XML 40 R20.htm IDEA: XBRL DOCUMENT v3.10.0.1
Investments in Debt Securities Investments in Debt Securities (Tables)
 12 Months Ended
Dec. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Debt Securities, Available-for-sale [Table Text Block] The following tables present the Company’s debt securities by investment type (including securities pending settlement) as of the dates indicated:
 
December 31, 2018
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 


 
 
 
 
 
 
 
 
Agency
$
2,118,639

 
$
56,744

 
$
2,175,383

 
$
8,902

 
$
(26,264
)
 
$
2,158,021

 
3.95
%
Non-Agency
856

 
—

 
856

 
24

 
(22
)
 
858

 
6.75
%
 
2,119,495

 
56,744

 
2,176,239

 
8,926

 
(26,286
)
 
2,158,879

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
1,071,906

 
8,518

 
1,080,424

 
6,141

 
(29,550
)
 
1,057,015

 
3.22
%
Non-Agency
3,040

 
(2,037
)
 
1,003

 
413

 
—

 
1,416

 
6.47
%
 
1,074,946

 
6,481

 
1,081,427

 
6,554

 
(29,550
)
 
1,058,431

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
287,062

 
287,062

 
4,281

 
(239
)
 
291,104

 
0.55
%
Non-Agency
—

 
240,681

 
240,681

 
1,675

 
(1,306
)
 
241,050

 
0.57
%
 
—

 
527,743

 
527,743

 
5,956

 
(1,545
)
 
532,154

 
 
 
 
 
 
 
 
 
 
 
 
 


 


U.S. Treasuries:
—

 
—

 
—

 
—

 
—

 
—

 
—
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total AFS securities:
$
3,194,441

 
$
590,968

 
$
3,785,409

 
$
21,436

 
$
(57,381
)
 
$
3,749,464

 
 
(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 $13,048,666 and $10,275,494 respectively, as of December 31, 2018.
 
December 31, 2017
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 


 
 
 


 
 
 
 
Agency
$
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 (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
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)
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.

Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table categorizes the Company’s debt securities according to their stated maturity as of the dates indicated:
 
 
December 31, 2018
 
December 31, 2017
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Less than 1 year
 
$
39,868

 
$
39,808

 
$
4,480

 
$
4,542

>1 and <5 years
 
151,041

 
152,917

 
208,046

 
210,727

>5 and <10 years
 
828,543

 
806,015

 
1,334,795

 
1,326,178

> 10 years
 
2,765,957

 
2,750,724

 
1,635,298

 
1,632,072

 
 
$
3,785,409

 
$
3,749,464

 
$
3,182,619

 
$
3,173,519
Schedule of Realized Gain (Loss) [Table Text Block] 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 (loss) for the periods indicated:
 
Year Ended
 
December 31,
 
2018
 
2017
 
2016
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
217,837

 
$
(7,785
)
 
$
716,560

 
$
(12,392
)
 
$
54,178

 
$
(3,010
)
Agency CMBS
242,029

 
(9,218
)
 
252,624

 
(135
)
 
—

 
—

Agency CMBS IO
15,700

 
146

 
—

 
—

 
—

 
—

Non-Agency CMBS
—

 
—

 
35,705

 
1,199

 
33,640

 
(1,228
)
Non-Agency RMBS
—

 
—

 
16,407

 
42

 
—

 
—

Non-Agency CMBS IO
8,695

 
51

 
—

 
—

 
—

 
—

U.S. Treasuries
248,803

 
(6,567
)
 
51,797

 
(244
)
 
—

 
—


$
733,064

 
$
(23,373
)
 
$
1,073,093

 
$
(11,530
)
 
$
87,818

 
$
(4,238
)
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 
December 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
$
581,440

 
$
(1,793
)
 
28
 
$
1,293,798

 
$
(9,769
)
 
71
Non-Agency MBS
70,876

 
(581
)
 
22
 
51,406

 
(421
)
 
11
U.S. Treasuries
—

 
—

 
0
 
146,530

 
(1,737
)
 
1
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
1,543,892

 
$
(54,260
)
 
88
 
$
423,698

 
$
(14,035
)
 
30
Non-Agency MBS
46,154

 
(747
)
 
19
 
20,414

 
(323
)
 
12