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:



	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.

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 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	)

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

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 in accordance with GAAP. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of June 30, 2017 and December 31, 2016 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 the non-Agency MBS, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses. The Company performed this evaluation for its 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 June 30, 2017 or December 31, 2016.