Mortgage Backed Securities Mortgage backed securities (Tables)

3 Months Ended

Mar. 31, 2017

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:

	March 31, 2017
	Par		Net Premium (Discount)			Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value		WAC (1)
RMBS:
Agency	$	1,033,735	$	48,373		$	1,082,108	$	2,914	$	(10,343	)	$	1,074,679	3.04	%
Non-Agency	26,442		(10		)	26,432		94		(36		)	26,490		3.85	%
	1,060,177		48,363			1,108,540		3,008		(10,379		)	1,101,169
CMBS:
Agency	1,243,516		13,814			1,257,330		5,435		(24,387		)	1,238,378		3.10	%
Non-Agency	78,927		(6,279		)	72,648		5,155		—			77,803		4.71	%
	1,322,443		7,535			1,329,978		10,590		(24,387		)	1,316,181
CMBS IO (2):
Agency	—		407,346			407,346		5,822		(627		)	412,541		0.78	%
Non-Agency	—		353,737			353,737		4,121		(1,000		)	356,858		0.71	%
	—		761,083			761,083		9,943		(1,627		)	769,399
Total AFS securities:	$	2,382,620	$	816,981		$	3,199,601	$	23,541	$	(36,393	)	$	3,186,749

(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 $13,680,888 and $11,172,716, respectively, as of March 31, 2017.

	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 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 $13,106,912 and $10,884,964, respectively, as of December 31, 2016.

Schedule of Realized Gain (Loss)

The following table presents information regarding the sales included in "loss on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated:

	Three Months Ended
	March 31,
	2017					2016
	Proceeds Received		Realized Gain (Loss)			Proceeds Received		Realized Gain (Loss)
Agency RMBS	$	57,164	$	(1,708	)	$	43,890	$	(2,713	)
Non-Agency CMBS	—		—			33,640		(1,228		)
	$	57,164	$	(1,708	)	$	77,530	$	(3,941	)

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:

	March 31, 2017						December 31, 2016
	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	$	1,568,683	$	(29,494	)	113	$	1,738,094	$	(38,469	)	133
Non-Agency MBS	65,013		(379		)	13	205,484		(2,773		)	48
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	384,677	$	(5,865	)	60	$	427,405	$	(8,952	)	72
Non-Agency MBS	38,726		(658		)	17	81,660		(2,332		)	26