MORTGAGE-BACKED SECURITIES

The majority of the Company's MBS are pledged as collateral for the Company's secured borrowings. 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.

Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities.

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

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

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 December 31, 2016 and December 31, 2015 were temporary.

The Company 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 December 31, 2016 or December 31, 2015.