| Schedule of Available-for-sale Securities Reconciliation |
Investment securities available for sale consisted of the following as of December 31, 2016 and December 31, 2015 (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2016 | | December 31, 2015 | | Amortized Costs | | Unrealized | | Fair Value | | Amortized Costs | | Unrealized | | Fair Value | | | Gains | | Losses | | | | Gains | | Losses | | Agency RMBS (1): | | | | | | | | | | | | | | | | Agency ARMs | | | | | | | | | | | | | | | | Freddie Mac | $ | 39,138 |
| | $ | 24 |
| | $ | (528 | ) | | $ | 38,634 |
| | $ | 62,383 |
| | $ | 41 |
| | $ | (770 | ) | | $ | 61,654 |
| Fannie Mae | 69,031 |
| | 71 |
| | (698 | ) | | 68,404 |
| | 92,605 |
| | 121 |
| | (1,334 | ) | | 91,392 |
| Ginnie Mae | 6,011 |
| | — |
| | (204 | ) | | 5,807 |
| | 20,172 |
| | 55 |
| | (260 | ) | | 19,967 |
| Total Agency ARMs | 114,180 |
| | 95 |
| | (1,430 | ) | | 112,845 |
| | 175,160 |
| | 217 |
| | (2,364 | ) | | 173,013 |
| Agency Fixed Rate | | | | | | | | | | | | | | | | Freddie Mac | 26,338 |
| | — |
| | (644 | ) | | 25,694 |
| | 31,076 |
| | — |
| | (719 | ) | | 30,357 |
| Fannie Mae | 312,515 |
| | — |
| | (10,035 | ) | | 302,480 |
| | 380,684 |
| | — |
| | (12,149 | ) | | 368,535 |
| Ginnie Mae | 457 |
| | — |
| | (4 | ) | | 453 |
| | 25,923 |
| | 9 |
| | (111 | ) | | 25,821 |
| Total Agency Fixed Rate | 339,310 |
| | — |
| | (10,683 | ) | | 328,627 |
| | 437,683 |
| | 9 |
| | (12,979 | ) | | 424,713 |
| Agency IOs (1) | | | | | | | | | | | | | | | | Freddie Mac | 19,768 |
| | 559 |
| | (3,363 | ) | | 16,964 |
| | 28,970 |
| | 680 |
| | (4,471 | ) | | 25,179 |
| Fannie Mae | 27,597 |
| | 478 |
| | (4,777 | ) | | 23,298 |
| | 39,603 |
| | 433 |
| | (6,341 | ) | | 33,695 |
| Ginnie Mae | 49,788 |
| | 1,223 |
| | (6,382 | ) | | 44,629 |
| | 63,050 |
| | 511 |
| | (7,045 | ) | | 56,516 |
| Total Agency IOs | 97,153 |
| | 2,260 |
| | (14,522 | ) | | 84,891 |
| | 131,623 |
| | 1,624 |
| | (17,857 | ) | | 115,390 |
| | | | | | | | | | | | | | | | | Total Agency RMBS | 550,643 |
| | 2,355 |
| | (26,635 | ) | | 526,363 |
| | 744,466 |
| | 1,850 |
| | (33,200 | ) | | 713,116 |
| Non-Agency RMBS | 162,220 |
| | 1,218 |
| | (154 | ) | | 163,284 |
| | 1,727 |
| | 51 |
| | (211 | ) | | 1,567 |
| U.S. Treasury securities (1) | 2,920 |
| | — |
| | (33 | ) | | 2,887 |
| | 10,113 |
| | — |
| | (76 | ) | | 10,037 |
| CMBS (2) | 113,955 |
| | 12,876 |
| | (389 | ) | | 126,442 |
| | 28,692 |
| | 12,042 |
| | — |
| | 40,734 |
| Total investment securities available for sale | $ | 829,738 |
| | $ | 16,449 |
| | $ | (27,211 | ) | | $ | 818,976 |
| | $ | 784,998 |
| | $ | 13,943 |
| | $ | (33,487 | ) | | $ | 765,454 |
|
|
| Schedule of Stated Reset Periods for Available-for-sale Securities Held in Securitization Trusts |
The following tables set forth the stated interest reset periods of our investment securities available for sale and investment securities available for sale held in securitization trusts at December 31, 2016 and December 31, 2015 at carrying value (dollar amounts in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2016 | | December 31, 2015 | | Less than 6 months | | 6 to 24 months | | More than 24 months | | Total | | Less than 6 months | | 6 to 24 months | | More than 24 months | | Total | Agency RMBS | $ | 53,043 |
| | $ | 27,272 |
| | $ | 446,048 |
| | $ | 526,363 |
| | $ | 92,693 |
| | $ | 44,700 |
| | $ | 575,723 |
| | $ | 713,116 |
| Non-Agency RMBS | 50,080 |
| | — |
| | 113,204 |
| | 163,284 |
| | 188 |
| | 1,379 |
| | — |
| | 1,567 |
| U.S. Treasury securities | — |
| | — |
| | 2,887 |
| | 2,887 |
| | 10,037 |
| | — |
| | — |
| | 10,037 |
| CMBS | 82,545 |
| | — |
| | 43,897 |
| | 126,442 |
| | — |
| | — |
| | 40,734 |
| | 40,734 |
| Total investment securities available for sale | $ | 185,668 |
| | $ | 27,272 |
| | $ | 606,036 |
| | $ | 818,976 |
| | $ | 102,918 |
| | $ | 46,079 |
| | $ | 616,457 |
| | $ | 765,454 |
|
|
| Investment Securities Available-for-sale in an Unrealized Loss Position |
The following tables present the Company's investment securities available for sale in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at December 31, 2016 and December 31, 2015 (dollar amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2016 | Less than 12 Months | | Greater than 12 months | | Total | | Carrying Value | | Gross Unrealized Losses | | Carrying Value | | Gross Unrealized Losses | | Carrying Value | | Gross Unrealized Losses | Agency RMBS | $ | 96,357 |
| | $ | (1,290 | ) | | $ | 328,474 |
| | $ | (10,819 | ) | | $ | 424,831 |
| | $ | (12,109 | ) | Non-Agency RMBS | — |
| | — |
| | 596 |
| | (154 | ) | | 596 |
| | (154 | ) | CMBS | 16,523 |
| | (389 | ) | | — |
| | — |
| | 16,523 |
| | (389 | ) | Total investment securities available for sale | $ | 112,880 |
| | $ | (1,679 | ) | | $ | 329,070 |
| | $ | (10,973 | ) | | $ | 441,950 |
| | $ | (12,652 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2015 | Less than 12 Months | | Greater than 12 months | | Total | | Carrying Value | | Gross Unrealized Losses | | Carrying Value | | Gross Unrealized Losses | | Carrying Value | | Gross Unrealized Losses | Agency RMBS | $ | 71,587 |
| | $ | (688 | ) | | $ | 476,157 |
| | $ | (14,497 | ) | | $ | 547,744 |
| | $ | (15,185 | ) | Non-Agency RMBS | 771 |
| | — |
| | 796 |
| | (211 | ) | | 1,567 |
| | (211 | ) | CMBS | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Total investment securities available for sale | $ | 72,358 |
| | $ | (688 | ) | | $ | 476,953 |
| | $ | (14,708 | ) | | $ | 549,311 |
| | $ | (15,396 | ) |
|