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Mortgage Backed Securities (Tables)
 9 Months Ended
Sep. 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:
 
September 30, 2017
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,302,237

 
$
12,688

 
1,314,925

 
$
6,187

 
$
(13,623
)
 
1,307,489

 
2.99
%
Non-Agency
40,780

 
(4,452
)
 
36,328

 
2,877

 
—

 
39,205

 
5.48
%
 
1,343,017

 
8,236

 
1,351,253

 
9,064

 
(13,623
)
 
1,346,694

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
394,380

 
394,380

 
7,592

 
(164
)
 
401,808

 
0.63
%
Non-Agency
—

 
322,735

 
322,735

 
6,254

 
(330
)
 
328,659

 
0.61
%
 
—

 
717,115

 
717,115

 
13,846

 
(494
)
 
730,467

 
 
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency fixed-rate
522,099

 
19,163

 
541,262

 
—

 
(1,903
)
 
539,359

 
3.52
%
Agency adjustable-rate
294,254

 
11,011

 
305,265

 
1,263

 
(2,746
)
 
303,782

 
3.05
%
Non-Agency
1,113

 
—

 
1,113

 
49

 
(20
)
 
1,142

 
6.75
%
 
817,466

 
30,174

 
847,640

 
1,312

 
(4,669
)
 
844,283

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,160,483

 
$
755,525

 
$
2,916,008

 
$
24,222

 
$
(18,786
)
 
$
2,921,444

 
 
(1)
The weighted average coupon ("WAC") is the gross interest rate of 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 $14,253,392 and $11,061,377, respectively, as of September 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 adjustable-rate
$
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
 
September 30,
 
2017
 
2016
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
393,502

 
$
(5,160
)
 
$
—

 
$
—

Agency CMBS
13,433

 
(51
)
 
—

 
—

 
$
406,935

 
$
(5,211
)
 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
Nine Months Ended
 
September 30,
 
2017
 
2016
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
716,560

 
$
(12,392
)
 
$
54,178

 
$
(3,010
)
Agency CMBS
206,993

 
523

 
—

 
—

Non-Agency CMBS
35,705

 
1,199

 
33,640

 
(1,228
)
Non-Agency RMBS
16,407

 
42

 
—

 
—

 
$
975,665

 
$
(10,628
)
 
$
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:
 
September 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
$
1,377,438

 
$
(13,201
)
 
76
 
$
1,738,094

 
$
(38,469
)
 
133
Non-Agency MBS
38,979

 
(151
)
 
6
 
205,484

 
(2,773
)
 
48
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
206,045

 
$
(5,236
)
 
17
 
$
427,405

 
$
(8,952
)
 
72
Non-Agency MBS
15,749

 
(199
)
 
11
 
81,660

 
(2,332
)
 
26