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Mortgage Backed Securities (Tables)
 12 Months Ended
Dec. 31, 2016
Schedule of Available-for-sale Securities [Line Items]  
Available-for-sale Securities
The following tables present the Company’s MBS by investment type as of the dates indicated:
 
December 31, 2016
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,157,258

 
$
57,066

 
$
1,214,324

 
$
2,832

 
$
(15,951
)
 
$
1,201,205

 
3.05
%
Non-Agency
33,572

 
(24
)
 
33,548

 
64

 
(50
)
 
33,562

 
3.58
%
 
1,190,830

 
57,042

 
1,247,872

 
2,896

 
(16,001
)
 
1,234,767

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
1,152,586

 
13,868

 
1,166,454

 
6,209

 
(28,108
)
 
1,144,555

 
3.12
%
Non-Agency
79,467

 
(6,718
)
 
72,749

 
5,467

 
—

 
78,216

 
4.72
%
 
1,232,053

 
7,150

 
1,239,203

 
11,676

 
(28,108
)
 
1,222,771

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
411,737

 
411,737

 
3,523

 
(3,362
)
 
411,898

 
0.67
%
Non-Agency
—

 
346,155

 
346,155

 
1,548

 
(5,055
)
 
342,648

 
0.61
%
 
—

 
757,892

 
757,892

 
5,071

 
(8,417
)
 
754,546

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,422,883

 
$
822,084

 
$
3,244,967

 
$
19,643

 
$
(52,526
)
 
$
3,212,084

 
 
(1)
The 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 $13,106,912 and $10,884,964, respectively, as of December 31, 2016.
 
December 31, 2015
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,536,733

 
$
77,617

 
$
1,614,350

 
$
4,362

 
$
(20,190
)
 
$
1,598,522

 
3.03
%
Non-Agency
66,003

 
(45
)
 
65,958

 
70

 
(818
)
 
65,210

 
3.25
%
 
1,602,736

 
77,572

 
1,680,308

 
4,432

 
(21,008
)
 
1,663,732

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
876,751

 
13,252

 
890,003

 
10,542

 
(14,614
)
 
885,931

 
3.45
%
Non-Agency
156,218

 
(8,133
)
 
148,085

 
7,039

 
(941
)
 
154,183

 
4.29
%
 
1,032,969

 
5,119

 
1,038,088

 
17,581

 
(15,555
)
 
1,040,114

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
421,857

 
421,857

 
5,922

 
(1,651
)
 
426,128

 
0.80
%
Non-Agency
—

 
365,554

 
365,554

 
1,992

 
(3,819
)
 
363,727

 
0.71
%
 
—

 
787,411

 
787,411

 
7,914

 
(5,470
)
 
789,855

 
 



 
 
 


 


 
 
 


 
 
Total AFS securities:
$
2,635,705

 
$
870,102

 
$
3,505,807

 
$
29,927

 
$
(42,033
)
 
$
3,493,701

 



(1)
The 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 $12,180,291 and $10,328,628, respectively, as of December 31, 2015.
Schedule of Realized Gain (Loss)
The following table presents information regarding the sales included in "(loss) gain on sale of investments, net" on the Company's consolidated statements of comprehensive income (loss) for the periods indicated:
 
Year Ended
 
December 31,
 
2016
 
2015
 
2014
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
54,178

 
$
(3,010
)
 
$
174,565

 
$
(2,865
)
 
$
137,350

 
$
(5,762
)
Agency CMBS
—

 
—

 
149,360

 
(604
)
 
—

 
—

Non-Agency CMBS
33,640

 
(1,228
)
 
30,775

 
(566
)
 
245,839

 
19,773

Agency CMBS IO
—

 
—

 
45,096

 
1,698

 
107,635

 
1,630

Non-Agency CMBS IO
—

 
—

 
50,125

 
1,359

 
13,094

 
582

 
$
87,818

 
$
(4,238
)
 
$
449,921

 
$
(978
)
 
$
503,918

 
$
16,223
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value
The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated:
 
December 31, 2016
 
December 31, 2015
 
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
$
1,738,094

 
$
(38,469
)
 
133
 
$
1,332,849

 
$
(19,062
)
 
109
Non-Agency MBS
205,484

 
(2,773
)
 
48
 
351,650

 
(5,347
)
 
72
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
427,405

 
$
(8,952
)
 
72
 
$
775,484

 
$
(17,393
)
 
72
Non-Agency MBS
81,660

 
(2,332
)
 
26
 
8,306

 
(231
)
 
7