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Mortgage Backed Securities Mortgage backed securities (Tables)
 6 Months Ended
Jun. 30, 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:
 
June 30, 2017
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,315,974

 
$
14,110

 
1,330,084

 
$
6,026

 
$
(15,492
)
 
1,320,618

 
3.04
%
Non-Agency
41,142

 
(4,855
)
 
36,287

 
3,280

 
—

 
39,567

 
5.53
%
 
1,357,116

 
9,255

 
1,366,371

 
9,306

 
(15,492
)
 
1,360,185

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
413,368

 
413,368

 
6,719

 
(322
)
 
419,765

 
0.63
%
Non-Agency
—

 
339,493

 
339,493

 
5,401

 
(578
)
 
344,316

 
0.62
%
 
—

 
752,861

 
752,861

 
12,120

 
(900
)
 
764,081

 
 
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
715,015

 
29,074

 
744,089

 
1,959

 
(7,464
)
 
738,584

 
2.98
%
Non-Agency
1,156

 
—

 
1,156

 
46

 
(26
)
 
1,176

 
6.75
%
 
716,171

 
29,074

 
745,245

 
2,005

 
(7,490
)
 
739,760

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,073,287

 
$
791,190

 
$
2,864,477

 
$
23,431

 
$
(23,882
)
 
$
2,864,026

 
 
(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 $14,248,128 and $11,126,737, respectively, as of June 30, 2017.
 
December 31, 2016
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
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

 
 
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

 
 



 
 
 


 


 
 
 


 
 
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
 
June 30,
 
2017
 
2016
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
265,893

 
$
(5,524
)
 
$
10,287

 
$
(297
)
Agency CMBS
24,305

 
574

 
—

 
—

Non-Agency CMBS
35,705

 
1,199

 
—

 
—

Non-Agency RMBS
16,407

 
42

 
—

 
—

 
$
342,310

 
$
(3,709
)
 
$
10,287

 
$
(297
)
 
 
 
 
 
 
 
 
 
Six Months Ended
 
June 30,
 
2017
 
2016
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
323,057

 
$
(7,232
)
 
$
54,178

 
$
(3,010
)
Agency CMBS
24,305

 
574

 
—

 
—

Non-Agency CMBS
35,705

 
1,199

 
33,640

 
(1,228
)
Non-Agency RMBS
16,407

 
42

 
—

 
—

 
$
399,474

 
$
(5,417
)
 
$
87,818

 
$
(4,238
)
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:
 
June 30, 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
$
1,254,502

 
$
(20,694
)
 
101
 
$
1,738,094

 
$
(38,469
)
 
133
Non-Agency MBS
19,542

 
(154
)
 
3
 
205,484

 
(2,773
)
 
48
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
186,382

 
$
(2,584
)
 
28
 
$
427,405

 
$
(8,952
)
 
72
Non-Agency MBS
40,122

 
(450
)
 
16
 
81,660

 
(2,332
)
 
26