Investments in Debt Securities Investment in Debt Securities (Notes)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

MORTGAGE-BACKED SECURITIES

The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s MBS by investment type (including securities pending settlement) as of the dates indicated:


	March 31, 2020
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency CMBS	$	2,104,738	$	16,937	$	2,121,675	$	207,436	$	(892)	$	2,328,219
Agency RMBS	868,191		19,240		887,431		44,005		—		931,436
CMBS IO⁽¹⁾	—		462,675		462,675		2,616		(6,802)		458,489
Non-Agency other	1,833		(686)		1,147		472		(57)		1,562
Total MBS:	$	2,974,762	$	498,166	$	3,472,928	$	254,529	$	(7,751)	$	3,719,706

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $13,274,419 and $9,680,637 respectively, as of March 31, 2020.


	December 31, 2019
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency CMBS	$	1,890,186	$	15,414	$	1,905,600	$	93,763	$	(6)	$	1,999,357
Agency RMBS	2,563,684		55,770		2,619,454		69,082		(462)		2,688,074
CMBS IO ⁽²⁾	—		488,145		488,145		11,760		(863)		499,042
Non-Agency other	1,938		(780)		1,158		552		(20)		1,690
Total MBS:	$	4,455,808	$	558,549	$	5,014,357	$	175,157	$	(1,351)	$	5,188,163

(1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,404,824 and $9,799,629, respectively, as of December 31, 2019.

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 "gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated ⁽¹⁾:


	Three Months Ended
	March 31,
	2020						2019
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)
Agency RMBS	$	1,817,350	$	64,094	$	—	$	—
Agency CMBS	173,684		20,689		—		—
	$	1,991,034	$	84,783	$	—	$	—

(1) Please refer to Note 7 for important information regarding significant sales of MBS and payoff of associated repurchase agreement borrowings subsequent to March 31, 2020.

Included in the table above are securities sold with an amortized cost of $1,431,025 which were unsettled as of March 31, 2020 and were pledged as collateral for repurchase agreement borrowings of $1,442,492. The sale proceeds of $1,503,571 to be received for the unsettled portion are recorded as “receivable for securities sold” on the Company’s consolidated balance sheet as of March 31, 2020.

The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:


	March 31, 2020									December 31, 2019
	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	$	322,607	$	(5,846)	56	$	215,792	$	(1,139)	27
Non-Agency MBS	115,425		(1,804)		51	13,607		(146)		7

Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	388	$	(79)	2	$	75,745	$	(35)	2
Non-Agency MBS	111		(22)		4	1,099		(31)		5

The unrealized losses on the Company’s MBS are not credit related, therefore the Company’s allowance for credit losses is $0 as of March 31, 2020. The unrealized losses are a result of declines in market prices driven by significant spread widening as a result of MBS market disruption caused by the global pandemic. The principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any 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. In addition, for its non-Agency MBS the Company reviews the credit ratings, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses.