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Investments in Debt Securities (Tables)
 9 Months Ended
Sep. 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:
 
 
September 30, 2018
 
December 31, 2017
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Less than 1 year
 
$
47,271

 
$
47,217

 
$
4,480

 
$
4,542

>1 and <5 years
 
158,325

 
159,007

 
208,046

 
210,727

>5 and <10 years
 
935,687

 
893,930

 
1,334,795

 
1,326,178

> 10 years
 
2,239,301

 
2,194,356

 
1,635,298

 
1,632,072

 
 
$
3,380,584

 
$
3,294,510

 
$
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
 
September 30,
 
2018
 
2017
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
—

 
$
—

 
$
393,502

 
$
(5,160
)
Agency CMBS
48,237

 
(1,720
)
 
13,433

 
(51
)
Agency CMBS IO
10,571

 
127

 
—

 
—

U.S. Treasuries
57,843

 
(133
)
 
—

 
—

 
$
116,651

 
$
(1,726
)
 
$
406,935

 
$
(5,211
)
 

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

 
$
(7,785
)
 
$
716,560

 
$
(12,392
)
Agency CMBS
156,995

 
(3,771
)
 
206,993

 
523

Agency CMBS IO
10,571

 
127

 
—

 
—

Non-Agency CMBS
—

 
—

 
35,705

 
1,199

Non-Agency RMBS
—

 
—

 
16,407

 
42

Non-Agency CMBS IO
8,695

 
51

 
—

 
—

U.S. Treasuries
248,802

 
(6,567
)
 
—

 
—


$
642,900

 
$
(17,945
)
 
$
975,665

 
$
(10,628
)
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:
 
September 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
$
1,540,220

 
$
(29,765
)
 
91
 
$
1,293,798

 
$
(9,769
)
 
71
Non-Agency MBS
79,326

 
(447
)
 
23
 
51,406

 
(421
)
 
11
U.S. Treasuries
—

 
—

 
0
 
146,530

 
(1,737
)
 
1
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
1,064,620

 
$
(62,929
)
 
58
 
$
423,698

 
$
(14,035
)
 
30
Non-Agency MBS
31,282

 
(533
)
 
13
 
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:
 
September 30, 2018
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 


 
 
 
 
 
 
 
 
Agency
$
1,761,274

 
$
55,092

 
$
1,816,366

 
$
1,214

 
$
(42,428
)
 
$
1,775,152

 
3.92
%
Non-Agency
909

 
—

 
909

 
24

 
(20
)
 
913

 
6.75
%
 
1,762,183

 
55,092

 
1,817,275

 
1,238

 
(42,448
)
 
1,776,065

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
987,266

 
9,792

 
997,058

 
363

 
(49,125
)
 
948,296

 
3.08
%
Non-Agency
7,027

 
(3,103
)
 
3,924

 
1,399

 
—

 
5,323

 
8.90
%
 
994,293

 
6,689

 
1,000,982

 
1,762

 
(49,125
)
 
953,619

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
308,174

 
308,174

 
2,197

 
(1,141
)
 
309,230

 
0.59
%
Non-Agency
—

 
254,153

 
254,153

 
2,403

 
(960
)
 
255,596

 
0.59
%
 
—

 
562,327

 
562,327

 
4,600

 
(2,101
)
 
564,826

 
 
 
 
 
 
 
 
 
 
 
 
 


 


U.S. Treasuries:
—

 
—

 
—

 
—

 
—

 
—

 
—
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total AFS securities:
$
2,756,476

 
$
624,108

 
$
3,380,584

 
$
7,600

 
$
(93,674
)
 
$
3,294,510

 
 
(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 $13,238,960 and $10,391,240 respectively, as of September 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.