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Investment Securities Available For Sale
12 Months Ended
Dec. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Available For Sale
Investment Securities Available For Sale

Investment securities available for sale consisted of the following as of December 31, 2018 and December 31, 2017 (dollar amounts in thousands):

 
December 31, 2018
 
December 31, 2017
 
Amortized Cost
 
Unrealized
 
Fair Value
 
Amortized Cost
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
$
26,338

 
$

 
$
(1,052
)
 
$
25,286

 
$
33,623

 
$
16

 
$
(852
)
 
$
32,787

Fannie Mae
43,984

 
8

 
(1,384
)
 
42,608

 
54,958

 
6

 
(1,236
)
 
53,728

Ginnie Mae
3,627

 

 
(127
)
 
3,500

 
4,750

 

 
(193
)
 
4,557

Total Agency ARMs
73,949

 
8

 
(2,563
)
 
71,394

 
93,331

 
22

 
(2,281
)
 
91,072

Agency Fixed Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
87,018

 

 
(2,526
)
 
84,492

 
20,804

 

 
(736
)
 
20,068

Fannie Mae
915,039

 

 
(33,195
)
 
881,844

 
1,038,363

 
669

 
(12,174
)
 
1,026,858

Ginnie Mae

 

 

 

 
365

 

 
(6
)
 
359

Total Agency Fixed Rate
1,002,057

 

 
(35,721
)
 
966,336

 
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
1,076,006

 
8

 
(38,284
)
 
1,037,730

 
1,194,230

 
962

 
(25,656
)
 
1,169,536

Non-Agency RMBS
215,337

 
166

 
(1,466
)
 
214,037

 
100,291

 
1,852

 
(18
)
 
102,125

CMBS (1)
243,046

 
17,815

 
(376
)
 
260,485

 
123,203

 
18,217

 

 
141,420

Total investment securities available for sale
$
1,534,389

 
$
17,989

 
$
(40,126
)
 
$
1,512,252

 
$
1,417,724

 
$
21,031

 
$
(25,674
)
 
$
1,413,081



(1) 
Included in CMBS is $52.7 million and $47.9 million of investment securities available for sale held in securitization trusts as of December 31, 2018 and December 31, 2017, respectively.

Realized Gain or Loss Activity

During the year ended December 31, 2018, the Company received total proceeds of approximately $26.9 million from the sale of investment securities available for sale, realizing a net loss of approximately $12.3 million. During the year ended December 31, 2017, the Company received total proceeds of approximately $107.1 million from the sale of investment securities available for sale, realizing a net loss of approximately $0.1 million. During the year ended December 31, 2016, the Company received total proceeds of approximately $208.2 million from the sale of investment securities available for sale, realizing a net loss of approximately $2.3 million.

Weighted Average Life

Actual maturities of our available for sale securities are generally shorter than stated contractual maturities (with maturities up to 30 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of December 31, 2018 and 2017, the weighted average life of the Company’s available for sale securities portfolio was approximately 5.7 years and 7.1 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of December 31, 2018 and December 31, 2017 (dollar amounts in thousands):
Weighted Average Life
December 31, 2018
 
December 31, 2017
0 to 5 years
$
456,947

 
$
426,061

Over 5 to 10 years
1,043,369

 
970,336

10+ years
11,936

 
16,684

Total
$
1,512,252

 
$
1,413,081



Portfolio Interest Reset Periods

The following tables set forth the stated reset periods of our investment securities available for sale at December 31, 2018 and December 31, 2017 at carrying value (dollar amounts in thousands):
 
December 31, 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
$
9,723

 
$
11,870

 
$
1,016,137

 
$
1,037,730

 
$
26,876

 
$
24,726

 
$
1,117,934

 
$
1,169,536

Non-Agency RMBS
152,000

 

 
62,037

 
214,037

 
84,461

 

 
17,664

 
102,125

CMBS
174,041

 
12,094

 
74,350

 
260,485

 
70,791

 

 
70,629

 
141,420

Total investment securities available for sale
$
335,764

 
$
23,964

 
$
1,152,524

 
$
1,512,252

 
$
182,128

 
$
24,726

 
$
1,206,227

 
$
1,413,081



Unrealized Losses in OCI

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, 2018 and December 31, 2017 (dollar amounts in thousands):

December 31, 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
$
310,783

 
$
(8,037
)
 
$
726,028

 
$
(30,247
)
 
$
1,036,811

 
$
(38,284
)
Non-Agency RMBS
187,395

 
(1,451
)
 
158

 
(15
)
 
187,553

 
(1,466
)
CMBS
75,292

 
(376
)
 

 

 
75,292

 
(376
)
Total investment securities available for sale
$
573,470

 
$
(9,864
)
 
$
726,186

 
$
(30,262
)
 
$
1,299,656

 
$
(40,126
)


At December 31, 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 $38.3 million at December 31, 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 analysis, the Company determined that at December 31, 2018 any unrealized losses on its Agency RMBS were temporary.

Gross unrealized losses on the Company's non-Agency RMBS and CMBS were $1.5 million and $0.4 million at December 31, 2018, respectively. Credit risk associated with non-Agency RMBS and CMBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary impairment and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads.
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
)


Other than Temporary Impairment

For the years ended December 31, 2018, 2017 and 2016, the Company did not recognize other-than-temporary impairment through earnings.