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Investments in Debt Securities (Tables)
 3 Months Ended
Mar. 31, 2018
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 dates indicated:
 
 
March 31, 2018
 
December 31, 2017
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Less than 1 year
 
$
26,507

 
$
26,699

 
$
4,480

 
$
4,542

>1 and <5 years
 
198,463

 
200,395

 
208,046

 
210,727

>5 and <10 years
 
1,243,105

 
1,214,133

 
1,334,795

 
1,326,178

> 10 years
 
1,655,796

 
1,628,130

 
1,635,298

 
1,632,072

 
 
$
3,123,871

 
$
3,069,357

 
$
3,182,619

 
$
3,173,519
Schedule of Realized Gain (Loss)
The following table presents information regarding the sales that generated the “loss on sale of investments, net” on the Company’s consolidated statements of comprehensive income for the periods indicated:
 
Three Months Ended
 
March 31,
 
2018
 
2017
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
—

 
$
—

 
$
57,164

 
$
(1,708
)
Agency CMBS
108,758

 
(2,052
)
 
—

 
—

U.S. Treasuries
46,498

 
(1,723
)
 
—

 
—


$
155,256

 
$
(3,775
)
 
$
57,164

 
$
(1,708
)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value
The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 
March 31, 2018
 
December 31, 2017
 
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
$
1,698,318

 
$
(41,169
)
 
109
 
$
1,293,798

 
$
(9,769
)
 
71
Non-Agency MBS
75,424

 
(730
)
 
18
 
51,406

 
(421
)
 
11
U.S. Treasuries
96,758

 
(3,289
)
 
1
 
146,530

 
(1,737
)
 
1
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
409,927

 
$
(21,341
)
 
30
 
$
423,698

 
$
(14,035
)
 
30
Non-Agency MBS
17,052

 
(237
)
 
11
 
20,414

 
(323
)
 
12
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:
 
March 31, 2018
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency (2)
$
1,197,306

 
$
46,341

 
$
1,243,647

 
$
1,224

 
$
(29,431
)
 
$
1,215,440

 
3.52
%
Non-Agency
994

 
—

 
994

 
32

 
(19
)
 
1,007

 
6.75
%
 
1,198,300

 
46,341

 
1,244,641

 
1,256

 
(29,450
)
 
1,216,447

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
1,004,572

 
10,914

 
1,015,486

 
1,095

 
(32,516
)
 
984,065

 
3.05
%
Non-Agency
7,777

 
(3,679
)
 
4,098

 
1,943

 
—

 
6,041

 
7.15
%
 
1,012,349

 
7,235

 
1,019,584

 
3,038

 
(32,516
)
 
990,106

 
 
CMBS IO (3):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
358,471

 
358,471

 
4,175

 
(561
)
 
362,085

 
0.75
%
Non-Agency
—

 
294,092

 
294,092

 
3,040

 
(948
)
 
296,184

 
0.71
%
 
—

 
652,563

 
652,563

 
7,215

 
(1,509
)
 
658,269

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


U.S. Treasuries:
209,000

 
(1,917
)
 
207,083

 
741

 
(3,289
)
 
204,535

 
2.32
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total AFS securities:
$
2,419,649

 
$
704,222

 
$
3,123,871

 
$
12,250

 
$
(66,764
)
 
$
3,069,357

 
 
(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 $14,208,611 and $10,944,703 respectively, as of March 31, 2018.
 
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 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 the Agency CMBS IO and non-Agency CMBS IO was $14,196,122 and $11,006,463, respectively, as of December 31, 2017.