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Mortgage Backed Securities Mortgage backed securities (Tables)
 9 Months Ended
Sep. 30, 2015
Schedule of Available-for-sale Securities [Line Items]  
Available-for-sale Securities [Table Text Block]
The following tables present the Company’s MBS by investment type as of the dates indicated:
 
September 30, 2015
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,631,942

 
$
83,461

 
$
1,715,403

 
$
8,373

 
$
(12,903
)
 
$
1,710,873

 
3.04
%
Non-Agency
70,872

 
(54
)
 
70,818

 
95

 
(271
)
 
70,642

 
3.62
%
 
1,702,814

 
83,407

 
1,786,221

 
8,468

 
(13,174
)
 
1,781,515

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
943,934

 
14,983

 
958,917

 
18,260

 
(1,674
)
 
975,503

 
3.44
%
Non-Agency
195,200

 
(8,310
)
 
186,890

 
8,017

 
(968
)
 
193,939

 
3.88
%
 
1,139,134

 
6,673

 
1,145,807

 
26,277

 
(2,642
)
 
1,169,442

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
409,627

 
409,627

 
11,593

 
(94
)
 
421,126

 
0.69
%
Non-Agency
—

 
362,338

 
362,338

 
4,361

 
(1,053
)
 
365,646

 
0.62
%
 
—

 
771,965

 
771,965

 
15,954

 
(1,147
)
 
786,772

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,841,948

 
$
862,045

 
$
3,703,993

 
$
50,699

 
$
(16,963
)
 
$
3,737,729

 
 
(1)
The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2)
The notional balance for Agency CMBS IO and non-Agency CMBS IO was $11,452,515 and $10,150,326, respectively, as of September 30, 2015.
 
December 31, 2014
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
2,086,807

 
$
113,635

 
$
2,200,442

 
$
8,473

 
$
(22,215
)
 
$
2,186,700

 
3.09
%
Non-Agency
22,432

 
(17
)
 
22,415

 
107

 
(74
)
 
22,448

 
3.83
%
 
2,109,239

 
113,618

 
2,222,857

 
8,580

 
(22,289
)
 
2,209,148

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
301,943

 
18,042

 
319,985

 
15,288

 
(76
)
 
335,197

 
5.21
%
Non-Agency
210,358

 
(8,520
)
 
201,838

 
6,679

 
(479
)
 
208,038

 
4.33
%
 
512,301

 
9,522

 
521,823

 
21,967

 
(555
)
 
543,235

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
426,564

 
426,564

 
12,252

 
(79
)
 
438,737

 
0.80
%
Non-Agency
—

 
319,280

 
319,280

 
6,069

 
(230
)
 
325,119

 
0.72
%
 
—

 
745,844

 
745,844

 
18,321

 
(309
)
 
763,856

 
 



 
 
 


 


 
 
 


 
 
Total AFS securities:
$
2,621,540

 
$
868,984

 
$
3,490,524

 
$
48,868

 
$
(23,153
)
 
$
3,516,239

 


 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2)
The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,460,113 and $7,868,896, respectively, as of December 31, 2014.
Schedule of Realized Gain (Loss) [Table Text Block]
The Company's sale proceeds for MBS were $9,525 and $339,332 for three and nine months ended September 30, 2015, respectively, and $287,609 and $387,325 for the three and nine months ended September 30, 2014, respectively. The following table presents the gross realized gains (losses) of those sales included in "gain (loss) on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated:
 
Three Months Ended
 
Nine Months Ended
 
September 30,
 
September 30,
($ in thousands)
2015
 
2014
 
2015
 
2014
Gross realized gains on sales of MBS
$
185

 
$
10,579

 
$
3,281

 
$
11,269

Gross realized losses on sales of MBS
(72
)
 
(1,522
)
 
(3,351
)
 
(5,996
)
Gain (loss) on sale of investments, net
$
113

 
$
9,057

 
$
(70
)
 
$
5,273
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block]
The following table presents certain information for those Agency MBS in an unrealized loss position as of the dates indicated:
 
September 30, 2015
 
December 31, 2014
 
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
$
513,689

 
$
(2,460
)
 
32
 
$
322,741

 
$
(879
)
 
24
Non-Agency MBS
233,058

 
(1,740
)
 
43
 
111,778

 
(625
)
 
24
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
831,652

 
$
(12,212
)
 
73
 
$
1,321,323

 
$
(21,491
)
 
113
Non-Agency MBS
29,539

 
(552
)
 
11
 
18,037

 
(159
)
 
5