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Mortgage Backed Securities Mortgage backed securities (Tables)
 6 Months Ended
Jun. 30, 2015
Schedule of Available-for-sale Securities [Line Items]  
Schedule of Realized Gain (Loss) [Table Text Block]
The Company's sale proceeds including MBS sales pending settlement as of June 30, 2015 were $226,884 and $329,406 for three and six months ended June 30, 2015, respectively, and $36,133 and $95,932 for the three and six months ended June 30, 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
 
Six Months Ended
 
June 30,
 
June 30,
($ in thousands)
2015
 
2014
 
2015
 
2014
Gross realized gains on sales of MBS
$
1,361

 
$
471

 
$
3,134

 
$
690

Gross realized losses on sales of MBS
(2,852
)
 
(948
)
 
(3,317
)
 
(4,474
)
Loss on sale of investments, net
$
(1,491
)
 
$
(477
)
 
$
(183
)
 
$
(3,784
)
Available-for-sale Securities [Table Text Block]
The following tables provide detail by type of investment for the Company’s MBS designated as AFS as of the dates indicated:
 
June 30, 2015
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,741,996

 
$
90,244

 
$
1,832,240

 
$
7,703

 
$
(16,671
)
 
$
1,823,272

 
3.05
%
Non-Agency
73,896

 
(62
)
 
73,834

 
136

 
(88
)
 
73,882

 
3.55
%
 
1,815,892

 
90,182

 
1,906,074

 
7,839

 
(16,759
)
 
1,897,154

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
952,322

 
16,331

 
968,653

 
13,749

 
(15,499
)
 
966,903

 
3.45
%
Non-Agency
214,220

 
(8,384
)
 
205,836

 
6,521

 
(422
)
 
211,935

 
4.22
%
 
1,166,542

 
7,947

 
1,174,489

 
20,270

 
(15,921
)
 
1,178,838

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
426,897

 
426,897

 
9,258

 
(494
)
 
435,661

 
0.72
%
Non-Agency
—

 
338,247

 
338,247

 
3,888

 
(905
)
 
341,230

 
0.61
%
 
—

 
765,144

 
765,144

 
13,146

 
(1,399
)
 
776,891

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,982,434

 
$
863,273

 
$
3,845,707

 
$
41,255

 
$
(34,079
)
 
$
3,852,883

 
 
(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 $11,198,955 and $9,572,727, respectively, as of June 30, 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

 
4.33
%
 
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.
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block]
The following table presents certain information for those Agency MBS in an unrealized loss position as of the dates indicated:
 
June 30, 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
$
1,052,413

 
$
(17,343
)
 
68
 
$
322,741

 
$
(879
)
 
24
Non-Agency MBS
212,569

 
(1,349
)
 
39
 
111,778

 
(625
)
 
24
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
886,126

 
$
(15,321
)
 
73
 
$
1,321,323

 
$
(21,491
)
 
113
Non-Agency MBS
1,348

 
(66
)
 
5
 
18,037

 
(159
)
 
5