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Investment Securities Available for Sale | 9 Months Ended
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Sep. 30, 2017
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 September 30, 2017 and December 31, 2016 (dollar amounts in thousands):
| September 30, 2017 |  | December 31, 2016
| Amortized Cost |  | Unrealized |  | Fair Value |  | Amortized Cost |  | Unrealized |  | Fair Value
|  | Gains |  | Losses |  |  |  | Gains |  | Losses |
Agency RMBS (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency ARMs |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | $ | 34,733 |  |  | $ | 21 |  |  | $ | (351 | ) |  | $ | 34,403 |  |  | $ | 39,138 |  |  | $ | 24 |  |  | $ | (528 | ) |  | $ | 38,634 |
Fannie Mae | 59,583 |  |  | 13 |  |  | (545 | ) |  | 59,051 |  |  | 69,031 |  |  | 71 |  |  | (698 | ) |  | 68,404 |
Ginnie Mae | 5,022 |  |  | — |  |  | (209 | ) |  | 4,813 |  |  | 6,011 |  |  | — |  |  | (204 | ) |  | 5,807 |
Total Agency ARMs | 99,338 |  |  | 34 |  |  | (1,105 | ) |  | 98,267 |  |  | 114,180 |  |  | 95 |  |  | (1,430 | ) |  | 112,845 |
Agency Fixed Rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | 21,556 |  |  | — |  |  | (586 | ) |  | 20,970 |  |  | 26,338 |  |  | — |  |  | (644 | ) |  | 25,694 |
Fannie Mae | 267,169 |  |  | — |  |  | (9,089 | ) |  | 258,080 |  |  | 312,515 |  |  | — |  |  | (10,035 | ) |  | 302,480 |
Ginnie Mae | 379 |  |  | — |  |  | (5 | ) |  | 374 |  |  | 457 |  |  | — |  |  | (4 | ) |  | 453 |
Total Agency Fixed Rate | 289,104 |  |  | — |  |  | (9,680 | ) |  | 279,424 |  |  | 339,310 |  |  | — |  |  | (10,683 | ) |  | 328,627 |
Agency IOs (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | 9,423 |  |  | 25 |  |  | (2,571 | ) |  | 6,877 |  |  | 19,768 |  |  | 559 |  |  | (3,363 | ) |  | 16,964 |
Fannie Mae | 13,752 |  |  | 50 |  |  | (3,316 | ) |  | 10,486 |  |  | 27,597 |  |  | 478 |  |  | (4,777 | ) |  | 23,298 |
Ginnie Mae | 23,858 |  |  | 411 |  |  | (4,291 | ) |  | 19,978 |  |  | 49,788 |  |  | 1,223 |  |  | (6,382 | ) |  | 44,629 |
Total Agency IOs | 47,033 |  |  | 486 |  |  | (10,178 | ) |  | 37,341 |  |  | 97,153 |  |  | 2,260 |  |  | (14,522 | ) |  | 84,891 |
Total Agency RMBS | 435,475 |  |  | 520 |  |  | (20,963 | ) |  | 415,032 |  |  | 550,643 |  |  | 2,355 |  |  | (26,635 | ) |  | 526,363 |
Non-Agency RMBS | 131,253 |  |  | 1,789 |  |  | (20 | ) |  | 133,022 |  |  | 162,220 |  |  | 1,218 |  |  | (154 | ) |  | 163,284 |
U.S. Treasury securities (1) | 2,920 |  |  | 4 |  |  | — |  |  | 2,924 |  |  | 2,920 |  |  | — |  |  | (33 | ) |  | 2,887 |
CMBS (2) | 105,020 |  |  | 18,163 |  |  | — |  |  | 123,183 |  |  | 113,955 |  |  | 12,876 |  |  | (389 | ) |  | 126,442 |
Total investment securities available for sale | $ | 674,668 |  |  | $ | 20,476 |  |  | $ | (20,983 | ) |  | $ | 674,161 |  |  | $ | 829,738 |  |  | $ | 16,449 |  |  | $ | (27,211 | ) |  | $ | 818,976 |
(1) | Included in investment securities available for sale are Agency IOs, Agency RMBS and U.S. Treasury securities managed by Midway that are measured at fair value through earnings.
(2) | Included in CMBS is $46.6 million and $43.9 million of investment securities available for sale held in securitization trusts as of September 30, 2017 and December 31, 2016, respectively.
Realized Gain or Loss Activity During the three and nine months ended September 30, 2017, the Company received proceeds of approximately $49.5 million and $102.2 million on sales of investment securities available for sale realizing a gain of approximately $3.0 million and $0.7 million, respectively. During the three and nine months ended September 30, 2016, the Company received proceeds of approximately $9.6 million and $112.0 million on sales of investment securities available for sale realizing a loss of approximately $1.4 million and $2.4 million, respectively. 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 September 30, 2017 and December 31, 2016, the weighted average life of the Company’s available for sale securities portfolio was approximately 3.3 years and 4.3 years, respectively. The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2017 and December 31, 2016 (dollar amounts in thousands):
Weighted Average Life | September 30, 2017 |  | December 31, 2016
0 to 5 years | $ | 508,612 |  |  | $ | 606,079 |
Over 5 to 10 years | 152,559 |  |  | 177,765 |
10+ years | 12,990 |  |  | 35,132 |
Total | $ | 674,161 |  |  | $ | 818,976 |
Portfolio Interest Reset Periods The following tables set forth the stated reset periods of our investment securities available for sale and investment securities available for sale held in securitization trusts at September 30, 2017 and December 31, 2016 at carrying value (dollar amounts in thousands):
| September 30, 2017 |  | December 31, 2016
| 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 | $ | 36,940 |  |  | $ | 23,332 |  |  | $ | 354,760 |  |  | $ | 415,032 |  |  | $ | 53,043 |  |  | $ | 27,272 |  |  | $ | 446,048 |  |  | $ | 526,363 |
Non-Agency RMBS | 6,205 |  |  | — |  |  | 126,817 |  |  | 133,022 |  |  | 50,080 |  |  | — |  |  | 113,204 |  |  | 163,284 |
U.S. Treasury securities | — |  |  | — |  |  | 2,924 |  |  | 2,924 |  |  | — |  |  | — |  |  | 2,887 |  |  | 2,887 |
CMBS | 76,560 |  |  | — |  |  | 46,623 |  |  | 123,183 |  |  | 82,545 |  |  | — |  |  | 43,897 |  |  | 126,442 |
Total investment securities available for sale | $ | 119,705 |  |  | $ | 23,332 |  |  | $ | 531,124 |  |  | $ | 674,161 |  |  | $ | 185,668 |  |  | $ | 27,272 |  |  | $ | 606,036 |  |  | $ | 818,976 |
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 September 30, 2017 and December 31, 2016 (dollar amounts in thousands):
September 30, 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 | $ | 91,170 |  |  | $ | (914 | ) |  | $ | 281,152 |  |  | $ | (9,866 | ) |  | $ | 372,322 |  |  | $ | (10,780 | )
Non-Agency RMBS | — |  |  | — |  |  | 212 |  |  | (20 | ) |  | 212 |  |  | (20 | )
Total investment securities available for sale | $ | 91,170 |  |  | $ | (914 | ) |  | $ | 281,364 |  |  | $ | (9,886 | ) |  | $ | 372,534 |  |  | $ | (10,800 | )
At September 30, 2017, 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 $10.8 million at September 30, 2017. Agency RMBS are issued by Government Sponsored Entities (“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 analyses, the Company determined that at September 30, 2017 any unrealized losses on its Agency RMBS were temporary.
December 31, 2016 | 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 | $ | 96,357 |  |  | $ | (1,290 | ) |  | $ | 328,474 |  |  | $ | (10,819 | ) |  | $ | 424,831 |  |  | $ | (12,109 | )
Non-Agency RMBS | — |  |  | — |  |  | 596 |  |  | (154 | ) |  | 596 |  |  | (154 | )
CMBS | 16,523 |  |  | (389 | ) |  | — |  |  | — |  |  | 16,523 |  |  | (389 | )
Total investment securities available for sale | $ | 112,880 |  |  | $ | (1,679 | ) |  | $ | 329,070 |  |  | $ | (10,973 | ) |  | $ | 441,950 |  |  | $ | (12,652 | )
Other than Temporary Impairment For the three and nine months ended September 30, 2017 and 2016, the Company recognized no other-than-temporary impairment through earnings.

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