XML 25 R11.htm IDEA: XBRL DOCUMENT v3.3.1.900
Investment Securities Available For Sale
 12 Months Ended
Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Available For Sale
Investment Securities Available For Sale

Investment securities available for sale consisted of the following as of December 31, 2015 and December 31, 2014 (dollar amounts in thousands):

 
December 31, 2015
 
December 31, 2014
 
Amortized Costs
 
Unrealized
 
Fair Value
 
Amortized Costs
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
$
62,383

 
$
41

 
$
(770
)
 
$
61,654

 
$
57,597

 
$
55

 
$
(488
)
 
$
57,164

Fannie Mae
92,605

 
121

 
(1,334
)
 
91,392

 
113,192

 
81

 
(1,037
)
 
112,236

Ginnie Mae
20,172

 
55

 
(260
)
 
19,967

 
12,552

 
—

 
(259
)
 
12,293

Total Agency ARMs
175,160

 
217

 
(2,364
)
 
173,013

 
183,341

 
136

 
(1,784
)
 
181,693

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency Fixed Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
31,076

 
—

 
(719
)
 
30,357

 
37,800

 
—

 
(629
)
 
37,171

Fannie Mae
380,684

 
—

 
(12,149
)
 
368,535

 
451,694

 
—

 
(10,184
)
 
441,510

Ginnie Mae
25,923

 
9

 
(111
)
 
25,821

 
—

 
—

 
—

 
—

Total Agency Fixed Rate
437,683

 
9

 
(12,979
)
 
424,713

 
489,494

 
—

 
(10,813
)
 
478,681

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency IOs (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
28,970

 
680

 
(4,471
)
 
25,179

 
38,844

 
273

 
(5,779
)
 
33,338

Fannie Mae
39,603

 
433

 
(6,341
)
 
33,695

 
53,666

 
741

 
(6,388
)
 
48,019

Ginnie Mae
63,050

 
511

 
(7,045
)
 
56,516

 
42,991

 
310

 
(5,527
)
 
37,774

Total Agency IOs
131,623

 
1,624

 
(17,857
)
 
115,390

 
135,501

 
1,324

 
(17,694
)
 
119,131

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Agency RMBS
744,466

 
1,850

 
(33,200
)
 
713,116

 
808,336

 
1,460

 
(30,291
)
 
779,505

Non-Agency RMBS
1,727

 
51

 
(211
)
 
1,567

 
2,061

 
69

 
(191
)
 
1,939

U.S. Treasury securities
10,113

 
—

 
(76
)
 
10,037

 
—

 
—

 
—

 
—

CLOs
—

 
—

 
—

 
—

 
26,140

 
9,063

 
—

 
35,203

Total investment securities available for sale
$
756,306

 
$
1,901

 
$
(33,487
)
 
$
724,720

 
$
836,537

 
$
10,592

 
$
(30,482
)
 
$
816,647

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
December 31, 2014
 
Amortized Costs
 
Unrealized
 
Fair Value
 
Amortized Costs
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
CMBS
$
28,692

 
$
12,042

 
$
—

 
$
40,734

 
$
26,193

 
$
12,401

 
$
—

 
$
38,594

Total investment securities available for sale held in securitization trusts
$
28,692

 
$
12,042

 
$
—

 
$
40,734

 
$
26,193

 
$
12,401

 
$
—

 
$
38,594



(1)
Included in investment securities available for sale as of December 31, 2015 and 2014 are Agency IOs. Agency IOs are measured at fair value through earnings.

Realized Gains

During the year ended December 31, 2015, the Company received total proceeds of approximately $99.2 million, realizing approximately $2.1 million of net gains, from the sale of investment securities available for sale. During the year ended December 31, 2014, the Company received total proceeds of approximately $93.6 million, realizing approximately $39.1 million of net gains, from the sale of investment securities available for sale. During the year ended December 31, 2013, the Company received total proceeds of approximately $1.3 million, realizing approximately $0.1 million of net gains, from the sale of investment securities available for sale.

Weighted Average Life

The following table sets forth the weighted average lives our investment securities available for sale as of December 31, 2015 and December 31, 2014 (dollar amounts in thousands):
Weighted Average Life
December 31, 2015
 
December 31, 2014
0 to 5 years
$
477,860

 
$
393,080

Over 5 to 10 years
219,747

 
365,386

10+ years
27,113

 
58,181

Total
$
724,720

 
$
816,647



Actual maturities of our available for sale securities are generally shorter than stated contractual maturities (which range up to 30 years), as they are affected by the contractual lives of the underlying mortgages, periodic payments and prepayments of principal. As of December 31, 2015 and 2014, based on management’s estimates using three month historical CPR, the weighted average life of the Company’s available for sale securities portfolio was approximately 4.49 years and 4.95 years, respectively.

Portfolio Interest Reset Periods

The following tables set forth the stated interest reset periods of our investment securities available for sale and investment securities available for sale held in securitization trusts at December 31, 2015 and December 31, 2014 at carrying value (dollar amounts in thousands):
 
December 31, 2015
 
December 31, 2014
 
Less than 6 months
 
6 to 24
months
 
More than
24 months
 
Total
 
Less than 6 months
 
6 to 24
months
 
More than
24 months
 
Total
Agency RMBS
$
92,693

 
$
44,700

 
$
575,723

 
$
713,116

 
$
89,442

 
$
21,746

 
$
668,317

 
$
779,505

Non-Agency RMBS
188

 
1,379

 
—

 
1,567

 
1,939

 
—

 
—

 
1,939

U.S. Treasury securities
10,037

 
—

 
—

 
$
10,037

 
—

 
—

 
—

 
—

CLOs
—

 
—

 
—

 
—

 
35,203

 
—

 
—

 
35,203

Total investment securities available for sale
$
102,918

 
$
46,079

 
$
575,723

 
$
724,720

 
$
126,584

 
$
21,746

 
$
668,317

 
$
816,647

CMBS
$
—

 
$
—

 
$
40,734

 
$
40,734

 
$
—

 
$
—

 
$
38,594

 
$
38,594

Total investment securities available for sale held in securitization trusts
$
—

 
$
—

 
$
40,734

 
$
40,734

 
$
—

 
$
—

 
$
38,594

 
$
38,594



Unrealized Losses in OCI

The following tables present the Company's investment securities available for sale and investment securities available for sale held in securitization trusts in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at December 31, 2015 (dollar amounts in thousands):
December 31, 2015
Less than 12 Months
 
Greater than 12 months
 
Total
 
Carrying
Value
 
Gross
Unrealized
Losses
 
Carrying
Value
 
Gross
Unrealized
Losses
 
Carrying
Value
 
Gross
Unrealized
Losses
Agency RMBS
$
71,587

 
$
(688
)
 
$
476,157

 
$
(14,497
)
 
$
547,744

 
$
(15,185
)
Non-Agency RMBS
771

 
—

 
796

 
(211
)
 
1,567

 
(211
)
Total investment securities available for sale
$
72,358

 
$
(688
)
 
$
476,953

 
$
(14,708
)
 
$
549,311

 
$
(15,396
)
CMBS
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Total investment securities available for sale held in securitization trusts
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—



The following tables present the Company's investment securities available for sale and investment securities available for sale held in securitization trusts in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at December 31, 2014 (dollar amounts in thousands):
December 31, 2014
Less than 12 Months
 
Greater than 12 months
 
Total
 
Carrying
Value
 
Gross
Unrealized
Losses
 
Carrying
Value
 
Gross
Unrealized
Losses
 
Carrying
Value
 
Gross
Unrealized
Losses
Agency RMBS
$
—

 
$
—

 
$
638,936

 
$
(12,597
)
 
$
638,936

 
$
(12,597
)
Non-Agency RMBS
—

 
—

 
967

 
(191
)
 
967

 
(191
)
Total investment securities available for sale
$
—

 
$
—

 
$
639,903

 
$
(12,788
)
 
$
639,903

 
$
(12,788
)
CMBS
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Total investment securities available for sale held in securitization trusts
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—



Other than Temporary Impairment

For the year ended December 31, 2013, the Company recognized $0.2 million in other-than-temporary impairment through earnings, respectively. For the years ended December 31, 2015 and December 31, 2014, the Company did not have unrealized losses in investment securities that were deemed other-than-temporary.