Investment Securities Available for Sale (Tables)

9 Months Ended

Sep. 30, 2017

Investments, Debt and Equity Securities [Abstract]

Schedule of Available for Sale Securities

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.

Weighted Average Lives of Investment Securities Available for Sale

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

Stated Reset Periods of Investment Securities Available for Sale

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

Schedule of Investment Securities Available for Sale in Unrealized Loss Position

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	)

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

+ References + Details