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Mortgage Backed Securities Mortgage backed securities (Tables) | 6 Months Ended
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Jun. 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:
| June 30, 2016
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 1,329,159 |  |  | $ | 65,558 |  |  | $ | 1,394,717 |  |  | $ | 7,031 |  |  | $ | (8,545 | ) |  | $ | 1,393,203 |  |  | 3.03 | %
Non-Agency | 55,603 |  |  | (29 | ) |  | 55,574 |  |  | 82 |  |  | (418 | ) |  | 55,238 |  |  | 3.56 | %
| 1,384,762 |  |  | 65,529 |  |  | 1,450,291 |  |  | 7,113 |  |  | (8,963 | ) |  | 1,448,441 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 856,352 |  |  | 10,713 |  |  | 867,065 |  |  | 37,329 |  |  | (82 | ) |  | 904,312 |  |  | 3.40 | %
Non-Agency | 117,696 |  |  | (7,671 | ) |  | 110,025 |  |  | 8,511 |  |  | — |  |  | 118,536 |  |  | 5.00 | %
| 974,048 |  |  | 3,042 |  |  | 977,090 |  |  | 45,840 |  |  | (82 | ) |  | 1,022,848 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 386,628 |  |  | 386,628 |  |  | 7,732 |  |  | (889 | ) |  | 393,471 |  |  | 0.67 | %
Non-Agency | — |  |  | 342,101 |  |  | 342,101 |  |  | 3,606 |  |  | (1,732 | ) |  | 343,975 |  |  | 0.60 | %
| — |  |  | 728,729 |  |  | 728,729 |  |  | 11,338 |  |  | (2,621 | ) |  | 737,446 |  |  |
Total AFS securities: | $ | 2,358,810 |  |  | $ | 797,300 |  |  | $ | 3,156,110 |  |  | $ | 64,291 |  |  | $ | (11,666 | ) |  | $ | 3,208,735 |  |  |
(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 $12,078,342 and $10,597,035, respectively, as of June 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 "(loss) gain on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated:
| Three Months Ended
| June 30,
| 2016 |  | 2015
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss)
Agency RMBS | $ | 10,287 |  |  | $ | (297 | ) |  | $ | 96,025 |  |  | $ | (1,875 | )
Agency CMBS | — |  |  | — |  |  | 98,887 |  |  | (822 | )
Non-Agency CMBS IO | — |  |  | — |  |  | 31,972 |  |  | 1,206 |
| $ | 10,287 |  |  | $ | (297 | ) |  | $ | 226,884 |  |  | $ | (1,491 | )
| Six Months Ended
| June 30,
| 2016 |  | 2015
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss)
Agency RMBS | $ | 54,178 |  |  | $ | (3,010 | ) |  | $ | 156,370 |  |  | $ | (2,196 | )
Agency CMBS | — |  |  | — |  |  | 98,887 |  |  | (822 | )
Non-Agency CMBS | 33,640 |  |  | (1,228 | ) |  | — |  |  | — |
Agency CMBS IO | — |  |  | — |  |  | 29,385 |  |  | 1,474 |
Non-Agency CMBS IO | — |  |  | — |  |  | 44,764 |  |  | 1,361 |
| $ | 87,818 |  |  | $ | (4,238 | ) |  | $ | 329,406 |  |  | $ | (183 | )
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:
| June 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 | $ | 322,585 |  |  | $ | (2,095 | ) |  | 45 |  | $ | 1,332,849 |  |  | $ | (19,062 | ) |  | 109
Non-Agency MBS | 89,794 |  |  | (807 | ) |  | 20 |  | 351,650 |  |  | (5,347 | ) |  | 72
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 368,509 |  |  | $ | (7,421 | ) |  | 55 |  | $ | 775,484 |  |  | $ | (17,393 | ) |  | 72
Non-Agency MBS | 92,521 |  |  | (1,343 | ) |  | 28 |  | 8,306 |  |  | (231 | ) |  | 7

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