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Mortgage Backed Securities Mortgage backed securities (Notes)
 6 Months Ended
Jun. 30, 2014
Investments, Debt and Equity Securities [Abstract]  
Mortgage-backed securities
MORTGAGE-BACKED SECURITIES
 
The following tables presents the components and weighted average coupon ("WAC") for the portion of the Company’s MBS designated as AFS as of June 30, 2014 and December 31, 2013:
 
June 30, 2014
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC
Agency:
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
$
2,360,799

 
$
132,342

 
$
2,493,141

 
$
7,657

 
$
(33,257
)
 
$
2,467,541

 
3.16
%
CMBS
309,235

 
20,178

 
329,413

 
15,892

 
(109
)
 
345,196

 
5.23
%
CMBS IO (1)
—

 
432,588

 
432,588

 
15,055

 
(143
)
 
447,500

 
0.88
%
Total Agency AFS:
2,670,034

 
585,108

 
3,255,142

 
38,604

 
(33,509
)
 
3,260,237

 


 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency:
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
13,482

 
(6
)
 
13,476

 
198

 
(81
)
 
13,593

 
4.48
%
CMBS
391,332

 
(17,190
)
 
374,142

 
27,166

 
—

 
401,308

 
4.96
%
CMBS IO (1)
—

 
268,972

 
268,972

 
6,361

 
(506
)
 
274,827

 
0.70
%
Total non-Agency AFS:
404,814

 
251,776

 
656,590

 
33,725

 
(587
)
 
689,728

 


 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities
$
3,074,848

 
$
836,884

 
$
3,911,732

 
$
72,329

 
$
(34,096
)
 
$
3,949,965

 
 
(1)
The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,703,887 and $6,958,238, respectively, as of June 30, 2014.

 
December 31, 2013
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC
Agency:
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
$
2,591,568

 
$
154,220

 
$
2,745,788

 
$
6,104

 
$
(59,742
)
 
$
2,692,150

 
3.22
%
CMBS
273,830

 
19,061

 
292,891

 
10,793

 
(900
)
 
302,784

 
5.07
%
CMBS IO (1)
—

 
453,766

 
453,766

 
9,895

 
(3,334
)
 
460,327

 
0.83
%
Total Agency AFS:
2,865,398

 
627,047

 
3,492,445

 
26,792

 
(63,976
)
 
3,455,261

 


 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency:
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
13,845

 
(338
)
 
13,507

 
338

 
(80
)
 
13,765

 
4.61
%
CMBS
375,703

 
(18,277
)
 
357,426

 
15,366

 
(3,511
)
 
369,281

 
5.10
%
CMBS IO (1)
—

 
150,518

 
150,518

 
2,618

 
(1,999
)
 
151,137

 
0.66
%
Total non-Agency AFS:
389,548

 
131,903

 
521,451

 
18,322

 
(5,590
)
 
534,183

 


 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities
$
3,254,946

 
$
758,950

 
$
4,013,896

 
$
45,114

 
$
(69,566
)
 
$
3,989,444

 
 
(1)
As of December 31, 2013, the Company had Agency CMBS with an amortized cost of $26,920 and fair value of $28,717 which were designated as trading securities and are not included in this table. The Company changed the designation of these Agency CMBS to AFS during the three months ended June 30, 2014. Changes in the fair value of these MBS while they were designated as trading are recognized in net income within "fair value adjustments, net". Future changes in the fair value of these MBS which are now designated as AFS will be recognized in "other comprehensive income". As of June 30, 2014, the Company does not have any MBS designated as trading.
(2)
The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,160,502 and $4,274,957, respectively, as of December 31, 2013.

The following table presents certain information for those Agency MBS in an unrealized loss position as of June 30, 2014 and December 31, 2013:
 
June 30, 2014
 
December 31, 2013
 
Fair Value
 
Gross Unrealized Losses
 
# of Securities
 
Fair Value
 
Gross Unrealized Losses
 
# of Securities
Continuous unrealized loss position for less than 12 months:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
95,177

 
$
(741
)
 
18
 
$
1,912,937

 
$
(43,543
)
 
150
Non-Agency MBS
11,711

 
(73
)
 
2
 
162,558

 
(5,435
)
 
39
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
1,905,306

 
$
(32,768
)
 
151
 
$
670,402

 
$
(20,433
)
 
67
Non-Agency MBS
27,008

 
(514
)
 
8
 
6,310

 
(155
)
 
6


Because the principal and interest related to Agency MBS are guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac who have the implicit guarantee of the U.S. government, the Company does not consider any of the unrealized losses on its Agency MBS to be credit related. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any Agency MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s current leverage and anticipated liquidity.  Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of June 30, 2014 and December 31, 2013 were temporary.

The Company also reviews any non-Agency MBS in an unrealized loss position to evaluate whether any decline in fair value represents an OTTI. The evaluation includes a review of the credit ratings of these non-Agency MBS and the seasoning of the mortgage loans collateralizing these securities as well as the estimated future cash flows which include projected losses. The Company performed this evaluation for the non-Agency MBS in an unrealized loss position and has determined that there have not been any adverse changes in the timing or amount of estimated future cash flows that necessitate a recognition of OTTI amounts as of June 30, 2014 or December 31, 2013.