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Mortgage Backed Securities Mortgage backed securities (Tables)
 9 Months Ended
Sep. 30, 2016
Schedule of Available-for-sale Securities [Line Items]  
Available-for-sale Securities
The following tables present the Company’s MBS by investment type as of the dates indicated:
 
September 30, 2016
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,239,856

 
$
61,141

 
$
1,300,997

 
$
5,270

 
$
(8,549
)
 
$
1,297,718

 
3.04
%
Non-Agency
41,514

 
(19
)
 
41,495

 
109

 
(54
)
 
41,550

 
3.58
%
 
1,281,370

 
61,122

 
1,342,492

 
5,379

 
(8,603
)
 
1,339,268

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
898,317

 
11,048

 
909,365

 
35,901

 
(62
)
 
945,204

 
3.32
%
Non-Agency
82,190

 
(7,552
)
 
74,638

 
8,135

 
(1
)
 
82,772

 
4.89
%
 
980,507

 
3,496

 
984,003

 
44,036

 
(63
)
 
1,027,976

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
385,968

 
385,968

 
8,597

 
(139
)
 
394,426

 
0.68
%
Non-Agency
—

 
344,792

 
344,792

 
4,921

 
(916
)
 
348,797

 
0.61
%
 
—

 
730,760

 
730,760

 
13,518

 
(1,055
)
 
743,223

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Total AFS securities:
$
2,261,877

 
$
795,378

 
$
3,057,255

 
$
62,933

 
$
(9,721
)
 
$
3,110,467

 
 
(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 $12,226,782 and $10,687,732, respectively, as of September 30, 2016.
 
December 31, 2015
 
Par
 
Net Premium (Discount)
 
Amortized Cost
 
Gross Unrealized Gain
 
Gross Unrealized Loss
 
Fair Value
 
WAC (1)
RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
$
1,536,733

 
$
77,617

 
$
1,614,350

 
$
4,362

 
$
(20,190
)
 
$
1,598,522

 
3.03
%
Non-Agency
66,003

 
(45
)
 
65,958

 
70

 
(818
)
 
65,210

 
3.25
%
 
1,602,736

 
77,572

 
1,680,308

 
4,432

 
(21,008
)
 
1,663,732

 
 
CMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
876,751

 
13,252

 
890,003

 
10,542

 
(14,614
)
 
885,931

 
3.45
%
Non-Agency
156,218

 
(8,133
)
 
148,085

 
7,039

 
(941
)
 
154,183

 
4.29
%
 
1,032,969

 
5,119

 
1,038,088

 
17,581

 
(15,555
)
 
1,040,114

 
 
CMBS IO (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
—

 
421,857

 
421,857

 
5,922

 
(1,651
)
 
426,128

 
0.80
%
Non-Agency
—

 
365,554

 
365,554

 
1,992

 
(3,819
)
 
363,727

 
0.71
%
 
—

 
787,411

 
787,411

 
7,914

 
(5,470
)
 
789,855

 
 



 
 
 


 


 
 
 


 
 
Total AFS securities:
$
2,635,705

 
$
870,102

 
$
3,505,807

 
$
29,927

 
$
(42,033
)
 
$
3,493,701

 



(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 $12,180,291 and $10,328,628, respectively, as of December 31, 2015.
Schedule of Realized Gain (Loss)
The following table presents information regarding the 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
 
September 30,
 
2016
 
2015
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS (1)
$
—

 
$
—

 
$
(2,694
)
 
$
(59
)
Agency CMBS IO
—

 
—

 
12,620

 
172

Non-Agency CMBS IO
—

 
—

 
—

 
—

 
$
—

 
$
—

 
$
9,926

 
$
113

(1)
There were no sales of Agency RMBS during the three months ended September 30, 2015. The amounts shown reflect an adjustment to proceeds received and the realized loss recognized during the three months ended September 30, 2015 related to pre-settlement factor changes.
 
Nine Months Ended
 
September 30,
 
2016
 
2015
 
Proceeds Received
 
Realized Gain (Loss)
 
Proceeds Received
 
Realized Gain (Loss)
Agency RMBS
$
54,178

 
$
(3,010
)
 
$
153,676

 
$
(2,256
)
Agency CMBS
—

 
—

 
98,887

 
(822
)
Non-Agency CMBS
33,640

 
(1,228
)
 
—

 
—

Agency CMBS IO
—

 
—

 
42,005

 
1,646

Non-Agency CMBS IO
—

 
—

 
44,764

 
1,362

 
$
87,818

 
$
(4,238
)
 
$
339,332

 
$
(70
)
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value
The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated:
 
September 30, 2016
 
December 31, 2015
 
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
$
352,253

 
$
(1,484
)
 
40
 
$
1,332,849

 
$
(19,062
)
 
109
Non-Agency MBS
24,448

 
(99
)
 
5
 
351,650

 
(5,347
)
 
72
 
 
 
 
 
 
 
 
 
 
 
 
Continuous unrealized loss position for 12 months or longer:
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
$
379,488

 
$
(7,266
)
 
61
 
$
775,484

 
$
(17,393
)
 
72
Non-Agency MBS
84,959

 
(872
)
 
28
 
8,306

 
(231
)
 
7