Investments in Debt Securities Investment in Debt Securities (Notes)

6 Months Ended

Jun. 30, 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:


	June 30, 2020
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	2,248,752	$	67,589	$	2,316,341	$	40,465	$	—	$	2,356,806
Agency CMBS	655,935		6,518		662,453		39,507		(1)		701,959
CMBS IO⁽¹⁾	—		435,271		435,271		5,731		(4,332)		436,670
Non-Agency other	1,732		(600)		1,132		403		(45)		1,490
Total MBS:	$	2,906,419	$	508,778	$	3,415,197	$	86,106	$	(4,378)	$	3,496,925

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $13,007,113 and $9,577,721 respectively, as of June 30, 2020.


	December 31, 2019
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	2,563,684	$	55,770	$	2,619,454	$	69,082	$	(462)	$	2,688,074
Agency CMBS	1,890,186		15,414		1,905,600		93,763		(6)		1,999,357
CMBS IO ⁽¹⁾	—		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:


	Three Months Ended														Six Months Ended
	June 30,														June 30,
	2020						2019						2020				2019
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)
Agency RMBS	$	371,106	$	11,729	$	205,493	$	(3,953)	$	2,188,456	$	75,823	$	205,493	$	(3,953)
Agency CMBS	2,020,228		181,370		213,198		(6,493)		2,193,912		202,059		213,198		(6,493)
Agency CMBS IO	—		—		13,861		86		—		—		13,861		86
	$	2,391,334	$	193,099	$	432,552	$	(10,360)	$	4,382,368	$	277,882	$	432,552	$	(10,360)

Included in the table above are securities sold with an amortized cost of $152,363 which were unsettled as of June 30, 2020 and were pledged as collateral for repurchase agreement borrowings of $144,910. The sale proceeds of $156,047 to be received for the unsettled portion are recorded as “receivable for securities sold” on the Company’s consolidated balance sheet as of June 30, 2020.

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


	June 30, 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	$	87,603	$	(2,304)	26	$	215,792	$	(1,139)	27
Non-Agency MBS	98,246		(1,926)		47	13,607		(146)		7

Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	1,225	$	(128)	3	$	75,745	$	(35)	2
Non-Agency MBS	107		(20)		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 was $0 as of June 30, 2020. The unrealized losses are a result of declines in market prices driven by significant spread widening. 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.