26, 2018	$	0.31	Ordinary income

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Net Income per Common Share (Tables)

6 Months Ended

Jun. 30, 2019

Earnings Per Share [Abstract]

Schedule of basic and diluted net income (loss) per share of common stock

The table below presents basic and diluted net income per share of common stock using the two-class method for the three and six months ended June 30, 2019 and June 30, 2018 (dollars, other than shares and per share amounts, in thousands):

	For the three months ended June 30, 2019		For the three months ended June 30, 2018		Six months ended June 30, 2019		Six months ended June 30, 2018
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$	10,614	$	1,453	$	38,490	$	23,182
Less:
Dividends and undistributed earnings allocated to participating securities	76		27		138		65
Net income allocable to common stockholders — basic and diluted	$	10,538	$	1,426	$	38,352	$	23,117
Denominator:
Weighted average common shares outstanding for basic earnings per share	50,588,906		41,619,198		49,359,473		41,671,278
Weighted average common shares outstanding for diluted earnings per share	50,588,906		41,619,198		49,359,473		41,671,278
Basic earnings per common share	$	0.21	$	0.03	$	0.78	$	0.55
Diluted earnings per common share	$	0.21	$	0.03	$	0.78	$	0.55

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Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Assets
Derivative assets	$ 13,899		$ 13,899		$ 14,466
Liabilities
Derivative liabilities	1,317		1,317		10,130
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(3,295)	$ (2,974)	(4,527)	$ (5,890)
Premium and discount amortization, net			(2,360)	(277)
Residential Whole Loans
Assets
Fair value	1,206,220		1,206,220		1,041,885
Agency MBS
Assets
Estimated Fair Value	2,488,151		2,488,151		1,505,979
Agency CMBS
Assets
Estimated Fair Value	1,879,939		1,879,939		1,481,984
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net	(733)	(88)	(789)	32
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	3,829		3,829		4,158
Agency RMBS
Assets
Estimated Fair Value	585,751		585,751
Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	11,891		11,891		12,135
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	6,741		6,741		7,702
Non-Agency MBS
Assets
Estimated Fair Value	266,891		266,891		250,856
Non-Agency RMBS
Assets
Estimated Fair Value	38,086		38,086		39,026
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(936)	(19)	(1,177)	(110)
Premium and discount amortization, net	(711)	(281)	(1,188)	(149)
Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	9,101		9,101		11,529
Non-Agency CMBS
Assets
Estimated Fair Value	219,704		219,704		200,301
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(1,952)	(2,754)	(2,918)	(5,437)
Premium and discount amortization, net	1,322	2,508	2,246	4,404
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	266,891		266,891		250,856
Other securities
Assets
Estimated Fair Value	76,617		76,617		59,906
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Other than temporary impairment	(407)	0	(407)	0
Premium and discount amortization, net	(1,758)	(1,803)	(3,349)	(3,165)
Total
Assets
Estimated Fair Value	2,831,659		2,831,659		1,816,741
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net	(2,500)	(1,369)	(4,355)	(1,852)
Level I
Assets
Estimated Fair Value	0		0
Derivative assets	464		464		0
Total Assets	464		464		0
Liabilities
Derivative liabilities	553		553		4,657
Securitized debt	0		0		0
Total Liabilities	553		553		4,657
Level I | Residential Whole Loans
Assets
Fair value	0		0		0
Level I | Residential Bridge Loans
Assets
Fair value	0		0		0
Level I | Securitized commercial loans
Assets
Fair value	0		0		0
Level I | Commercial Loans
Assets
Fair value	0		0		0
Level I | Agency MBS
Assets
Estimated Fair Value	0		0		0
Level I | Agency CMBS
Assets
Estimated Fair Value	0		0		0
Level I | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0		0
Level I | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0		0
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value					0
Level I | Non-Agency RMBS
Assets
Estimated Fair Value	0		0		0
Level I | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0		0
Level I | Non-Agency CMBS
Assets
Estimated Fair Value	0		0		0
Level I | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	0		0		0
Level I | Other securities
Assets
Estimated Fair Value	0		0		0
Level I | Total
Assets
Estimated Fair Value					0
Level II
Assets
Estimated Fair Value	2,707,758		2,707,758
Derivative assets	2,865		2,865		2,606
Total Assets	2,710,623		2,710,623		1,740,004
Liabilities
Derivative liabilities	764		764		5,473
Securitized debt	719,150		719,150		947,340
Total Liabilities	719,914		719,914		952,813
Level II | Residential Whole Loans
Assets
Fair value	0		0		0
Level II | Residential Bridge Loans
Assets
Fair value	0		0		0
Level II | Securitized commercial loans
Assets
Fair value	0		0		0
Level II | Commercial Loans
Assets
Fair value	0		0		0
Level II | Agency MBS
Assets
Estimated Fair Value	2,429,234		2,429,234		1,486,142
Level II | Agency CMBS
Assets
Estimated Fair Value	1,839,654		1,839,654		1,481,984
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	3,829		3,829		4,158
Level II | Agency RMBS
Assets
Estimated Fair Value	585,751		585,751
Level II | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0		0
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value					0
Level II | Non-Agency RMBS
Assets
Estimated Fair Value	0		0		0
Level II | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	0		0		0
Level II | Non-Agency CMBS
Assets
Estimated Fair Value	219,704		219,704		200,301
Level II | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	219,704		219,704		200,301
Level II | Other securities
Assets
Estimated Fair Value	58,820		58,820		50,955
Level II | Total
Assets
Estimated Fair Value					1,737,398
Level III
Assets
Estimated Fair Value	123,901		123,901
Derivative assets	0		0		0
Total Assets	2,533,689		2,533,689		2,562,861
Liabilities
Derivative liabilities	0		0		0
Securitized debt	2,876		2,876		2,286
Total Liabilities	2,876		2,876		2,286
Level III | Residential Whole Loans
Assets
Fair value	1,206,220		1,206,220		1,041,885
Level III | Residential Bridge Loans
Assets
Fair value	87,402		87,402		211,999
Level III | Securitized commercial loans
Assets
Fair value	804,134		804,134		1,013,511
Level III | Commercial Loans
Assets
Fair value	312,032		312,032		216,123
Level III | Agency MBS
Assets
Estimated Fair Value	58,917		58,917		19,837
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	19,108	44,802	19,837	17,217
Ending balance	58,917	75,043	58,917	75,043
Level III | Agency CMBS
Assets
Estimated Fair Value	40,285		40,285		0
Level III | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0		0		0
Level III | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	11,891		11,891		12,135
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	6,741		6,741
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value					7,702
Level III | Non-Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	48,392	17,000	50,555	8,735
Ending balance	47,187	16,307	47,187	16,307
Level III | Non-Agency RMBS
Assets
Estimated Fair Value	38,086		38,086		39,026
Level III | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	9,101		9,101		11,529
Level III | Non-Agency CMBS
Assets
Estimated Fair Value	0		0		0
Level III | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	47,187		47,187		50,555
Level III | Other securities
Assets
Estimated Fair Value	17,797		17,797		8,951
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	17,380	9,113	8,951	9,239
Ending balance	17,797	8,955	17,797	8,955
Level III | Total
Assets
Estimated Fair Value					79,343
Fair Value, Measurements, Recurring | Level III | Securitized debt
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments				(44)
Premium and discount amortization, net	(846)	24	(1,162)	24
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	3,769	12	2,286	10,945
Principal repayments				(44)
Unrealized (gains)/losses, net on liabilities	(47)	2,834	(2,017)	2,832
Ending balance	2,876	2,870	2,876	2,870
Unrealized gains/(losses), net on assets held at the end of the period	47
Unrealized gains/(losses), net on assets held at the end of the period		(2,834)	19	(2,834)
Fair Value, Measurements, Recurring | Level III | Residential Whole Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,267,163	296,719	1,041,885	237,423
Purchases	0	54,019	244,274	122,014
Principal repayments	(69,312)	(14,902)	(94,101)	(22,679)
Unrealized gains/(losses), net on assets	9,170	(475)	15,149	(1,273)
Premium and discount amortization, net	(801)	(212)	(987)	(336)
Ending balance	1,206,220	335,149	1,206,220	335,149
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(69,312)	(14,902)	(94,101)	(22,679)
Unrealized gains/(losses), net on assets held at the end of the period	9,869
Unrealized gains/(losses), net on assets held at the end of the period		(274)	15,859
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	144,170	129,469	211,999	64,526
Transfers into Level III from Level II	0
Purchases	0	156,730		214,843
Principal repayments	(56,650)	(49,402)	(123,262)	(42,544)
Fair Value Measurement with Unobservable Inputs Reconciliation Recurring Basis Asset Realized Gain (Loss) Included in Earnings	(162)		(249)
Unrealized gains/(losses), net on assets	291	(108)	(489)	(130)
Premium and discount amortization, net	(247)	(330)	(597)	(336)
Ending balance	87,402	236,359	87,402	236,359
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(56,650)	(49,402)	(123,262)	(42,544)
Unrealized gains/(losses), net on assets held at the end of the period	(27)
Unrealized gains/(losses), net on assets held at the end of the period		140	(997)
Fair Value, Measurements, Recurring | Level III | Securitized commercial loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	929,474	1,383,044	1,013,511	24,876
Purchases	0		903,770	1,353,019
Principal repayments	(125,170)	(78,807)	(1,113,884)	(78,907)
Unrealized gains/(losses), net on assets	572	5,621	1,921	10,870
Premium and discount amortization, net	(742)	(663)	(1,184)	(663)
Ending balance	804,134	1,309,195	804,134	1,309,195
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(125,170)	(78,807)	(1,113,884)	(78,907)
Unrealized gains/(losses), net on assets held at the end of the period	572
Unrealized gains/(losses), net on assets held at the end of the period		5,621	1,949
Fair Value, Measurements, Recurring | Level III | Commercial Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	337,578	40,455	216,123	0
Purchases	50,000	29,851	95,379	70,257
Principal repayments	(75,835)		0
Unrealized gains/(losses), net on assets	(59)	374	164	416
Premium and discount amortization, net	348	37	366	44
Ending balance	312,032	70,717	312,032	70,717
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(75,835)		0
Unrealized gains/(losses), net on assets held at the end of the period	127
Unrealized gains/(losses), net on assets held at the end of the period		374	164	416
Fair Value, Measurements, Recurring | Level III | Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers into Level III from Level II				22,794
Transfers from Level III into Level II	0	(19,461)		(16,805)
Purchases	39,856	52,530	39,856	54,623
Principal repayments	0			(53)
Other than temporary impairment	(4)	(207)	(29)	(207)
Unrealized gains/(losses), net on assets	984	(1,181)	1,371	(1,070)
Premium and discount amortization, net	(1,027)	(1,440)	(2,118)	(1,456)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	0			(53)
Unrealized gains/(losses), net on assets held at the end of the period	984
Unrealized gains/(losses), net on assets held at the end of the period		(798)	1,371
Fair Value, Measurements, Recurring | Level III | Non-Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers into Level III from Level II	0
Purchases				8,602
Principal repayments	(274)		(525)
Other than temporary impairment	(936)	(19)	(1,177)	(48)
Unrealized gains/(losses), net on assets	716	(53)	(477)	(56)
Premium and discount amortization, net	(711)	(621)	(1,189)	(926)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(274)		(525)
Unrealized gains/(losses), net on assets held at the end of the period	716
Unrealized gains/(losses), net on assets held at the end of the period		(53)	(477)
Fair Value, Measurements, Recurring | Level III | Other securities
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers into Level III from Level II	0		8,386
Transfers from Level III into Level II	0
Principal repayments	(185)	(177)	(185)	(317)
Unrealized gains/(losses), net on assets	697	(25)	818	(54)
Premium and discount amortization, net	(95)	44	(173)	87
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Principal repayments	(185)	(177)	(185)	(317)
Unrealized gains/(losses), net on assets held at the end of the period	697
Unrealized gains/(losses), net on assets held at the end of the period		$ (25)	818
Fair Value, Measurements, Recurring | Level III | Securitized debt
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Transfers from Level III into Level II				(10,899)
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Sales and settlements			3,769	12
Estimated Fair Value
Assets
Estimated Fair Value	2,831,659		2,831,659
Derivative assets	3,329		3,329		2,606
Total Assets	5,244,776		5,244,776		4,302,865
Liabilities
Derivative liabilities	1,317		1,317		10,130
Securitized debt	722,026		722,026		949,626
Total Liabilities	723,343		723,343		959,756
Estimated Fair Value | Residential Whole Loans
Assets
Fair value	1,206,220		1,206,220		1,041,885
Estimated Fair Value | Residential Bridge Loans
Assets
Fair value	87,402		87,402		211,999
Estimated Fair Value | Securitized commercial loans
Assets
Fair value	804,134		804,134		1,013,511
Estimated Fair Value | Commercial Loans
Assets
Fair value	312,032		312,032		216,123
Estimated Fair Value | Agency MBS
Assets
Estimated Fair Value	2,488,151		2,488,151		1,505,979
Estimated Fair Value | Agency CMBS
Assets
Estimated Fair Value	1,879,939		1,879,939		1,481,984
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	3,829		3,829		4,158
Estimated Fair Value | Agency RMBS
Assets
Estimated Fair Value	585,751		585,751
Estimated Fair Value | Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	11,891		11,891		12,135
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	6,741		6,741
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value					7,702
Estimated Fair Value | Non-Agency RMBS
Assets
Estimated Fair Value	38,086		38,086		39,026
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	9,101		9,101		11,529
Estimated Fair Value | Non-Agency CMBS
Assets
Estimated Fair Value	219,704		219,704		200,301
Estimated Fair Value | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	266,891		266,891		250,856
Estimated Fair Value | Other securities
Assets
Estimated Fair Value	76,617		76,617		59,906
Estimated Fair Value | Total
Assets
Estimated Fair Value					1,816,741
Estimated Fair Value | Fair Value, Measurements, Recurring
Liabilities
Securitized debt	914,413		914,413		0
Total Liabilities	$ 4,043,664		$ 4,043,664		$ 2,932,146
Assets | Fair Value, Measurements, Recurring | Level III | Residential Whole Loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets held at the end of the period				(888)
Assets | Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets held at the end of the period				151
Assets | Fair Value, Measurements, Recurring | Level III | Securitized commercial loans
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets held at the end of the period				10,870
Assets | Fair Value, Measurements, Recurring | Level III | Agency MBS
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets held at the end of the period				(712)
Assets | Fair Value, Measurements, Recurring | Level III | Non-Agency MBS
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets held at the end of the period				(56)
Assets | Fair Value, Measurements, Recurring | Level III | Other securities
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets held at the end of the period				$ (54)

XML

Fair Value of Financial Instruments - Narrative (Details) - USD ($)	Jun. 30, 2019	Dec. 31, 2018
Fair Value Disclosures [Abstract]
Derivative credit risk valuation adjustment, derivative assets	$ 0	$ 0

XML

Fair Value of Financial Instruments - Summary of quantitative information (Details) $ in Thousands	Jun. 30, 2019 USD ($)	Dec. 31, 2018 USD ($)
Residential Whole Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,206,220	$ 1,041,885
Residential Whole Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,206,220	$ 1,041,885
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.032	0.035
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 2 months	9 months 1 day
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.077	0.079
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	7 years 4 months	10 years 3 months 1 day
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.043	0.055
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 7 months	2 years 9 months 18 days
Residential Bridge Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 87,402	$ 211,999
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.072	0.056
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 month	1 month 1 day
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	1.440	1.453
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 3 months	1 year 7 months 1 day
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.109	0.113
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	6 months	6 months 1 day
Commercial Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 312,032	$ 216,123
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.056	0.067
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	5 months	11 months 1 day
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.085	0.092
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 6 months	2 years 8 months 1 day
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.067	0.076
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 9 months	2 years 1 month 1 day

XML

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt	$ 722,026	$ 949,626
Total Liabilities	723,343	959,756
Fair Value, Measurements, Recurring | Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	7,490	9,720
Borrowings under repurchase agreements	3,001,220	2,818,837
Convertible senior unsecured notes	110,719	110,060
Securitized debt	901,474	0
Total Liabilities	4,013,413	2,928,897
Debt issuance costs	5,700
Fair Value, Measurements, Recurring | Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	7,377	9,603
Borrowings under repurchase agreements	3,015,912	2,823,615
Convertible senior unsecured notes	113,339	108,531
Securitized debt	914,413	0
Total Liabilities	4,043,664	2,932,146
Fair Value, Measurements, Recurring | Residential Bridge Loans | Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	7,490	9,720
Fair Value, Measurements, Recurring | Residential Bridge Loans | Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Residential Bridge Loans	$ 7,377	$ 9,603

XML

Mortgage-Backed Securities and other securities (Details) - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Subtotal Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 1,772,577,000	$ 1,493,675,000
Unamortized Premium (Discount), net	20,806,000	5,820,000
Amortized Cost	1,793,383,000	1,499,495,000
Unrealized Gain	86,694,000	12,083,000
Unrealized Loss	(138,000)	(29,594,000)
Estimated Fair Value	$ 1,883,768,000	$ 1,486,142,000
Net Weighted Average Coupon (as a percent)	3.00%	3.00%
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 1,772,577,000	$ 1,493,675,000
Unamortized Premium (Discount), net	20,806,000	5,820,000
Amortized Cost	1,793,383,000	1,499,495,000
Unrealized Gain	86,694,000	12,083,000
Unrealized Loss	(138,000)	(29,594,000)
Estimated Fair Value	$ 1,879,939,000	$ 1,481,984,000
Net Weighted Average Coupon (as a percent)	3.30%	3.30%
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 3,829,000	$ 4,158,000
Net Weighted Average Coupon (as a percent)	0.40%	0.40%
Notional balance	$ 169,000,000
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	570,369,000
Unamortized Premium (Discount), net	10,267,000
Amortized Cost	580,636,000
Unrealized Gain	5,115,000
Unrealized Loss	0
Estimated Fair Value	$ 585,751,000
Net Weighted Average Coupon (as a percent)	3.50%
Subtotal Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 570,369,000
Unamortized Premium (Discount), net	10,267,000
Amortized Cost	590,838,000	$ 11,480,000
Unrealized Gain	7,071,000	1,062,000
Unrealized Loss	(267,000)	(407,000)
Estimated Fair Value	$ 604,383,000	$ 19,837,000
Net Weighted Average Coupon (as a percent)	3.20%	2.50%
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 10,202,000	$ 11,480,000
Unrealized Gain	1,956,000	1,062,000
Unrealized Loss	(267,000)	(407,000)
Estimated Fair Value	$ 11,891,000	$ 12,135,000
Net Weighted Average Coupon (as a percent)	2.30%	2.20%
Notional balance	$ 143,500,000	$ 158,800,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 6,741,000	$ 7,702,000
Net Weighted Average Coupon (as a percent)	2.80%	2.90%
Notional balance	$ 77,700,000	$ 89,800,000
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	2,342,946,000	1,493,675,000
Unamortized Premium (Discount), net	31,073,000	5,820,000
Amortized Cost	2,384,221,000	1,510,975,000
Unrealized Gain	93,765,000	13,145,000
Unrealized Loss	(405,000)	(30,001,000)
Estimated Fair Value	$ 2,488,151,000	$ 1,505,979,000
Net Weighted Average Coupon (as a percent)	3.10%	2.90%
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 309,340,000	$ 295,318,000
Unamortized Premium (Discount), net	(12,156,000)	(13,408,000)
Discount Designated as Credit Reserve and OTTI	(42,100,000)	(45,920,000)
Amortized Cost	264,091,000	247,144,000
Unrealized Gain	5,802,000	6,364,000
Unrealized Loss	(3,002,000)	(2,652,000)
Estimated Fair Value	$ 266,891,000	$ 250,856,000
Net Weighted Average Coupon (as a percent)	2.50%	2.40%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 53,458,000	$ 54,887,000
Unamortized Premium (Discount), net	5,250,000	6,909,000
Discount Designated as Credit Reserve and OTTI	(21,388,000)	(23,731,000)
Amortized Cost	37,320,000	38,065,000
Unrealized Gain	1,264,000	961,000
Unrealized Loss	(498,000)	0
Estimated Fair Value	$ 38,086,000	$ 39,026,000
Net Weighted Average Coupon (as a percent)	4.80%	4.80%
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 9,007,000	$ 11,154,000
Unrealized Gain	101,000	382,000
Unrealized Loss	(7,000)	(7,000)
Estimated Fair Value	$ 9,101,000	$ 11,529,000
Net Weighted Average Coupon (as a percent)	0.60%	0.60%
Notional balance	$ 488,500,000	$ 519,900,000
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	255,882,000	240,431,000
Unamortized Premium (Discount), net	(17,406,000)	(20,317,000)
Discount Designated as Credit Reserve and OTTI	(20,712,000)	(22,189,000)
Amortized Cost	217,764,000	197,925,000
Unrealized Gain	4,437,000	5,021,000
Unrealized Loss	(2,497,000)	(2,645,000)
Estimated Fair Value	$ 219,704,000	$ 200,301,000
Net Weighted Average Coupon (as a percent)	5.80%	5.90%
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 53,458,000	$ 54,887,000
Unamortized Premium (Discount), net	5,250,000	6,909,000
Discount Designated as Credit Reserve and OTTI	(21,388,000)	(23,731,000)
Amortized Cost	46,327,000	49,219,000
Unrealized Gain	1,365,000	1,343,000
Unrealized Loss	(505,000)	(7,000)
Estimated Fair Value	$ 47,187,000	$ 50,555,000
Net Weighted Average Coupon (as a percent)	1.00%	1.00%
Total
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 2,718,301,000	$ 1,836,035,000
Unamortized Premium (Discount), net	16,932,000	(8,717,000)
Discount Designated as Credit Reserve and OTTI	(48,824,000)	(53,523,000)
Amortized Cost	2,719,209,000	1,813,403,000
Unrealized Gain	105,299,000	24,521,000
Unrealized Loss	(3,419,000)	(33,043,000)
Estimated Fair Value	$ 2,831,659,000	$ 1,816,741,000
Net Weighted Average Coupon (as a percent)	3.10%	2.90%
Weighted average expected remaining term to the expected maturity of investment portfolio	8 years	8 years 6 months
Other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 66,015,000	$ 47,042,000
Unamortized Premium (Discount), net	(1,985,000)	(1,129,000)
Discount Designated as Credit Reserve and OTTI	(6,724,000)	(7,603,000)
Amortized Cost	70,897,000	55,284,000
Unrealized Gain	5,732,000	5,012,000
Unrealized Loss	(12,000)	(390,000)
Estimated Fair Value	$ 76,617,000	$ 59,906,000
Net Weighted Average Coupon (as a percent)	7.60%	9.00%
Residual interests in asset-backed securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 0	$ 0
Amortized Cost	$ 13,600,000	17,000,000
Agency interest only strips accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Notional balance		$ 172,200,000

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Mortgage-Backed Securities and other securities- Purchase discount and premium (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Discount Designated as Credit Reserve and OTTI
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings	$ (3,295)	$ (2,974)	$ (4,527)	$ (5,890)
Non-Agency RMBS and Non-Agency CMBS and other securities
Discount Designated as Credit Reserve and OTTI
Balance at beginning of period	(50,087)	(79,474)	(53,523)	(72,915)
Realized credit losses	1,752	2,095	4,753	2,221
Purchases	0	0	0	(7,182)
Sales	3,340	765	6,034	3,339
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings	(2,000)	(2,753)	(2,966)	(5,499)
Transfers/release of credit reserve	(1,829)	530	(3,122)	1,199
Balance at end of period	(48,824)	(78,837)	(48,824)	(78,837)
Accretable Discount
Balance at beginning of period	(27,632)	(72,868)	(29,465)	(68,438)
Accretion of discount	1,043	2,786	2,320	5,169
Purchases	(3,106)	0	(3,106)	(6,473)
Sales	0	2,941	0	3,728
Transfers/release of credit reserve	1,113	(1,536)	1,669	(2,663)
Balance at end of period	(28,582)	(68,677)	(28,582)	(68,677)
Amortizable Premium
Balance at beginning of period	14,661	21,494	14,928	20,872
Amortization of premium	(135)	(223)	(616)	(364)
Purchases	287	0	287	435
Sales	(1,088)	(554)	(1,611)	(684)
Transfers/release of credit reserve	716	1,006	1,453	1,464
Balance at end of period	$ 14,441	$ 21,723	$ 14,441	$ 21,723

XML

Mortgage-Backed Securities and other securities- Type of security (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 585,751
Agency RMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0
Agency RMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0
Agency RMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	585,751
Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0
Total
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,831,659	$ 1,816,741
Total | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,610,734	1,142,938
Total | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	456,256	466,292
Total | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	675,736	94,487
Total | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	88,933	113,024
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,488,151	1,505,979
Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,520,666	1,106,486
Agency MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	370,419	386,619
Agency MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	593,237	8,716
Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,829	4,158
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	604,383	19,837
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	11,891	12,135
Agency RMBS Interest-Only Strips | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,952	3,577
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,633	2,402
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,306	6,156
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,741	7,702
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	875	1,089
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	4,686	4,053
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,180	2,560
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,879,939	1,481,984
Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,516,839	1,101,820
Agency CMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	363,100	380,164
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,829	4,158
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,829	4,158
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	266,891	250,856
Subtotal Non-Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	68,951	28,754
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	53,444	53,653
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	82,499	85,771
Subtotal Non-Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	61,997	82,678
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	38,086	39,026
Non-Agency RMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	8,955	8,540
Non-Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	29,131	30,486
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	9,101	11,529
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,805	4,310
Non-Agency RMBS Interest-Only Strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,296	7,219
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	219,704	200,301
Non-Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	68,951	28,754
Non-Agency CMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	53,444	53,653
Non-Agency CMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	70,739	72,921
Non-Agency CMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	26,570	44,973
Other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	76,617	59,906
Other securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	21,117	7,698
Other securities | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	32,393	26,020
Other securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 23,107	$ 26,188

XML

Mortgage-Backed Securities and other securities- FV and unrealized loss (Details) $ in Thousands	Jun. 30, 2019 USD ($) item security	Dec. 31, 2018 USD ($) security
Fair Value
Fair value, less than 12 months	$ 118,081	$ 114,194
Fair value, 12 months or more	34,362	903,289
Fair Value	152,443	1,017,483
Unrealized Losses
Unrealized losses, less than 12 Months	(1,261)	(1,540)
Unrealized losses, 12 months or more	(2,158)	(31,503)
Unrealized Losses	$ (3,419)	$ (33,043)
Number of Securities
Number of securities, less than 12 months | security	20	21
Number of securities, 12 months or more | security	13	85
Number of Securities | security	33	106
Agency RMBS
Fair Value
Fair value, less than 12 months	$ 60,683	$ 32,690
Fair value, 12 months or more	2,081	883,466
Fair Value	62,764	916,156
Unrealized Losses
Unrealized losses, less than 12 Months	(208)	(431)
Unrealized losses, 12 months or more	(197)	(29,570)
Unrealized Losses	$ (405)	$ (30,001)
Number of Securities
Number of securities, less than 12 months | security	6	10
Number of securities, 12 months or more | security	7	81
Number of Securities | security	13	91
Agency RMBS Interest-Only Strips
Fair Value
Fair value, less than 12 months	$ 1,153	$ 3,277
Fair value, 12 months or more	2,081	3,917
Fair Value	3,234	7,194
Unrealized Losses
Unrealized losses, less than 12 Months	(70)	(124)
Unrealized losses, 12 months or more	(197)	(283)
Unrealized Losses	$ (267)	$ (407)
Number of Securities
Number of securities, less than 12 months | security	3	7
Number of securities, 12 months or more | security	7	9
Number of Securities | security	10	16
Agency CMBS
Fair Value
Fair value, less than 12 months	$ 59,530	$ 29,413
Fair value, 12 months or more	0	879,549
Fair Value	59,530	908,962
Unrealized Losses
Unrealized losses, less than 12 Months	(138)	(307)
Unrealized losses, 12 months or more	0	(29,287)
Unrealized Losses	$ (138)	$ (29,594)
Number of Securities
Number of securities, less than 12 months | security	3	3
Number of securities, 12 months or more | security	0	72
Number of Securities | security	3	75
Subtotal Non-Agency MBS
Fair Value
Fair value, less than 12 months	$ 37,664	$ 66,296
Fair value, 12 months or more	32,281	19,823
Fair Value	69,945	86,119
Unrealized Losses
Unrealized losses, less than 12 Months	(1,041)	(719)
Unrealized losses, 12 months or more	(1,961)	(1,933)
Unrealized Losses	$ (3,002)	$ (2,652)
Number of Securities
Number of securities, less than 12 months | security	12	9
Number of securities, 12 months or more | security	6	4
Number of Securities | security	18	13
Non-Agency RMBS
Fair Value
Fair value, less than 12 months	$ 12,893	$ 0
Fair value, 12 months or more	0	500
Fair Value	12,893	500
Unrealized Losses
Unrealized losses, less than 12 Months	(498)	0
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (498)	$ 0
Number of Securities
Number of securities, less than 12 months	1	0
Number of securities, 12 months or more	0	1
Number of Securities | security	1	1
Non-Agency RMBS Interest-Only Strips
Fair Value
Fair value, less than 12 months	$ 87	$ 957
Fair value, 12 months or more	0	0
Fair Value	87	957
Unrealized Losses
Unrealized losses, less than 12 Months	(7)	(7)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (7)	$ (7)
Number of Securities
Number of securities, less than 12 months	1	2
Number of securities, 12 months or more	0	0
Number of Securities | security	1	2
Non-Agency CMBS
Fair Value
Fair value, less than 12 months	$ 24,684	$ 65,339
Fair value, 12 months or more	32,281	19,323
Fair Value	56,965	84,662
Unrealized Losses
Unrealized losses, less than 12 Months	(536)	(712)
Unrealized losses, 12 months or more	(1,961)	(1,933)
Unrealized Losses	$ (2,497)	$ (2,645)
Number of Securities
Number of securities, less than 12 months | security	10	7
Number of securities, 12 months or more | security	6	3
Number of Securities | security	16	10
Other securities
Fair Value
Fair value, less than 12 months	$ 19,734	$ 15,208
Fair value, 12 months or more	0	0
Fair Value	19,734	15,208
Unrealized Losses
Unrealized losses, less than 12 Months	(12)	(390)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (12)	$ (390)
Number of Securities
Number of securities, less than 12 months | security	2	2
Number of securities, 12 months or more | security	0	0
Number of Securities | security	2	2

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Mortgage-Backed Securities and other securities- Financing receivables (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment	$ 3,295	$ 2,974	$ 4,527	$ 5,890
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Amortization			(2,360)	(277)
Interest Income	53,818	57,154	105,851	96,881
Total
Components of interest income
Coupon Interest	22,985	33,146	42,052	66,257
Net (Premium Amortization/Amortization Basis) Discount Amortization	(2,500)	(1,369)	(4,355)	(1,852)
Interest Income	20,485	31,777	37,697	64,405
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment	0	201	25	343
Components of interest income
Coupon Interest	2,795	5,796	3,666	12,920
Net (Premium Amortization/Amortization Basis) Discount Amortization	(620)	(1,705)	(1,275)	(2,974)
Interest Income	2,175	4,091	2,391	9,946
Agency CMBS
Components of interest income
Coupon Interest	12,567	15,943	23,556	31,941
Net (Premium Amortization/Amortization Basis) Discount Amortization	(733)	(88)	(789)	32
Interest Income	11,834	15,855	22,767	31,973
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment	936	19	1,177	110
Components of interest income
Coupon Interest	1,385	2,057	2,592	3,477
Net (Premium Amortization/Amortization Basis) Discount Amortization	(711)	(281)	(1,188)	(149)
Interest Income	674	1,776	1,404	3,328
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment	1,952	2,754	2,918	5,437
Components of interest income
Coupon Interest	3,168	5,170	6,279	9,983
Net (Premium Amortization/Amortization Basis) Discount Amortization	1,322	2,508	2,246	4,404
Interest Income	4,490	7,678	8,525	14,387
Other securities
Debt Securities, Available-for-sale [Line Items]
Other than temporary impairment	407	0	407	0
Components of interest income
Coupon Interest	3,070	4,180	5,959	7,936
Net (Premium Amortization/Amortization Basis) Discount Amortization	(1,758)	(1,803)	(3,349)	(3,165)
Interest Income	$ 1,312	$ 2,377	$ 2,610	$ 4,771

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Mortgage-Backed Securities and other securities- Gross gains and losses (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Net Gain (Loss)	$ (8)	$ (5,608)	$ (5,113)	$ (5,033)
Total
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	6,165	405,098	221,875	416,869
Gross Gains	183	3,977	183	4,950
Gross Losses	(25)	(9,585)	(5,043)	(9,983)
Net Gain (Loss)	158	(5,608)	(4,860)	(5,033)
Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	208,331	0	209,581
Gross Gains	0	0	0	18
Gross Losses	0	(4,531)	0	(4,531)
Net Gain (Loss)	0	(4,531)	0	(4,513)
Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	126,867	206,710	126,867
Gross Gains	0	0	0	0
Gross Losses	0	(5,016)	(4,189)	(5,016)
Net Gain (Loss)	0	(5,016)	(4,189)	(5,016)
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	47,758	0	51,958
Gross Gains	0	2,220	0	3,114
Gross Losses	0	0	0	0
Net Gain (Loss)	0	2,220	0	3,114
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	6,165	385	15,165	6,706
Gross Gains	183	0	183	61
Gross Losses	(25)	(38)	(854)	(436)
Net Gain (Loss)	158	(38)	(671)	(375)
Other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	21,757	0	21,757
Gross Gains	0	1,757	0	1,757
Gross Losses	0	0	0	0
Net Gain (Loss)	$ 0	$ 1,757	$ 0	$ 1,757

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Mortgage-Backed Securities and other securities Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) - Variable interest entity, not primary beneficiary, aggregated disclosure $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2019 USD ($) loan	Dec. 31, 2018 USD ($) loan
Investment [Line Items]
Number of commercial loans trusts | loan	10	7
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 131.0	$ 118.4

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Residential Whole-Loans and Bridge Loans (Details) $ in Thousands	1 Months Ended	6 Months Ended	12 Months Ended
	May 31, 2019 USD ($)	Jun. 30, 2019 USD ($) loan	Dec. 31, 2018 USD ($) loan entity
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 3,001,220	$ 2,818,837
Payable to affiliate		$ 2,827	$ 4,615
Variable interest entity, not primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Variable interest entity, nonconsolidated, number of entity | entity			3
Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		3,065	2,782
Residential Whole Loans | Variable interest entity, primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of Loans | loan		12
Residential Whole Loans | VIE
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 11,800	$ 618,700
Number of Loans | loan		3,053
Mortgage loans on real estate, number of loans, nonperforming | loan		3
Mortgage loans on real estate, principal amount of delinquent loans		$ 2,700
Mortgage loans on real estate, number of loans, nonperforming, percentage		0.20%
Residential Whole Loans | RCR Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 223,900	250,400
Residential Whole Loans | RNR Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net			15,100
Residential Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 919,000
Residential Bridge Loans | Variable interest entity, primary beneficiary, aggregated disclosure
Variable Interest Entity [Line Items]
Number of Loans | loan		173
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 92,100	$ 207,500
Number of Loans | loan		193	520
Mortgage loans on real estate, number of loans, nonperforming | loan		6	3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate, Principal Amount At Fair Value of Delinquent Loan			$ 4,000
Mortgage loans on real estate, principal amount of delinquent loans		$ 3,400	$ 1,100
Mortgage loans on real estate, number of loans, nonperforming, percentage		21.30%	2.30%
Mortgage loans on real estate weighted average loan to value, collateral dependent		73.00%	70.00%
Estimated Fair Value | Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Mortgage loans on real estate, number of loans, nonperforming | loan		40	9
Mortgage loans on real estate, principal amount of delinquent loans		$ 17,100
Non-Qualifying Adjustable Rate Mortgage Loan | Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		2,271
Conforming Fixed Rate Mortgage Loan | Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		782
Investor Fixed Rate Mortgage Loan | Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		12
Arroyo Trust | Residential Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Transfered of non-qm residential whole loans	$ 945,500

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Residential Whole-Loans and Bridge Loans - Summary of the assets and liabilities of the residential and commercial loan trusts (Details) - USD ($) $ in Thousands		Jun. 30, 2019	Dec. 31, 2018
Variable Interest Entity [Line Items]
Cash and cash equivalents		$ 81,761	$ 21,987
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)		1,206,220	1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)		90,606	221,486
Commercial Loans, at fair value		292,032	196,123
Investment related receivable		35,779	42,945
Interest receivable		19,413	21,959
Other assets		1,631	2,488
Total assets	[1]	5,533,508	4,497,395
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)		1,617,813	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)		11,982	8,532
Accounts payable and accrued expenses		2,801	3,858
Other liabilities		87,140	56,031
Total liabilities	[2]	4,973,882	3,994,386
Fair value of residential whole-loans pledged as collateral		1,196,415	1,041,885
Residential bridge loan, at fair value		87,402	211,999
VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		2,874	674
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)		1,206,220	1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)		90,606	221,486
Commercial Loans, at fair value		292,032	196,123
Investment related receivable		35,725	42,945
Interest receivable		10,494	15,540
Other assets		124	178
Total assets		2,449,348	2,588,150
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)		1,617,813	949,626
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)		4,067	2,419
Accounts payable and accrued expenses		394	708
Other liabilities		87,139	56,033
Total liabilities		1,709,413	1,008,786
Fair value of residential whole-loans pledged as collateral		1,196,415	1,041,885
Residential bridge loan, at fair value		83,116	211,766
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		2,411	674
Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)		1,206,220	1,041,885
Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)		90,606	221,486
Commercial Loans, at fair value		0	30,000
Investment related receivable		35,725	42,945
Interest receivable		7,481	11,807
Other assets		124	178
Total assets		1,342,567	1,348,975
Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)		895,787	0
Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)		2,574	0
Accounts payable and accrued expenses		361	677
Other liabilities		0	225
Total liabilities		898,722	902
Fair value of residential whole-loans pledged as collateral		1,196,415	1,041,885
Residential bridge loan, at fair value		$ 83,116	$ 211,766

[1] (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents2,874674Restricted cash87,13955,808Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)1,206,2201,041,885Residential Bridge Loans ($87,402 and $211,999 at fair value and $90,606 and $221,486 pledged as collateral, respectively)90,606221,486Securitized commercial loans, at fair value804,1341,013,511Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123Investment related receivable35,72542,945Interest receivable10,49415,540Other assets124178Total assets of consolidated VIEs2,449,3482,588,150Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)1,196,4151,041,885Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)83,116211,766Residential Bridge Loans ($83,394 and $211,766 at fair value and $90,884 and $221,486 pledged as collateral, respectively)90,606221,486Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)292,032196,123

[2] (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)1,614,813949,626Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)4,0672,419Accounts payable and accrued expenses394708Other liabilities87,13956,033Total liabilities of consolidated VIEs1,709,4131,008,786Securitized debt ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)722,02683,749Securitized debt ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)83,749246,802Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)374816

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Residential Whole-Loans and Bridge Loans - Components of the fair value of Residential Whole-Loans (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Residential Whole Loans
Variable Interest Entity [Line Items]
Principal Balance	$ 1,169,136	$ 1,023,524
Unamortized premium	21,215	17,629
Unamortized discount	(3,129)	(3,145)
Amortized cost	1,187,222	1,038,008
Gross unrealized gains	20,827	7,573
Gross unrealized losses	(1,829)	(3,696)
Fair value	1,206,220	1,041,885
Residential Bridge Loans, At Fair Value
Variable Interest Entity [Line Items]
Principal Balance	88,982	212,491
Unamortized premium	205	1,164
Unamortized discount	(59)	(316)
Amortized cost	89,128	213,339
Gross unrealized gains	96	212
Gross unrealized losses	(1,822)	(1,552)
Fair value	87,402	211,999
Residential Bridge Loans, At Amortized Cost
Variable Interest Entity [Line Items]
Principal Balance	7,503	9,766
Unamortized premium	9	16
Unamortized discount	(22)	(62)
Amortized cost	$ 7,490	$ 9,720

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Residential Whole-Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2019 USD ($) loan score	Dec. 31, 2018 USD ($) loan score
3.01 – 4.00%
Variable Interest Entity [Line Items]
Number of Loans	62	66
Principal Balance | $	$ 20,600	$ 22,046
Original LTV	61.80%	61.60%
Original FICO Score | score	738	738
Expected Life (years)(2)	2 years 2 months 12 days	6 years 6 months
Contractual Maturity (years)	28 years 6 months	29 years
Coupon Rate	3.90%	3.90%
4.01– 5.00%
Variable Interest Entity [Line Items]
Number of Loans	1,265	1,395
Principal Balance | $	$ 434,936	$ 490,073
Original LTV	62.20%	62.30%
Original FICO Score | score	740	739
Expected Life (years)(2)	2 years 2 months 12 days	3 years
Contractual Maturity (years)	28 years 6 months	29 years
Coupon Rate	4.80%	4.80%
5.01 – 6.00%
Variable Interest Entity [Line Items]
Number of Loans	1,632	1,283
Principal Balance | $	$ 675,014	$ 496,722
Original LTV	63.20%	62.70%
Original FICO Score | score	734	727
Expected Life (years)(2)	2 years 8 months 12 days	2 years 6 months
Contractual Maturity (years)	28 years 6 months	28 years 6 months
Coupon Rate	5.50%	5.40%
6.01 – 7.00%
Variable Interest Entity [Line Items]
Number of Loans	104	37
Principal Balance | $	$ 38,139	$ 14,589
Original LTV	57.00%	59.50%
Original FICO Score | score	729	731
Expected Life (years)(2)	3 years 8 months 12 days	1 year 6 months
Contractual Maturity (years)	25 years 8 months	24 years 9 months 18 days
Coupon Rate	6.10%	6.20%
7.01 - 8.00%
Variable Interest Entity [Line Items]
Number of Loans	1	1
Principal Balance | $	$ 354	$ 94
Original LTV	70.00%	70.00%
Original FICO Score | score	777	689
Expected Life (years)(2)	3 years	1 year 9 months 18 days
Contractual Maturity (years)	28 years 7 months 6 days	29 years 1 month 6 days
Coupon Rate	7.20%	8.00%
8.01 - 9.00%
Variable Interest Entity [Line Items]
Number of Loans	1
Principal Balance | $	$ 93
Original LTV	70.00%
Original FICO Score | score	689
Expected Life (years)(2)	4 years 2 months 12 days
Contractual Maturity (years)	28 years 7 months 6 days
Coupon Rate	8.40%
Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	3,065	2,782
Principal Balance | $	$ 1,169,136	$ 1,023,524
Original LTV	62.60%	62.40%
Original FICO Score | score	736	733
Expected Life (years)(2)	2 years 7 months 6 days	2 years 9 months 18 days
Contractual Maturity (years)	28 years 5 months	28 years 8 months 12 days
Coupon Rate	5.20%	5.10%
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans	269	274
Principal Balance | $	$ 91,100	$ 93,200
6.01 – 7.00%
Variable Interest Entity [Line Items]
Number of Loans	2	8
Principal Balance | $	$ 714	$ 3,169
Original LTV	66.30%	60.40%
Expected Life (years)(2)	0 months	1 month 3 days
Coupon Rate	7.00%	6.70%
7.01 – 8.00%
Variable Interest Entity [Line Items]
Number of Loans	29	95
Principal Balance | $	$ 20,354	$ 53,911
Original LTV	73.50%	73.10%
Expected Life (years)(2)	5 months 7 days	6 months 10 days
Coupon Rate	7.80%	7.80%
8.01 – 9.00%
Variable Interest Entity [Line Items]
Number of Loans	70	180
Principal Balance | $	$ 38,621	$ 86,764
Original LTV	72.70%	72.30%
Expected Life (years)(2)	5 months 4 days	5 months 18 days
Coupon Rate	8.70%	8.70%
9.01 – 10.00%
Variable Interest Entity [Line Items]
Number of Loans	51	143
Principal Balance | $	$ 24,751	$ 53,804
Original LTV	71.20%	74.00%
Expected Life (years)(2)	2 months 22 days	4 months 16 days
Coupon Rate	9.80%	9.70%
10.01 – 11.00%
Variable Interest Entity [Line Items]
Number of Loans	18	43
Principal Balance | $	$ 4,639	$ 10,150
Original LTV	73.70%	72.70%
Expected Life (years)(2)	15 days	4 months
Coupon Rate	10.70%	10.70%
11.01 – 12.00%
Variable Interest Entity [Line Items]
Number of Loans	12	28
Principal Balance | $	$ 3,095	$ 8,274
Original LTV	58.40%	69.80%
Expected Life (years)(2)	1 month 10 days	4 months 16 days
Coupon Rate	11.30%	11.40%
12.01 – 13.00%
Variable Interest Entity [Line Items]
Number of Loans	5	11
Principal Balance | $	$ 1,797	$ 2,743
Original LTV	80.70%	75.80%
Expected Life (years)(2)	1 month 25 days	5 months 6 days
Coupon Rate	12.90%	12.80%
13.01 – 14.00%
Variable Interest Entity [Line Items]
Number of Loans		1
Principal Balance | $		$ 88
Original LTV		65.00%
Expected Life (years)(2)		4 months
Coupon Rate		14.00%
17.01 – 18.00%
Variable Interest Entity [Line Items]
Number of Loans	6	11
Principal Balance | $	$ 2,514	$ 3,354
Original LTV	73.60%	73.70%
Expected Life (years)(2)	2 months 7 days	2 months 9 days
Coupon Rate	18.00%	18.00%
Residential Bridge Loans
Variable Interest Entity [Line Items]
Expected Life (years)(2)	4 months 7 days	5 months 10 days
Minimum | 3.01 – 4.00%
Variable Interest Entity [Line Items]
Coupon Rate	3.01%	3.01%
Minimum | 4.01– 5.00%
Variable Interest Entity [Line Items]
Coupon Rate	4.01%	4.01%
Minimum | 5.01 – 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	5.01%	5.01%
Minimum | 6.01 – 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.01%	6.01%
Minimum | 7.01 - 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.01%	7.01%
Minimum | 8.01 - 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.01%
Minimum | 6.01 – 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.01%	6.01%
Minimum | 7.01 – 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.01%	7.01%
Minimum | 8.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.01%	8.01%
Minimum | 9.01 – 10.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.01%	9.01%
Minimum | 10.01 – 11.00%
Variable Interest Entity [Line Items]
Coupon Rate	10.01%	10.01%
Minimum | 11.01 – 12.00%
Variable Interest Entity [Line Items]
Coupon Rate	11.01%	11.01%
Minimum | 12.01 – 13.00%
Variable Interest Entity [Line Items]
Coupon Rate	12.01%	12.01%
Minimum | 13.01 – 14.00%
Variable Interest Entity [Line Items]
Coupon Rate	13.01%
Minimum | 17.01 – 18.00%
Variable Interest Entity [Line Items]
Coupon Rate	17.01%	17.01%
Maximum | 3.01 – 4.00%
Variable Interest Entity [Line Items]
Coupon Rate	4.00%	4.00%
Maximum | 4.01– 5.00%
Variable Interest Entity [Line Items]
Coupon Rate	5.00%	5.00%
Maximum | 5.01 – 6.00%
Variable Interest Entity [Line Items]
Coupon Rate	6.00%	6.00%
Maximum | 6.01 – 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.00%	7.00%
Maximum | 7.01 - 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.00%	8.00%
Maximum | 8.01 - 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.00%
Maximum | 6.01 – 7.00%
Variable Interest Entity [Line Items]
Coupon Rate	7.00%	7.00%
Maximum | 7.01 – 8.00%
Variable Interest Entity [Line Items]
Coupon Rate	8.00%	8.00%
Maximum | 8.01 – 9.00%
Variable Interest Entity [Line Items]
Coupon Rate	9.00%	9.00%
Maximum | 9.01 – 10.00%
Variable Interest Entity [Line Items]
Coupon Rate	10.00%	10.00%
Maximum | 10.01 – 11.00%
Variable Interest Entity [Line Items]
Coupon Rate	11.00%	11.00%
Maximum | 11.01 – 12.00%
Variable Interest Entity [Line Items]
Coupon Rate	12.00%	12.00%
Maximum | 12.01 – 13.00%
Variable Interest Entity [Line Items]
Coupon Rate	13.00%	13.00%
Maximum | 13.01 – 14.00%
Variable Interest Entity [Line Items]
Coupon Rate	14.00%
Maximum | 17.01 – 18.00%
Variable Interest Entity [Line Items]
Coupon Rate	18.00%	18.00%
VIE | Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	3,053
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of Loans	193	520
Principal Balance | $	$ 96,485	$ 222,257
Original LTV	72.20%	72.70%
Coupon Rate	9.30%	9.10%

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Residential Whole-Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Residential Whole Loans
Variable Interest Entity [Line Items]
Principal Balance	$ 1,169,136	$ 1,023,524
Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal Balance	$ 1,169,136	$ 1,023,524
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	100.00%	100.00%
Principal Balance	$ 96,485	$ 222,257
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	70.50%	67.10%
Principal Balance	$ 823,888	$ 686,275
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	52.00%	53.90%
Principal Balance	$ 50,152	$ 119,761
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	14.50%	17.10%
Principal Balance	$ 169,920	$ 175,390
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	9.60%	9.50%
Principal Balance	$ 9,219	$ 21,160
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	2.40%	2.60%
Principal Balance	$ 27,584	$ 26,918
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	2.30%	1.90%
Principal Balance	$ 27,074	$ 19,942
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	6.30%	5.70%
Principal Balance	$ 6,095	$ 12,672
Massachusetts | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration		2.10%
Principal Balance		$ 21,197
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	1.80%
Principal Balance	$ 20,977
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	5.20%	4.70%
Principal Balance	$ 5,008	$ 10,419
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans
Variable Interest Entity [Line Items]
Concentration	8.50%	9.20%
Principal Balance	$ 99,693	$ 93,802
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	18.40%	19.60%
Principal Balance	$ 17,823	$ 43,534
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
Concentration	8.50%	6.60%
Principal Balance	$ 8,188	$ 14,711

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Commercial Loans - Narrative (Details) $ in Thousands	1 Months Ended			6 Months Ended
	Mar. 31, 2019 USD ($)	Mar. 31, 2018 USD ($)	Nov. 30, 2015 USD ($)	Jun. 30, 2019 USD ($) loan entity	Dec. 31, 2018 USD ($)
Variable Interest Entity [Line Items]
Variable interest entity, number of entity | entity				2
Securitized commercial loans, at fair value				$ 804,134	$ 1,013,511
Repurchased borrowings				$ 137,800
Commercial Loans
Variable Interest Entity [Line Items]
Number of commercial loans trusts | loan				7
CMSC Trust
Variable Interest Entity [Line Items]
Securitized commercial loans, at fair value				$ 24,300
London Interbank Offered Rate (LIBOR) | RETL Trust
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate		2.30%
CMSC Trust
Variable Interest Entity [Line Items]
Trust certificates issued				24,300
Principal balance				24,253	24,456
CMSC Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation			$ 14,000	13,600
Variable interest entity, carrying amount				13,600
Variable interest entity, fair value				13,600
RETL Trust
Variable Interest Entity [Line Items]
Trust certificates issued				706,500
Principal balance				774,930	988,609
RETL Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation	$ 65,300	$ 67,800
Variable interest entity, amount acquired, eligible risk retention	$ 45,300
RETL Trust | Trust Certificate | London Interbank Offered Rate (LIBOR) | Securitized commercial loans
Variable Interest Entity [Line Items]
Loans receivable, basis spread on variable rate		9.50%
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance				$ 212,032	$ 166,432

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Commercial Loans - Commercial loans held (Details) - Securitized commercial loans - USD ($) $ in Thousands	1 Months Ended		6 Months Ended
	Oct. 31, 2018	Sep. 30, 2018	Jun. 30, 2019
CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			$ 100,000
Fair Value			100,000
CRE LLC And CRE Mezz | Interest-Only Mezzanine loan
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			20,000
Fair Value			20,000
CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			30,000
Fair Value			30,000
CRE LLC And CRE Mezz | Principal & Interest First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			50,000
Fair Value			$ 50,000
Coupon Rate			4.75%
RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			$ 212,032
Fair Value			212,032
SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			45,187
Fair Value			45,187
SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			115,500
Fair Value			115,500
Amount acquired, eliminated in consolidation	$ 65,900	$ 49,600
SBC 3 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			5,745
Fair Value			5,745
SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			13,600
Fair Value			13,600
SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal Balance			32,000
Fair Value			$ 32,000
London Interbank Offered Rate (LIBOR) | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			6.50%
London Interbank Offered Rate (LIBOR) | CRE LLC And CRE Mezz | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			4.50%
London Interbank Offered Rate (LIBOR) | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			4.25%
London Interbank Offered Rate (LIBOR) | SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			5.30%
London Interbank Offered Rate (LIBOR) | SBC 3 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			5.25%
London Interbank Offered Rate (LIBOR) | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			4.00%
London Interbank Offered Rate (LIBOR) | SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			4.10%
London Interbank Offered Rate (LIBOR) Floor | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			1.25%
London Interbank Offered Rate (LIBOR) Floor | SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			1.90%
London Interbank Offered Rate (LIBOR) Floor | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			2.00%
London Interbank Offered Rate (LIBOR) Cap | SBC 2 | Assisted Care Living Facilities | RSBC Trust | Interest-Only First Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon Rate			3.50%

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Commercial Loans - Consolidated commercial loan trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands		Jun. 30, 2019	Dec. 31, 2018
Noncontrolling Interest [Line Items]
Cash and cash equivalents		$ 81,761	$ 21,987
Restricted cash		87,139	55,808
Securitized commercial loans, at fair value		804,134	1,013,511
Commercial Loans, at fair value		292,032	196,123
Interest receivable		19,413	21,959
Total assets	[1]	5,533,508	4,497,395
Interest payable		11,982	8,532
Accounts payable and accrued expenses		2,801	3,858
Other liabilities		87,140	56,031
Total liabilities	[2]	4,973,882	3,994,386
VIE
Noncontrolling Interest [Line Items]
Cash and cash equivalents		2,874	674
Restricted cash		87,139	55,808
Securitized commercial loans, at fair value		804,134	1,013,511
Commercial Loans, at fair value		292,032	196,123
Interest receivable		10,494	15,540
Total assets		2,449,348	2,588,150
Interest payable		4,067	2,419
Accounts payable and accrued expenses		394	708
Other liabilities		87,139	56,033
Total liabilities		1,709,413	1,008,786
Securitized commercial loans | VIE
Noncontrolling Interest [Line Items]
Cash and cash equivalents		463	0
Restricted cash		87,139	55,808
Securitized commercial loans, at fair value		804,134	1,013,511
Commercial Loans, at fair value		212,032	166,123
Interest receivable		3,013	3,733
Total assets		1,106,781	1,239,175
Securitized debt		722,026	949,626
Interest payable		1,493	2,419
Accounts payable and accrued expenses		33	31
Other liabilities		87,139	55,808
Total liabilities		$ 810,691	$ 1,007,884

[1] (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents2,874674Restricted cash87,13955,808Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)1,206,2201,041,885Residential Bridge Loans ($87,402 and $211,999 at fair value and $90,606 and $221,486 pledged as collateral, respectively)90,606221,486Securitized commercial loans, at fair value804,1341,013,511Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)212,032196,123Investment related receivable35,72542,945Interest receivable10,49415,540Other assets124178Total assets of consolidated VIEs2,449,3482,588,150Residential Whole Loans, at fair value ($1,196,415 and $1,041,885 pledged as collateral, at fair value, respectively)1,196,4151,041,885Residential Bridge Loans ($83,116 and $211,766 at fair value and $90,606 and $221,486 pledged as collateral, respectively)83,116211,766Residential Bridge Loans ($83,394 and $211,766 at fair value and $90,884 and $221,486 pledged as collateral, respectively)90,606221,486Commercial Loans, at fair value ($292,032 and $196,123 pledged as collateral, at fair value, respectively)292,032196,123

[2] (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)1,614,813949,626Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)4,0672,419Accounts payable and accrued expenses394708Other liabilities87,13956,033Total liabilities of consolidated VIEs1,709,4131,008,786Securitized debt ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)722,02683,749Securitized debt ($722,026 and $949,626 at fair value and $83,749 and $246,802 held by affiliates, respectively)83,749246,802Interest payable (includes $374 and $816 on securitized debt held by affiliates, respectively)374816

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Commercial Loans - Components of the carrying value of commercial real estate loans (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Commercial Mezzanine Loan
Variable Interest Entity [Line Items]
Principal balance	$ 100,000	$ 50,000
Unamortized premium	0	0
Unamortized discount	(105)	(205)
Amortized cost	99,895	49,795
Gross unrealized gains	105	205
Gross unrealized losses	0	0
Fair value	100,000	50,000
CMSC Trust
Variable Interest Entity [Line Items]
Principal balance	24,253	24,456
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	24,253	24,456
Gross unrealized gains	65	0
Gross unrealized losses	0	(14)
Fair value	24,318	24,442
RETL Trust
Variable Interest Entity [Line Items]
Principal balance	774,930	988,609
Unamortized premium	3,016	431
Unamortized discount	0	0
Amortized cost	777,946	989,040
Gross unrealized gains	1,870	29
Gross unrealized losses	0	0
Fair value	779,816	989,069
RSBC Trust
Variable Interest Entity [Line Items]
Principal balance	212,032	166,432
Unamortized premium	0	0
Unamortized discount	(690)	(736)
Amortized cost	211,342	165,696
Gross unrealized gains	690	427
Gross unrealized losses	0	0
Fair value	$ 212,032	$ 166,123

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Financings - Narrative (Details)	1 Months Ended			6 Months Ended
	Mar. 31, 2019 USD ($)	Mar. 31, 2018 USD ($)	Nov. 30, 2015 USD ($)	Jun. 30, 2019 USD ($) item	Dec. 31, 2018 USD ($)
Short-term Debt [Line Items]
Number of counterparties to master repurchase agreement | item				33
Number of counterparties from whom entity borrowed under repurchase agreement | item				18
MBS pledged for borrowings under repurchase agreements				$ 90,606,000	$ 221,486,000
Securities loaned, collateral, right to reclaim cash				0	1,200,000
Securities purchased under agreements to resell, collateral, obligation to return cash				21,600,000	17,800,000
Securities purchased under agreements to resell, fair value of collateral				3,300,000	5,200,000
Securitized debt, at fair value				1,617,813,000	949,626,000
Repurchase agreements
Short-term Debt [Line Items]
MBS pledged for borrowings under repurchase agreements				3,300,000,000	$ 3,300,000,000
RETL Trust
Short-term Debt [Line Items]
Trust certificates issued				706,500,000
RETL Trust | Affiliated entities
Short-term Debt [Line Items]
Trust certificates issued				70,000,000
RETL Trust | Third parties
Short-term Debt [Line Items]
Trust certificates issued				636,600,000
CMSC Trust
Short-term Debt [Line Items]
Commercial pass-through certificate, amount				25,000,000
Trust certificates issued				$ 24,300,000
Debt instrument interest rate, effective percentage				8.90%
Securitized commercial loans | RETL Trust
Short-term Debt [Line Items]
Amount acquired, eliminated in consolidation	$ 65,300,000	$ 67,800,000
Securitized commercial loans | CMSC Trust
Short-term Debt [Line Items]
Amount acquired, eliminated in consolidation			$ 14,000,000	$ 13,600,000
Securitized debt, at fair value				10,700,000
Securitized debt | Securitized commercial loans | CMSC Trust
Short-term Debt [Line Items]
Securitized debt, at fair value				10,700,000
Secured Debt | Arroyo Trust
Short-term Debt [Line Items]
Fair Value				895,788,000
Secured Debt | Residential Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Fair Value				$ 917,600,000
Maximum aggregate collateral balance over original prinicipal balance percentage				20.00%
Class C | Secured Debt | RETL Trust
Short-term Debt [Line Items]
Payments to acquire securitized debt				$ 23,000,000

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Financings - Borrowings under Repurchase Agreements (Details) - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 3,001,220,000	$ 2,818,837,000
Weighted Average Remaining Maturity (days)	55 days	54 days
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total	2.99%	3.45%
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 68,762,000
Weighted Average Remaining Maturity (days)	768 days
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.52%
Repurchase agreements | Whole-Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 11,762,000
Weighted Average Remaining Maturity (days)	966 days
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.15%
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 57,000,000
Weighted Average Remaining Maturity (days)	727 days
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.60%
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 2,932,458,000	$ 2,818,837,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.95%	3.45%
Weighted Average Remaining Maturity (days)	39 days	54 days
Repurchase agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 573,771,000	$ 14,650,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.65%	3.09%
Weighted Average Remaining Maturity (days)	40 days	21 days
Repurchase agreements | Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,673,902,000	$ 1,392,649,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.62%	2.71%
Weighted Average Remaining Maturity (days)	35 days	40 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 11,488,000	$ 30,922,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.86%	4.06%
Weighted Average Remaining Maturity (days)	23 days	18 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 146,629,000	$ 134,814,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.79%	4.05%
Weighted Average Remaining Maturity (days)	42 days	48 days
Repurchase agreements | Whole-Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 226,784,000	$ 863,356,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.63%	4.08%
Weighted Average Remaining Maturity (days)	68 days	93 days
Repurchase agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 89,241,000	$ 204,754,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.59%	4.50%
Weighted Average Remaining Maturity (days)	29 days	25 days
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 137,821,000	$ 131,788,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.67%	4.55%
Weighted Average Remaining Maturity (days)	36 days	26 days
Repurchase agreements | Securitized commercial loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 19,708,000	$ 7,543,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.28%	4.30%
Weighted Average Remaining Maturity (days)	19 days	15 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 53,114,000	$ 38,361,000
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.93%	4.18%
Weighted Average Remaining Maturity (days)	32 days	26 days
Residential Facility
Certain characteristics of the Company's repurchase agreements
Maximum borrowing capacity	$ 700,000,000.0
Commercial Facility
Certain characteristics of the Company's repurchase agreements
Maximum borrowing capacity	$ 150,000,000.0

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Financings - Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	$ 3,001,220	$ 2,818,837
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	1,789,562	1,867,957
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	341,585	144,778
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	801,311	555,695
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase agreements, net	$ 68,762	$ 250,407

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Financings - Borrowings under Repurchase Agreements-Risk by Counterparty (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2019 USD ($)
Nomura Securities International, Inc.
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty
Amount of Collateral at Risk, at fair value	$ 78,104
Weighted Average Remaining Maturity (days)	33 days
Percentage of Stockholders’ Equity	14.00%
Citigroup Global Markets Inc.
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty
Amount of Collateral at Risk, at fair value	$ 70,163
Weighted Average Remaining Maturity (days)	26 days
Percentage of Stockholders’ Equity	12.50%

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Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	$ 90,606	$ 221,486
Accrued Interest	12,766	19,084
Assets Pledged and Accrued Interest	3,345,896	3,296,358
Assets pledged- fair value	3,333,130	3,277,274
Repurchase agreements
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	3,300,000	3,300,000
Repurchase agreements | Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	604,384	19,837
Accrued Interest	2,080	453
Assets Pledged and Accrued Interest	606,464	20,290
Repurchase agreements | Non-Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	14,435	50,555
Accrued Interest	119	479
Assets Pledged and Accrued Interest	14,554	51,034
Repurchase agreements | Non-Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	200,511	186,552
Accrued Interest	829	915
Assets Pledged and Accrued Interest	201,340	187,467
Repurchase agreements | Whole-Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	247,539	1,041,885
Accrued Interest	1,869	8,145
Assets Pledged and Accrued Interest	249,408	1,050,030
Repurchase agreements | Residential Bridge Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	90,606	221,486
Accrued Interest	1,408	3,528
Assets Pledged and Accrued Interest	92,014	225,014
Repurchase agreements | Commercial Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	292,032	196,123
Accrued Interest	1,593	1,067
Assets Pledged and Accrued Interest	293,625	197,190
Repurchase agreements | Securitized commercial loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	23,187	13,688
Accrued Interest	46	88
Assets Pledged and Accrued Interest	23,233	13,776
Repurchase agreements | Other securities
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	76,483	59,780
Accrued Interest	153	147
Assets Pledged and Accrued Interest	76,636	59,927
Repurchase agreements | Cash
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged and Accrued Interest	0	1,226
Assets pledged- fair value	0	1,226
VIE
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	90,606	221,486
VIE | Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
MBS pledged for borrowings under repurchase agreements	1,783,953	1,486,142
Accrued Interest	4,669	4,262
Assets Pledged and Accrued Interest	$ 1,788,622	$ 1,490,404

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

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Financings - Commercial Mortgage Pass-Through Certificates (Details) - Secured Debt $ in Thousands	6 Months Ended
	Jun. 30, 2019 USD ($)
RETL Trust
Debt Instrument [Line Items]
Principal Balance	$ 774,930
Fair Value	779,817
RETL Trust | Class A
Debt Instrument [Line Items]
Principal Balance	$ 320,030
Coupon	3.50%
Fair Value	$ 320,628
RETL Trust | Class B
Debt Instrument [Line Items]
Principal Balance	$ 101,200
Coupon	3.90%
Fair Value	$ 101,452
RETL Trust | Class C
Debt Instrument [Line Items]
Principal Balance	$ 308,400
Coupon	4.50%
Fair Value	$ 309,556
RETL Trust | Class HRR
Debt Instrument [Line Items]
Principal Balance	$ 45,300
Coupon	10.90%
Fair Value	$ 45,304
RETL Trust | Class X-CP
Debt Instrument [Line Items]
Coupon	1.30%
Fair Value	$ 2,846
Notional amount	$ 308,400
RETL Trust | Class X-EXT
Debt Instrument [Line Items]
Coupon	0.00%
Fair Value	$ 31
Notional amount	308,400
Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	901,478
Long-term Debt, Gross	901,474
Less: Unamortized Deferred Financing Costs	5,686
Total	895,788
Arroyo Trust | Class A-1
Debt Instrument [Line Items]
Principal Balance	$ 769,825
Coupon	3.30%
Long-term Debt, Gross	$ 769,823
Arroyo Trust | Class A-2
Debt Instrument [Line Items]
Principal Balance	$ 41,248
Coupon	3.50%
Long-term Debt, Gross	$ 41,248
Arroyo Trust | Class A-3
Debt Instrument [Line Items]
Principal Balance	$ 65,350
Coupon	3.80%
Long-term Debt, Gross	$ 65,348
Arroyo Trust | Class M-1
Debt Instrument [Line Items]
Principal Balance	$ 25,055
Coupon	4.80%
Long-term Debt, Gross	$ 25,055

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Derivative Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Estimated Fair Value
Fair value of derivative assets	$ 13,899	$ 14,466
Derivative liability, at fair value	(1,317)	(10,130)
Derivative instruments not accounted as hedges under GAAP
Estimated Fair Value
Fair value of derivative assets	3,329	2,606
Derivative liability, at fair value	(1,317)	(10,130)
Total derivative instruments	2,012	(7,524)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	3,772,400	1,128,400
Notional amount, liabilities	974,400	2,727,800
Estimated Fair Value
Fair value of derivative assets	2,709	2,057
Derivative liability, at fair value	(764)	(5,473)
Swaptions | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	162,803	0
Estimated Fair Value
Fair value of derivative assets	156	0
Options | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets		0
Notional amount, liabilities		0
Estimated Fair Value
Fair value of derivative assets		0
Derivative liability, at fair value		0
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, liabilities	0	300,400
Estimated Fair Value
Derivative liability, at fair value	0	(4,657)
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	0	50,000
Estimated Fair Value
Fair value of derivative assets	0	$ 549
Long | Options
Notional Amount
Notional amount, assets	45,000
Estimated Fair Value
Fair value of derivative assets	464
Short | Options
Notional Amount
Notional amount, assets	672,700
Notional amount, liabilities	672,700
Estimated Fair Value
Derivative liability, at fair value	$ (553)

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Derivative Instruments- Gain or loss (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations			$ (1,777)	$ 7,769
Return (Recovery) of Basis			794	5,576
Total	$ (71,530)	$ 28,490	(98,678)	108,072
Collateral already posted, aggregate fair value	55,500		55,500		$ 38,000
Proceeds from derivative instrument			380
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(6,425)	1,316	(11,520)	4,185
Variation Margin Settlement	(58,600)	21,634	(96,438)	97,864
Return (Recovery) of Basis	1,021	(572)	1,954	(1,682)
Mark-to-Market	(10,519)	4,268	794	5,576
Contractual interest income (expense), net	2,993	1,844	6,532	2,129
Total	(71,530)	28,490	(98,678)	108,072
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(588)	24	(591)	19
Variation Margin Settlement	(58,600)	21,634	(96,438)	97,864
Return (Recovery) of Basis	1,676	211	3,204	292
Mark-to-Market	(10,832)	2,177	(3,742)	2,245
Contractual interest income (expense), net	2,174	833	4,929	(304)
Total	(66,170)	24,879	(92,638)	100,116
Interest Rate Swaption | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	0
Return (Recovery) of Basis	0
Mark-to-Market	(176)		(176)
Contractual interest income (expense), net	0
Total	(176)		(176)
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	0	0
Return (Recovery) of Basis	(655)	(783)	(1,250)	(1,974)
Mark-to-Market	19	(96)	(40)	(30)
Contractual interest income (expense), net	819	1,011	1,603	2,433
Total	183	132	313	429
Option | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	0	(100)		(518)
Return (Recovery) of Basis	0	0
Mark-to-Market	470	88	470	300
Contractual interest income (expense), net	0	0
Total	470	(12)	470	(218)
Futures contracts | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(5,837)	614	(10,340)	4,592
Return (Recovery) of Basis	0	0
Mark-to-Market	0	2,567	4,657	3,069
Contractual interest income (expense), net	0	0
Total	$ (5,837)	3,181	(5,683)	7,661
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations		(23)	(589)	(42)
Return (Recovery) of Basis		0
Mark-to-Market		66	(375)	51
Contractual interest income (expense), net		0
Total		43	$ (964)	9
TBAs | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations		801		134
Return (Recovery) of Basis		0
Mark-to-Market		(534)		(59)
Contractual interest income (expense), net		0
Total		$ 267		$ 75

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Derivative Instruments- Swaption terms (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Interest rate swaps and interest rate swaptions
Derivative liability, at fair value	$ (1,317)	$ (10,130)
Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Derivative liability, at fair value	(1,317)	(10,130)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Notional amount, assets	3,772,400	1,128,400
Notional amount, liabilities	974,400	2,727,800
Derivative liability, at fair value	(764)	(5,473)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 3,772,400	$ 3,127,800
Average Fixed Pay Rate	2.30%	2.30%
Average Floating Receive Rate	2.50%	2.60%
Average Maturity (Years)	6 years 6 months	6 years
Forward Starting	10.90%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 974,400	$ 728,400
Average Fixed Pay Rate	2.60%	2.50%
Average Floating Receive Rate	2.40%	2.40%
Average Maturity (Years)	6 years 9 months 18 days	8 years 3 months
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 200,000	$ 400,000
Average Fixed Pay Rate	1.80%	1.50%
Average Floating Receive Rate	2.60%	2.80%
Average Maturity (Years)	10 months 24 days	6 months
Forward Starting	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 738,000	$ 200,000
Average Fixed Pay Rate	2.00%	1.80%
Average Floating Receive Rate	2.60%	2.60%
Average Maturity (Years)	2 years 9 months 18 days	1 year 5 months
Forward Starting	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 225,000
Average Fixed Pay Rate	2.60%
Average Floating Receive Rate	2.40%
Average Maturity (Years)	1 year 9 months 18 days
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 828,700	$ 1,104,700
Average Fixed Pay Rate	2.60%	2.30%
Average Floating Receive Rate	2.50%	2.50%
Average Maturity (Years)	4 years 7 months 6 days	3 years 9 months
Forward Starting	0.00%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 66,000
Average Fixed Pay Rate	2.40%
Average Floating Receive Rate	2.20%
Average Maturity (Years)	5 years
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 2,005,700	$ 1,423,100
Average Fixed Pay Rate	2.40%	2.50%
Average Floating Receive Rate	2.60%	2.50%
Average Maturity (Years)	9 years 2 months 12 days	9 years 11 months
Forward Starting	20.60%
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	$ 683,400	$ 728,400
Average Fixed Pay Rate	2.60%	2.50%
Average Floating Receive Rate	2.30%	2.40%
Average Maturity (Years)	8 years 7 months 6 days	8 years 4 months
Forward starting interest rate swap
Interest rate swaps and interest rate swaptions
Derivative Instrument, Weighted Average Forward Starting Date	2 months 17 days	4 months
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Interest rate swaps and interest rate swaptions
Notional Amount		$ 50,000
Notional amount, assets	$ 0	50,000
Long | Us Treasury Futures
Interest rate swaps and interest rate swaptions
Notional Amount		300,400
Derivative liability, at fair value		$ (4,700)

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Derivative Instruments- TBA securities (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Currency swaps and forwards
Derivative assets	$ 13,899	$ 14,466
Derivative liability, at fair value	(1,317)	(10,130)
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative assets	3,329	2,606
Derivative liability, at fair value	(1,317)	(10,130)
Fair Value	$ 2,012	$ (7,524)

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Derivative Instruments - Interest Rate Swaptions (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2019 USD ($)
Interest rate swaption, option
Interest rate swaps and interest rate swaptions
Fair Value	$ 156
Average Maturity (Years)	2 months 18 days
Interest rate swaption, underlying swap
Interest rate swaps and interest rate swaptions
Average Maturity (Years)	5 years
Notional Amount	$ 162,803
0.76 - 1.00% | Minimum
Interest rate swaps and interest rate swaptions
Derivative, swaption interest rate	0.76%
0.76 - 1.00% | Maximum
Interest rate swaps and interest rate swaptions
Derivative, swaption interest rate	1.00%

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Offsetting Assets and Liabilities- Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Offsetting Assets [Line Items]
Derivative asset, gross amount	$ 13,899	$ 14,466
Derivative assets, at fair value	3,329	2,606
Fair value of derivative assets	13,899	14,466
Derivative asset, not offset	(11,798)	(13,917)
Derivative, collateral, obligation to return cash	0	0
Net Amount	2,101	549
Gross Amounts of Recognized Liabilities	1,317	10,130
Securities Sold under Agreements to Repurchase, Gross	3,001,220	2,818,837
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Gross	3,002,537	2,828,967
Derivative liabilities	1,317	10,130
Repurchase Agreement Borrowings, Total	3,001,220
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned	3,002,537	2,828,967
Gross Amounts Not Offset in the Balance Sheets
Financial Instruments	(1,228)	(2,057)
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities	(3,001,220)	(2,818,837)
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Securities	(3,002,448)	(2,820,894)
Cash Collateral Pledged	(89)	(8,073)
Derivative Liability, Fair Value, Amount Offset Against Collateral	0	0
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Amount Offset Against Collateral	0	0
Cash collateral for derivatives	55,500	38,000
Fair value of investments pledged against repurchase agreements	3,300,000	3,300,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Offsetting Assets [Line Items]
Derivative asset, gross amount	10,570	11,860
Fair value of derivative assets	10,570	11,860
Derivative asset, not offset	(10,570)	(11,860)
Net Amount	0	0
Derivative Instruments Excluding Interest Only Strips Accounted For As Derivatives And Linked Transactions
Offsetting Assets [Line Items]
Derivative asset, gross amount	3,329	2,606
Derivative assets, at fair value	3,329	2,606
Derivative asset, not offset	(1,228)	(2,057)
Derivative, collateral, obligation to return cash	0	0
Net Amount	$ 2,101	$ 549

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Related Party Transactions (Details) - USD ($) $ in Thousands	1 Months Ended		3 Months Ended		6 Months Ended
	May 31, 2019	Sep. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Related Party Transactions
Proceeds from issuance of common stock					$ 49,650	$ 0
Management fees			$ 1,832	$ 2,259	$ 3,567	4,439
Secondary Offering
Related Party Transactions
Sale of stock, number of shares issued in transaction	5,000,000	6,500,000
Proceeds from issuance of common stock	$ 49,300	$ 67,700
Western Asset Management Company
Related Party Transactions
Management fees (as a percent)					1.50%
Renewal term of management agreement					1 year
Notice period to terminate the Management Agreement following initial term					180 days
Multiple of average annual management fees used to calculate termination fee of management agreement					300.00%
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement					24 months
Notice period to terminate the Management Agreement for cause					30 days
Management fees			1,800	2,300	$ 3,600	4,400
Reimbursable employee costs			959	$ 872	1,200	$ 1,100
Management fees incurred but not yet paid			1,800		1,800		$ 4,200
Reimbursable employee costs incurred but not yet paid			$ 995		$ 995		$ 379
Western Asset Management Company | Minimum
Related Party Transactions
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent)					67.00%
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent)					67.00%

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Share-Based Payments (Details) $ / shares in Units, $ in Thousands				3 Months Ended		6 Months Ended		50 Months Ended
	Jun. 06, 2019 shares	Mar. 28, 2019 shares	Jun. 07, 2018 director shares	Jun. 30, 2019 USD ($) $ / shares shares	Jun. 30, 2018 USD ($)	Jun. 30, 2019 USD ($) $ / shares shares	Jun. 30, 2018 USD ($) shares	Jun. 30, 2016 shares	Dec. 31, 2018 USD ($) shares
Share-Based Payments
Shares authorized (as a percent)				3.00%		3.00%
Number of shares remained available for issuance (in shares)				681,132		681,132
Stock-based compensation expense recognized | $				$ 165	$ 50	$ 235	$ 125
Common Stock Outstanding
Share-Based Payments
Number of shares remained available for issuance (in shares)				1,573,609		1,573,609
Restricted common stock
Share-Based Payments
Vested (in shares)						29,200	84,203
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				136,780		136,780			27,476
Shares of Restricted Stock
Outstanding, beginning of period (in shares)						753,973
Granted (in shares)						138,504
Cancelled/forfeited (in shares)						0
Outstanding, end of period (in shares)				892,477		892,477
Unvested at end of year (in shares)				136,780		136,780			27,476
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares						$ 16.77
Granted (in dollars per share) | $ / shares						10.34
Cancelled/forfeited (in dollars per share) | $ / shares						0.00
Outstanding at end of year (in dollars per share) | $ / shares				$ 15.77		15.77
Unvested at end of year (in dollars per share) | $ / shares				$ 10.35		$ 10.35
Restricted common stock | June 2019
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				0		0			27,476
Shares of Restricted Stock
Unvested at end of year (in shares)				0		0			27,476
Restricted common stock | March 2020
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				36,000		36,000			0
Shares of Restricted Stock
Unvested at end of year (in shares)				36,000		36,000			0
Restricted common stock | June 2020
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				28,780		28,780			0
Shares of Restricted Stock
Unvested at end of year (in shares)				28,780		28,780			0
Restricted common stock | March 2021
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				36,000		36,000			0
Shares of Restricted Stock
Unvested at end of year (in shares)				36,000		36,000			0
Restricted common stock | March 2022
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				36,000		36,000			0
Shares of Restricted Stock
Unvested at end of year (in shares)				36,000		36,000			0
Restricted common stock | Director
Share-Based Payments
Awards granted to each of the entity's independent directors (in shares)	7,195		6,476
Number of independent directors to whom awards were granted | director			4
Shares of Restricted Stock
Granted (in shares)	28,780		25,904
Restricted common stock | Management
Shares of Restricted Stock
Granted (in shares)		108,000
Restricted common stock | Management | March 2020
Share-Based Payments
Award vesting rights, percentage						33.00%
Restricted common stock | Management | March 2021
Share-Based Payments
Award vesting rights, percentage						33.00%
Restricted common stock | Management | March 2022
Share-Based Payments
Award vesting rights, percentage						33.00%
Restricted common stock | Director Deferred Fee Plan
Shares of Restricted Stock
Granted (in shares)						1,724
Equity awards
Share-Based Payments
Unamortized compensation expense | $				$ 1,300		$ 1,300			$ 117
Shares of Restricted Stock
Granted (in shares)								892,477

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Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands													1 Months Ended		6 Months Ended
	Jul. 26, 2019	Jun. 20, 2019	Apr. 26, 2019	Mar. 21, 2019	Jan. 25, 2019	Dec. 19, 2018	Oct. 26, 2018	Sep. 17, 2018	Jul. 26, 2018	Jun. 21, 2018	Apr. 26, 2018	Mar. 22, 2018	May 31, 2019	Sep. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 21, 2017	Apr. 30, 2017	Feb. 25, 2016
Shareholders equity
Proceeds from issuance of common stock															$ 49,650	$ 0
Payments of stock issuance costs															$ 405	$ 0
Shares authorized to be repurchased (in shares)																	2,100,000		2,050,000
Dividends, declared per share of common stock (in dollars per share)		$ 0.31		$ 0.31		$ 0.31		$ 0.31		$ 0.31		$ 0.31
Dividends, cash paid per share of common stock (in dollars per share)			$ 0.31		$ 0.31		$ 0.31		$ 0.31		$ 0.31
Common Stock Outstanding
Shareholders equity
Equity offering amount, maximum																		$ 100,000
Treasury Stock
Shareholders equity
Treasury stock (in shares)															303,422
Common Stock Outstanding
Shareholders equity
Stock repurchased during period (in shares)															303,422
Subsequent Event
Shareholders equity
Dividends, cash paid per share of common stock (in dollars per share)	$ 0.31
Secondary Offering
Shareholders equity
Sale of stock, number of shares issued in transaction													5,000,000	6,500,000
Treasury stock (in shares)														303,422
Sale of stock, price per share (in dollars per share)													$ 10.14	$ 10.85
Proceeds from issuance of common stock													$ 49,300	$ 67,700
Payments of stock issuance costs													$ 1,400	$ 2,800

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Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Numerator:
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share	$ 10,614	$ 1,453	$ 38,490	$ 23,182
Less: Dividends and undistributed earnings allocated to participating securities	76	27	138	65
Net income allocable to common stockholders — basic and diluted	$ 10,538	$ 1,426	$ 38,352	$ 23,117
Denominator:
Weighted average common shares outstanding for basic earnings per share	50,588,906	41,619,198	49,359,473	41,671,278
Weighted average common shares outstanding for diluted earnings per share	50,588,906	41,619,198	49,359,473	41,671,278
Basic earnings per common share (in dollars per share)	$ 0.21	$ 0.03	$ 0.78	$ 0.55
Diluted earnings per common share (in dollars per share)	$ 0.21	$ 0.03	$ 0.78	$ 0.55

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Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Valuation Allowance [Line Items]
Current federal, state and local, tax expense (benefit)	$ 478	$ 36	$ 490	$ 349
Deferred tax assets, gross	8,000		8,000		$ 6,000
Capital Loss Carryforward
Valuation Allowance [Line Items]
Valuation allowances balance	8,000		8,000		6,000
Operating Loss Carryforwards
Valuation Allowance [Line Items]
Valuation allowances balance	5,900		5,900		6,100
State Jurisdiction
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	5,400		5,400		5,500
State Jurisdiction | Taxable REIT Subsidiary
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	967		967		993
Domestic Tax Authority
Valuation Allowance [Line Items]
Deferred tax liabilities, net	$ 85		$ 85		$ 85