Note 3 - Investment Securities Available for Sale

9 Months Ended

Sep. 30, 2014

Investments, Debt and Equity Securities [Abstract]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

3.                Investment Securities Available For Sale

Investment securities available for sale consist of the following as of September 30, 2014 and December 31, 2013 (dollar amounts in thousands):

	September 30, 2014									December 31, 2013
	Amortized		Unrealized					Fair		Amortized		Unrealized					Fair
	Cost		Gains		Losses			Value		Cost		Gains		Losses			Value
Agency RMBS:
Agency ARMs
Freddie Mac	$	60,536	$	60	$	(1,019	)	$	59,577	$	67,121	$	37	$	(2,101	)	$	65,057
Fannie Mae		117,082		41		(1,948	)		115,175		130,487		58		(3,128	)		127,417
Ginnie Mae		13,571		—		(202	)		13,369		17,049		—		(201	)		16,848
Total Agency ARMs		191,189		101		(3,169	)		188,121		214,657		95		(5,430	)		209,322
Agency Fixed Rate
Freddie Mac		39,140		—		(1,018	)		38,122		43,920		—		(1,714	)		42,206
Fannie Mae		467,546		—		(15,177	)		452,369		518,598		—		(24,861	)		493,737
Total Agency Fixed Rate		506,686		—		(16,195	)		490,491		562,518		—		(26,575	)		535,943
Agency IOs (1)
Freddie Mac		40,922		254		(5,168	)		36,008		43,468		252		(5,187	)		38,533
Fannie Mae		56,402		1,152		(4,462	)		53,092		60,813		1,300		(5,007	)		57,106
Ginnie Mae		45,071		332		(3,978	)		41,425		37,660		706		(2,396	)		35,970
Total Agency IOs		142,395		1,738		(13,608	)		130,525		141,941		2,258		(12,590	)		131,609
Total Agency RMBS		840,270		1,839		(32,972	)		809,137		919,116		2,353		(44,595	)		876,874
Non-Agency RMBS		2,145		62		(167	)		2,040		2,413		136		(188	)		2,361
CMBS		28,787		17,166		—			45,953		—		—		—			—
CLOs		21,866		13,255		—			35,121		18,478		14,730		—			33,208
Total investment securities available for sale	$	893,068	$	32,322	$	(33,139	)	$	892,251	$	940,007	$	17,219	$	(44,783	)	$	912,443
CMBS (2)	$	25,627	$	12,752	$	—		$	38,379	$	74,314	$	18,264	$	—		$	92,578
Total investment securities available for sale held in securitization trusts	$	25,627	$	12,752	$	—		$	38,379	$	74,314	$	18,264	$	—		$	92,578

(1)	Included in investment securities available for sale are Agency IOs. Agency IOs are measured at fair value through earnings.
(2)	CMBS investments have contractual maturities ranging from 0 to 10 years.

During the three and nine months ended September 30, 2014, the Company received total proceeds of approximately $41.4 million realizing approximately $16.5 million of net gains from the sale of investment securities available for sale. During the nine months ended September 30, 2013, the Company received total proceeds of approximately $1.3 million realizing approximately $0.1 million of net losses from the sale of investment securities available for sale. There were no sales of investment securities for sale during the three months ended September 30, 2013.

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 September 30, 2014 and December 31, 2013, 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 4.83 and 7.03 years, respectively.

The following table sets forth the weighted average lives our investment securities available for sale as of September 30, 2014 and December 31, 2013 (dollar amounts in thousands):

Weighted Average Life	September 30, 2014		December 31, 2013
Less than 5 years	$	557,575	$	281,068
5 to 10 years		240,276		451,635
Greater than 10 years		94,400		179,740
Total	$	892,251	$	912,443

The following tables set forth the stated reset periods of our investment securities available for sale and investment securities available for sale held in securitization trusts at September 30, 2014 and December 31, 2013 at carrying value (dollar amounts in thousands):

	September 30, 2014								December 31, 2013
	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	$	101,139	$	17,533	$	690,465	$	809,137	$	97,385	$	14,823	$	764,666	$	876,874
Non-Agency RMBS		2,040		—		—		2,040		2,361		—		—		2,361
CMBS		—		—		45,953		45,953		—		—		—		—
CLOs		35,121		—		—		35,121		33,208		—		—		33,208
Total investment securities available for sale	$	138,300	$	17,533	$	736,418	$	892,251	$	132,954	$	14,823	$	764,666	$	912,443
CMBS	$	—	$	—	$	38,379	$	38,379	$	28,232	$	—	$	64,346	$	92,578
Total investment securities available for sale held in securitization trusts	$	—	$	—	$	38,379	$	38,379	$	28,232	$	—	$	64,346	$	92,578

The following tables present the Company's investment securities available for sale 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 September 30, 2014 and December 31, 2013 (dollar amounts in thousands):

September 30, 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	$	7,179	$	(59	)	$	660,835	$	(19,305	)	$	668,014	$	(19,364	)
Non-Agency RMBS		—		—			1,017		(167	)		1,017		(167	)
Total investment securities available for sale	$	7,179	$	(59	)	$	661,852	$	(19,472	)	$	669,031	$	(19,531	)

December 31, 2013	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	$	332,519	$	(11,423	)	$	398,325	$	(20,582	)	$	730,844	$	(32,005	)
Non-Agency RMBS		—		—			1,104		(188	)		1,104		(188	)
Total investment securities available for sale	$	332,519	$	(11,423	)	$	399,429	$	(20,770	)	$	731,948	$	(32,193	)

For the three and nine months ended September 30, 2014, the Company recognized no other-than-temporary impairment through earnings. For the three and nine months ended September 30, 2013, the Company recognized $0.2 million other-than-temporary impairment through earnings.