EX-12.01

Exhibit 12.01

Computation of Ratio of Earnings to Fixed Charges

(dollars in thousands)

	Nine Months
	Ended
	September 30,		Year Ended December 31,
	2016		2015			2014		2013		2012		2011
Pre-tax income (loss) from continuing operations    adjusted to exclude income or loss from equity    investees	$	4,583	$	(32,403	)	$	55,189	$	14,253	$	30,788	$	16,753
Distributed income of equity investees		809		1,628			413		90		384		266
Fixed charges:
Interest expense and amortization of debt discount    and premium on all indebtedness		20,786		18,889			11,391		8,529		4,965		2,508
Rentals		66		92			83		81		88		58
Total fixed charges	$	20,852	$	18,981		$	11,474	$	8,610	$	5,053	$	2,566
Pre-tax income (loss) from continuing operations    adjusted to exclude income or loss from equity    investees plus fixed charges and distributed income    of equity investees	$	26,244	$	(11,794	)	$	67,076	$	22,953	$	36,225	$	19,585
Ratio of earnings to fixed charges		1.3	(A)				5.8		2.7		7.2		7.6

(A) Due to the Company’s loss for the year ended December 31, 2015, the ratio coverage in that period was less than 1:1. The Company would have had to generate additional earnings of $30,775 for the year ended December 31, 2015 to achieve coverage of 1:1 in those periods.

EX-31.01

Exhibit 31.01

CERTIFICATION

I, J. Rock Tonkel, Jr., certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2016 of Arlington Asset Investment Corp.;

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(s) 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, 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(s) 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: November 4, 2016	/s/ J. ROCK TONKEL, JR.
	J. Rock Tonkel, Jr. President and Chief Executive Officer

EX-31.02

Exhibit 31.02

CERTIFICATION

I, Richard E. Konzmann, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2016 of Arlington Asset Investment Corp.;

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(s) 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, 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(s) 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: November 4, 2016	/s/ RICHARD E. KONZMANN
	Richard E. Konzmann Executive Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer)

EX-32.01

Exhibit 32.01

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q of Arlington Asset Investment Corp. (the “Company”) for the period ended September 30, 2016, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, J. Rock Tonkel, Jr., Chief Executive Officer of the Company, certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 4, 2016	/s/ J. ROCK TONKEL, JR.
	J. Rock Tonkel, Jr.
	President and Chief Executive Officer

EX-32.02

Exhibit 32.02

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q of Arlington Asset Investment Corp. (the “Company”) for the period ended September 30, 2016, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Richard E. Konzmann, Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 4, 2016	/s/ RICHARD E. KONZMANN
	Richard E. Konzmann
	Executive Vice President,
	Chief Financial Officer and Treasurer
	(Principal Financial and Accounting Officer)

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Document And Entity Information - shares	9 Months Ended
	Sep. 30, 2016	Oct. 27, 2016
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Sep. 30, 2016
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	Q3
Entity Registrant Name	Arlington Asset Investment Corp.
Entity Central Index Key	0001209028
Current Fiscal Year End Date	--12-31
Entity Filer Category	Accelerated Filer
Trading Symbol	AI
Common Class A
Document Information [Line Items]
Entity Common Stock, Shares Outstanding		22,934,421
Common Class B
Document Information [Line Items]
Entity Common Stock, Shares Outstanding		97,604

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CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
ASSETS
Cash and cash equivalents	$ 42,761	$ 36,987
Interest receivable	10,683	11,936
Sold securities receivable	62,516
Mortgage-backed securities, at fair value	3,690,563	3,995,869
Derivative assets, at fair value	7,870	12,991
Deferred tax assets, net	96,891	97,530
Deposits	120,537	29,429
Other assets	2,776	18,197
Total assets	4,034,597	4,202,939
Liabilities:
Repurchase agreements	3,376,898	2,834,780
Federal Home Loan Bank advances	0	786,900
Interest payable	1,449	2,436
Accrued compensation and benefits	4,315	5,170
Dividend payable	15,060	14,504
Derivative liabilities, at fair value	68,084	553
Purchased securities payable	59,763	0
Other liabilities	1,239	1,132
Long-term debt	73,601	73,433
Total liabilities	3,600,409	3,718,908
Commitments and contingencies
Stockholders’ Equity:
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding
Additional paid-in capital	1,899,754	1,898,085
Accumulated other comprehensive income, net of taxes of $(823) and $3,230, respectively	4,685	12,371
Accumulated deficit	(1,470,481)	(1,426,655)
Total stockholders’ equity	434,188	484,031
Total liabilities and stockholders’ equity	4,034,597	4,202,939
Private-Label MBS
ASSETS
Mortgage-backed securities, at fair value	21,304	130,553
Liabilities:
Repurchase agreements	6,007	37,219
Agency MBS
ASSETS
Mortgage-backed securities, at fair value	3,669,259	3,865,316
Liabilities:
Repurchase agreements	3,370,891	2,797,561
Common Class A
Stockholders’ Equity:
Common stock	229	229
Common Class B
Stockholders’ Equity:
Common stock	$ 1	$ 1

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CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)	25,000,000	25,000,000
Preferred stock, issued (in shares)	0	0
Preferred stock, outstanding (in shares)	0	0
Accumulated other comprehensive income, taxes (in dollars)	$ (823)	$ 3,230
Common Class A
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	450,000,000	450,000,000
Common stock, shares issued (in shares)	22,934,421	22,874,819
Common stock, shares outstanding (in shares)	22,934,421	22,874,819
Common Class B
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	100,000,000	100,000,000
Common stock, shares issued (in shares)	97,604	102,216
Common stock, shares outstanding (in shares)	97,604	102,216

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CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Interest income
Mortgage-backed securities		$ 27,989
Other	$ 82	1	$ 342	$ 2
Total interest income	25,654	31,239	80,759	90,035
Interest expense
Short-term debt	6,193	3,989	17,202	10,464
Long-term debt	1,197	1,176	3,584	3,004
Total interest expense	7,390	5,165	20,786	13,468
Net interest income	18,264	26,074	59,973	76,567
Investment gain (loss), net
Realized gain on sale of available-for-sale investments, net	2,439	969	1,846	17,434
Other-than-temporary impairment charges			(1,737)
Gain on trading investments, net	2,468	36,889	81,083	5,189
Gain (loss) from derivative instruments, net	15,196	(97,627)	(119,945)	(143,138)
Other, net	619	12	638	433
Total investment gain (loss), net	20,722	(59,757)	(38,115)	(120,082)
General and administrative expenses
Compensation and benefits	3,430	2,071	8,750	7,152
Other general and administrative expenses	1,200	1,379	7,887	3,661
Total general and administrative expenses	4,630	3,450	16,637	10,813
Income (loss) before income taxes	34,356	(37,133)	5,221	(54,328)
Income tax provision	15,543	15,497	5,132	33,886
Net income (loss)	$ 18,813	$ (52,630)	$ 89	$ (88,214)
Basic earnings (loss) per share	$ 0.82	$ (2.29)		$ (3.84)
Diluted earnings (loss) per share	$ 0.81	$ (2.29)		$ (3.84)
Weighted-average shares outstanding (in thousands)
Basic	23,038	23,021	23,011	22,991
Diluted	23,349	23,021	23,154	22,991
Other comprehensive income (loss), net of taxes
Unrealized losses on available-for-sale securities (net of taxes of $(141), $(1,562), $(3,946), and $(4,117), respectively)	$ (221)	$ (2,451)	$ (6,197)	$ (6,775)
Reclassification
Included in investment gain (loss), net, related to sales of available- for-sale securities (net of taxes of $(639), $(287), $(783), and $(4,979), respectively)	(2,324)	(1,122)	(2,550)	(17,763)
Included in investment gain (loss), net, related to other-than- temporary impairment charges on available-for-sale securities (net of taxes of $-0-, $-0-, $676, and $-0-, respectively)			1,061
Comprehensive income (loss)	16,268	(56,203)	(7,597)	(112,752)
Agency MBS
Interest income
Mortgage-backed securities	23,917	27,989	72,980	77,575
Private-Label MBS
Interest income
Mortgage-backed securities	1,655	3,249	7,437	12,458
Investment gain (loss), net
Gain on trading investments, net	$ 0	$ 0	$ 89	$ 0

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CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Statement Of Income And Comprehensive Income [Abstract]
Unrealized losses for the period on available-for-sale securities, taxes	$ (141)	$ (1,562)	$ (3,946)	$ (4,117)
Included in investment gain (loss), net, related to sales of available-for-sale securities, taxes	(639)	(287)	(783)	(4,979)
Included in investment gain (loss), net, related to other-than-temporary impairment charges on available-for-sale securities, taxes	$ 0	$ 0	$ 676	$ 0

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CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Common Stock Common Class A	Common Stock Common Class B	Additional Paid-in Capital	Accumulated Other Comprehensive Income	Accumulated Deficit
Balances at Dec. 31, 2014	$ 645,274	$ 229	$ 1	$ 1,897,027	$ 35,872	$ (1,287,855)
Balances (in shares) at Dec. 31, 2014		22,860,922	105,869
Net income (loss)	(69,403)					(69,403)
Conversion of Class B common stock to Class A common stock (in shares)		3,653	(3,653)
Issuance of Class A common stock under stock-based compensation plans (in shares)		97,651
Repurchase of Class A common stock	(593)			(593)
Repurchase of Class A common stock (in shares)		(48,695)
Repurchase of Class A common stock under stock-based compensation plans	(572)			(572)
Repurchase of Class A common stock under stock-based compensation plans (in shares)		(38,712)
Stock-based compensation	1,145			1,145
Income tax (provision) benefits from stock-based compensation	1,078			1,078
Other comprehensive loss	(23,501)				(23,501)
Dividends declared	(69,397)					(69,397)
Balances at Dec. 31, 2015	484,031	$ 229	$ 1	1,898,085	12,371	(1,426,655)
Balances (in shares) at Dec. 31, 2015		22,874,819	102,216
Net income (loss)	89					89
Conversion of Class B common stock to Class A common stock (in shares)		4,612	(4,612)
Issuance of Class A common stock under stock-based compensation plans (in shares)		73,457
Repurchase of Class A common stock under stock-based compensation plans	(269)			(269)
Repurchase of Class A common stock under stock-based compensation plans (in shares)		(18,467)
Stock-based compensation	2,181			2,181
Income tax (provision) benefits from stock-based compensation	(243)			(243)
Other comprehensive loss	(7,686)				(7,686)
Dividends declared	(43,915)					(43,915)
Balances at Sep. 30, 2016	$ 434,188	$ 229	$ 1	$ 1,899,754	$ 4,685	$ (1,470,481)
Balances (in shares) at Sep. 30, 2016		22,934,421	97,604

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CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015
Cash flows from operating activities:
Net income (loss)	$ 89	$ (88,214)
Adjustments to reconcile net loss to net cash provided by operating activities
Net investment loss	38,115	120,082
Net premium amortization on mortgage-backed securities	19,647	19,374
Deferred tax provision	4,692	31,384
Other	1,913	(295)
Changes in operating assets
Interest receivable	1,253	(757)
Other assets	2,246	1,551
Changes in operating liabilities
Interest payable and other liabilities	(2,786)	(16)
Accrued compensation and benefits	(855)	(1,773)
Net cash provided by operating activities	64,314	81,336
Cash flows from investing activities:
Proceeds from sales of private-label mortgage-backed securities	106,052	124,637
Proceeds from sales of agency mortgage-backed securities	1,950,728	801,459
Receipt of principal payments on private-label mortgage-backed securities	490	1,741
Receipt of principal payments on agency mortgage-backed securities	351,871	372,457
Payments for derivatives and deposits, net	(138,402)	(143,359)
Other	15,891	(5,797)
Net cash provided by (used in) investing activities	229,848	(358,305)
Cash flows from financing activities:
Proceeds from (repayments of) repurchase agreements, net	542,118	(26,019)
(Repayments of) proceeds from Federal Home Loan Bank advances	(786,900)	308,500
Proceeds from long-term debt issuance, net		34,063
Excess tax (provisions) benefits associated with stock-based awards	(243)	726
Dividends paid	(43,363)	(60,604)
Net cash (used in) provided by financing activities	(288,388)	256,666
Net increase (decrease) in cash and cash equivalents	5,774	(20,303)
Cash and cash equivalents, beginning of period	36,987	33,832
Cash and cash equivalents, end of period	42,761	13,529
Supplemental cash flow information:
Cash payments for interest	21,605	13,228
Cash payments for taxes	205	433
Non-cash investing activity:
Receipt of non-public equity securities upon dissolution of investee fund	619
Private-Label MBS
Cash flows from investing activities:
Purchases of mortgage-backed securities	(5,357)	(2,870)
Agency MBS
Cash flows from investing activities:
Purchases of mortgage-backed securities	$ (2,051,425)	$ (1,506,573)

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Organization and Nature of Operations

9 Months Ended

Sep. 30, 2016

Organization Consolidation And Presentation Of Financial Statements [Abstract]

Organization and Basis of Presentation

Note 1. Organization and Basis of Presentation

Arlington Asset Investment Corp. (“Arlington Asset”) and its consolidated subsidiaries (unless the context otherwise provides, collectively, the “Company”) is an investment firm that acquires and holds residential mortgage-related assets, primarily comprised of residential mortgage-backed securities (“MBS”). The Company’s investments in MBS include (i) residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by a government-sponsored enterprise (“GSE”) such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), which are collectively referred to as “agency MBS,” and (ii) residential MBS issued by private institutions for which the principal and interest payments are not guaranteed by a GSE, which are referred to as “private-label MBS” or “non-agency MBS.”

The unaudited interim consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The Company’s unaudited interim consolidated financial statements and notes thereto should be read in conjunction with the Company’s audited annual consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015.  

The Company’s consolidated financial statements include the accounts of Arlington Asset and all other entities in which the Company has a controlling financial interest. All intercompany accounts and transactions have been eliminated in consolidation.

The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect amounts reported in the consolidated financial statements. Although the Company bases these estimates and assumptions on historical experience and all other reasonably available information that the Company believes to be relevant under the circumstances, such estimates frequently require management to exercise significant subjective judgment about matters that are inherently uncertain. Actual results may differ from these estimates.

Certain amounts in the consolidated financial statements and notes for prior periods have been reclassified to conform to the current year’s presentation. These reclassifications had no impact on the previously reported net income, other comprehensive income, total assets or total liabilities.

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Summary of Significant Accounting Policies

9 Months Ended

Sep. 30, 2016

Accounting Policies [Abstract]

Significant Accounting Policies

Note 2. Summary of Significant Accounting Policies

Cash Equivalents

Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of September 30, 2016 and December 31, 2015, approximately 98% of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government.

Investment Security Purchases and Sales

Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets.

Interest Income Recognition for Investments in Agency MBS

Substantially all of the Company’s investments in agency MBS are classified as trading securities. On January 1, 2016, the Company elected to change its accounting policy for recognizing interest income on its investments in agency MBS classified as trading securities by amortizing purchase premiums (or accreting purchase discounts) as an adjustment to interest income in accordance with the “interest method” permitted by GAAP. Prior to January 1, 2016, interest income from trading agency MBS was reported based upon each security’s stated coupon rate (referred to by the Company as the “coupon rate method”).

The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in agency MBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the effective interest rate on the remaining security balance is unaffected.

The Company believes that the application of the contractual effective interest method, relative to the coupon rate method, to its investments in trading agency MBS results in a reported interest income measure that better reflects the economic yield of its investments, including a better reflection of the economic effect of principal prepayments in the period in which those prepayments occur. In addition, the Company believes that this change in accounting policy enhances the comparability of its reported periodic financial results to those of its peers.

The Company retrospectively applied this change in accounting policy to all historical periods. Because the Company accounts for its investments in trading agency MBS on its consolidated balance sheets at fair value with all periodic changes in fair value reflected in the Company’s net income, this change in accounting policy did not have an effect on the Company’s historical consolidated balance sheets, net income, or comprehensive income. The change in accounting policy did, however, result in a reclassification between reported “gain (loss) on trading investments, net” and interest income on the Company’s historical consolidated statements of comprehensive income. As the Company’s agency MBS have generally been acquired at a premium to par value, historical reported interest income was reduced by periodic premium amortization, while periodic investment gains (losses) reported as a component of “gain (loss) on trading investments, net” were increased (decreased) by an equal and offsetting amount. The following table presents the effect of the Company’s retrospective application of the change in accounting policy to the annual and quarterly periods of fiscal year 2015:

	Fiscal Year 2015
	Total Year			Fourth Quarter			Third Quarter			Second Quarter			First Quarter
Interest income: agency mortgage-backed securities:
As previously reported	$	139,244		$	35,475		$	37,325		$	34,530		$	31,914
Retrospective adjustment		(33,330	)		(7,136	)		(9,336	)		(10,404	)		(6,454	)
As revised	$	105,914		$	28,339		$	27,989		$	24,126		$	25,460
Gain (loss) on trading investments, net:
As previously reported	$	(64,388	)	$	(43,383	)	$	27,553		$	(61,849	)	$	13,291
Retrospective adjustment		33,330			7,136			9,336			10,404			6,454
As revised	$	(31,058	)	$	(36,247	)	$	36,889		$	(51,445	)	$	19,745
Effect to previously reported net income (loss)	$	—		$	—		$	—		$	—		$	—

Interest Income Recognition for Investments in Private-Label MBS

The Company’s investments in private-label MBS were generally acquired at significant discounts to their par values due in large part to an expectation that the Company will be unable to collect all of the contractual cash flows of the securities. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company has elected to classify its investments in private-label MBS acquired in 2015 or later as trading securities. Interest income from investments in private-label MBS is recognized using a prospective level-yield methodology which is based upon each security’s effective interest rate. The amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized cost basis or reference amount. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses.

In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the security are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in private-label MBS that are classified as available-for-sale and trading securities, respectively:

	Effect on Interest Income Recognition for Investments in Private-Label MBS Classified as:
Scenario:	Available-for-Sale	Trading
A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows.	If the positive change in cash flows is deemed significant, a revised effective interest rate is calculated and applied prospectively such that the positive change is recognized as incremental interest income over the remaining life of the security. This revised effective interest rate is also used in subsequent periods to determine if any declines in the fair value of that security are other-than-temporary.	A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security.
An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows.	The security’s effective interest rate is unaffected. If an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its amortized cost basis), the impairment is considered other-than-temporary due to the occurrence of a credit loss. If a credit loss occurs, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.”	The amount of periodic interest income recognized over the remaining life of the security will be reduced accordingly. Specifically, if an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its reference amount), the reference amount to which the security’s existing effective interest rate will be prospectively applied will be reduced to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate. If an adverse change in cash flows occurs for a security that is not impaired, the security’s effective interest rate will be reduced accordingly and applied on a prospective basis.

Other Comprehensive Income

Comprehensive income includes net income as currently reported by the Company on the consolidated statements of comprehensive income adjusted for other comprehensive income. Other comprehensive income for the Company represents periodic unrealized holding gains and losses related to the Company’s investments in MBS classified as available-for-sale. Accumulated unrealized holding gains and losses for available-for-sale MBS are reclassified into net income as a component of “investment gain (loss), net” upon (i) sale or realization, or (ii) the occurrence of an other-than-temporary impairment.

Other Significant Accounting Policies

Certain of the Company’s other significant accounting policies are summarized in the following notes:

Investments in agency MBS, subsequent measurement	Note 3
Investments in private-label MBS, subsequent measurement	Note 4
Borrowings	Note 5
To-be-announced agency MBS transactions, including “dollar rolls”	Note 6
Derivative instruments	Note 6
Balance sheet offsetting	Note 7
Fair value measurements	Note 8

Refer to the Company’s 2015 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies.

Recent Accounting Pronouncements

The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements:

Standard	Description	Date of Adoption	Effect on the Consolidated Financial Statements
Recently Adopted Accounting Guidance
ASU No. 2015-02, Amendments to the Consolidation Analysis (Topic 810)	This amendment makes targeted changes to the current consolidation guidance and ends the deferral granted to investment companies from applying variable interest entity guidance.	January 1, 2016	This amendment did not have an impact on the Company’s consolidated financial statements.
ASU No. 2015-03, Simplifying the Presentation of Debt Issuance Costs (Subtopic 835-30)	This amendment requires debt issuance costs to be presented in the balance sheet as a direct reduction from the associated debt liability rather than as a separate asset.	January 1, 2016	The adoption of this amendment resulted in an immaterial reclassification of unamortized debt issuance costs from the line item “other assets” to the line item “long-term debt” on the Company’s consolidated balance sheets.
Recently Issued Accounting Guidance Not Yet Adopted
ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606)	This amendment defers the effective date of ASU No. 2014-09 for all entities by one year. ASU No. 2014-09 requires entities to recognize revenue to depict the transfer of promised goods or services to customers in amounts that reflect the consideration to which the entity expects to be entitled in exchange for those goods or services. Revenue recognition with respect to financial instruments is not within the scope of ASU No. 2014-09.	January 1, 2018	The Company does not expect that the adoption of ASU No. 2015-14 will have a material impact on its consolidated financial statements.
ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (Subtopic 825-10)	This amendment makes targeted changes to certain aspects of guidance applicable to financial assets and financial liabilities. The amendment primarily affects accounting for certain equity investments, financial liabilities measured under the fair value option, and certain financial instrument presentation and disclosure requirements. Accounting for investments in debt securities and financial liabilities not measured under the fair value option is largely unaffected by this amendment.	January 1, 2018	The Company is currently evaluating the impact of this amendment on its consolidated financial statements.
ASU No. 2016-02, Leases (Topic 842)	This amendment replaces the existing lease accounting model with a revised model.  The primary change effectuated by the revised lease accounting model is the recognition of lease assets and lease liabilities by lessees for those leases classified as operating leases.	January 1, 2018	The Company is currently evaluating the impact of this amendment on its consolidated financial statements.
ASU No. 2016-07, Simplifying the Transition to the Equity Method of Accounting (Topic 323)	This amendment eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively on a step-by-step basis as if the equity method had been in effect during all previous periods that the investment had been held.	January 1, 2017	The Company does not expect that the adoption of ASU No. 2016-07 will have a material impact on its consolidated financial statements.
ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting (Topic 718)	This amendment was issued with the objective of simplifying several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities, and classification on the statement of cash flows. Some of the areas for simplification apply only to nonpublic entities.	January 1, 2017	The Company is currently evaluating the impact of this amendment on its consolidated financial statements.
ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 606)	The amendments in this update require financial assets measured at amortized cost as well as available-for-sale debt securities to be measured for impairment on the basis of the net amount expected to be collected.  Credit losses are to be recognized through an allowance for credit losses, which differs from the direct write-down of the amortized cost basis currently required for other-than-temporary impairments of investments in debt securities.  This update also makes substantial changes to the manner in which interest income is to be recognized for financial assets acquired with a more-than-insignificant amount of credit deterioration since origination. This update will not affect the accounting for investments in debt securities that are classified as trading securities.	January 1, 2019	A prospective transition approach is required for investments in debt securities for which an other-than-temporary impairment had been recognized before the effective date of the update.  Accordingly, the effect of the adoption of this update on the Company's consolidated financial statements will depend, in large part, on the extent to which the Company holds available-for-sale debt securities as of January 1, 2019 (if any) for which other-than-temporary impairments had been previously recognized.
ASU No. 2016-15, Statement of Cash Flows (Topic 230)	This amendment was issued to reduce diversity in practice with respect to eight various statement of cash flow reporting issues for which existing GAAP is either unclear or does not provide specific guidance.	January 1, 2018	The Company does not expect that the adoption of ASU No. 2016-15 will have a material impact on the classification of cash inflows or outflows within its consolidated statement of cash flows.

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Investments in Agency MBS

9 Months Ended

Sep. 30, 2016

Agency MBS

Investments in Agency MBS

Note 3. Investments in Agency MBS

The Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. Substantially all of the Company’s investments in agency MBS are classified as trading securities. The following table provides the fair value of the Company’s available-for-sale and trading investments in agency MBS as of the dates indicated:

	Fair Value as of
	September 30, 2016		December 31, 2015
Agency MBS classified as:
Available-for-sale	$	24	$	26
Trading		3,669,235		3,865,290
Total	$	3,669,259	$	3,865,316

Substantially all of the Company’s investments in agency MBS represent undivided (or “pass-through”) beneficial interests in specified pools of fixed-rate mortgage loans. As of September 30, 2016, the Company’s portfolio of investments in agency MBS classified as trading securities also includes investments in inverse interest-only agency MBS with an aggregate fair value of $4,531. Each of the Company’s investments in inverse interest-only agency MBS represents a beneficial interest in a portion of the interest cash flows of an underlying pool of pass-through agency MBS collateralized by adjustable-rate mortgage loans.

All periodic changes in the fair value of trading agency MBS that are not attributed to interest income are recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS classified as trading securities:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016		2015
Net gains recognized in earnings for:
Agency MBS still held at period end	$	2,960		$	52,060		$	56,079	$	26,739
Agency MBS sold during the period		(428	)		(14,964	)		25,195		(21,568	)
Total	$	2,532		$	37,096		$	81,274	$	5,171

The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 6. Derivative Instruments” for further information about dollar rolls.

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Investments in Private-Label MBS

9 Months Ended

Sep. 30, 2016

Private-Label MBS

Investments in Agency MBS

Note 4. Investments in Private-Label MBS

The Company’s investments in private-label MBS are reported in the accompanying consolidated balance sheets at fair value. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company has elected to classify its investments in private-label MBS acquired in 2015 or later as trading securities. The following table provides the fair value of the Company’s available-for-sale and trading investments in private-label MBS as of the dates indicated:

	Fair Value as of
	September 30, 2016		December 31, 2015
Private-label MBS classified as:
Available-for-sale	$	18,541	$	127,536
Trading		2,763		3,017
Total	$	21,304	$	130,553

As of September 30, 2016, the private-label MBS portfolio consists primarily of “re-REMIC” securities. The Company’s investments in re-REMIC securities represent “mezzanine” interests in underlying, re-securitized senior class MBS issued by private-label Real Estate Mortgage Investment Conduit (“REMIC”) securitization trusts. The senior class REMIC securities that serve as collateral to the Company’s investments in re-REMIC securities represent beneficial interests in pools of prime or Alt-A residential mortgage loan collateral that hold the first right to cash flows and absorb credit losses only after their respective subordinate REMIC classes have been fully extinguished. The majority of the trusts that issued the Company’s investments in re-REMIC securities employ a “sequential” principal repayment structure, while a minority of the issuing trusts employ a “pro-rata” principal repayment structure. Accordingly, the majority of the Company’s mezzanine class re-REMIC securities are not entitled to receive principal repayments until the principal balance of the senior interest in the respective collateral group has been reduced to zero. Principal shortfalls are allocated on a “reverse sequential” basis. Accordingly, any principal shortfalls on the underlying senior class REMIC securities are first absorbed by the Company’s mezzanine class re-REMIC securities, to the extent of their respective principal balance, prior to being allocated to the senior interest in the respective collateral pool. Periodic interest accrues on each re-REMIC security’s outstanding principal balance at its contractual coupon rate.

The prime and Alt-A residential mortgage loans that serve as collateral to the underlying REMIC securitization trusts of the Company’s private-label MBS had the following weighted average characteristics, based on face value, as of the dates indicated:

	September 30, 2016			December 31, 2015
Original loan-to-value		67	%		66	%
Original FICO score		725			723
Three-month voluntary prepayment rate (annualized)		1.8	%		6.1	%
Three-month default rate (annualized)		10.2	%		4.7	%
Three-month loss severity rate (1)		18.9	%		36.9	%
Three-month credit loss rate (annualized) (2)		1.9	%		1.7	%

⁽¹⁾ Represents a “loss-given-default” rate.  Private-label MBS collateral pools which experienced no defaults within the three-month historical period are excluded from the loss severity rate calculation.

⁽²⁾ Calculated as the three-month default rate multiplied by the three-month loss severity rate.

Available-for-Sale Private-Label MBS

Periodic changes in the fair value of the Company’s available-for-sale private-label MBS that are not attributed to interest income or other-than-temporary impairments represent unrealized holding gains and losses. Unrealized holding gains and losses are accumulated in other comprehensive income until the securities are sold. Gross unrealized gains and losses accumulated in other comprehensive income for the Company’s investments in available-for-sale private-label MBS were the following as of the dates indicated:

September 30, 2016
Unpaid Principal Balance		Net Discounts			Amortized Cost Basis		Unrealized				Fair Value
							Gains		Losses
$	21,873	$	(7,193	)	$	14,680	$	3,861	$	—	$	18,541

December 31, 2015
Unpaid Principal Balance		Net Discounts			Amortized Cost Basis		Unrealized				Fair Value
							Gains		Losses
$	164,555	$	(52,620	)	$	111,935	$	15,601	$	—	$	127,536

Upon the sale of available-for-sale private-label MBS, any gains or losses accumulated in other comprehensive income are recognized in earnings as a component of “investment gain (loss), net.” The Company uses the specific identification method to determine the realized gain or loss that is recognized in earnings upon the sale of an available-for-sale private-label MBS.

The following table presents the results of sales of available-for-sale private-label MBS for the periods indicated:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2016		2015		2016		2015
Proceeds from sales	$	67,761	$	14,164	$	96,171	$	124,637
Gross realized gains		2,440		975		2,466		17,854
Gross realized losses		1		6		620		420

Accretable Yield

The excess of the Company’s estimate of undiscounted future cash flows expected to be collected over the security’s amortized cost basis represents that security’s accretable yield. The accretable yield is expected to be recognized as interest income over the remaining life of the security on a level-yield basis. The difference between undiscounted future contractual cash flows and undiscounted future expected cash flows represents the non-accretable difference. Based on actual payments received and/or changes in the estimate of future cash flows expected to be collected, the accretable yield and the non-accretable difference can change over time. Actual cash collections that exceed prior estimates and/or positive changes in the Company’s periodic estimate of expected future cash flows result in a reclassification of non-accretable difference to accretable yield. Conversely, actual cash collections that fall short of prior estimates and/or adverse changes in the Company’s periodic estimate of expected future cash flows result in a reclassification of accretable yield to non-accretable difference.

The following table presents the changes in the accretable yield solely for available-for-sale private-label MBS for the periods indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Beginning balance	$	48,199		$	103,065		$	85,052		$	202,108
Accretion		(1,449	)		(3,197	)		(6,470	)		(12,395	)
Reclassifications, net		24			(5,075	)		(11,853	)		(9,579	)
Eliminations in consolidation		—			—			(3,515	)		—
Sales		(37,346	)		(6,181	)		(53,786	)		(91,522	)
Ending balance	$	9,428		$	88,612		$	9,428		$	88,612

Other-than-Temporary Impairments

The Company evaluates available-for-sale MBS for other-than-temporary impairment on a quarterly basis. When the fair value of an available-for-sale security is less than its amortized cost at the quarterly reporting date, the security is considered impaired. Impairments determined to be other-than-temporary are recognized as a direct write-down to the security’s amortized cost basis with a corresponding charge recognized in earnings as a component of “investment gain (loss), net.” An impairment is considered other-than-temporary when (i) the Company intends to sell the impaired security, (ii) the Company more-likely-than not will be required to sell the impaired security prior to the recovery of its amortized cost basis, or (iii) a credit loss exists. A credit loss exists when the present value of the Company’s estimate of the cash flows expected to be collected from the security, discounted at the security’s existing effective interest rate, is less than the security’s amortized cost basis.

If the Company intends to sell an impaired security or it more-likely-than-not will be required to sell an impaired security before recovery of its amortized cost basis, the Company writes-down the amortized cost basis of the security to an amount equal to the security’s fair value and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” If a credit loss exists for an impaired security that the Company does not intend to sell nor will it likely be required to sell prior to recovery, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.”

For the three and nine months ended September 30, 2016, the Company recorded credit related other-than-temporary impairment charges of $-0- and $1,737, respectively, as a component of “investment gains (loss), net” on the consolidated statements of comprehensive income on certain available-for-sale private-label MBS. The Company recorded no other-than-temporary impairment charges on available-for-sale private-label MBS during the three and nine months ended September 30, 2015. The following table presents a summary of cumulative credit related other-than-temporary impairment charges recognized on the available-for-sale private-label MBS held as of the dates indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Cumulative credit related other-than-temporary    impairments, beginning balance	$	15,754		$	12,822		$	14,017		$	18,903
Additions for:
Securities for which other-than-temporary    impairments have not previously occurred		—			—			1,737			—
Securities with previously recognized other-than-    temporary impairments		—			—			—			—
Reductions for sold or matured securities		(2,035	)		(1,222	)		(2,035	)		(7,303	)
Cumulative credit related other-than-temporary    impairments, ending balance	$	13,719		$	11,600		$	13,719		$	11,600

Trading Private-Label MBS

Periodic changes in the fair value of investments in trading private-label MBS that are not attributable to interest income are recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” for the periods indicated with respect to investments in private-label MBS classified as trading securities:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Net (losses) gains recognized in earnings for:
Private-label MBS still held at period end	$	(64	)	$	(207	)	$	(280	)	$	18
Private-label MBS sold during the period		—			—			89			—
Total	$	(64	)	$	(207	)	$	(191	)	$	18

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Borrowings

9 Months Ended

Sep. 30, 2016

Debt Disclosure [Abstract]

Borrowings

Note 5. Borrowings

Repurchase Agreements

The Company finances the purchase of MBS through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells MBS to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same security at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. MBS sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such securities throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the MBS. The difference between the proceeds received by the Company upon the initial transfer of the MBS and the contractually agreed-upon repurchase price is recognized as interest expense over the term of the repurchase arrangement on a level-yield basis.

Amounts borrowed pursuant to repurchase agreements are equal in value to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the repurchase agreement. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines.

As of September 30, 2016 and December 31, 2015, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated:

	September 30, 2016			December 31, 2015
Pledged with agency MBS:
Repurchase agreements outstanding	$	3,370,891		$	2,797,561
Agency MBS collateral, at fair value		3,555,120			2,946,684
Net amount (1)		184,229			149,123
Weighted-average rate		0.74	%		0.61	%
Weighted-average term to maturity	15.8 days			12.8 days
Pledged with private-label MBS:
Repurchase agreements outstanding	$	6,007		$	37,219
Private-label MBS collateral, at fair value		13,390			70,511
Net amount (1)		7,383			33,292
Weighted-average rate		2.38	%		2.42	%
Weighted-average term to maturity	19.0 days			16.9 days
Total MBS:
Repurchase agreements outstanding	$	3,376,898		$	2,834,780
MBS collateral, at fair value		3,568,510			3,017,195
Net amount (1)		191,612			182,415
Weighted-average rate		0.75	%		0.64	%
Weighted-average term to maturity	15.8 days			12.8 days

⁽¹⁾ Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance.

The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and nine months ended September 30, 2016 and 2015:

	September 30, 2016			September 30, 2015
Weighted-average outstanding balance during the three months ended	$	3,519,719		$	3,740,959
Weighted-average rate during the three months ended		0.69	%		0.42	%
Weighted-average outstanding balance during the nine months ended	$	3,345,259		$	3,474,573
Weighted-average rate during the nine months ended		0.67	%		0.40	%

Federal Home Loan Bank Advances

In September 2015, the Company’s wholly-owned captive insurance subsidiary, Key Bridge Insurance, LLC (“Key Bridge”), was granted membership to the Federal Home Loan Bank of Cincinnati (“FHLBC”). The FHLBC, like each of the 11 regional Federal Home Loan Banks (collectively, the “FHLB”), is a cooperative that provides its member financial institutions with a number of financial products and services, including short and long-term secured borrowings that are known as “advances.” FHLBC advances may be collateralized by a number of real estate related assets, including agency MBS. As a member of the FHLBC, Key Bridge is required to acquire membership stock as well as activity-based stock (the amount of which is based upon a percentage of the dollar amount of its outstanding advances) in the FHLBC. As of September 30, 2016 and December 31, 2015, Key Bridge held $2 and $15,740 of capital stock in the FHLBC, respectively, which is included in “other assets” in the accompanying consolidated balance sheets. Similar to a repurchase agreement borrowing, the Company pledged agency MBS as collateral to secure the advance to Key Bridge, the amount of which is equal to a specified percentage of the fair value of the pledged collateral. The Company retained beneficial ownership of the pledged collateral throughout the term of the advance arrangement. The FHLBC held the right to require that the Company pledge additional collateral to secure borrowings when the value of the collateral declined.

On January 12, 2016, the regulator of the FHLB system, the Federal Housing Finance Agency (“FHFA”), released a final rule that amends regulations governing FHLB membership, including an amendment which prevents captive insurance companies from being eligible for FHLB membership. Under the terms of the final rule, Key Bridge is required to terminate its membership and repay its existing advances within one year following the final rule’s effective date of February 19, 2016. In addition, Key Bridge is prohibited from obtaining new advances during the one year transition period. During the first quarter of 2016, the Company repaid all of its outstanding FHLBC advances, funded primarily through proceeds obtained from traditional repurchase agreement financing arrangements.

The following table provides information regarding the Company’s outstanding FHLB advances as of the date indicated:

	December 31, 2015
Pledged with agency MBS:
FHLB advances outstanding	$	786,900
Agency MBS collateral, at fair value		805,163
Net amount (1)		18,263
Weighted-average rate		0.36	%
Weighted-average term to maturity	11.6 days

⁽¹⁾ Net amount represents the value of collateral in excess of corresponding FHLB advance. The amount of collateral at-risk is limited to the outstanding FHLB advance and not the entire collateral balance.

Long-Term Debt

As of September 30, 2016 and December 31, 2015, the Company had $73,601 and $73,433, respectively, of outstanding long-term debentures, net of unamortized debt issuance costs of $1,699 and $1,867, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated:

	September 30, 2016									December 31, 2015
	Senior Notes Due 2025			Senior Notes Due 2023			Trust Preferred Debt			Senior Notes Due 2025			Senior Notes Due 2023			Trust Preferred Debt
Outstanding Principal	$	35,300		$	25,000		$	15,000		$	35,300		$	25,000		$	15,000
Annual Interest Rate		6.75	%		6.625	%	LIBOR+ 2.25 - 3.00 %				6.75	%		6.625	%	LIBOR+ 2.25 - 3.00 %
Interest Payment Frequency	Quarterly			Quarterly			Quarterly			Quarterly			Quarterly			Quarterly
Weighted-Average Interest Rate		6.75	%		6.625	%		3.43	%		6.75	%		6.625	%		3.07	%
Maturity	March 15, 2025			May 1, 2023			2033 - 2035			March 15, 2025			May 1, 2023			2033 - 2035
Early Redemption Date	March 15, 2018			May 1, 2016			2008 - 2010			March 15, 2018			May 1, 2016			2008 - 2010

On March 18, 2015, the Company completed a public offering of $35,300 of 6.75% Senior Notes due in 2025 and received net proceeds of $34,063 after payment of underwriting discounts, commissions, and expenses.

The Senior Notes due 2023 and the Senior Notes due 2025 are publicly traded on the New York Stock Exchange under the ticker symbols “AIW” and “AIC,” respectively. The Senior Notes due 2023 and Senior Notes due 2025 may be redeemed in whole or in part at any time and from time to time at the Company’s option on or after May 1, 2016 and March 15, 2018, respectively, at a redemption price equal to the principal amount plus accrued and unpaid interest. The indenture governing these Senior Notes contains certain covenants, including limitations on the Company’s ability to merge or consolidate with other entities or sell or otherwise dispose of all or substantially all of the Company’s assets.

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Derivative Instruments

9 Months Ended

Sep. 30, 2016

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Derivative Instruments

Note 6. Derivative Instruments

In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows.

Types and Uses of Derivative Instruments

Interest Rate Derivatives

Most of the Company’s derivative instruments are interest rate derivatives that are intended to economically hedge changes, attributable to changes in benchmark interest rates, in certain MBS fair values and future interest cash flows on the Company’s short-term financing arrangements. Interest rate derivatives include centrally cleared interest rate swaps as well as exchange-traded instruments, such as Eurodollar futures, interest rate swap futures, U.S. Treasury note futures, and options on futures. While the Company uses its interest rate derivatives to economically hedge a portion of its interest rate risk, it has not designated such contracts as hedging instruments for financial reporting purposes.

The Company exchanges collateral with the counterparties to its interest rate derivative instruments at least on a daily basis based upon daily changes in fair value (also known as “variation margin”) as measured by the central clearinghouse through which those derivatives are cleared. In addition, the central clearinghouse requires market participants to deposit and maintain an “initial margin” amount which is determined by the clearinghouse and is generally intended to be set at a level sufficient to protect the clearinghouse from the maximum estimated single-day price movement in that market participant’s contracts. Cash initial and variation margin posted by the Company in respect of interest rate derivatives is included in the line item “deposits” in the accompanying consolidated balance sheets.

To-Be-Announced Agency MBS Transactions, Including “Dollar Rolls”

In addition to interest rate derivatives that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward contracts to purchase or sell fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) contracts. A TBA contract is a forward contract for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The Company accounts for TBA contracts as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA contract that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA contract will not settle in the shortest time period possible.

The Company’s agency MBS investment portfolio includes net purchase (or “net long”) positions in TBA securities, which are primarily the result of executing sequential series of “dollar roll” transactions. The Company executes dollar roll transactions as a means of investing in and financing non-specified fixed-rate agency MBS. Such transactions involve effectively delaying (or “rolling”) the settlement of a forward purchase of a TBA agency MBS by entering into an offsetting sale prior to the settlement date, net settling the “paired-off” positions in cash, and contemporaneously entering another forward purchase of a TBA agency MBS of the same characteristics for a later settlement date. TBA securities purchased or sold for a forward settlement month are generally priced at a discount relative to TBA securities purchased for settlement in the current month. This discount, often referred to as the dollar roll “price drop,” reflects compensation for the net interest income (interest income less financing costs) that is foregone as a result of relinquishing beneficial ownership of the MBS for the duration of the dollar roll (also known as “dollar roll income”). By executing a sequential series of dollar roll transactions, the Company is able to create the economic experience of investing in an agency MBS, financed with a repurchase agreement, over a period of time. Forward purchases and sales of TBA securities are accounted for as derivative instruments in the Company’s financial statements. Accordingly, dollar roll income is recognized as a component of “investment gains (losses), net” along with all other periodic changes in the fair value of TBA commitments.

Cash collateral posted by the Company with respect to TBA transactions is included in the line item “deposits” in the accompanying consolidated balance sheets.

In addition to TBA transactions, the Company may, from time to time, enter into commitments to purchase or sell specified agency MBS that do not qualify as regular-way security trades. Such commitments are also accounted for as derivative instruments.

Derivative Instrument Population and Fair Value

The following table presents the fair value of the Company’s derivative instruments as of the dates indicated:

	September 30, 2016					December 31, 2015
	Assets		Liabilities			Assets		Liabilities
Interest rate swaps	$	104	$	(67,225	)	$	6,153	$	—
10-year U.S. Treasury note futures		—		—			6,813		—
Options on 10-year U.S. Treasury note futures		1,500		(859	)		—		—
Put options on Eurodollar futures		—		—			25		—
TBA and specified agency MBS commitments		6,266		—			—		(553	)
Total	$	7,870	$	(68,084	)	$	12,991	$	(553	)

Interest Rate Swaps

The Company’s interest rate swap agreements represent agreements to make semiannual interest payments based upon a fixed interest rate and receive quarterly variable interest payments based upon the prevailing three-month LIBOR on the date of reset.

The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2016:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Remaining Life (Years)		Fair Value
Years to maturity:
Less than 3 years	$	1,250,000		1.06	%		1.9	$	(2,953	)
3 to less than 7 years		—		—			—		—
7 to 10 years		1,500,000		1.89	%		9.4		(64,235	)
Total / weighted-average	$	2,750,000		1.51	%		6.0	$	(67,188	)

The following table presents information about the Company’s forward-starting interest rate swap agreements that had yet to take effect as of September 30, 2016:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Term After Effective Date (Years)		Fair Value
Effective in September / October 2017	$	375,000		1.13	%		2.0	$	67

The following table presents information about the Company’s interest rate swap agreements as of December 31, 2015, all of which were in effect as of that date:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Remaining Life (Years)		Fair Value
Years to maturity:
Less than 3 years	$	750,000		1.04	%		1.9	$	1,166
3 to less than 7 years		—		—			—		—
7 to 10 years		750,000		2.12	%		9.9		4,987
Total / weighted-average	$	1,500,000		1.58	%		5.9	$	6,153

Options on 10-year U.S. Treasury Note Futures

The Company has purchased and sold exchange-traded options on U.S. Treasury note futures contracts as of September 30, 2016 with the objective of hedging a portion of the interest rate sensitivity of the Company’s agency MBS portfolio.  As of September 30, 2016, the Company holds put options which provide the Company with the right to sell 10-year U.S. Treasury note futures to a counterparty with an equivalent notional amount of $600 million that were struck at a weighted average strike price that equates to a 10-year U.S. Treasury rate of approximately 1.71%.  In addition, the Company has sold, or written, call options that provide a counterparty with the option to buy 10-year U.S. Treasury note futures from the Company with an equivalent notional amount of $600 million that were struck at a weighted average strike price per contract that equates to a 10-year U.S. Treasury rate of approximately 1.39%.  In order to limit its exposure on the sold call options from a significant decline in long-term interest rates, the Company also purchased contracts that provide the Company with the option to buy 10-year U.S. Treasury note futures from a counterparty with an equivalent notional amount of $300 million as of September 30, 2016 that were struck at a weighted average strike price per contract that equates to a 10-year U.S. Treasury rate of approximately 1.07%.  The options may be exercised at any time prior to their expiry, which occurs in the fourth quarter of 2016, and, if exercised, will be net settled in cash.  Information about the Company’s outstanding put and call options on 10-year U.S. Treasury note futures contracts as of September 30, 2016 is as follows:

	Notional Amount		Implied Strike Rate (1)			Net Fair Value
Purchased put options:
October 2016 expiration	$	500,000		1.72	%	$	781
November 2016 expiration		100,000		1.67	%		625
Total / weighted average for purchased put options	$	600,000		1.71	%	$	1,406
Sold call options:
October 2016 expiration	$	500,000		1.38	%	$	(469	)
November 2016 expiration		100,000		1.44	%		(390	)
Total / weighted average for sold call options	$	600,000		1.39	%	$	(859	)
Purchased call options:
October 2016 expiration	$	300,000		1.07	%	$	94
						$	641

(1) The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract.

TBA Commitments

The following tables present information about the Company’s TBA commitments as of the dates indicated:

	September 30, 2016
			Weighted-average:
	Notional Amount: Net Purchase (Sale) Commitment		Contractual Forward Price		Market Price		Fair Value
30-year 3.0% coupon TBA commitments	$	1,125,000	$	1,163,633	$	1,169,899	$	6,266

	December 31, 2015
			Weighted-average:
	Notional Amount: Net Purchase (Sale) Commitment		Contractual Forward Price		Market Price		Fair Value
30-year 3.5% coupon TBA commitments	$	275,000	$	283,928	$	283,469	$	(459	)
30-year 4.0% coupon TBA commitments		100,000		105,883		105,789		(94	)
Total	$	375,000	$	389,811	$	389,258	$	(553	)

Derivative Instrument Gains and Losses

The following tables provide information about the derivative gains and losses recognized within the periods indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Interest rate derivatives:
Interest rate swaps:
Net interest expense (1)	$	(5,126	)	$	—		$	(13,499	)	$	—
Unrealized gains (losses), net		15,426			—			(65,519	)		—
Losses realized upon early termination		(300	)		—			(300	)		—
Total interest rate swap gains (losses), net		10,000			—			(79,318	)		—
Eurodollar futures, net		—			(31,288	)		—			(62,738	)
U.S. Treasury note futures, net		—			(14,272	)		(63,285	)		(13,932	)
Options on U.S. Treasury note futures, net		(1,631	)		—			(7,880	)		—
10-year interest rate swap futures and other, net		—			(58,471	)		(25	)		(69,700	)
Total interest rate derivative gains (losses), net		8,369			(104,031	)		(150,508	)		(146,370	)
TBA and specified agency MBS commitments:
TBA dollar roll income (2)		5,321			1,896			12,835			4,390
Other gains (losses) on agency MBS commitments, net		1,506			4,508			17,728			(1,158	)
Total gains on agency MBS commitments, net		6,827			6,404			30,563			3,232
Total derivative gains (losses), net	$	15,196		$	(97,627	)	$	(119,945	)	$	(143,138	)

(1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry").

(2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase.

Derivative Instrument Activity

The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated:

	For the Three Months Ended September 30, 2016
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	2,250,000	$	1,250,000	$	—		$	(375,000	)	$	3,125,000
10-year U.S. Treasury note futures		—		15,000		(15,000	)		—			—
Purchased put options on 10-year U.S. Treasury note   futures		2,000,000		2,100,000		(3,500,000	)		—			600,000
Sold call options on 10-year U.S. Treasury note futures		—		1,000,000		(400,000	)		—			600,000
Purchased call options on 10-year U.S. Treasury note   futures		—		500,000		(200,000	)		—			300,000
Commitments to purchase (sell) MBS, net		875,441		2,675,000		(2,425,441	)		—			1,125,000

	For the Three Months Ended September 30, 2015
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Eurodollar futures	$	41,460,000	$	10,000	$	(2,465,000	)	$	(34,005,000	)	$	5,000,000
10-year interest rate swap futures		1,075,000		1,360,000		(1,085,000	)		(365,000	)		985,000
10-year U.S. Treasury note futures		—		1,065,000		—			—			1,065,000
Commitments to purchase (sell) MBS, net		500,000		1,140,000		(850,000	)		—			790,000

	For the Nine Months Ended September 30, 2016
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	1,500,000	$	2,000,000	$	—		$	(375,000	)	$	3,125,000
10-year U.S. Treasury note futures		1,335,000		1,386,000		(2,133,500	)		(587,500	)		—
Purchased put options on 10-year U.S. Treasury note   futures		—		8,100,000		(7,500,000	)		—			600,000
Sold call options on 10-year U.S. Treasury note futures		—		1,000,000		(400,000	)		—			600,000
Purchased call options on 10-year U.S. Treasury note   futures		—		500,000		(200,000	)		—			300,000
Put options on Eurodollar futures		4,000,000		—		(4,000,000	)		—			—
Commitments to purchase (sell) MBS, net		375,000		6,225,441		(5,475,441	)		—			1,125,000

	For the Nine Months Ended September 30, 2015
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Eurodollar futures	$	41,090,000	$	5,150,000	$	(7,235,000	)	$	(34,005,000	)	$	5,000,000
10-year interest rate swap futures		1,145,000		2,685,000		(2,480,000	)		(365,000	)		985,000
10-year U.S. Treasury note futures		—		1,190,000		(125,000	)		—			1,065,000
Commitments to purchase (sell) MBS, net		200,000		2,057,544		(1,467,544	)		—			790,000

Cash Collateral Posted for Derivative Instruments

The following table presents information about the cash collateral posted by the Company in respect of its derivative instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the periods indicated:

	September 30, 2016		December 31, 2015
Interest rate swaps	$	117,052	$	17,434
Options on U.S. Treasury note futures		3,485		—
U.S. Treasury note futures		—		11,197
TBA commitments		—		798
Total cash collateral posted	$	120,537	$	29,429

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Offsetting of Financial Assets and Liabilities

9 Months Ended

Sep. 30, 2016

Offsetting [Abstract]

Offsetting of Financial Assets and Liabilities

Note 7. Offsetting of Financial Assets and Liabilities

The agreements that govern certain of the Company’s derivative instruments and short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative instruments and short-term financing arrangements, including any associated recognized collateral, in its consolidated balance sheets on a gross basis.

The following tables present information, as of the dates indicated, about the Company’s derivative instruments and short-term borrowing arrangements, including those subject to master netting (or similar) arrangements:

	As of September 30, 2016
	Gross Amount Recognized		Amount Offset in the Consolidated Balance Sheets		Net Amount Presented in the Consolidated Balance Sheets		Gross Amount Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial Instruments (1)			Cash Collateral (2)
Assets:
Derivative instruments:
Options on U.S. Treasury note futures	$	1,500	$	—	$	1,500	$	(859	)	$	—		$	641
Interest rate swaps		104		—		104		(104	)		—			—
TBA commitments		6,266		—		6,266		—			—			6,266
Total derivative instruments		7,870		—		7,870		(963	)		—			6,907
Total assets	$	7,870	$	—	$	7,870	$	(963	)	$	—		$	6,907
Liabilities:
Derivative instruments:
Interest rate swaps	$	67,225	$	—	$	67,225	$	(104	)	$	(67,121	)	$	—
Options on U.S. Treasury note futures		859		—		859		(859	)		—			—
Total derivative instruments		68,084		—		68,084		(963	)		(67,121	)		—
Repurchase agreements		3,376,898		—		3,376,898		(3,376,898	)		—			—
Total liabilities	$	3,444,982	$	—	$	3,444,982	$	(3,377,861	)	$	(67,121	)	$	—

	As of December 31, 2015
	Gross Amount Recognized		Amount Offset in the Consolidated Balance Sheets		Net Amount Presented in the Consolidated Balance Sheets		Gross Amount Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial Instruments (1)			Cash Collateral (2)
Assets:
Derivative instruments:
Interest rate swaps	$	6,153	$	—	$	6,153	$	—		$	—		$	6,153
10-year U.S. Treasury note futures		6,813		—		6,813		—			—			6,813
Put options on Eurodollar futures		25		—		25		—			—			25
Total derivative instruments		12,991		—		12,991		—			—			12,991
Total assets	$	12,991	$	—	$	12,991	$	—		$	—		$	12,991
Liabilities:
Derivative instruments:
TBA commitments	$	553	$	—	$	553	$	—		$	(387	)	$	166
Total derivative instruments		553		—		553		—			(387	)		166
Repurchase agreements		2,834,780		—		2,834,780		(2,834,780	)		—			—
Federal Home Loan Bank advances		786,900		—		786,900		(786,900	)		—			—
Total liabilities	$	3,622,233	$	—	$	3,622,233	$	(3,621,680	)	$	(387	)	$	166

⁽¹⁾ Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements or Federal Home Loan Bank advances that exceeds the associated liability presented in the consolidated balance sheets.

⁽²⁾ Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets.

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Fair Value Measurements

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 8. Fair Value Measurements

Fair Value of Financial Instruments

The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels, giving the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) as described below:

Level 1 Inputs -  Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date;

Level 2 Inputs -  Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

Level 3 Inputs -  Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use.

The Company measures the fair value of the following assets and liabilities:

Mortgage-backed securities

Agency MBS - The Company’s investments in agency MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in agency MBS include price estimates obtained from third-party pricing services. The inputs used in the fair value measurements performed by the third-party pricing services are based upon readily observable transactions for securities with similar characteristics (such as issuer/guarantor, coupon rate, stated maturity, and collateral pool characteristics) occurring on the measurement date. The Company makes inquiries of the third party pricing sources to understand the significant inputs and assumptions used to determine prices. The Company reviews the various third-party fair value estimates and performs procedures to validate their reasonableness, including comparison to recent trading activity for similar securities and an overall review for consistency with market conditions observed as of the measurement date.

Private-label MBS - The Company’s investments in private-label MBS are classified within Level 3 of the fair value hierarchy as private-label MBS trade infrequently and, therefore, the measurement of their fair value requires the use of significant unobservable inputs. In determining fair value, the Company primarily uses an income approach as well as market approaches. The Company utilizes present value techniques based on the estimated future cash flows of the instrument taking into consideration various assumptions derived by management based on their observations of assumptions used by market participants. These assumptions are corroborated by evidence such as historical collateral performance data, evaluation of historical collateral performance data for other securities with comparable or similar risk characteristics, and observed completed or pending transactions in similar instruments, when available. The significant inputs to the Company’s valuation process include collateral default, loss severity, prepayment, and discount rates (i.e., the rate of return demanded by market participants as of the measurement date). In general, significant increases (decreases) in default, loss severity, or discount rate assumptions, in isolation, would result in a significantly lower (higher) fair value measurement. However, significant increases (decreases) in prepayment rate assumptions, in isolation, may result in a significantly higher (lower) fair value measurement depending upon the instrument’s specific characteristics and the overall payment structure of the issuing securitization vehicle. It is difficult to generalize the interrelationships between these significant inputs as the actual results could differ considerably on an individual security basis. Therefore, each significant input is closely analyzed to ascertain its reasonableness for the Company’s purposes of fair value measurement.

Measuring fair value is inherently subjective given the volatile and sometimes illiquid markets for these private-label MBS and requires management to make a number of judgments about the assumptions that a market participant would use, including assumptions about the timing and amount of future cash flows as well as the rate of return required by market participants. The assumptions the Company applies are specific to each security. Although the Company relies on its internal calculations to estimate the fair value of these private-label MBS, the Company considers indications of value from actual sales of similar private-label MBS to assist in the valuation process and to calibrate the Company’s models.

Derivative instruments

Exchange-traded derivative instruments - Exchange-traded derivative instruments, which include Eurodollar futures, U.S. Treasury note futures, interest rate swap futures, and options on futures, are classified within Level 1 of the fair value hierarchy as they are measured using quoted prices for identical instruments in liquid markets.

Centrally cleared interest rate swaps - Centrally cleared interest rate swaps are classified within Level 2 of the fair value hierarchy. The fair values of centrally cleared interest rate swaps are measured using the daily valuations reported by the clearinghouse through which the instrument was cleared. In performing its end-of-day valuations, the clearinghouse constructs forward interest rate curves (for example, three-month LIBOR forward rates) from its specific observations of that day’s trading activity. The clearinghouse uses the applicable forward interest rate curve to develop a market-based forecast of future remaining contractually required cash flows for each interest rate swap. Each market-based cash flow forecast is then discounted using the overnight index swap rate curve (sourced from the Federal Reserve Bank of New York) to determine a net present value amount which represents the instrument’s fair value. The Company reviews the valuations reported by the clearinghouse on an ongoing basis and performs procedures using readily available market data to independently verify their reasonableness.

Forward-settling purchases and sales of TBA securities – Forward-settling purchases and sales of TBA securities are classified within Level 2 of the fair value hierarchy. The fair value of each forward-settling TBA contract is measured using broker or dealer quotations, which are based upon readily observable transaction prices occurring on the measurement date for forward-settling contracts to buy or sell TBA securities with the same guarantor, contractual maturity, and coupon rate for delivery on the same forward settlement date as the contract under measurement.

Other

Long-term debt - As of September 30, 2016 and December 31, 2015, the carrying value of the Company’s long-term debt was $73,601 and $73,433, respectively, net of unamortized debt issuance costs, and consists of Senior Notes and trust preferred debt issued by the Company. The Company’s estimate of the fair value of long-term debt is $68,029 and $59,130 as of September 30, 2016 and December 31, 2015, respectively. The Company’s Senior Notes, which are publicly traded on the New York Stock Exchange, are classified within Level 1 of the fair value hierarchy. Trust preferred debt is classified within Level 2 of the fair value hierarchy as the fair value is estimated based on the quoted prices of the Company’s publicly traded Senior Notes.

FHLBC capital stock - FHLBC capital stock is initially purchased at par and may only be transferred back to the FHLBC or to another FHLBC member, subject to approval by the FHLBC, also at par. Due to the restrictions placed on transferability, it is not practical to determine the fair value of FHLBC capital stock. The par value and carrying amount of the FHLBC capital stock included in the line item “other assets” on the Company’s consolidated balance sheets is $2 and $15,740 as of September 30, 2016 and December 31, 2015, respectively.

Investments in equity securities of non-public companies and investment funds - As of September 30, 2016 and December 31, 2015, the Company had investments in equity securities and investment funds with a carrying amount of $2,004 and $1,558, respectively, which are included in the line item “other assets” in the accompanying consolidated balance sheets.  As of September 30, 2016, $619 of these investments represent securities for which the Company elected the “fair value option” at the time that the securities were initially recognized on the Company’s consolidated balance sheets; the Company measures the fair value of these securities on a recurring basis, recognizing the periodic change in fair value in earnings.  The remaining $1,385 in investments in equity securities of non-public companies and investment funds as of September 30, 2016, and the entire population of such securities as of December 31, 2015, were measured at cost, net of impairments. The Company’s estimate of the fair value of investments in equity securities and investment funds is $5,916 and $5,989 as of September 30, 2016 and December 31, 2015, respectively. Investments in equity securities and investment funds are classified within Level 3 of the fair value hierarchy. The fair values of the Company’s investments in equity securities and investment funds are not readily determinable. Accordingly, for its investments in equity securities, the Company estimates fair value by estimating the enterprise value of the investee and then waterfalls the enterprise value over the investee’s securities in the order of their preference relative to one another. To estimate the enterprise value of the investee, the Company uses traditional valuation methodologies, including recent investments in, or tender offers for, the equity securities of the investee. For its investments in investment funds, the Company estimates fair value based upon the investee’s net asset value per share.

Financial assets and liabilities for which carrying value approximates fair value - Cash and cash equivalents, deposits, receivables, repurchase agreements, FHLB advances, payables, and other assets and liabilities are reflected in the consolidated balance sheets at their cost, which, due to the short-term nature of these instruments and their limited inherent credit risk, approximates fair value.

Fair Value Hierarchy

Financial Instruments Measured at Fair Value on a Recurring Basis

The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of September 30, 2016 and December 31, 2015. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

	September 30, 2016
	Total			Level 1			Level 2			Level 3
MBS
Trading:
Agency MBS	$	3,669,235		$	—		$	3,669,235		$	—
Private-label MBS		2,763			—			—			2,763
Total trading		3,671,998			—			3,669,235			2,763
Available-for-sale:
Agency MBS		24			—			24			—
Private-label MBS		18,541			—			—			18,541
Total available-for-sale		18,565			—			24			18,541
Total MBS		3,690,563			—			3,669,259			21,304
Derivative assets		7,870			1,500			6,370			—
Derivative liabilities		(68,084	)		(859	)		(67,225	)		—
Other assets		619			—			—			619
Total	$	3,630,968		$	641		$	3,608,404		$	21,923

	December 31, 2015
	Total			Level 1		Level 2			Level 3
MBS
Trading:
Agency MBS	$	3,865,290		$	—	$	3,865,290		$	—
Private-label MBS		3,017			—		—			3,017
Total trading		3,868,307			—		3,865,290			3,017
Available-for-sale:
Agency MBS		26			—		26			—
Private-label MBS		127,536			—		—			127,536
Total available-for-sale		127,562			—		26			127,536
Total MBS		3,995,869			—		3,865,316			130,553
Derivative assets		12,991			6,838		6,153			—
Derivative liabilities		(553	)		—		(553	)		—
Total	$	4,008,307		$	6,838	$	3,870,916		$	130,553

There were no transfers of financial instruments into or out of Levels 1, 2 or 3 during the three and nine months ended September 30, 2016 or the year ended December 31, 2015.

Level 3 Financial Assets and Liabilities

The following table provides information about the significant unobservable inputs used to measure the fair value of the Company’s private-label MBS as of the dates indicated:

	September 30, 2016				December 31, 2015
	Weighted- average (1)			Range	Weighted- average (1)			Range
Discount rate		5.50	%	5.50 - 5.50 %		5.57	%	5.50 - 10.00 %
Default rate		2.79	%	2.00 - 6.20 %		2.78	%	1.45 - 6.20 %
Loss severity rate		41.13	%	35.00 - 55.00 %		45.84	%	35.00 - 65.00 %
Total prepayment rate (including defaults)		12.42	%	10.25 - 17.70 %		11.02	%	7.75 - 17.70 %

⁽¹⁾ Based on face value.

The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 investments that are measured at fair value on a recurring basis for the periods indicated.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Beginning balance	$	89,186		$	152,353		$	130,553		$	267,649
Total net gains (losses)
Included in investment gain (loss), net		2,994			781			537			17,595
Included in other comprehensive income		(3,325	)		(5,422	)		(11,739	)		(33,634	)
Purchases		—			—			5,357			2,870
Sales		(67,761	)		(14,164	)		(106,052	)		(124,637	)
Payments, net		(826	)		(1,877	)		(4,170	)		(7,381	)
Accretion of discount		1,655			3,249			7,437			12,458
Ending balance	$	21,923		$	134,920		$	21,923		$	134,920
Net unrealized gains (losses) included in earnings for the    period for Level 3 assets still held at the reporting date	$	(64	)	$	(207	)	$	(280	)	$	18

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Income Taxes

9 Months Ended

Sep. 30, 2016

Income Tax Disclosure [Abstract]

Income Taxes

Note 9. Income Taxes

Arlington Asset is subject to taxation as a corporation under Subchapter C of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s consolidated subsidiary, Rosslyn REIT Trust (“Rosslyn REIT”), operates to qualify as a real estate investment trust (“REIT”) under the Code. The investments of Rosslyn REIT primarily consist of a portion of the Company’s private-label MBS portfolio. Arlington Asset owns all of the common shares of Rosslyn REIT. Third-party investors own all of the preferred shares of Rosslyn REIT. Rosslyn REIT periodically distributes all of its income to its shareholders. The Company’s agency MBS and remaining private-label MBS investment portfolios are held by Arlington Asset.

The Company currently has net operating loss (“NOL”) and net capital loss (“NCL”) carry-forwards that can be applied against the Company’s current taxable ordinary income and net capital gains.

As of September 30, 2016 and December 31, 2015, the Company had a net deferred tax asset of $96,891 and $97,530, respectively, net of a valuation allowance on NCL carry-forwards of $84,261 and $80,663, respectively. The Company continues to provide a valuation allowance against the portion of NCL carry-forwards for which the Company believes is more likely than not that the benefits will not be realized prior to expiration.   The Company will continue to assess the need for a valuation allowance at each reporting date.

As of September 30, 2016, the Company has assessed the need for recording a provision for any uncertain tax position and has made the determination that such provision is not necessary.

The Company is subject to examination by the U.S. Internal Revenue Service (“IRS”) and state and local taxing jurisdictions where the Company has significant business operations. As of September 30, 2016, there are no on-going examinations.

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Earnings Per Share

9 Months Ended

Sep. 30, 2016

Earnings Per Share [Abstract]

Earnings Per Share

Note 10. Earnings Per Share

Basic earnings per share includes no dilution and is computed by dividing net income or loss applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per share includes the impact of dilutive securities such as unvested shares of restricted stock and performance share units. The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated:

	Three Months Ended September 30,					Nine Months Ended September 30,
(Shares in thousands)	2016		2015			2016		2015
Basic weighted-average shares outstanding		23,038		23,021			23,011		22,991
Performance share units and unvested restricted stock		311		—			143		—
Diluted weighted-average shares outstanding		23,349		23,021			23,154		22,991
Net income (loss)	$	18,813	$	(52,630	)	$	89	$	(88,214	)
Basic earnings (loss) per common share	$	0.82	$	(2.29	)	$	-	$	(3.84	)
Diluted earnings (loss) per common share	$	0.81	$	(2.29	)	$	-	$	(3.84	)

The diluted loss per share for the three and nine months ended September 30, 2015 did not include the antidilutive effect of 44,422 and 49,785 shares, respectively, of unvested shares of restricted stock and performance share units.

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Shareholders' Equity

9 Months Ended

Sep. 30, 2016

Equity [Abstract]

Stockholders' Equity

Note 11. Stockholders’ Equity

Dividends

Pursuant to the Company’s variable dividend policy, the Board of Directors evaluates dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s dividend payments, if any, may vary significantly from quarter to quarter. The Board of Directors has approved and the Company has declared and paid the following dividends to date in 2016:

Quarter Ended	Dividend Amount		Declaration Date	Record Date	Pay Date
September 30	$	0.625	September 15	September 30	October 31
June 30		0.625	June 17	June 30	July 29
March 31		0.625	March 15	March 31	April 29

The Board of Directors approved and the Company declared and paid the following dividends for 2015:

Quarter Ended	Dividend Amount		Declaration Date	Record Date	Pay Date
December 31	$	0.625	December 17	December 31	January 29, 2016
September 30		0.625	September 17	September 30	October 30
June 30		0.875	June 17	June 30	July 31
March 31		0.875	March 10	March 31	April 30

Conversion of Class B Common Stock to Class A Common Stock

During the nine months ended September 30, 2016, holders of the Company’s common stock converted an aggregate of 4,612 shares of Class B common stock into 4,612 shares of Class A common stock. Holders of shares of Class A common stock are entitled to one vote for each share on all matters voted on by shareholders, and the holders of shares of Class B common stock are entitled to three votes per share on all matters voted on by shareholders. Under the Company’s Articles of Incorporation, shares of Class B common stock are convertible into shares of Class A common stock on a one-for-one basis.

Share Repurchase Program

In October 2015, the Board of Directors authorized an increase in the Company’s share repurchase program pursuant to which the Company may repurchase up to 2,000,000 shares of Class A common stock (the “Repurchase Program”). Repurchases under the Repurchase Program may be made from time to time on the open market and in private transactions at management’s discretion in accordance with applicable federal securities laws. The timing of repurchases and the exact number of shares of Class A common stock to be repurchased will depend upon market conditions and other factors. The Repurchase Program is funded using the Company’s cash on hand and cash generated from operations. The Repurchase Program has no expiration date and may be suspended or terminated at any time without prior notice. As of September 30, 2016, there remain available for repurchase 1,951,305 shares of Class A common stock under the Repurchase Program.

Shareholder Rights Agreement

The Board of Directors adopted and the Company’s shareholders approved a shareholder rights agreement (“Rights Plan”). Under the terms of the Rights Plan, in general, if a person or group acquires or commences a tender or exchange offer for beneficial ownership of 4.9% or more of the outstanding shares of our Class A common stock upon a determination by our Board of Directors (an “Acquiring Person”), all of our other Class A and Class B common shareholders will have the right to purchase securities from us at a discount to such securities’ fair market value, thus causing substantial dilution to the Acquiring Person.

The Board of Directors adopted the Rights Plan in an effort to protect against a possible limitation on the Company’s ability to use its NOL carry-forwards, NCL carry-forwards, and built-in losses under Sections 382 and 383 of the Code. The Company’s ability to use its NOLs, NCLs and built-in losses would be limited if it experienced an “ownership change” under Section 382 of the Code. In general, an “ownership change” would occur if there is a cumulative change in the ownership of the Company’s common stock of more than 50% by one or more “5% shareholders” during a three-year period. The Rights Plan was adopted to dissuade any person or group from acquiring 4.9% or more of the Company’s outstanding Class A common stock, each, an Acquiring Person, without the approval of the Board of Directors and triggering an “ownership change” as defined by Section 382.

The Rights Plan and any outstanding rights will expire at the earliest of (i) June 4, 2019, (ii) the time at which the rights are redeemed or exchanged pursuant to the Rights Plan, (iii) the repeal of Section 382 and 383 of the Code or any successor statute if the Board of Directors determines that the Rights Plan is no longer necessary for the preservation of the applicable tax benefits, and (iv) the beginning of a taxable year to which the Board of Directors determines that no applicable tax benefits may be carried forward.

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Summary of Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2016

Cash Equivalents

Cash Equivalents

Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of September 30, 2016 and December 31, 2015, approximately 98% of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government.

Investment Security Purchases and Sales

Investment Security Purchases and Sales

Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets.

Interest Income Recognition for Investments in Agency MBS

Interest Income Recognition for Investments in Agency MBS

Substantially all of the Company’s investments in agency MBS are classified as trading securities. On January 1, 2016, the Company elected to change its accounting policy for recognizing interest income on its investments in agency MBS classified as trading securities by amortizing purchase premiums (or accreting purchase discounts) as an adjustment to interest income in accordance with the “interest method” permitted by GAAP. Prior to January 1, 2016, interest income from trading agency MBS was reported based upon each security’s stated coupon rate (referred to by the Company as the “coupon rate method”).

The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in agency MBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the effective interest rate on the remaining security balance is unaffected.

The Company believes that the application of the contractual effective interest method, relative to the coupon rate method, to its investments in trading agency MBS results in a reported interest income measure that better reflects the economic yield of its investments, including a better reflection of the economic effect of principal prepayments in the period in which those prepayments occur. In addition, the Company believes that this change in accounting policy enhances the comparability of its reported periodic financial results to those of its peers.

The Company retrospectively applied this change in accounting policy to all historical periods. Because the Company accounts for its investments in trading agency MBS on its consolidated balance sheets at fair value with all periodic changes in fair value reflected in the Company’s net income, this change in accounting policy did not have an effect on the Company’s historical consolidated balance sheets, net income, or comprehensive income. The change in accounting policy did, however, result in a reclassification between reported “gain (loss) on trading investments, net” and interest income on the Company’s historical consolidated statements of comprehensive income. As the Company’s agency MBS have generally been acquired at a premium to par value, historical reported interest income was reduced by periodic premium amortization, while periodic investment gains (losses) reported as a component of “gain (loss) on trading investments, net” were increased (decreased) by an equal and offsetting amount. The following table presents the effect of the Company’s retrospective application of the change in accounting policy to the annual and quarterly periods of fiscal year 2015:

	Fiscal Year 2015
	Total Year			Fourth Quarter			Third Quarter			Second Quarter			First Quarter
Interest income: agency mortgage-backed securities:
As previously reported	$	139,244		$	35,475		$	37,325		$	34,530		$	31,914
Retrospective adjustment		(33,330	)		(7,136	)		(9,336	)		(10,404	)		(6,454	)
As revised	$	105,914		$	28,339		$	27,989		$	24,126		$	25,460
Gain (loss) on trading investments, net:
As previously reported	$	(64,388	)	$	(43,383	)	$	27,553		$	(61,849	)	$	13,291
Retrospective adjustment		33,330			7,136			9,336			10,404			6,454
As revised	$	(31,058	)	$	(36,247	)	$	36,889		$	(51,445	)	$	19,745
Effect to previously reported net income (loss)	$	—		$	—		$	—		$	—		$	—

Interest Income Recognition for Investments in Private-Label MBS

Interest Income Recognition for Investments in Private-Label MBS

The Company’s investments in private-label MBS were generally acquired at significant discounts to their par values due in large part to an expectation that the Company will be unable to collect all of the contractual cash flows of the securities. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company has elected to classify its investments in private-label MBS acquired in 2015 or later as trading securities. Interest income from investments in private-label MBS is recognized using a prospective level-yield methodology which is based upon each security’s effective interest rate. The amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized cost basis or reference amount. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses.

In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the security are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in private-label MBS that are classified as available-for-sale and trading securities, respectively:

	Effect on Interest Income Recognition for Investments in Private-Label MBS Classified as:
Scenario:	Available-for-Sale	Trading
A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows.	If the positive change in cash flows is deemed significant, a revised effective interest rate is calculated and applied prospectively such that the positive change is recognized as incremental interest income over the remaining life of the security. This revised effective interest rate is also used in subsequent periods to determine if any declines in the fair value of that security are other-than-temporary.	A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security.
An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows.	The security’s effective interest rate is unaffected. If an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its amortized cost basis), the impairment is considered other-than-temporary due to the occurrence of a credit loss. If a credit loss occurs, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.”	The amount of periodic interest income recognized over the remaining life of the security will be reduced accordingly. Specifically, if an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its reference amount), the reference amount to which the security’s existing effective interest rate will be prospectively applied will be reduced to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate. If an adverse change in cash flows occurs for a security that is not impaired, the security’s effective interest rate will be reduced accordingly and applied on a prospective basis.

Other Comprehensive Income

Other Comprehensive Income

Comprehensive income includes net income as currently reported by the Company on the consolidated statements of comprehensive income adjusted for other comprehensive income. Other comprehensive income for the Company represents periodic unrealized holding gains and losses related to the Company’s investments in MBS classified as available-for-sale. Accumulated unrealized holding gains and losses for available-for-sale MBS are reclassified into net income as a component of “investment gain (loss), net” upon (i) sale or realization, or (ii) the occurrence of an other-than-temporary impairment.

Other Significant Accounting Policies

Other Significant Accounting Policies

Certain of the Company’s other significant accounting policies are summarized in the following notes:

Investments in agency MBS, subsequent measurement	Note 3
Investments in private-label MBS, subsequent measurement	Note 4
Borrowings	Note 5
To-be-announced agency MBS transactions, including “dollar rolls”	Note 6
Derivative instruments	Note 6
Balance sheet offsetting	Note 7
Fair value measurements	Note 8

Refer to the Company’s 2015 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies.

Recent Accounting Pronouncements

Recent Accounting Pronouncements

The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements:

Standard	Description	Date of Adoption	Effect on the Consolidated Financial Statements
Recently Adopted Accounting Guidance
ASU No. 2015-02, Amendments to the Consolidation Analysis (Topic 810)	This amendment makes targeted changes to the current consolidation guidance and ends the deferral granted to investment companies from applying variable interest entity guidance.	January 1, 2016	This amendment did not have an impact on the Company’s consolidated financial statements.
ASU No. 2015-03, Simplifying the Presentation of Debt Issuance Costs (Subtopic 835-30)	This amendment requires debt issuance costs to be presented in the balance sheet as a direct reduction from the associated debt liability rather than as a separate asset.	January 1, 2016	The adoption of this amendment resulted in an immaterial reclassification of unamortized debt issuance costs from the line item “other assets” to the line item “long-term debt” on the Company’s consolidated balance sheets.
Recently Issued Accounting Guidance Not Yet Adopted
ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606)	This amendment defers the effective date of ASU No. 2014-09 for all entities by one year. ASU No. 2014-09 requires entities to recognize revenue to depict the transfer of promised goods or services to customers in amounts that reflect the consideration to which the entity expects to be entitled in exchange for those goods or services. Revenue recognition with respect to financial instruments is not within the scope of ASU No. 2014-09.	January 1, 2018	The Company does not expect that the adoption of ASU No. 2015-14 will have a material impact on its consolidated financial statements.
ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (Subtopic 825-10)	This amendment makes targeted changes to certain aspects of guidance applicable to financial assets and financial liabilities. The amendment primarily affects accounting for certain equity investments, financial liabilities measured under the fair value option, and certain financial instrument presentation and disclosure requirements. Accounting for investments in debt securities and financial liabilities not measured under the fair value option is largely unaffected by this amendment.	January 1, 2018	The Company is currently evaluating the impact of this amendment on its consolidated financial statements.
ASU No. 2016-02, Leases (Topic 842)	This amendment replaces the existing lease accounting model with a revised model.  The primary change effectuated by the revised lease accounting model is the recognition of lease assets and lease liabilities by lessees for those leases classified as operating leases.	January 1, 2018	The Company is currently evaluating the impact of this amendment on its consolidated financial statements.
ASU No. 2016-07, Simplifying the Transition to the Equity Method of Accounting (Topic 323)	This amendment eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively on a step-by-step basis as if the equity method had been in effect during all previous periods that the investment had been held.	January 1, 2017	The Company does not expect that the adoption of ASU No. 2016-07 will have a material impact on its consolidated financial statements.
ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting (Topic 718)	This amendment was issued with the objective of simplifying several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities, and classification on the statement of cash flows. Some of the areas for simplification apply only to nonpublic entities.	January 1, 2017	The Company is currently evaluating the impact of this amendment on its consolidated financial statements.
ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 606)	The amendments in this update require financial assets measured at amortized cost as well as available-for-sale debt securities to be measured for impairment on the basis of the net amount expected to be collected.  Credit losses are to be recognized through an allowance for credit losses, which differs from the direct write-down of the amortized cost basis currently required for other-than-temporary impairments of investments in debt securities.  This update also makes substantial changes to the manner in which interest income is to be recognized for financial assets acquired with a more-than-insignificant amount of credit deterioration since origination. This update will not affect the accounting for investments in debt securities that are classified as trading securities.	January 1, 2019	A prospective transition approach is required for investments in debt securities for which an other-than-temporary impairment had been recognized before the effective date of the update.  Accordingly, the effect of the adoption of this update on the Company's consolidated financial statements will depend, in large part, on the extent to which the Company holds available-for-sale debt securities as of January 1, 2019 (if any) for which other-than-temporary impairments had been previously recognized.
ASU No. 2016-15, Statement of Cash Flows (Topic 230)	This amendment was issued to reduce diversity in practice with respect to eight various statement of cash flow reporting issues for which existing GAAP is either unclear or does not provide specific guidance.	January 1, 2018	The Company does not expect that the adoption of ASU No. 2016-15 will have a material impact on the classification of cash inflows or outflows within its consolidated statement of cash flows.

Repurchase Agreements

The Company finances the purchase of MBS through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells MBS to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same security at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. MBS sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such securities throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the MBS. The difference between the proceeds received by the Company upon the initial transfer of the MBS and the contractually agreed-upon repurchase price is recognized as interest expense over the term of the repurchase arrangement on a level-yield basis.

Derivative Instruments

In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows.

In addition to interest rate derivatives that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward contracts to purchase or sell fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) contracts. A TBA contract is a forward contract for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The Company accounts for TBA contracts as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA contract that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA contract will not settle in the shortest time period possible.

Derivatives, Offsetting of Financial Assets and Liabilities

The agreements that govern certain of the Company’s derivative instruments and short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative instruments and short-term financing arrangements, including any associated recognized collateral, in its consolidated balance sheets on a gross basis.

Fair Value of Financial Instruments

The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels, giving the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3) as described below:

Level 1 Inputs -  Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date;

Level 2 Inputs -  Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

Level 3 Inputs -  Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use.

The Company measures the fair value of the following assets and liabilities:

Agency MBS

Investment Security Purchases and Sales

The Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. Substantially all of the Company’s investments in agency MBS are classified as trading securities.

Private-Label MBS

Investment Security Purchases and Sales

The Company’s investments in private-label MBS are reported in the accompanying consolidated balance sheets at fair value. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company has elected to classify its investments in private-label MBS acquired in 2015 or later as trading securities.

The Company evaluates available-for-sale MBS for other-than-temporary impairment on a quarterly basis. When the fair value of an available-for-sale security is less than its amortized cost at the quarterly reporting date, the security is considered impaired. Impairments determined to be other-than-temporary are recognized as a direct write-down to the security’s amortized cost basis with a corresponding charge recognized in earnings as a component of “investment gain (loss), net.” An impairment is considered other-than-temporary when (i) the Company intends to sell the impaired security, (ii) the Company more-likely-than not will be required to sell the impaired security prior to the recovery of its amortized cost basis, or (iii) a credit loss exists. A credit loss exists when the present value of the Company’s estimate of the cash flows expected to be collected from the security, discounted at the security’s existing effective interest rate, is less than the security’s amortized cost basis.

If the Company intends to sell an impaired security or it more-likely-than-not will be required to sell an impaired security before recovery of its amortized cost basis, the Company writes-down the amortized cost basis of the security to an amount equal to the security’s fair value and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” If a credit loss exists for an impaired security that the Company does not intend to sell nor will it likely be required to sell prior to recovery, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.”

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Summary of Significant Accounting Policies (Tables)

9 Months Ended

Sep. 30, 2016

Accounting Changes And Error Corrections [Abstract]

Effect of Company's Retrospective Application of Change in Accounting Policy

The following table presents the effect of the Company’s retrospective application of the change in accounting policy to the annual and quarterly periods of fiscal year 2015:

	Fiscal Year 2015
	Total Year			Fourth Quarter			Third Quarter			Second Quarter			First Quarter
Interest income: agency mortgage-backed securities:
As previously reported	$	139,244		$	35,475		$	37,325		$	34,530		$	31,914
Retrospective adjustment		(33,330	)		(7,136	)		(9,336	)		(10,404	)		(6,454	)
As revised	$	105,914		$	28,339		$	27,989		$	24,126		$	25,460
Gain (loss) on trading investments, net:
As previously reported	$	(64,388	)	$	(43,383	)	$	27,553		$	(61,849	)	$	13,291
Retrospective adjustment		33,330			7,136			9,336			10,404			6,454
As revised	$	(31,058	)	$	(36,247	)	$	36,889		$	(51,445	)	$	19,745
Effect to previously reported net income (loss)	$	—		$	—		$	—		$	—		$	—

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Investments in Agency MBS (Tables) - Agency MBS

9 Months Ended

Sep. 30, 2016

Investments in Available for Sale Securities and Trading Securities

The following table provides the fair value of the Company’s available-for-sale and trading investments in agency MBS as of the dates indicated:

	Fair Value as of
	September 30, 2016		December 31, 2015
Agency MBS classified as:
Available-for-sale	$	24	$	26
Trading		3,669,235		3,865,290
Total	$	3,669,259	$	3,865,316

Additional Information Realized Gain Loss on Investments

The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS classified as trading securities:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016		2015
Net gains recognized in earnings for:
Agency MBS still held at period end	$	2,960		$	52,060		$	56,079	$	26,739
Agency MBS sold during the period		(428	)		(14,964	)		25,195		(21,568	)
Total	$	2,532		$	37,096		$	81,274	$	5,171

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Investments in Private-Label MBS (Tables)

9 Months Ended

Sep. 30, 2016

Weighted Average Underlying Loan Characteristics Private Label MBS

The prime and Alt-A residential mortgage loans that serve as collateral to the underlying REMIC securitization trusts of the Company’s private-label MBS had the following weighted average characteristics, based on face value, as of the dates indicated:

	September 30, 2016			December 31, 2015
Original loan-to-value		67	%		66	%
Original FICO score		725			723
Three-month voluntary prepayment rate (annualized)		1.8	%		6.1	%
Three-month default rate (annualized)		10.2	%		4.7	%
Three-month loss severity rate (1)		18.9	%		36.9	%
Three-month credit loss rate (annualized) (2)		1.9	%		1.7	%

Unrealized Gain (Loss) on Investments

Gross unrealized gains and losses accumulated in other comprehensive income for the Company’s investments in available-for-sale private-label MBS were the following as of the dates indicated:

September 30, 2016
Unpaid Principal Balance		Net Discounts			Amortized Cost Basis		Unrealized				Fair Value
							Gains		Losses
$	21,873	$	(7,193	)	$	14,680	$	3,861	$	—	$	18,541

December 31, 2015
Unpaid Principal Balance		Net Discounts			Amortized Cost Basis		Unrealized				Fair Value
							Gains		Losses
$	164,555	$	(52,620	)	$	111,935	$	15,601	$	—	$	127,536

Realized Gain (Loss) on Investments

The following table presents the results of sales of available-for-sale private-label MBS for the periods indicated:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2016		2015		2016		2015
Proceeds from sales	$	67,761	$	14,164	$	96,171	$	124,637
Gross realized gains		2,440		975		2,466		17,854
Gross realized losses		1		6		620		420

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The Company recorded no other-than-temporary impairment charges on available-for-sale private-label MBS during the three and nine months ended September 30, 2015. The following table presents a summary of cumulative credit related other-than-temporary impairment charges recognized on the available-for-sale private-label MBS held as of the dates indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Cumulative credit related other-than-temporary    impairments, beginning balance	$	15,754		$	12,822		$	14,017		$	18,903
Additions for:
Securities for which other-than-temporary    impairments have not previously occurred		—			—			1,737			—
Securities with previously recognized other-than-    temporary impairments		—			—			—			—
Reductions for sold or matured securities		(2,035	)		(1,222	)		(2,035	)		(7,303	)
Cumulative credit related other-than-temporary    impairments, ending balance	$	13,719		$	11,600		$	13,719		$	11,600

Private-Label MBS

Investments in Available for Sale Securities and Trading Securities

The following table provides the fair value of the Company’s available-for-sale and trading investments in private-label MBS as of the dates indicated:

	Fair Value as of
	September 30, 2016		December 31, 2015
Private-label MBS classified as:
Available-for-sale	$	18,541	$	127,536
Trading		2,763		3,017
Total	$	21,304	$	130,553

Additional Information Realized Gain Loss on Investments

The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” for the periods indicated with respect to investments in private-label MBS classified as trading securities:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Net (losses) gains recognized in earnings for:
Private-label MBS still held at period end	$	(64	)	$	(207	)	$	(280	)	$	18
Private-label MBS sold during the period		—			—			89			—
Total	$	(64	)	$	(207	)	$	(191	)	$	18

Private-Label MBS | Available-for-sale Securities

Private Label MBS Available for Sale Accretable Yield

The following table presents the changes in the accretable yield solely for available-for-sale private-label MBS for the periods indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Beginning balance	$	48,199		$	103,065		$	85,052		$	202,108
Accretion		(1,449	)		(3,197	)		(6,470	)		(12,395	)
Reclassifications, net		24			(5,075	)		(11,853	)		(9,579	)
Eliminations in consolidation		—			—			(3,515	)		—
Sales		(37,346	)		(6,181	)		(53,786	)		(91,522	)
Ending balance	$	9,428		$	88,612		$	9,428		$	88,612

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Borrowings (Tables)

9 Months Ended

Sep. 30, 2016

Debt Disclosure [Abstract]

Schedule of Repurchase Agreements

As of September 30, 2016 and December 31, 2015, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated:

	September 30, 2016			December 31, 2015
Pledged with agency MBS:
Repurchase agreements outstanding	$	3,370,891		$	2,797,561
Agency MBS collateral, at fair value		3,555,120			2,946,684
Net amount (1)		184,229			149,123
Weighted-average rate		0.74	%		0.61	%
Weighted-average term to maturity	15.8 days			12.8 days
Pledged with private-label MBS:
Repurchase agreements outstanding	$	6,007		$	37,219
Private-label MBS collateral, at fair value		13,390			70,511
Net amount (1)		7,383			33,292
Weighted-average rate		2.38	%		2.42	%
Weighted-average term to maturity	19.0 days			16.9 days
Total MBS:
Repurchase agreements outstanding	$	3,376,898		$	2,834,780
MBS collateral, at fair value		3,568,510			3,017,195
Net amount (1)		191,612			182,415
Weighted-average rate		0.75	%		0.64	%
Weighted-average term to maturity	15.8 days			12.8 days

⁽¹⁾ Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance.

The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and nine months ended September 30, 2016 and 2015:

	September 30, 2016			September 30, 2015
Weighted-average outstanding balance during the three months ended	$	3,519,719		$	3,740,959
Weighted-average rate during the three months ended		0.69	%		0.42	%
Weighted-average outstanding balance during the nine months ended	$	3,345,259		$	3,474,573
Weighted-average rate during the nine months ended		0.67	%		0.40	%

Federal Home Loan Bank, Advances

The following table provides information regarding the Company’s outstanding FHLB advances as of the date indicated:

	December 31, 2015
Pledged with agency MBS:
FHLB advances outstanding	$	786,900
Agency MBS collateral, at fair value		805,163
Net amount (1)		18,263
Weighted-average rate		0.36	%
Weighted-average term to maturity	11.6 days

⁽¹⁾ Net amount represents the value of collateral in excess of corresponding FHLB advance. The amount of collateral at-risk is limited to the outstanding FHLB advance and not the entire collateral balance.

Schedule of Long-term Debt Instruments

As of September 30, 2016 and December 31, 2015, the Company had $73,601 and $73,433, respectively, of outstanding long-term debentures, net of unamortized debt issuance costs of $1,699 and $1,867, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated:

	September 30, 2016									December 31, 2015
	Senior Notes Due 2025			Senior Notes Due 2023			Trust Preferred Debt			Senior Notes Due 2025			Senior Notes Due 2023			Trust Preferred Debt
Outstanding Principal	$	35,300		$	25,000		$	15,000		$	35,300		$	25,000		$	15,000
Annual Interest Rate		6.75	%		6.625	%	LIBOR+ 2.25 - 3.00 %				6.75	%		6.625	%	LIBOR+ 2.25 - 3.00 %
Interest Payment Frequency	Quarterly			Quarterly			Quarterly			Quarterly			Quarterly			Quarterly
Weighted-Average Interest Rate		6.75	%		6.625	%		3.43	%		6.75	%		6.625	%		3.07	%
Maturity	March 15, 2025			May 1, 2023			2033 - 2035			March 15, 2025			May 1, 2023			2033 - 2035
Early Redemption Date	March 15, 2018			May 1, 2016			2008 - 2010			March 15, 2018			May 1, 2016			2008 - 2010

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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following table presents the fair value of the Company’s derivative instruments as of the dates indicated:

	September 30, 2016					December 31, 2015
	Assets		Liabilities			Assets		Liabilities
Interest rate swaps	$	104	$	(67,225	)	$	6,153	$	—
10-year U.S. Treasury note futures		—		—			6,813		—
Options on 10-year U.S. Treasury note futures		1,500		(859	)		—		—
Put options on Eurodollar futures		—		—			25		—
TBA and specified agency MBS commitments		6,266		—			—		(553	)
Total	$	7,870	$	(68,084	)	$	12,991	$	(553	)

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following tables provide information about the derivative gains and losses recognized within the periods indicated:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Interest rate derivatives:
Interest rate swaps:
Net interest expense (1)	$	(5,126	)	$	—		$	(13,499	)	$	—
Unrealized gains (losses), net		15,426			—			(65,519	)		—
Losses realized upon early termination		(300	)		—			(300	)		—
Total interest rate swap gains (losses), net		10,000			—			(79,318	)		—
Eurodollar futures, net		—			(31,288	)		—			(62,738	)
U.S. Treasury note futures, net		—			(14,272	)		(63,285	)		(13,932	)
Options on U.S. Treasury note futures, net		(1,631	)		—			(7,880	)		—
10-year interest rate swap futures and other, net		—			(58,471	)		(25	)		(69,700	)
Total interest rate derivative gains (losses), net		8,369			(104,031	)		(150,508	)		(146,370	)
TBA and specified agency MBS commitments:
TBA dollar roll income (2)		5,321			1,896			12,835			4,390
Other gains (losses) on agency MBS commitments, net		1,506			4,508			17,728			(1,158	)
Total gains on agency MBS commitments, net		6,827			6,404			30,563			3,232
Total derivative gains (losses), net	$	15,196		$	(97,627	)	$	(119,945	)	$	(143,138	)

(1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry").

(2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase.

Derivative Instrument Volume of Activity

The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated:

	For the Three Months Ended September 30, 2016
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	2,250,000	$	1,250,000	$	—		$	(375,000	)	$	3,125,000
10-year U.S. Treasury note futures		—		15,000		(15,000	)		—			—
Purchased put options on 10-year U.S. Treasury note   futures		2,000,000		2,100,000		(3,500,000	)		—			600,000
Sold call options on 10-year U.S. Treasury note futures		—		1,000,000		(400,000	)		—			600,000
Purchased call options on 10-year U.S. Treasury note   futures		—		500,000		(200,000	)		—			300,000
Commitments to purchase (sell) MBS, net		875,441		2,675,000		(2,425,441	)		—			1,125,000

	For the Three Months Ended September 30, 2015
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Eurodollar futures	$	41,460,000	$	10,000	$	(2,465,000	)	$	(34,005,000	)	$	5,000,000
10-year interest rate swap futures		1,075,000		1,360,000		(1,085,000	)		(365,000	)		985,000
10-year U.S. Treasury note futures		—		1,065,000		—			—			1,065,000
Commitments to purchase (sell) MBS, net		500,000		1,140,000		(850,000	)		—			790,000

	For the Nine Months Ended September 30, 2016
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Interest rate swaps	$	1,500,000	$	2,000,000	$	—		$	(375,000	)	$	3,125,000
10-year U.S. Treasury note futures		1,335,000		1,386,000		(2,133,500	)		(587,500	)		—
Purchased put options on 10-year U.S. Treasury note   futures		—		8,100,000		(7,500,000	)		—			600,000
Sold call options on 10-year U.S. Treasury note futures		—		1,000,000		(400,000	)		—			600,000
Purchased call options on 10-year U.S. Treasury note   futures		—		500,000		(200,000	)		—			300,000
Put options on Eurodollar futures		4,000,000		—		(4,000,000	)		—			—
Commitments to purchase (sell) MBS, net		375,000		6,225,441		(5,475,441	)		—			1,125,000

	For the Nine Months Ended September 30, 2015
	Beginning of Period		Additions		Scheduled Settlements			Early Terminations			End of Period
Eurodollar futures	$	41,090,000	$	5,150,000	$	(7,235,000	)	$	(34,005,000	)	$	5,000,000
10-year interest rate swap futures		1,145,000		2,685,000		(2,480,000	)		(365,000	)		985,000
10-year U.S. Treasury note futures		—		1,190,000		(125,000	)		—			1,065,000
Commitments to purchase (sell) MBS, net		200,000		2,057,544		(1,467,544	)		—			790,000

Derivative Instrument Cash Collateral

The following table presents information about the cash collateral posted by the Company in respect of its derivative instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the periods indicated:

	September 30, 2016		December 31, 2015
Interest rate swaps	$	117,052	$	17,434
Options on U.S. Treasury note futures		3,485		—
U.S. Treasury note futures		—		11,197
TBA commitments		—		798
Total cash collateral posted	$	120,537	$	29,429

Put and Call Options on 10-year U.S. Treasury Note Futures

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

Information about the Company’s outstanding put and call options on 10-year U.S. Treasury note futures contracts as of September 30, 2016 is as follows:

	Notional Amount		Implied Strike Rate (1)			Net Fair Value
Purchased put options:
October 2016 expiration	$	500,000		1.72	%	$	781
November 2016 expiration		100,000		1.67	%		625
Total / weighted average for purchased put options	$	600,000		1.71	%	$	1,406
Sold call options:
October 2016 expiration	$	500,000		1.38	%	$	(469	)
November 2016 expiration		100,000		1.44	%		(390	)
Total / weighted average for sold call options	$	600,000		1.39	%	$	(859	)
Purchased call options:
October 2016 expiration	$	300,000		1.07	%	$	94
						$	641

(1) The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract.

TBA Commitments

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following tables present information about the Company’s TBA commitments as of the dates indicated:

	September 30, 2016
			Weighted-average:
	Notional Amount: Net Purchase (Sale) Commitment		Contractual Forward Price		Market Price		Fair Value
30-year 3.0% coupon TBA commitments	$	1,125,000	$	1,163,633	$	1,169,899	$	6,266

	December 31, 2015
			Weighted-average:
	Notional Amount: Net Purchase (Sale) Commitment		Contractual Forward Price		Market Price		Fair Value
30-year 3.5% coupon TBA commitments	$	275,000	$	283,928	$	283,469	$	(459	)
30-year 4.0% coupon TBA commitments		100,000		105,883		105,789		(94	)
Total	$	375,000	$	389,811	$	389,258	$	(553	)

Interest Rate Swap

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2016:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Remaining Life (Years)		Fair Value
Years to maturity:
Less than 3 years	$	1,250,000		1.06	%		1.9	$	(2,953	)
3 to less than 7 years		—		—			—		—
7 to 10 years		1,500,000		1.89	%		9.4		(64,235	)
Total / weighted-average	$	2,750,000		1.51	%		6.0	$	(67,188	)

The following table presents information about the Company’s interest rate swap agreements as of December 31, 2015, all of which were in effect as of that date:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Remaining Life (Years)		Fair Value
Years to maturity:
Less than 3 years	$	750,000		1.04	%		1.9	$	1,166
3 to less than 7 years		—		—			—		—
7 to 10 years		750,000		2.12	%		9.9		4,987
Total / weighted-average	$	1,500,000		1.58	%		5.9	$	6,153

Forward-Starting Interest Rate Swap

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Schedule of Derivative Instruments

The following table presents information about the Company’s forward-starting interest rate swap agreements that had yet to take effect as of September 30, 2016:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Term After Effective Date (Years)		Fair Value
Effective in September / October 2017	$	375,000		1.13	%		2.0	$	67

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Offsetting of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2016

Offsetting [Abstract]

Offsetting of Financial Assets and Liabilities

The following tables present information, as of the dates indicated, about the Company’s derivative instruments and short-term borrowing arrangements, including those subject to master netting (or similar) arrangements:

	As of September 30, 2016
	Gross Amount Recognized		Amount Offset in the Consolidated Balance Sheets		Net Amount Presented in the Consolidated Balance Sheets		Gross Amount Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial Instruments (1)			Cash Collateral (2)
Assets:
Derivative instruments:
Options on U.S. Treasury note futures	$	1,500	$	—	$	1,500	$	(859	)	$	—		$	641
Interest rate swaps		104		—		104		(104	)		—			—
TBA commitments		6,266		—		6,266		—			—			6,266
Total derivative instruments		7,870		—		7,870		(963	)		—			6,907
Total assets	$	7,870	$	—	$	7,870	$	(963	)	$	—		$	6,907
Liabilities:
Derivative instruments:
Interest rate swaps	$	67,225	$	—	$	67,225	$	(104	)	$	(67,121	)	$	—
Options on U.S. Treasury note futures		859		—		859		(859	)		—			—
Total derivative instruments		68,084		—		68,084		(963	)		(67,121	)		—
Repurchase agreements		3,376,898		—		3,376,898		(3,376,898	)		—			—
Total liabilities	$	3,444,982	$	—	$	3,444,982	$	(3,377,861	)	$	(67,121	)	$	—

	As of December 31, 2015
	Gross Amount Recognized		Amount Offset in the Consolidated Balance Sheets		Net Amount Presented in the Consolidated Balance Sheets		Gross Amount Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial Instruments (1)			Cash Collateral (2)
Assets:
Derivative instruments:
Interest rate swaps	$	6,153	$	—	$	6,153	$	—		$	—		$	6,153
10-year U.S. Treasury note futures		6,813		—		6,813		—			—			6,813
Put options on Eurodollar futures		25		—		25		—			—			25
Total derivative instruments		12,991		—		12,991		—			—			12,991
Total assets	$	12,991	$	—	$	12,991	$	—		$	—		$	12,991
Liabilities:
Derivative instruments:
TBA commitments	$	553	$	—	$	553	$	—		$	(387	)	$	166
Total derivative instruments		553		—		553		—			(387	)		166
Repurchase agreements		2,834,780		—		2,834,780		(2,834,780	)		—			—
Federal Home Loan Bank advances		786,900		—		786,900		(786,900	)		—			—
Total liabilities	$	3,622,233	$	—	$	3,622,233	$	(3,621,680	)	$	(387	)	$	166

⁽¹⁾ Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements or Federal Home Loan Bank advances that exceeds the associated liability presented in the consolidated balance sheets.

⁽²⁾ Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets.

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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Measurements, Recurring and Nonrecurring

The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of September 30, 2016 and December 31, 2015. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

	September 30, 2016
	Total			Level 1			Level 2			Level 3
MBS
Trading:
Agency MBS	$	3,669,235		$	—		$	3,669,235		$	—
Private-label MBS		2,763			—			—			2,763
Total trading		3,671,998			—			3,669,235			2,763
Available-for-sale:
Agency MBS		24			—			24			—
Private-label MBS		18,541			—			—			18,541
Total available-for-sale		18,565			—			24			18,541
Total MBS		3,690,563			—			3,669,259			21,304
Derivative assets		7,870			1,500			6,370			—
Derivative liabilities		(68,084	)		(859	)		(67,225	)		—
Other assets		619			—			—			619
Total	$	3,630,968		$	641		$	3,608,404		$	21,923

	December 31, 2015
	Total			Level 1		Level 2			Level 3
MBS
Trading:
Agency MBS	$	3,865,290		$	—	$	3,865,290		$	—
Private-label MBS		3,017			—		—			3,017
Total trading		3,868,307			—		3,865,290			3,017
Available-for-sale:
Agency MBS		26			—		26			—
Private-label MBS		127,536			—		—			127,536
Total available-for-sale		127,562			—		26			127,536
Total MBS		3,995,869			—		3,865,316			130,553
Derivative assets		12,991			6,838		6,153			—
Derivative liabilities		(553	)		—		(553	)		—
Total	$	4,008,307		$	6,838	$	3,870,916		$	130,553

Fair Value Inputs, Assets, Quantitative Information

The following table provides information about the significant unobservable inputs used to measure the fair value of the Company’s private-label MBS as of the dates indicated:

	September 30, 2016				December 31, 2015
	Weighted- average (1)			Range	Weighted- average (1)			Range
Discount rate		5.50	%	5.50 - 5.50 %		5.57	%	5.50 - 10.00 %
Default rate		2.79	%	2.00 - 6.20 %		2.78	%	1.45 - 6.20 %
Loss severity rate		41.13	%	35.00 - 55.00 %		45.84	%	35.00 - 65.00 %
Total prepayment rate (including defaults)		12.42	%	10.25 - 17.70 %		11.02	%	7.75 - 17.70 %

⁽¹⁾ Based on face value.

Fair Value, Measured on Recurring Basis

The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 investments that are measured at fair value on a recurring basis for the periods indicated.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Beginning balance	$	89,186		$	152,353		$	130,553		$	267,649
Total net gains (losses)
Included in investment gain (loss), net		2,994			781			537			17,595
Included in other comprehensive income		(3,325	)		(5,422	)		(11,739	)		(33,634	)
Purchases		—			—			5,357			2,870
Sales		(67,761	)		(14,164	)		(106,052	)		(124,637	)
Payments, net		(826	)		(1,877	)		(4,170	)		(7,381	)
Accretion of discount		1,655			3,249			7,437			12,458
Ending balance	$	21,923		$	134,920		$	21,923		$	134,920
Net unrealized gains (losses) included in earnings for the    period for Level 3 assets still held at the reporting date	$	(64	)	$	(207	)	$	(280	)	$	18

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Earnings Per Share (Tables)

9 Months Ended

Sep. 30, 2016

Earnings Per Share [Abstract]

Computations of Basic and Diluted Earnings (Loss) Per Share

The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated:

	Three Months Ended September 30,					Nine Months Ended September 30,
(Shares in thousands)	2016		2015			2016		2015
Basic weighted-average shares outstanding		23,038		23,021			23,011		22,991
Performance share units and unvested restricted stock		311		—			143		—
Diluted weighted-average shares outstanding		23,349		23,021			23,154		22,991
Net income (loss)	$	18,813	$	(52,630	)	$	89	$	(88,214	)
Basic earnings (loss) per common share	$	0.82	$	(2.29	)	$	-	$	(3.84	)
Diluted earnings (loss) per common share	$	0.81	$	(2.29	)	$	-	$	(3.84	)

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Shareholders' Equity (Tables)

9 Months Ended

Sep. 30, 2016

Equity [Abstract]

Schedule of Dividends Payable

The Board of Directors has approved and the Company has declared and paid the following dividends to date in 2016:

Quarter Ended	Dividend Amount		Declaration Date	Record Date	Pay Date
September 30	$	0.625	September 15	September 30	October 31
June 30		0.625	June 17	June 30	July 29
March 31		0.625	March 15	March 31	April 29

The Board of Directors approved and the Company declared and paid the following dividends for 2015:

Quarter Ended	Dividend Amount		Declaration Date	Record Date	Pay Date
December 31	$	0.625	December 17	December 31	January 29, 2016
September 30		0.625	September 17	September 30	October 30
June 30		0.875	June 17	June 30	July 31
March 31		0.875	March 10	March 31	April 30

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Summary of Significant Accounting Policies - Additional Information (Details)	Sep. 30, 2016	Dec. 31, 2015
Earnings Per Share [Abstract]
Cash Equivalents Percentage Held in Us Government Backed Securities	98.00%	98.00%

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Summary of Significant Accounting Policies - Effect of Company Retrospective Application of Change in Accounting Policy (Details) - USD ($) $ in Thousands	3 Months Ended					9 Months Ended		12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Interest income: agency mortgage-backed securities		$ 28,339	$ 27,989	$ 24,126	$ 25,460			$ 105,914
Gain (loss) on trading investments, net	$ 2,468	(36,247)	36,889	(51,445)	19,745	$ 81,083	$ 5,189	(31,058)
Net income (loss)	$ 18,813		(52,630)			$ 89	$ (88,214)	(69,403)
Scenario, Previously Reported [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Interest income: agency mortgage-backed securities		35,475	37,325	34,530	31,914			139,244
Gain (loss) on trading investments, net		(43,383)	27,553	(61,849)	13,291			(64,388)
Scenario, Retrospective Adjustment [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Interest income: agency mortgage-backed securities		(7,136)	(9,336)	(10,404)	(6,454)			(33,330)
Gain (loss) on trading investments, net		$ 7,136	$ 9,336	$ 10,404	$ 6,454			$ 33,330

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Investments in Agency MBS - Fair Value of Available for Sale Securities and Trading investments in MBS (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Agency MBS classified as:
Total	$ 3,690,563	$ 3,995,869
Agency MBS
Agency MBS classified as:
Available-for-sale	24	26
Trading	3,669,235	3,865,290
Total	$ 3,669,259	$ 3,865,316

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Investments in Agency MBS - Additional Information (Details) $ in Thousands	Sep. 30, 2016 USD ($)
Interest-only agency MBS
Trading securities	$ 4,531

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Investments in Agency MBS - Additional Information About Gains and Losses Recognized with Respect to Investments in MBS classified as trading securities (Details) - USD ($) $ in Thousands	3 Months Ended					9 Months Ended		12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
Net gains recognized in earnings for:
Gain (loss) on trading investments, net	$ 2,468	$ (36,247)	$ 36,889	$ (51,445)	$ 19,745	$ 81,083	$ 5,189	$ (31,058)
Agency MBS
Net gains recognized in earnings for:
MBS still held at period end	2,960		52,060			56,079	26,739
Gain (loss) on trading investments, net	(428)		(14,964)			25,195	(21,568)
Total	$ 2,532		$ 37,096			$ 81,274	$ 5,171

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Investments in Private-Label MBS - Fair Value of Available for Sale and Trading investments in MBS (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Private-label MBS classified as:
Mortgage Backed Securities Fair Value Disclosure	$ 3,690,563	$ 3,995,869
Private-Label MBS
Private-label MBS classified as:
Mortgage Backed Securities Fair Value Disclosure	21,304	130,553
Private-Label MBS | Trading Securities
Private-label MBS classified as:
Mortgage Backed Securities Fair Value Disclosure	2,763	3,017
Private-Label MBS | Available-for-sale Securities
Private-label MBS classified as:
Mortgage Backed Securities Fair Value Disclosure	$ 18,541	$ 127,536

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Investments in Private-Label MBS - Weighted Average Characteristics of Prime and Alt-A Residential Mortgage Loans that Serve as Collateral to Underlying REMIC Securitization Trusts MBS (Details) - Residential Mortgage - Score	Sep. 30, 2016	Dec. 31, 2015
Underlying Collateral Quantitative Disclosures [Line Items]
Original loan-to-value	67.00%	66.00%
Original FICO score	725	723
Three-month voluntary prepayment rate (annualized)	1.80%	6.10%
Three-month default rate (annualized)	10.20%	4.70%
Three-month loss severity rate	18.90%	36.90%
Three-month credit loss rate (annualized)	1.90%	1.70%

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Investments in Private-Label MBS - Gross Unrealized Gains and Losses Accumulated in Other Comprehensive Income for Investments in Available-for-sale MBS (Details) - Private-label MBS - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Unpaid Principal Balance	$ 21,873	$ 164,555
Net Discounts	(7,193)	(52,620)
Amortized Cost Basis	14,680	111,935
Unrealized Gains	3,861	15,601
Unrealized Losses	0	0
Fair Value	$ 18,541	$ 127,536

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Investments in Private-Label MBS - Results of Sales of Available-for-sale MBS (Details) - Private-Label MBS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Schedule of Available-for-sale Securities [Line Items]
Proceeds from sales	$ 67,761	$ 14,164	$ 96,171	$ 124,637
Gross realized gains	2,440	975	2,466	17,854
Gross realized losses	$ 1	$ 6	$ 620	$ 420

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Investments in Private-Label MBS - Changes in Accretable Yield Solely for Available-for-sale MBS (Details) - Available-for-sale Securities - Private-Label MBS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items]
Beginning balance	$ 48,199	$ 103,065	$ 85,052	$ 202,108
Accretion	(1,449)	(3,197)	(6,470)	(12,395)
Reclassifications, net	24	(5,075)	(11,853)	(9,579)
Eliminations in consolidation	(37,346)	(6,181)	(53,786)	(91,522)
Ending balance	9,428	88,612	9,428	88,612
Consolidation, Eliminations
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items]
Eliminations in consolidation	$ 0	$ 0	$ (3,515)	$ 0

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Investments in Private-Label MBS - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Private-Label MBS
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities	$ 0	$ 0	$ 1,737	$ 0

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Investments in Private-Label MBS - Cumulative Credit Related Other than Temporary Impairment Charges Recognized on Available-for-sale MBS (Details) - Available-for-sale Securities - Private-Label MBS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Schedule of Available-for-sale Securities [Line Items]
Cumulative credit related other-than-temporary impairments, beginning balance	$ 15,754	$ 12,822	$ 14,017	$ 18,903
Additions for:
Securities for which other-than-temporary impairments have not previously occurred	0	0	1,737	0
Securities with previously recognized other-than-temporary impairments	0	0	0	0
Reductions
Reductions for sold or matured securities	(2,035)	(1,222)	(2,035)	(7,303)
Cumulative credit related other-than-temporary impairments, ending balance	$ 13,719	$ 11,600	$ 13,719	$ 11,600

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Investments in Private-Label MBS - Additional Information Realized Gain Loss on Investments (Details) - USD ($) $ in Thousands	3 Months Ended					9 Months Ended		12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
Net gains recognized in earnings for:
Gain (loss) on trading investments, net	$ 2,468	$ (36,247)	$ 36,889	$ (51,445)	$ 19,745	$ 81,083	$ 5,189	$ (31,058)
Private-Label MBS
Net gains recognized in earnings for:
MBS still held at period end	(64)		(207)			(280)	18
Gain (loss) on trading investments, net	0		0			89	0
Total	$ (64)		$ (207)			$ (191)	$ 18

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Borrowings - Outstanding Repurchase Agreement Borrowings (Details) - USD ($) $ in Thousands		9 Months Ended	12 Months Ended
		Sep. 30, 2016	Dec. 31, 2015
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding		$ 3,376,898	$ 2,834,780
MBS collateral, at fair value		3,568,510	3,017,195
Net amount	[1]	$ 191,612	$ 182,415
Weighted-average rate		0.75%	0.64%
Weighted-average term to maturity (in days)		15.8 days	12.8 days
Pledged with agency-backed MBS
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding		$ 3,370,891	$ 2,797,561
MBS collateral, at fair value		3,555,120	2,946,684
Net amount	[1]	$ 184,229	$ 149,123
Weighted-average rate		0.74%	0.61%
Weighted-average term to maturity (in days)		15.8 days	12.8 days
Pledged with private-label MBS
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding		$ 6,007	$ 37,219
MBS collateral, at fair value		13,390	70,511
Net amount	[1]	$ 7,383	$ 33,292
Weighted-average rate		2.38%	2.42%
Weighted-average term to maturity (in days)		19.0 days	16.9 days

[1] Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance.

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Borrowings - Information Regarding Outstanding Repurchase Agreement Borrowings During the Period (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Debt Disclosure [Abstract]
Weighted-average outstanding balance	$ 3,519,719	$ 3,740,959	$ 3,345,259	$ 3,474,573
Weighted-average rate	0.69%	0.42%	0.67%	0.40%

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Borrowings - Additional Information (Details) - USD ($) $ in Thousands		9 Months Ended
	Mar. 18, 2015	Sep. 30, 2015	Sep. 30, 2016	Dec. 31, 2015
Debt Instrument [Line Items]
Federal Home Loan Bank Advances Capital Stock Acquired			$ 2	$ 15,740
Long-term Debt			73,601	73,433
Net of unamortized debt issuance costs			1,699	1,867
Proceeds from Issuance of Long-term Debt		$ 34,063
Senior Notes Due In 2025
Debt Instrument [Line Items]
Long-term Debt	$ 35,300		$ 35,300	$ 35,300
Debt Instrument, Interest Rate, Stated Percentage	6.75%		6.75%	6.75%
Proceeds from Issuance of Long-term Debt	$ 34,063

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Borrowings - Borrowings - Outstanding FHLB advances (Details) - Federal Home Loan Bank of Cincinnati $ in Thousands	12 Months Ended
	Dec. 31, 2015 USD ($)
Federal Home Loan Bank Advances Branch Of F H L B Bank [Line Items]
FHLB advances outstanding	$ 786,900
Agency MBS collateral, at fair value	805,163
Net amount	$ 18,263	[1]
Weighted-average term to maturity	12 days
Weighted Average
Federal Home Loan Bank Advances Branch Of F H L B Bank [Line Items]
Weighted-average rate	0.36%

[1] Net amount represents the value of collateral in excess of corresponding FHLB advance. The amount of collateral at-risk is limited to the outstanding FHLB advance and not the entire collateral balance.

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Borrowings - Long-term Debt Instruments (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015	Mar. 18, 2015
Senior Notes Due 2025
Debt Instrument [Line Items]
Outstanding Principal	$ 35,300	$ 35,300	$ 35,300
Annual Interest Rate	6.75%	6.75%	6.75%
Interest Payment Frequency	Quarterly	Quarterly
Weighted-Average Interest Rate	6.75%	6.75%
Maturity	Mar. 15, 2025	Mar. 15, 2025
Early Redemption Date	Mar. 15, 2018	Mar. 15, 2018
Senior Notes Due 2023
Debt Instrument [Line Items]
Outstanding Principal	$ 25,000	$ 25,000
Annual Interest Rate	6.625%	6.625%
Interest Payment Frequency	Quarterly	Quarterly
Weighted-Average Interest Rate	6.625%	6.625%
Maturity	May 01, 2023	May 01, 2023
Early Redemption Date	May 01, 2016	May 01, 2016
Trust Preferred Debt
Debt Instrument [Line Items]
Outstanding Principal	$ 15,000	$ 15,000
Interest Payment Frequency	Quarterly	Quarterly
Weighted-Average Interest Rate	3.43%	3.07%
Annual Interest Rate	LIBOR+ 2.25 - 3.00 %	LIBOR+ 2.25 - 3.00 %
Trust Preferred Debt | Minimum
Debt Instrument [Line Items]
Maturity	2033	2033
Early Redemption Date	2008	2008
Trust Preferred Debt | Maximum
Debt Instrument [Line Items]
Maturity	2035	2035
Early Redemption Date	2010	2010

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Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Derivative Assets	$ 7,870	$ 12,991
Derivative Liabilities	(68,084)	(553)
Interest Rate Swap and Forward Starting Interest Rate Swap
Derivative Assets	104	6,153
Derivative Liabilities	(67,225)	0
10-year U.S. Treasury Note Futures
Derivative Assets	0	6,813
Derivative Liabilities	0	0
Options on 10-year U.S. Treasury Note Futures
Derivative Assets	1,500	0
Derivative Liabilities	(859)	0
Put Options on Eurodollar Futures
Derivative Assets	0	25
Derivative Liabilities	0	0
TBA and Specified Agency MBS Commitments
Derivative Assets	6,266	0
Derivative Liabilities	$ 0	$ (553)

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Derivative Instruments - Interest Rate Swap Agreements (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Fair Value	$ (68,084)	$ (553)
Fair Value	7,870	12,991
Interest Rate Swap
Notional Amount	$ 2,750,000	$ 1,500,000
Weighted-average: Fixed Pay Rate	1.51%	1.58%
Weighted-average: Remaining Life (in years)	6 years	5 years 10 months 24 days
Fair Value	$ (67,188)
Fair Value		$ 6,153
Interest Rate Swap | Less Than Three Year Maturity
Notional Amount	$ 1,250,000	$ 750,000
Weighted-average: Fixed Pay Rate	1.06%	1.04%
Weighted-average: Remaining Life (in years)	1 year 10 months 24 days	1 year 10 months 24 days
Fair Value	$ (2,953)
Fair Value		$ 1,166
Interest Rate Swap | Three To Less Than Seven Years Maturity
Notional Amount	$ 0	$ 0
Weighted-average: Fixed Pay Rate	0.00%	0.00%
Weighted-average: Remaining Life (in years)	0 years	0 years
Fair Value	$ 0
Fair Value		$ 0
Interest Rate Swap | Seven To Ten Year Maturity
Notional Amount	$ 1,500,000	$ 750,000
Weighted-average: Fixed Pay Rate	1.89%	2.12%
Weighted-average: Remaining Life (in years)	9 years 4 months 24 days	9 years 10 months 24 days
Fair Value	$ (64,235)
Fair Value		$ 4,987
Forward-Starting Interest Rate Swap | Effective In September / October 2017
Notional Amount	$ 375,000
Weighted-average: Fixed Pay Rate	1.13%
Weighted-average: Remaining Life (in years)	2 years
Fair Value	$ 67

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Derivative Instruments - Additional Information (Details) - Options on 10-year U.S. Treasury Note Futures $ in Millions	Sep. 30, 2016 USD ($)
Purchased Put Options
Derivative [Line Items]
Notional Amount	$ 600
Weighted average strike price	1.71%
Sold Call Options
Derivative [Line Items]
Notional Amount	$ 600
Weighted average strike price	1.39%
Purchased Call Options
Derivative [Line Items]
Notional Amount	$ 300
Weighted average strike price	1.07%

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Derivative Instruments - Outstanding Put and Call Options (Details) - 10-year U.S. Treasury Note Futures - USD ($) $ in Thousands		Sep. 30, 2016	Jun. 30, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Dec. 31, 2014
Derivative [Line Items]
Notional Amount		$ 0	$ 0	$ 1,335,000	$ 1,065,000	$ 0	$ 0
Net Fair Value		641
Purchased Put Options
Derivative [Line Items]
Notional Amount		$ 600,000
Implied Strike Rate	[1]	1.71%
Net Fair Value		$ 1,406
Sold Call Options
Derivative [Line Items]
Notional Amount		$ 600,000
Implied Strike Rate	[1]	1.39%
Net Fair Value		$ (859)
October 2016 Expiration | Purchased Put Options
Derivative [Line Items]
Notional Amount		$ 500,000
Implied Strike Rate	[1]	1.72%
Net Fair Value		$ 781
October 2016 Expiration | Sold Call Options
Derivative [Line Items]
Notional Amount		$ 500,000
Implied Strike Rate	[1]	1.38%
Net Fair Value		$ (469)
October 2016 Expiration | Purchased Call Options
Derivative [Line Items]
Notional Amount		$ 300,000
Implied Strike Rate	[1]	1.07%
Net Fair Value		$ 94
November 2016 Expiration | Purchased Put Options
Derivative [Line Items]
Notional Amount		$ 100,000
Implied Strike Rate	[1]	1.67%
Net Fair Value		$ 625
November 2016 Expiration | Sold Call Options
Derivative [Line Items]
Notional Amount		$ 100,000
Implied Strike Rate	[1]	1.44%
Net Fair Value		$ (390)

[1] The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract.

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Derivative Instruments - Outstanding Put and Call Options (Parenthetical) (Details) - 10-year U.S. Treasury Note Futures	9 Months Ended
	Sep. 30, 2016
October 2016 Expiration | Purchased Put Options
Derivative [Line Items]
Options maturity period	Oct. 31, 2016
October 2016 Expiration | Sold Call Options
Derivative [Line Items]
Options maturity period	Oct. 31, 2016
October 2016 Expiration | Purchased Call Options
Derivative [Line Items]
Options maturity period	Oct. 31, 2016
November 2016 Expiration | Purchased Put Options
Derivative [Line Items]
Options maturity period	Nov. 30, 2016
November 2016 Expiration | Sold Call Options
Derivative [Line Items]
Options maturity period	Nov. 30, 2016

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Derivative Instruments - TBA Commitments (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Fair Value	$ 7,870	$ 12,991
Fair Value	(68,084)	(553)
TBA Commitments
Notional Amount: Net Purchase (Sale) Commitment		375,000
Weighted-average: Contractual Forward Price		389,811
Weighted-average: Market Price		389,258
Fair Value	6,266
Fair Value		(553)
Thirty Years and Three Percent Coupon | TBA Commitments
Notional Amount: Net Purchase (Sale) Commitment	1,125,000
Weighted-average: Contractual Forward Price	1,163,633
Weighted-average: Market Price	1,169,899
Fair Value	$ 6,266
Thirty Years and Three Point Five Percent Coupon | TBA Commitments
Notional Amount: Net Purchase (Sale) Commitment		275,000
Weighted-average: Contractual Forward Price		283,928
Weighted-average: Market Price		283,469
Fair Value		(459)
Thirty Years and Four Percent Coupon | TBA Commitments
Notional Amount: Net Purchase (Sale) Commitment		100,000
Weighted-average: Contractual Forward Price		105,883
Weighted-average: Market Price		105,789
Fair Value		$ (94)

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Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Interest rate derivatives		$ 8,369	$ (104,031)	$ (150,508)	$ (146,370)
Total derivative gains (losses), net		15,196	(97,627)	(119,945)	(143,138)
Interest Rate Swap Gains (Losses), Net
Interest rate derivatives		10,000	0	(79,318)	0
Interest Rate Swaps Losses Realized Upon Early Termination
Interest rate derivatives		(300)	0	(300)	0
Interest Rate Swaps Net Interest Expense
Interest rate derivatives	[1]	(5,126)	0	(13,499)	0
Interest Rate Swaps Unrealized Gains (Losses), Net
Interest rate derivatives		15,426	0	(65,519)	0
Eurodollar Futures
Interest rate derivatives		0	(31,288)	0	(62,738)
Options on US Treasury Note Futures
Interest rate derivatives		(1,631)	0	(7,880)	0
10-year Interest Rate Swap Futures
Interest rate derivatives		0	(58,471)	(25)	(69,700)
TBA and Specified Agency MBS Commitments
Gains (losses) on agency commitments		6,827	6,404	30,563	3,232
TBA Dollar Roll Income
Gains (losses) on agency commitments	[2]	5,321	1,896	12,835	4,390
Other Gains (Losses) on Agency MBS Commitments
Gains (losses) on agency commitments		1,506	4,508	17,728	(1,158)
U.S. Treasury Note Futures
Interest rate derivatives		$ 0	$ (14,272)	$ (63,285)	$ (13,932)

[1] Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry").

[2] Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase.

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Derivative Instruments - Volume of Activity, in terms of Notional Amount, Related to Derivative Instruments (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Interest Rate Swap and Forward Starting Interest Rate Swap
Derivative [Line Items]
Beginning of Period	$ 2,250,000		$ 1,500,000
Additions	1,250,000		2,000,000
Scheduled Settlements	0		0
Early Terminations	(375,000)		(375,000)
End of Period	3,125,000		3,125,000
10-year U.S. Treasury Note Futures
Derivative [Line Items]
Beginning of Period	0	$ 0	1,335,000	$ 0
Additions	15,000	1,065,000	1,386,000	1,190,000
Scheduled Settlements	(15,000)	0	(2,133,500)	(125,000)
Early Terminations	0	0	(587,500)	0
End of Period	0	1,065,000	0	1,065,000
Purchased Put Options on 10-Year U.S. Treasury Note Futures
Derivative [Line Items]
Beginning of Period	2,000,000		0
Additions	2,100,000		8,100,000
Scheduled Settlements	(3,500,000)		(7,500,000)
Early Terminations	0		0
End of Period	600,000		600,000
Sold Call Options on Ten Year U.S. Treasury Note Futures
Derivative [Line Items]
Beginning of Period	0		0
Additions	1,000,000		1,000,000
Scheduled Settlements	(400,000)		(400,000)
Early Terminations	0		0
End of Period	600,000		600,000
Purchased Call Options on Ten Year U.S. Treasury Note Futures
Derivative [Line Items]
Beginning of Period	0		0
Additions	500,000		500,000
Scheduled Settlements	(200,000)		(200,000)
Early Terminations	0		0
End of Period	300,000		300,000
Put Options on Eurodollar Futures
Derivative [Line Items]
Beginning of Period			4,000,000
Additions			0
Scheduled Settlements			(4,000,000)
Early Terminations			0
End of Period	0		0
Commitments To Purchase (sell) MBS
Derivative [Line Items]
Beginning of Period	875,441	500,000	375,000	200,000
Additions	2,675,000	1,140,000	6,225,441	2,057,544
Scheduled Settlements	(2,425,441)	(850,000)	(5,475,441)	(1,467,544)
Early Terminations	0	0	0	0
End of Period	$ 1,125,000	790,000	$ 1,125,000	790,000
Eurodollar Futures
Derivative [Line Items]
Beginning of Period		41,460,000		41,090,000
Additions		10,000		5,150,000
Scheduled Settlements		(2,465,000)		(7,235,000)
Early Terminations		(34,005,000)		(34,005,000)
End of Period		5,000,000		5,000,000
10-year Interest Rate Swap Futures
Derivative [Line Items]
Beginning of Period		1,075,000		1,145,000
Additions		1,360,000		2,685,000
Scheduled Settlements		(1,085,000)		(2,480,000)
Early Terminations		(365,000)		(365,000)
End of Period		$ 985,000		$ 985,000

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Derivative Instruments - Cash Collateral Posted in Respect of Derivative Instruments(Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Deposits	$ 120,537	$ 29,429
U.S. Treasury Note Futures
Deposits	0	11,197
Interest Rate Swap
Deposits	117,052	17,434
Options on US Treasury Note Futures
Deposits	3,485	0
TBA Commitments
Deposits	$ 0	$ 798

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Derivative Instruments and Short-term Borrowing Arrangements, including those Subject to Master Netting or Similar Arrangements (Details) - USD ($) $ in Thousands		Sep. 30, 2016	Dec. 31, 2015
Derivative instruments:
Derivative Asset, Gross Amount Recognized		$ 7,870	$ 12,991
Derivative Asset, Amount Offset		0	0
Derivative Asset, Net Amount		7,870	12,991
Derivative Asset, Financial Instruments	[1]	(963)	0
Derivative Asset, Cash Collateral	[2]	0	0
Derivative Asset, Net amount Total		6,907	12,991
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized		68,084	553
Derivative Liabilities, Amount Offset		0	0
Derivative Liabilities, Net Amount		68,084	553
Derivative Liabilities, Financial Instruments	[1]	(963)	0
Derivative Liabilities, Cash Collateral	[2]	(67,121)	(387)
Derivative Liabilities, Net amount Total		0	166
Derivative Financial Instruments, Liabilities
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized		3,444,982	3,622,233
Derivative Liabilities, Amount Offset		0	0
Derivative Liabilities, Net Amount		3,444,982	3,622,233
Derivative Liabilities, Financial Instruments	[1]	(3,377,861)	(3,621,680)
Derivative Liabilities, Cash Collateral	[2]	(67,121)	(387)
Derivative Liabilities, Net amount Total		0	166
Federal Home Loan Bank Advances
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized			786,900
Derivative Liabilities, Amount Offset			0
Derivative Liabilities, Net Amount			786,900
Derivative Liabilities, Financial Instruments	[1]		(786,900)
Derivative Liabilities, Cash Collateral	[2]		0
Derivative Liabilities, Net amount Total			0
Derivative Financial Instruments, Assets
Derivative instruments:
Derivative Asset, Gross Amount Recognized		7,870	12,991
Derivative Asset, Amount Offset		0	0
Derivative Asset, Net Amount		7,870	12,991
Derivative Asset, Financial Instruments	[1]	(963)	0
Derivative Asset, Cash Collateral	[2]	0	0
Derivative Asset, Net amount Total		6,907	12,991
U.S. Treasury Note Futures
Derivative instruments:
Derivative Asset, Gross Amount Recognized			6,813
Derivative Asset, Amount Offset			0
Derivative Asset, Net Amount			6,813
Derivative Asset, Financial Instruments	[1]		0
Derivative Asset, Cash Collateral	[2]		0
Derivative Asset, Net amount Total			6,813
U.S. Treasury Note Futures | Option
Derivative instruments:
Derivative Asset, Gross Amount Recognized		1,500
Derivative Asset, Amount Offset		0
Derivative Asset, Net Amount		1,500
Derivative Asset, Financial Instruments	[1]	(859)
Derivative Asset, Cash Collateral	[2]	0
Derivative Asset, Net amount Total		641
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized		859
Derivative Liabilities, Amount Offset		0
Derivative Liabilities, Net Amount		859
Derivative Liabilities, Financial Instruments	[1]	(859)
Derivative Liabilities, Cash Collateral	[2]	0
Derivative Liabilities, Net amount Total		0
Repurchase Agreements
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized		3,376,898	2,834,780
Derivative Liabilities, Amount Offset		0	0
Derivative Liabilities, Net Amount		3,376,898	2,834,780
Derivative Liabilities, Financial Instruments	[1]	(3,376,898)	(2,834,780)
Derivative Liabilities, Cash Collateral	[2]	0	0
Derivative Liabilities, Net amount Total		0	0
10-year Interest Rate Swap Futures
Derivative instruments:
Derivative Asset, Gross Amount Recognized		104	6,153
Derivative Asset, Amount Offset		0	0
Derivative Asset, Net Amount		104	6,153
Derivative Asset, Financial Instruments	[1]	(104)	0
Derivative Asset, Cash Collateral	[2]	0	0
Derivative Asset, Net amount Total		0	6,153
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized		67,225
Derivative Liabilities, Amount Offset		0
Derivative Liabilities, Net Amount		67,225
Derivative Liabilities, Financial Instruments	[1]	(104)
Derivative Liabilities, Cash Collateral	[2]	(67,121)
Derivative Liabilities, Net amount Total		0
TBA Commitments
Derivative instruments:
Derivative Asset, Gross Amount Recognized		6,266
Derivative Asset, Amount Offset		0
Derivative Asset, Net Amount		6,266
Derivative Asset, Financial Instruments	[1]	0
Derivative Asset, Cash Collateral	[2]	0
Derivative Asset, Net amount Total		$ 6,266
Derivative instruments:
Derivative Liabilities, Gross Amount Recognized			553
Derivative Liabilities, Amount Offset			0
Derivative Liabilities, Net Amount			553
Derivative Liabilities, Financial Instruments	[1]		0
Derivative Liabilities, Cash Collateral	[2]		(387)
Derivative Liabilities, Net amount Total			166
Eurodollar Future | Put Option
Derivative instruments:
Derivative Asset, Gross Amount Recognized			25
Derivative Asset, Amount Offset			0
Derivative Asset, Net Amount			25
Derivative Asset, Financial Instruments	[1]		0
Derivative Asset, Cash Collateral	[2]		0
Derivative Asset, Net amount Total			$ 25

[1] Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements or Federal Home Loan Bank advances that exceeds the associated liability presented in the consolidated balance sheets.

[2] Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets.

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Fair Value Measurements - Additional Information (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Fair Value Inputs Assets Quantitative Information [Line Items]
Long-term Debt, Fair Value	$ 68,029	$ 59,130
Long-term debt, carrying value	73,601	73,433
Federal Home Loan Bank Advances Capital Stock Acquired	2	15,740
Investments in equity securities and investment funds, fair value of other assets	619
Private Equity Funds
Fair Value Inputs Assets Quantitative Information [Line Items]
Investments in equity securities and investment funds, at carrying amount	2,004	1,558
Investments in equity securities and investment funds, fair value of other assets	619
Investments in equity securities and investment funds, at cost	1,385
Investments in equity securities and investment funds, fair value	$ 5,916	$ 5,989

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Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Available-for-sale:
Total	$ 3,690,563	$ 3,995,869
Derivative assets, at fair value	7,870	12,991
Derivative Liabilities	(68,084)	(553)
Other assets	619
Total	3,630,968	4,008,307
Agency MBS
MBS
Trading securities	3,669,235	3,865,290
Available-for-sale:
Available-for-sale	24	26
Total	3,669,259	3,865,316
Private-Label MBS
MBS
Trading securities	2,763	3,017
Available-for-sale:
Available-for-sale	18,541	127,536
Total	21,304	130,553
MBS
MBS
Trading securities	3,671,998	3,868,307
Available-for-sale:
Available-for-sale	18,565	127,562
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1
Available-for-sale:
Total	0	0
Derivative assets, at fair value	1,500	6,838
Derivative Liabilities	(859)	0
Other assets	0
Total	641	6,838
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2
Available-for-sale:
Total	3,669,259	3,865,316
Derivative assets, at fair value	6,370	6,153
Derivative Liabilities	(67,225)	(553)
Other assets	0
Total	3,608,404	3,870,916
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3
Available-for-sale:
Total	21,304	130,553
Derivative assets, at fair value	0	0
Derivative Liabilities	0	0
Other assets	619
Total	21,923	130,553
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 1
MBS
Trading securities	0	0
Available-for-sale:
Available-for-sale	0	0
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 2
MBS
Trading securities	3,669,235	3,865,290
Available-for-sale:
Available-for-sale	24	26
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 3
MBS
Trading securities	0	0
Available-for-sale:
Available-for-sale	0	0
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 1
MBS
Trading securities	0	0
Available-for-sale:
Available-for-sale	0	0
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 2
MBS
Trading securities	0	0
Available-for-sale:
Available-for-sale	0	0
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 3
MBS
Trading securities	2,763	3,017
Available-for-sale:
Available-for-sale	18,541	127,536
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 1
MBS
Trading securities	0	0
Available-for-sale:
Available-for-sale	0	0
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 2
MBS
Trading securities	3,669,235	3,865,290
Available-for-sale:
Available-for-sale	24	26
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 3
MBS
Trading securities	2,763	3,017
Available-for-sale:
Available-for-sale	$ 18,541	$ 127,536

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Fair Value Measurements - Significant Unobservable Inputs Used to Measure Fair value on Private-Label Mortgage-Backed Securities (Details) - Pledged with private-label MBS		9 Months Ended	12 Months Ended
		Sep. 30, 2016	Dec. 31, 2015
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate	[1]	5.50%	5.57%
Default rate	[1]	2.79%	2.78%
Loss severity rate	[1]	41.13%	45.84%
Total prepayment rate (including defaults)	[1]	12.42%	11.02%
Minimum
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate		5.50%	5.50%
Default rate		2.00%	1.45%
Loss severity rate		35.00%	35.00%
Total prepayment rate (including defaults)		10.25%	7.75%
Maximum
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate		5.50%	10.00%
Default rate		6.20%	6.20%
Loss severity rate		55.00%	65.00%
Total prepayment rate (including defaults)		17.70%	17.70%

[1] Based on face value.

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Fair Value Measurements - Change in Fair Value of Level 3 Investments that are Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Fair Value Disclosures [Abstract]
Beginning balance	$ 89,186	$ 152,353	$ 130,553	$ 267,649
Total net gains (losses) Included in investment (loss) gain, net	2,994	781	537	17,595
Total net gains (losses) Included in other comprehensive income	(3,325)	(5,422)	(11,739)	(33,634)
Purchases			5,357	2,870
Sales	(67,761)	(14,164)	(106,052)	(124,637)
Payments, net	(826)	(1,877)	(4,170)	(7,381)
Accretion of discount	1,655	3,249	7,437	12,458
Ending balance	21,923	134,920	21,923	134,920
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date	$ (64)	$ (207)	$ (280)	$ 18

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Income Taxes - Additional Information (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Income Tax Disclosure [Line Items]
Deferred Tax Assets, Net	$ 96,891	$ 97,530
NCL
Income Tax Disclosure [Line Items]
Deferred Tax Assets, Valuation Allowance	$ 84,261	$ 80,663

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Earnings Per Share - Computations of Basic and Diluted Earnings (Loss) Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
Earnings Per Share [Abstract]
Basic weighted-average shares outstanding	23,038	23,021	23,011	22,991
Performance share units and unvested restricted stock	311		143
Diluted weighted-average shares outstanding	23,349	23,021	23,154	22,991
Net income (loss)	$ 18,813	$ (52,630)	$ 89	$ (88,214)	$ (69,403)
Basic earnings (loss) per share	$ 0.82	$ (2.29)		$ (3.84)
Diluted earnings (loss) per share	$ 0.81	$ (2.29)		$ (3.84)

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Earnings Per Share - Additional Information (Details) - shares	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015
Restricted Stock and Performance Shares
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items]
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount	44,422	49,785

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Shareholders' Equity - Dividends Declared and Paid (Details) - $ / shares	3 Months Ended
	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015
Equity [Abstract]
Dividend Amount (in dollars per share)	$ 0.625	$ 0.625	$ 0.625	$ 0.625	$ 0.625	$ 0.875	$ 0.875
Declaration Date	Sep. 15, 2016	Jun. 17, 2016	Mar. 15, 2016	Dec. 17, 2015	Sep. 17, 2015	Jun. 17, 2015	Mar. 10, 2015
Record Date	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015
Pay Date	Oct. 31, 2016	Jul. 29, 2016	Apr. 29, 2016	Jan. 29, 2016	Oct. 30, 2015	Jul. 31, 2015	Apr. 30, 2015

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Shareholders' Equity - Additional Information (Details) - shares	9 Months Ended
	Sep. 30, 2016	Oct. 31, 2015
Common Class A
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Stock Repurchase Program, Number of Shares Authorized to be Repurchased		2,000,000
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased	1,951,305
Common Class A | Common Stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Conversion of Stock, Shares Converted	4,612
Common Class B | Common Stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Conversion of Stock, Shares Converted	4,612