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Investments in Debt Securities Investment in Debt Securities (Notes)
 9 Months Ended
Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]  
Investments in Debt Securities INVESTMENTS IN DEBT SECURITIES
 
The majority of the Company’s debt securities are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s debt securities by investment type (including securities pending settlement) as of the dates indicated:
 
September 30, 2019
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 


 
 
 
 
 
 
 
 
Agency
$
2,610,141

 
$
61,173

 
$
2,671,314

 
$
66,010

 
$
(952
)
 
$
2,736,372

 
3.83
%
Non-Agency
690

 
—

 
690

 
54

 
(19
)
 
725

 
6.75
%
 
2,610,831

 
61,173

 
2,672,004

 
66,064

 
(971
)
 
2,737,097

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
1,922,930

 
15,957

 
1,938,887

 
136,325

 
(9
)
 
2,075,203

 
3.30
%
Non-Agency
1,354

 
(876
)
 
478

 
605

 
—

 
1,083

 
5.50
%
 
1,924,284

 
15,081

 
1,939,365

 
136,930

 
(9
)
 
2,076,286

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
272,739

 
272,739

 
9,426

 
(122
)
 
282,043

 
0.67
%
Non-Agency
—

 
201,809

 
201,809

 
5,714

 
(23
)
 
207,500

 
0.62
%
 
—

 
474,548

 
474,548

 
15,140

 
(145
)
 
489,543

 
 
 
 
 
 
 
 
 


 
 
 
 
 
 
Total AFS securities:
$
4,535,115

 
$
550,802

 
$
5,085,917

 
$
218,134

 
$
(1,125
)
 
$
5,302,926

 
 
(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 $12,851,586 and $9,905,227 respectively, as of September 30, 2019.
 
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

 
 



 
 
 


 


 
 
 


 
 
Total AFS securities:
$
3,194,441

 
$
590,968

 
$
3,785,409

 
$
21,436

 
$
(57,381
)
 
$
3,749,464

 



(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 $13,048,666 and $10,275,494, respectively, as of December 31, 2018.

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:
 
September 30, 2019
 
December 31, 2018
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Less than 1 year
$
8,545

 
$
8,450

 
$
39,868

 
$
39,808

>1 and <5 years
132,441

 
136,599

 
151,041

 
152,917

>5 and <10 years
936,747

 
987,657

 
828,543

 
806,015

> 10 years
4,008,184

 
4,170,220

 
2,765,957

 
2,750,724

 
$
5,085,917

 
$
5,302,926

 
$
3,785,409

 
$
3,749,464



The following table presents information regarding the sales that generated the “gain (loss) on sale of investments, net” on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
 
Three Months Ended
 
Nine Months Ended
 
September 30,
 
September 30,
 
2019
 
2018
 
2019
 
2018
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
591,206

 
$
4,458

 
$
—

 
$
—

 
$
796,699

 
$
506

 
$
217,837

 
$
(7,785
)
Agency CMBS
—

 
—

 
48,237

 
(1,720
)
 
213,199

 
(6,493
)
 
156,995

 
(3,771
)
Agency CMBS IO
9,308

 
147

 
10,571

 
127

 
23,168

 
232

 
10,571

 
127

Non-Agency CMBS IO
—

 
—

 
—

 
—

 
—

 
—

 
8,695

 
51

U.S. Treasuries
—

 
—

 
57,843

 
(133
)
 
—

 
—

 
248,802

 
(6,567
)

$
600,514

 
$
4,605

 
$
116,651

 
$
(1,726
)
 
$
1,033,066

 
$
(5,755
)
 
$
642,900

 
$
(17,945
)


The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 
September 30, 2019
 
December 31, 2018
 
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
$
167,583

 
$
(594
)
 
10
 
$
581,440

 
$
(1,793
)
 
28
Non-Agency MBS
5,893

 
(13
)
 
3
 
70,876

 
(581
)
 
22
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
95,531

 
$
(490
)
 
3
 
$
1,543,892

 
$
(54,260
)
 
88
Non-Agency MBS
1,160

 
(30
)
 
5
 
46,154

 
(747
)
 
19


Because the principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac which have AAA ratings due to the Treasury’s commitment of capital under the Senior Preferred Stock Purchase
Agreement, the Company does not consider any of the unrealized losses on its Agency MBS to be credit related. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any Agency MBS with an unrealized loss until the recovery in its value in accordance with GAAP. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of September 30, 2019 and December 31, 2018 were temporary.

The Company reviews any non-Agency MBS in an unrealized loss position to evaluate whether any decline in fair value represents an OTTI. The evaluation includes a review of the credit ratings of the non-Agency MBS, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses. The Company also assesses its ability and intent to hold any non-Agency MBS with an unrealized loss until the recovery in its value in accordance with GAAP. The Company performed this evaluation for its non-Agency MBS in an unrealized loss position and has determined that there have not been any adverse changes in the timing or amount of estimated future cash flows that necessitate a recognition of OTTI amounts as of September 30, 2019 or December 31, 2018.