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Investments in Debt Securities Investment in Debt Securities (Notes)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities INVESTMENT 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:
 December 31, 2019
 ParNet Premium (Discount)Amortized CostGross Unrealized GainGross Unrealized LossFair Value
WAC (1)
RMBS:
Agency$2,563,684  $55,770  $2,619,454  $69,082  $(462) $2,688,074  3.76 %
Non-Agency655  —  655  29  (20) 664  6.75 %
2,564,339  55,770  2,620,109  69,111  (482) 2,688,738  
CMBS:
Agency1,890,186  15,414  1,905,600  93,763  (6) 1,999,357  3.30 %
Non-Agency1,283  (780) 503  523  —  1,026  7.06 %
1,891,469  14,634  1,906,103  94,286  (6) 2,000,383  
CMBS IO (2):
Agency—  298,900  298,900  7,431  (706) 305,625  0.65 %
Non-Agency—  189,245  189,245  4,329  (157) 193,417  0.62 %
—  488,145  488,145  11,760  (863) 499,042  
Total MBS:$4,455,808  $558,549  $5,014,357  $175,157  $(1,351) $5,188,163  
(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 $13,404,824 and $9,799,629 respectively, as of December 31, 2019.
 December 31, 2018
 ParNet Premium (Discount)Amortized CostGross Unrealized GainGross Unrealized LossFair Value
WAC (1)
RMBS:
Agency$2,118,639  $56,744  $2,175,383  $8,902  $(26,264) $2,158,021  3.95 %
Non-Agency856  —  856  24  (22) 858  6.75 %
2,119,495  56,744  2,176,239  8,926  (26,286) 2,158,879  
CMBS:
Agency1,071,906  8,518  1,080,424  6,141  (29,550) 1,057,015  3.22 %
Non-Agency3,040  (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 MBS:$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 presents information regarding 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,
201920182017
Proceeds ReceivedRealized Gain (Loss)Proceeds ReceivedRealized Gain (Loss)Proceeds ReceivedRealized Gain (Loss)
Agency RMBS$796,699  $506  $217,837  $(7,785) $716,560  $(12,392) 
Agency CMBS213,199  (6,493) 242,029  (9,218) 252,624  (135) 
Agency CMBS IO23,168  232  15,700  146  —  —  
Non-Agency RMBS—  —  —  —  16,407  42  
Non-Agency CMBS—  —  —  —  35,705  1,199  
Non-Agency CMBS IO—  —  8,695  51  —  —  
U.S. Treasuries—  —  248,803  (6,567) 51,797  (244) 
$1,033,066  $(5,755) $733,064  $(23,373) $1,073,093  $(11,530) 

The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
 December 31, 2019December 31, 2018
Fair ValueGross Unrealized Losses# of SecuritiesFair ValueGross Unrealized Losses# of Securities
Continuous unrealized loss position for less than 12 months:    
Agency MBS$215,792  $(1,139) 27$581,440  $(1,793) 28
Non-Agency MBS13,607  (146) 770,876  (581) 22
Continuous unrealized loss position for 12 months or longer:
Agency MBS$75,745  $(35) 2$1,543,892  $(54,260) 88
Non-Agency MBS1,099  (31) 546,154  (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 December 31, 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 December 31, 2019 or December 31, 2018.