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Investments in Debt Securities (Tables)
 6 Months Ended
Jun. 30, 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:
 
 
June 30, 2018
 
December 31, 2017
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Less than 1 year
 
$
37,630

 
$
37,723

 
$
4,480

 
$
4,542

>1 and <5 years
 
180,549

 
182,064

 
208,046

 
210,727

>5 and <10 years
 
1,074,637

 
1,037,864

 
1,334,795

 
1,326,178

> 10 years
 
1,589,227

 
1,560,166

 
1,635,298

 
1,632,072

 
 
$
2,882,043

 
$
2,817,817

 
$
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
 
June 30,
 
2018
 
2017
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
217,837

 
$
(7,785
)
 
$
265,893

 
$
(5,524
)
Agency CMBS
—

 
—

 
24,305

 
574

Non-Agency CMBS
—

 
—

 
35,705

 
1,199

Non-Agency RMBS
—

 
—

 
16,407

 
42

Non-Agency CMBS IO
8,695

 
51

 
—

 
—

U.S. Treasuries
144,461

 
(4,710
)
 
—

 
—

 
$
370,993

 
$
(12,444
)
 
$
342,310

 
$
(3,709
)
 

 
 
 
 
 
 
 
Six Months Ended
 
June 30,
 
2018
 
2017
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
217,837

 
$
(7,785
)
 
$
323,057

 
$
(7,232
)
Agency CMBS
108,758

 
(2,052
)
 
24,305

 
574

Non-Agency CMBS
—

 
—

 
35,705

 
1,199

Non-Agency RMBS
—

 
—

 
16,407

 
42

Non-Agency CMBS IO
8,695

 
51

 
—

 
—

U.S. Treasuries
190,960

 
(6,433
)
 
—

 
—


$
526,250

 
$
(16,219
)
 
$
399,474

 
$
(5,417
)
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:
 
June 30, 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
$
1,907,732

 
$
(54,067
)
 
113
 
$
1,293,798

 
$
(9,769
)
 
71
Non-Agency MBS
59,125

 
(377
)
 
17
 
51,406

 
(421
)
 
11
U.S. Treasuries
57,923

 
(50
)
 
1
 
146,530

 
(1,737
)
 
1
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
257,394

 
$
(19,567
)
 
16
 
$
423,698

 
$
(14,035
)
 
30
Non-Agency MBS
13,105

 
(256
)
 
10
 
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:
 
June 30, 2018
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 


 
 
 
 
 
 
 
 
Agency
$
1,161,063

 
$
41,778

 
$
1,202,841

 
$
886

 
$
(29,114
)
 
$
1,174,613

 
3.79
%
Non-Agency
952

 
—

 
952

 
28

 
(20
)
 
960

 
6.75
%
 
1,162,015

 
41,778

 
1,203,793

 
914

 
(29,134
)
 
1,175,573

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
998,502

 
10,385

 
1,008,887

 
563

 
(43,926
)
 
965,524

 
3.05
%
Non-Agency
7,322

 
(3,384
)
 
3,938

 
1,675

 
—

 
5,613

 
10.83
%
 
1,005,824

 
7,001

 
1,012,825

 
2,238

 
(43,926
)
 
971,137

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
338,476

 
338,476

 
3,611

 
(594
)
 
341,493

 
0.61
%
Non-Agency
—

 
268,976

 
268,976

 
3,328

 
(613
)
 
271,691

 
0.60
%
 
—

 
607,452

 
607,452

 
6,939

 
(1,207
)
 
613,184

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


U.S. Treasuries:
59,000

 
(1,027
)
 
57,973

 
—

 
(50
)
 
57,923

 
2.50
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total AFS securities:
$
2,226,839

 
$
655,204

 
$
2,882,043

 
$
10,091

 
$
(74,317
)
 
$
2,817,817

 
 
(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 $14,084,428 and $10,517,357 respectively, as of June 30, 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.