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Investment Securities Available for Sale (Tables)
 6 Months Ended
Jun. 30, 2018
Investments, Debt and Equity Securities [Abstract]  
Schedule of Available for Sale Securities
Investment securities available for sale consisted of the following as of June 30, 2018 and December 31, 2017 (dollar amounts in thousands):
 
June 30, 2018
 
December 31, 2017
 
Amortized  Cost
 
Unrealized
 
Fair Value
 
Amortized  Cost
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Agency RMBS
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
$
29,384

 
$
—

 
$
(1,161
)
 
$
28,223

 
$
33,623

 
$
16

 
$
(852
)
 
$
32,787

Fannie Mae
48,610

 
10

 
(1,624
)
 
46,996

 
54,958

 
6

 
(1,236
)
 
53,728

Ginnie Mae
4,245

 
—

 
(136
)
 
4,109

 
4,750

 
—

 
(193
)
 
4,557

Total Agency ARMs
82,239

 
10

 
(2,921
)
 
79,328

 
93,331

 
22

 
(2,281
)
 
91,072

Agency Fixed- Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
92,189

 
—

 
(3,023
)
 
89,166

 
20,804

 
—

 
(736
)
 
20,068

Fannie Mae
971,543

 
—

 
(38,693
)
 
932,850

 
1,038,363

 
669

 
(12,174
)
 
1,026,858

Ginnie Mae
—

 
—

 
—

 
—

 
365

 
—

 
(6
)
 
359

Total Agency Fixed-Rate
1,063,732

 
—

 
(41,716
)
 
1,022,016

 
1,059,532

 
669

 
(12,916
)
 
1,047,285

Agency IOs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
—

 
—

 
—

 
—

 
8,436

 
19

 
(2,756
)
 
5,699

Fannie Mae
—

 
—

 
—

 
—

 
11,310

 
22

 
(2,989
)
 
8,343

Ginnie Mae
—

 
—

 
—

 
—

 
21,621

 
230

 
(4,714
)
 
17,137

Total Agency IOs
—

 
—

 
—

 
—

 
41,367

 
271

 
(10,459
)
 
31,179

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Agency RMBS
1,145,971

 
10

 
(44,637
)
 
1,101,344

 
1,194,230

 
962

 
(25,656
)
 
1,169,536

Non-Agency RMBS
53,695

 
372

 
(10
)
 
54,057

 
100,291

 
1,852

 
(18
)
 
102,125

CMBS (1)
115,799

 
18,815

 
—

 
134,614

 
123,203

 
18,217

 
—

 
141,420

Total investment securities available for sale
$
1,315,465

 
$
19,197

 
$
(44,647
)
 
$
1,290,015

 
$
1,417,724

 
$
21,031

 
$
(25,674
)
 
$
1,413,081



(1) 
Included in CMBS is $50.1 million and $47.9 million of investment securities available for sale held in securitization trusts as of June 30, 2018 and December 31, 2017, respectively.
Weighted Average Lives of Investment Securities Available for Sale
The following table sets forth the weighted average lives of our investment securities available for sale as of June 30, 2018 and December 31, 2017 (dollar amounts in thousands):
Weighted Average Life
June 30, 2018
 
December 31, 2017
0 to 5 years
$
314,907

 
$
426,061

Over 5 to 10 years
951,455

 
970,336

10+ years
23,653

 
16,684

Total
$
1,290,015

 
$
1,413,081
Stated Reset Periods of Investment Securities Available for Sale
The following tables set forth the stated reset periods of our investment securities available for sale at June 30, 2018 and December 31, 2017 at carrying value (dollar amounts in thousands):
 
June 30, 2018
 
December 31, 2017
 
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
$
10,170

 
$
15,516

 
$
1,075,658

 
$
1,101,344

 
$
26,876

 
$
24,726

 
$
1,117,934

 
$
1,169,536

Non-Agency RMBS
7,526

 
—

 
46,531

 
54,057

 
84,461

 
—

 
17,664

 
102,125

CMBS
62,038

 
—

 
72,576

 
134,614

 
70,791

 
—

 
70,629

 
141,420

Total investment securities available for sale
$
79,734

 
$
15,516

 
$
1,194,765

 
$
1,290,015

 
$
182,128

 
$
24,726

 
$
1,206,227

 
$
1,413,081
Schedule of Investment Securities Available for Sale in 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 June 30, 2018 and December 31, 2017 (dollar amounts in thousands):

June 30, 2018
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
$
794,830

 
$
(26,721
)
 
$
305,579

 
$
(17,916
)
 
$
1,100,409

 
$
(44,637
)
Non-Agency RMBS
—

 
—

 
181

 
(10
)
 
181

 
(10
)
Total investment securities available for sale
$
794,830

 
$
(26,721
)
 
$
305,760

 
$
(17,926
)
 
$
1,100,590

 
$
(44,647
)

At June 30, 2018, the Company does not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity.

Gross unrealized losses on the Company’s Agency RMBS were $44.6 million at June 30, 2018. Agency RMBS are issued by GSEs and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency RMBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Given the credit quality inherent in Agency RMBS, the Company does not consider any of the current impairments on its Agency RMBS to be credit related. In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at June 30, 2018 any unrealized losses on its Agency RMBS were temporary.


December 31, 2017
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
$
511,313

 
$
(1,807
)
 
$
342,963

 
$
(13,390
)
 
$
854,276

 
$
(15,197
)
Non-Agency RMBS
—

 
—

 
193

 
(18
)
 
193

 
(18
)
Total investment securities available for sale
$
511,313

 
$
(1,807
)
 
$
343,156

 
$
(13,408
)
 
$
854,469

 
$
(15,215
)