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Mortgage Backed Securities Mortgage backed securities (Notes) | 9 Months Ended
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Sep. 30, 2015
Investments, Debt and Equity Securities [Abstract] |
Mortgage-backed securities | MORTGAGE-BACKED SECURITIES The majority of the Company's MBS are pledged as collateral to cover initial and variation margins for the Company's repurchase agreements, FHLB advances, and derivative instruments. 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.
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 |
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
Because the principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac which have the implicit guarantee of the U.S. government, the Company does not consider any of the unrealized losses on its Agency MBS to be credit related. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any Agency MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s current leverage and anticipated liquidity. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of September 30, 2015 and December 31, 2014 were temporary. The Company reviews any non-Agency MBS in an unrealized loss position to evaluate whether any decline in fair value represents an OTTI. The evaluation includes a review of the credit ratings of these non-Agency MBS and the seasoning of the mortgage loans collateralizing these securities as well as the estimated future cash flows which include projected losses. The Company performed this evaluation for the non-Agency MBS in an unrealized loss position and has determined that there have not been any adverse changes in the timing or amount of estimated future cash flows that necessitate a recognition of OTTI amounts as of September 30, 2015 or December 31, 2014.

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