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Mortgage-Backed Securities and other securities (Tables)
 12 Months Ended
Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]  
Summary of certain information about the Company's investment portfolio
The following tables present certain information about the Company's investment portfolio at December 31, 2017 and December 31, 2016 (dollars in thousands).
 
December 31, 2017
 
 
Principal
Balance
 
Unamortized
Premium
(Discount),
net
 
Discount
Designated as
Credit Reserve and
OTTI
 
Amortized
Cost
 
Unrealized
Gain
 
Unrealized Loss
 
Estimated
Fair Value
 
Net
Weighted
Average
Coupon(1)
 
Agency RMBS:
 

 
 

 
 

 
 

 
 

 
 
 
 

 
 

  
20-Year mortgage
$
50,825

 
$
2,378

 
$
—

 
$
53,203

 
$
592

 
$
(12
)
 
$
53,783

 
4.0
%
 
30-Year mortgage
224,041

 
15,710

 
—

 
239,751

 
2,317

 
(426
)
 
241,642

 
4.4
%
 
40-Year mortgage
366,178

 
10,788

 
 
 
376,966

 
1,662

 
(1,876
)
 
376,752

 
3.5
%
 
Agency RMBS Interest-Only Strips(2)
N/A

 
N/A

 
N/A

 
14,750

 
878

 
(191
)
 
15,437

 
2.9
%
(2) 
Agency RMBS Interest-Only Strips, accounted for as derivatives(2)(3)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
10,419

 
2.9
%
(2) 
Agency CMBS
2,145,139

 
2,142

 
—

 
2,147,281

 
16,913

 
(9,394
)
 
2,154,800

 
2.9
%
 
Agency CMBS Interest-Only Strips(2)
N/A

 
N/A

 
N/A

 
—

 
10

 
—

 
10

 
3.2
%
(2) 
Agency CMBS Interest-Only Strips, accounted for as derivatives(2)(3)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
5,757

 
0.5
%
(2) 
Subtotal Agency MBS
2,786,183

 
31,018

 
—

 
2,831,951

 
22,372

 
(11,899
)
 
2,858,600

 
3.0
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
119,748

 
5,263

 
(39,491
)
 
85,520

 
5,473

 
(161
)
 
90,832

 
3.8
%
 
Non-Agency RMBS Interest- Only Strips(2)
N/A

 
 N/A

 
 N/A

 
8,738

 
—

 
(16
)
 
8,722

 
0.9
%
(2) 
Non-Agency CMBS
379,183

 
(59,129
)
 
(28,020
)
 
292,034

 
1,702

 
(15,132
)
 
278,604

 
4.8
%
 
Subtotal Non-Agency MBS
498,931

 
(53,866
)
 
(67,511
)
 
386,292

 
7,175

 
(15,309
)
 
378,158

 
3.3
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities(4)
86,305

 
6,300

 
(5,404
)
 
110,091

 
12,161

 
(187
)
 
122,065

 
7.8
%
 
Total
$
3,371,419

 
$
(16,548
)
 
$
(72,915
)
 
$
3,328,334

 
$
41,708

 
$
(27,395
)
 
$
3,358,823

 
3.1
%
 

 
December 31, 2016
  
 
Principal
Balance
 
Unamortized
Premium
(Discount),
net
 
Discount
Designated as
Credit Reserve and
OTTI
 
Amortized
Cost
 
Unrealized Gain
 
Unrealized
Loss
 
Estimated
Fair Value
 
Net
Weighted
Average
Coupon(1)
  
Agency RMBS:
 

 
 

 
 

 
 

 
 
 
 

 
 

 
 

  
20-Year mortgage
$
470,975

 
$
25,741

 
$
—

 
$
496,716

 
$
3,689

 
$
(1,935
)
 
$
498,470

 
3.9
%
 
30-Year mortgage
878,599

 
63,608

 
—

 
942,207

 
5,209

 
(12,209
)
 
935,207

 
4.1
%
 
Agency RMBS Interest-Only Strips(2)
N/A

 
N/A

 
N/A

 
18,810

 
1,301

 
(321
)
 
19,790

 
3.0
%
(2) 
Agency RMBS Interest-Only Strips, accounted for as derivatives(2)(3)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
16,503

 
3.2
%
(2) 
Agency CMBS
377,286

 
(15,383
)
 
—

 
361,903

 
2,021

 
(260
)
 
363,664

 
2.6
%
 
Agency CMBS Interest-Only Strips(2)
N/A

 
N/A

 
N/A

 
210

 
21

 
—

 
231

 
4.3
%
(2) 
Agency CMBS Interest-Only Strips, accounted for as derivatives(2)(3)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
7,729

 
0.6
%
(2) 
Subtotal Agency MBS
1,726,860

 
73,966

 
—

 
1,819,846

 
12,241

 
(14,725
)
 
1,841,594

 
3.3
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
340,759

 
(294
)
 
(108,399
)
 
232,066

 
11,210

 
(2,235
)
 
241,041

 
4.5
%
 
Non-Agency RMBS Interest- Only Strips(2)
N/A

 
 N/A

 
 N/A

 
55,754

 
8,362

 
—

 
64,116

 
5.6
%
(2) 
Non- Agency RMBS Interest-Only Strips, accounted for as derivatives(2)(3)
N/A

 
 N/A

 
 N/A

 
N/A

 
N/A

 
N/A

 
3,085

 
4.6
%
(2) 
Non-Agency CMBS
473,024

 
(69,436
)
 
(17,787
)
 
385,801

 
3,164

 
(30,046
)
 
358,919

 
5.0
%
 
Subtotal Non-Agency MBS
813,783

 
(69,730
)
 
(126,186
)
 
673,621

 
22,736

 
(32,281
)
 
667,161

 
5.0
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities(4)
44,838

 
4,435

 
(4,298
)
 
68,085

 
1,271

 
(1,594
)
 
67,762

 
8.2
%
 
Total
$
2,585,481

 
$
8,671

 
$
(130,484
)
 
$
2,561,552

 
$
36,248

 
$
(48,600
)
 
$
2,576,517

 
3.9
%
 
 

(1)
Net weighted average coupon as of December 31, 2017 and December 31, 2016 is presented, net of servicing and other fees.
(2)
Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, and Agency CMBS IOs and IIOs, accounted for as derivatives have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2017, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $165.5 million, $278.4 million, $122.0 million, $192.5 million and $3.3 million, respectively. At December 31, 2016, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOS, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $201.6 million, $278.4 million, $188.1 million, $20.7 million, $221.8 million and $32.8 million, respectively.
(3)
Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
(4)
Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $22.9 million and $23.1 million, as of December 31, 2017 and December 31, 2016, respectively.
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities
The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2017, December 31, 2016 and December 31, 2015 (dollars in thousands):

 
Year ended December 31, 2017
 
Year ended December 31, 2016
 
Year ended December 31, 2015
 
Discount Designated as
Credit Reserve and OTTI
 
Accretable Discount(1)
 
Amortizable Premium(1)
 
Discount Designated as
Credit Reserve and OTTI
 
Accretable Discount(1)
 
Amortizable Premium(1)
 
Discount Designated as
Credit Reserve and
OTTI
 
Accretable Discount(1)
 
Amortizable Premium(1)
Beginning balance
$
(130,484
)
 
$
(109,822
)
 
$
44,527

 
$
(152,750
)
 
$
(145,532
)
 
$
56,163

 
$
(182,007
)
 
$
(105,804
)
 
$
82,228

Securities previously accounted for as linked transactions(2)
—

 
—

 
—

 
—

 
—

 
—

 
(2,320
)
 
(1,393
)
 
4,587

Accretion of discount
—

 
10,715

 
—

 
—

 
17,431

 
—

 
—

 
18,465

 
—

Amortization of premium
—

 
—

 
(843
)
 
—

 
—

 
(5,470
)
 
—

 
—

 
(9,025
)
Realized credit losses
2,391

 
—

 
—

 
7,697

 
—

 
—

 
9,534

 
—

 
—

Purchases
(19,385
)
 
(1,205
)
 
7,259

 
(15,792
)
 
(2,945
)
 
5,266

 
(38,634
)
 
(96,380
)
 
18,544

Sales
89,628

 
33,166

 
(31,118
)
 
39,117

 
35,605

 
(12,156
)
 
60,747

 
44,232

 
(30,054
)
Net impairment losses recognized in earnings
(15,310
)
 
—

 
—

 
(22,413
)
 
—

 
—

 
(14,839
)
 
—

 
—

Transfers/release of credit reserve(3)
245

 
(1,292
)
 
1,047

 
13,657

 
(14,381
)
 
724

 
14,769

 
(4,652
)
 
(10,117
)
Ending balance
$
(72,915
)
 
$
(68,438
)
 
$
20,872

 
$
(130,484
)
 
$
(109,822
)
 
$
44,527

 
$
(152,750
)
 
$
(145,532
)
 
$
56,163

 

(1)
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
(2)
Resulting from the implementation of guidance issued by the FASB which eliminated the requirement to account for certain financial instruments as linked transactions.
(3)
Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium.
Schedule of the fair value and contractual maturities of the Company's investment securities
The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2017 and December 31, 2016 (dollars in thousands):
 
December 31, 2017
 
< or equal to 10
years
 
> 10 years and < or
equal to 20 years
 
> 20 years and < or
equal to 30 years
 
> 30 years
 
Total
Agency RMBS:
 

 
 

 
 

 
 

 
 

20-Year mortgage
$
—

 
$
53,783

 
$
—

 
$
—

 
$
53,783

30-Year mortgage
—

 
2,445

 
239,197

 
—

 
241,642

40-Year mortgage
—

 
—

 
—

 
376,752

 
376,752

Agency RMBS Interest-Only Strips
3,920

 
4,591

 
6,926

 
—

 
15,437

Agency RMBS Interest-Only Strips, accounted for as derivatives
1,686

 
5,139

 
3,594

 
—

 
10,419

Agency CMBS
1,599,620

 
555,180

 
—

 
—

 
2,154,800

Agency CMBS Interest-Only Strips
10

 
—

 
—

 
—

 
10

Agency CMBS Interest-Only Strips, accounted for as derivatives
—

 
—

 
—

 
5,757

—

5,757

Subtotal Agency
1,605,236

 
621,138

 
249,717

 
382,509

 
2,858,600

 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
13

 
51,092

 
4,184

 
35,543

 
90,832

Non-Agency RMBS Interest-Only Strips
—

 
—

 
—

 
8,722

 
8,722

Non-Agency CMBS
—

 
60,583

 
139,209

 
78,812

 
278,604

Subtotal Non-Agency
13

 
111,675

 
143,393

 
123,077

 
378,158

 
 
 
 
 
 
 
 
 
 
Other securities
—

 
99,062

 
—

 
23,003

 
122,065

Total
$
1,605,249

 
$
831,875

 
$
393,110

 
$
528,589

 
$
3,358,823

 
December 31, 2016
 
< or equal to 10
years
 
> 10 years and < or
equal to 20 years
 
> 20 years and < or
equal to 30 years
 
> 30 years
 
Total
Agency RMBS:
 

 
 

 
 

 
 

 
 

20-Year mortgage
$
—

 
$
498,470

 
$
—

 
$
—

 
$
498,470

30-Year mortgage
—

 
—

 
935,207

 
—

 
935,207

Agency RMBS Interest-Only Strips
499

 
10,434

 
8,857

 
—

 
19,790

Agency RMBS Interest-Only Strips, accounted for as derivatives
807

 
9,476

 
6,220

 
—

 
16,503

Agency CMBS
282,911

 
80,753

 
—

 
—

 
363,664

Agency CMBS Interest-Only Strips
231

 
—

 
—

 
—

 
231

Agency CMBS Interest-Only Strips, accounted for as derivatives
—

 
—

 
—

 
7,729

 
7,729

Subtotal Agency
284,448

 
599,133

 
950,284

 
7,729

 
1,841,594

 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
13

 
65,780

 
54,408

 
120,840

 
241,041

Non-Agency RMBS Interest-Only Strips
—

 
4,955

 
10,724

 
48,437

 
64,116

Non-Agency RMBS Interest-Only Strips, accounted for as derivatives
—

 
—

 
1,043

 
2,042

 
3,085

Non-Agency CMBS
15,865

 
37,998

 
134,941

 
170,115

 
358,919

Subtotal Non-Agency
15,878

 
108,733

 
201,116

 
341,434

 
667,161

 
 
 
 
 
 
 
 
 
 
Other securities
—

 
40,360

 
5,346

 
22,056

 
67,762

Total
$
300,326

 
$
748,226

 
$
1,156,746

 
$
371,219

 
$
2,576,517
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position
The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2017 and December 31, 2016 (dollars in thousands):
 
December 31, 2017
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
Agency RMBS:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

20-Year mortgage
$
3,000

 
$
(12
)
 
3

 
$
—

 
$
—

 
—

 
$
3,000

 
$
(12
)
 
3

30-Year mortgage
44,072

 
(291
)
 
7

 
1,632

 
(135
)
 
5

 
45,704

 
(426
)
 
12

40-Year mortgage
283,187

 
(1,876
)
 
1

 
—

 
—

 
—

 
283,187

 
(1,876
)
 
1

Agency RMBS Interest-Only Strips
3,095

 
(142
)
 
6

 
1,703

 
(49
)
 
3

 
4,798

 
(191
)
 
9

Agency CMBS
955,559

 
(9,394
)
 
57

 
—

 
—

 
—

 
955,559

 
(9,394
)
 
57

Subtotal Agency
1,288,913

 
(11,715
)
 
74

 
3,335

 
(184
)
 
8

 
1,292,248

 
(11,899
)
 
82

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
28,508

 
(161
)
 
3

 
—

 
—

 
—

 
28,508

 
(161
)
 
3

Non-Agency RMBS Interest-Only Strips
8,722

 
(16
)
 
3

 
—

 
—

 
—

 
8,722

 
(16
)
 
3

Non-Agency CMBS
69,661

 
(1,753
)
 
15

 
119,729

 
(13,379
)
 
35

 
189,390

 
(15,132
)
 
50

Subtotal Non-Agency
106,891

 
(1,930
)
 
21

 
119,729

 
(13,379
)
 
35

 
226,620

 
(15,309
)
 
56

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities
23,800

 
(187
)
 
3

 
—

 
—

 
—

 
23,800

 
(187
)
 
3

Total
$
1,419,604

 
$
(13,832
)
 
98

 
$
123,064

 
$
(13,563
)
 
43

 
$
1,542,668

 
$
(27,395
)
 
141

 
December 31, 2016
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
Agency RMBS:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

20-Year mortgage
$
142,749

 
$
(1,935
)
 
47

 
$
—

 
$
—

 
—

 
$
142,749

 
$
(1,935
)
 
47

30-Year mortgage
432,949

 
(11,264
)
 
54

 
22,586

 
(945
)
 
13

 
455,535

 
(12,209
)
 
67

Agency RMBS Interest-Only Strips
6,105

 
(227
)
 
6

 
1,630

 
(94
)
 
2

 
7,735

 
(321
)
 
8

Agency CMBS
145,791

 
(260
)
 
7

 
—

 
—

 
—

 
145,791

 
(260
)
 
7

Subtotal Agency
727,594

 
(13,686
)
 
114

 
24,216

 
(1,039
)
 
15

 
751,810

 
(14,725
)
 
129

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
11,628

 
(50
)
 
3

 
33,034

 
(2,185
)
 
6

 
44,662

 
(2,235
)
 
9

Non-Agency CMBS
59,529

 
(4,031
)
 
17

 
208,288

 
(26,015
)
 
47

 
267,817

 
(30,046
)
 
64

Subtotal Non-Agency
71,157

 
(4,081
)
 
20

 
241,322

 
(28,200
)
 
53

 
312,479

 
(32,281
)
 
73

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities
7,966

 
(415
)
 
1

 
23,390

 
(1,179
)
 
2

 
31,356

 
(1,594
)
 
3

Total
$
806,717

 
$
(18,182
)
 
135

 
$
288,928

 
$
(30,418
)
 
70

 
$
1,095,645

 
$
(48,600
)
 
205
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio
The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands):
 
For the year ended December 31, 2017
 
For the year ended December 31, 2016
 
For the year ended December 31, 2015
Agency RMBS
$
5,774

 
$
6,090

 
$
4,005

Non-Agency RMBS
—

 
9,511

 
9,216

Non-Agency CMBS
15,117

 
13,025

 
4,061

Other securities
1,982

 
3,660

 
2,509

Total
$
22,873

 
$
32,286

 
$
19,791
Summary of the components of interest income on the Company's MBS and other securities
The following table presents components of interest income on the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2017, December 31, 2016 and December 31, 2015, respectively:
 
For the year ended December 31, 2017
 
For the year ended December 31, 2016
 
For the year ended December 31, 2015
 
Coupon
Interest
 
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
 
Interest
Income
 
Coupon
Interest
 
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
 
Interest
Income
 
Coupon
Interest
 
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
 
Interest
Income
Agency RMBS
$
38,108

 
$
(13,058
)
 
$
25,050

 
$
70,467

 
$
(24,836
)
 
$
45,631

 
$
119,789

 
$
(48,119
)
 
$
71,670

Agency CMBS
40,064

 
507

 
40,571

 
2,619

 
(1,701
)
 
918

 
3,600

 
(2,102
)
 
1,498

Non-Agency RMBS
5,602

 
525

 
6,127

 
35,221

 
(5,243
)
 
29,978

 
44,473

 
(8,008
)
 
36,465

Non-Agency CMBS
19,179

 
8,276

 
27,455

 
24,893

 
7,431

 
32,324

 
26,562

 
3,687

 
30,249

Other securities
8,280

 
1,559

 
9,839

 
2,537

 
2,977

 
5,514

 
6,363

 
2,648

 
9,011

Total
$
111,233

 
$
(2,191
)
 
$
109,042

 
$
135,737

 
$
(21,372
)
 
$
114,365

 
$
200,787

 
$
(51,894
)
 
$
148,893
Schedule of sales and realized gains (loss) of the Company's MBS and other securities
The following tables present the sales and realized gains (losses) of the Company's MBS and other securities (dollars in thousands) for the three years ended December 31, 2017, December 31, 2016 and December 31, 2015, respectively:
 
For the year ended December 31, 2017
 
Proceeds
 
Gross
Gains
 
Gross
Losses
 
Net
Gain (Loss)
Agency RMBS(1)
$
1,251,985

 
$
5,020

 
$
(7,936
)
 
$
(2,916
)
Non-Agency RMBS(2)
243,838

 
24,356

 
(2,241
)
 
22,115

Non-Agency CMBS
54,875

 
2,543

 
(1,803
)
 
740

Other securities
38,447

 
713

 
(54
)
 
659

Total
$
1,589,145

 
$
32,632

 
$
(12,034
)
 
$
20,598

 

(1)
Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million, gross realized gains of $432 thousand and gross realized losses of $0.
(2)
Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million, gross realized gains of $274 thousand and gross realized losses of $180 thousand.
 
For the year ended December 31, 2016
 
Proceeds
 
Gross
Gains
 
Gross
Losses
 
Net
Gain (Loss)
Agency RMBS(1)
$
1,239,350

 
$
6,214

 
$
(25,818
)
 
$
(19,604
)
Agency CMBS
22,939

 
54

 
(66
)
 
(12
)
Non-Agency RMBS
177,996

 
6,470

 
(4,560
)
 
1,910

Non-Agency CMBS
50,418

 
137

 
(5,810
)
 
(5,673
)
Other securities
764,711

 
3,496

 
(2,108
)
 
1,388

Total
$
2,255,414

 
$
16,371

 
$
(38,362
)
 
$
(21,991
)
 

(1)
Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million, gross realized gains of approximately $1.9 million and gross realized losses of $595 thousand.

 
For the year ended December 31, 2015
 
Proceeds
 
Gross
Gains
 
Gross
Losses
 
Net
Gain (Loss)
Agency RMBS(1)
$
1,293,120

 
$
12,054

 
$
(12,449
)
 
$
(395
)
Non-Agency RMBS
233,257

 
11,066

 
(174
)
 
10,892

Non-Agency CMBS
161,985

 
2,123

 
(171
)
 
1,952

Other securities
851,714

 
1,188

 
(5,358
)
 
(4,170
)
Total(2)
$
2,540,076

 
$
26,431

 
$
(18,152
)
 
$
8,279

 

(1)
Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $7.3 million, gross realized gains of $626 thousand and gross realized losses of $31 thousand.