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Mortgage Backed Securities Mortgage backed securities (Notes)
 3 Months Ended
Mar. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Mortgage-backed securities
MORTGAGE-BACKED SECURITIES
 
The majority of the Company's MBS are pledged as collateral to cover initial and variation margins for the Company's repurchase agreements and derivative instruments. The following tables provide detail by type of investment for the Company’s MBS designated as AFS as of the dates indicated:
 
March 31, 2015
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,942,332

 
$
104,352

 
$
2,046,684

 
$
11,271

 
$
(13,075
)
 
$
2,044,880

 
3.08
%
Non-Agency
76,647

 
(69
)
 
76,578

 
143

 
(79
)
 
76,642

 
3.57
%
 
2,018,979

 
104,283

 
2,123,262

 
11,414

 
(13,154
)
 
2,121,522

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
740,363

 
17,321

 
757,684

 
20,234

 
(171
)
 
777,747

 
3.68
%
Non-Agency
217,479

 
(8,451
)
 
209,028

 
7,600

 
(363
)
 
216,265

 
4.23
%
 
957,842

 
8,870

 
966,712

 
27,834

 
(534
)
 
994,012

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
410,948

 
410,948

 
13,257

 
(12
)
 
424,193

 
0.87
%
Non-Agency
—

 
331,090

 
331,090

 
8,906

 
—

 
339,996

 
0.71
%
 
—

 
742,038

 
742,038

 
22,163

 
(12
)
 
764,189

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,976,821

 
$
855,191

 
$
3,832,012

 
$
61,411

 
$
(13,700
)
 
$
3,879,723

 
 
(1)
The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2)
The notional balance for Agency CMBS IO and non-Agency CMBS IO was $10,415,002 and $9,115,887, respectively, as of March 31, 2015.
 
December 31, 2014
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
2,086,807

 
$
113,635

 
$
2,200,442

 
$
8,473

 
$
(22,215
)
 
$
2,186,700

 
3.09
%
Non-Agency
22,432

 
(17
)
 
22,415

 
107

 
(74
)
 
22,448

 
3.83
%
 
2,109,239

 
113,618

 
2,222,857

 
8,580

 
(22,289
)
 
2,209,148

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
301,943

 
18,042

 
319,985

 
15,288

 
(76
)
 
335,197

 
5.21
%
Non-Agency
210,358

 
(8,520
)
 
201,838

 
6,679

 
(479
)
 
208,038

 
5.10
%
 
512,301

 
9,522

 
521,823

 
21,967

 
(555
)
 
543,235

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
426,564

 
426,564

 
12,252

 
(79
)
 
438,737

 
0.80
%
Non-Agency
—

 
319,280

 
319,280

 
6,069

 
(230
)
 
325,119

 
0.72
%
 
—

 
745,844

 
745,844

 
18,321

 
(309
)
 
763,856

 
 



 
 
 


 


 
 
 


 
 
Total AFS securities:
$
2,621,540

 
$
868,984

 
$
3,490,524

 
$
48,868

 
$
(23,153
)
 
$
3,516,239

 


 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2)
The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,460,113 and $7,868,896, respectively, as of December 31, 2014.

The Company received proceeds of $102,923 and $59,799 for the sale of MBS during the three months ended March 31, 2015 and March 31, 2014, respectively. The following table presents the gross realized gains (losses) of those sales included in "gain (loss) on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated:
 
Three Months Ended
 
March 31,
 
2015
 
2014
($ in thousands)
Gain (Loss) Recognized
 
Gain (Loss) Recognized
Gross realized gains on sales of MBS
$
1,773

 
$
219

Gross realized losses on sales of MBS
(465
)
 
(3,526
)
Total gain (loss) on sale of investments, net
$
1,308

 
$
(3,307
)

The following table presents certain information for those Agency MBS in an unrealized loss position as of the dates indicated:
 
March 31, 2015
 
December 31, 2014
 
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
$
261,035

 
$
(531
)
 
17
 
$
322,741

 
$
(879
)
 
24
Non-Agency MBS
79,310

 
(382
)
 
13
 
111,778

 
(625
)
 
24
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
1,030,027

 
$
(12,727
)
 
91
 
$
1,321,323

 
$
(21,491
)
 
113
Non-Agency MBS
1,224

 
(61
)
 
4
 
18,037

 
(159
)
 
5


Because the principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac which 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 March 31, 2015 and December 31, 2014 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 March 31, 2015 or December 31, 2014.