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Investments in Debt Securities (Tables)
 12 Months Ended
Dec. 31, 2017
Schedule of Available-for-sale Securities [Line Items]  
Available-for-sale Securities
The following table categorizes the Company’s debt securities according to their stated maturity as of the periods indicated:
 
 
December 31, 2017
 
December 31, 2016
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Less than 1 year
 
$
4,480

 
$
4,542

 
$
12,375

 
$
12,189

>1 and <5 years
 
208,046

 
210,727

 
228,443

 
235,059

>5 and <10 years
 
1,334,795

 
1,326,178

 
1,060,273

 
1,040,609

> 10 years
 
1,635,298

 
1,632,072

 
1,943,876

 
1,924,227

 
 
$
3,182,619

 
$
3,173,519

 
$
3,244,967

 
$
3,212,084
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:
 
Year Ended
 
December 31,
 
2017
 
2016
 
2015
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
716,560

 
$
(12,392
)
 
$
54,178

 
$
(3,010
)
 
$
174,565

 
$
(2,865
)
Agency CMBS
252,624

 
(135
)
 
—

 
—

 
149,360

 
(604
)
Non-Agency CMBS
35,705

 
1,199

 
33,640

 
(1,228
)
 
30,775

 
(566
)
Non-Agency RMBS
16,407

 
42

 
—

 
—

 
—

 
—

Agency CMBS IO
—

 
—

 
—

 
—

 
45,096

 
1,698

Non-Agency CMBS IO
—

 
—

 
—

 
—

 
50,125

 
1,359

U.S. Treasuries
51,797

 
(244
)
 
—

 
—

 
—

 
—


$
1,073,093

 
$
(11,530
)
 
$
87,818

 
$
(4,238
)
 
$
449,921

 
$
(978
)
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:
 
December 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
$
1,293,798

 
$
(9,769
)
 
71
 
$
1,738,094

 
$
(38,469
)
 
133
Non-Agency MBS
51,406

 
(421
)
 
11
 
205,484

 
(2,773
)
 
48
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
423,698

 
$
(14,035
)
 
30
 
$
427,405

 
$
(8,952
)
 
72
Non-Agency MBS
20,414

 
(323
)
 
12
 
81,660

 
(2,332
)
 
26
Debt Securities [Member]  
Schedule of Available-for-sale Securities [Line Items]  
Available-for-sale Securities
The following tables present the Company’s debt securities by investment type as of the dates indicated:
 
December 31, 2017
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency (2)
$
1,146,553

 
$
46,021

 
$
1,192,574

 
$
1,626

 
$
(9,939
)
 
$
1,184,261

 
3.56
%
Non-Agency
1,070

 
—

 
1,070

 
41

 
(20
)
 
1,091

 
6.75
%
 
1,147,623

 
46,021

 
1,193,644

 
1,667

 
(9,959
)
 
1,185,352

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
1,123,967

 
10,442

 
1,134,409

 
3,514

 
(13,572
)
 
1,124,351

 
3.03
%
Non-Agency
26,501

 
(4,035
)
 
22,466

 
2,298

 
—

 
24,764

 
5.47
%
 
1,150,468

 
6,407

 
1,156,875

 
5,812

 
(13,572
)
 
1,149,115

 
 
CMBS IO (3):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
375,361

 
375,361

 
5,238

 
(293
)
 
380,306

 
0.62
%
Non-Agency
—

 
308,472

 
308,472

 
4,468

 
(724
)
 
312,216

 
0.61
%
 
—

 
683,833

 
683,833

 
9,706

 
(1,017
)
 
692,522

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


U.S. Treasuries:
148,400

 
(133
)
 
148,267

 
—

 
(1,737
)
 
146,530

 
2.13
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total AFS securities:
$
2,446,491

 
$
736,128

 
$
3,182,619

 
$
17,185

 
$
(26,285
)
 
$
3,173,519

 
 
(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)
Includes purchased securities pending settlement.
(3)
The notional balance for Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463, respectively, as of December 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 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.