Investment Securities Available For Sale

Investment securities available for sale consisted of the following as of March 31, 2019 and December 31, 2018 (dollar amounts in thousands):



	March 31, 2019									December 31, 2018
	Amortized Cost		Unrealized					Fair Value		Amortized Cost		Unrealized					Fair Value
	Amortized Cost		Gains		Losses			Fair Value		Amortized Cost		Gains		Losses			Fair Value
Agency RMBS
Agency ARMs
Freddie Mac	$	26,053	$	—	$	(981	)	$	25,072	$	26,338	$	—	$	(1,052	)	$	25,286
Fannie Mae	41,673		6		(1,196		)	40,483		43,984		8		(1,384		)	42,608
Ginnie Mae	3,440		—		(133		)	3,307		3,627		—		(127		)	3,500
Total Agency ARMs ⁽¹⁾	71,166		6		(2,310		)	68,862		73,949		8		(2,563		)	71,394
Agency Fixed- Rate
Freddie Mac	85,182		—		(1,041		)	84,141		87,018		—		(2,526		)	84,492
Fannie Mae	889,070		273		(18,408		)	870,935		915,039		—		(33,195		)	881,844
Ginnie Mae	—		—		—			—		—		—		—			—
Total Agency Fixed-Rate	974,252		273		(19,449		)	955,076		1,002,057		—		(35,721		)	966,336

Total Agency RMBS	1,045,418		279		(21,759		)	1,023,938		1,076,006		8		(38,284		)	1,037,730
Non-Agency RMBS ⁽¹⁾	310,763		3,738		(415		)	314,086		215,337		166		(1,466		)	214,037
CMBS ⁽¹⁾ ⁽²⁾	236,873		9,068		—			245,941		243,046		17,815		(376		)	260,485
Total investment securities available for sale	$	1,593,054	$	13,085	$	(22,174	)	$	1,583,965	$	1,534,389	$	17,989	$	(40,126	)	$	1,512,252


⁽¹⁾	For the Company's Agency ARMs, non-Agency RMBS, and CMBS securities with stated reset periods, the weighted average reset periods are twenty-nine months, eight months, and one month, respectively.


⁽²⁾	Included in CMBS is $52.7 million of investment securities available for sale held in securitization trusts as of December 31, 2018.

Realized Gain or Loss Activity

During the three months ended March 31, 2019, the Company received total proceeds of approximately $56.8 million from the sale of investment securities available for sale, realizing a net gain of approximately $16.8 million. During the three months ended March 31, 2018, the Company received total proceeds of approximately $10.1 million from the sale of investment securities available for sale, realizing a net loss of approximately $3.4 million.

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 March 31, 2019 and December 31, 2018, based on management’s estimates using the three month historical constant prepayment rate (“CPR”), the weighted average life of the Company’s available for sale securities portfolio was approximately 8.3 years and 5.7 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of March 31, 2019 and December 31, 2018 (dollar amounts in thousands):



Weighted Average Life	March 31, 2019		December 31, 2018
0 to 5 years	$	549,663	$	456,947
Over 5 to 10 years	552,393		1,043,369
10+ years	481,909		11,936
Total	$	1,583,965	$	1,512,252

Unrealized Losses in Other Comprehensive Income

The following tables present the Company's investment securities available for sale in an unrealized loss position reported through other comprehensive income, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at March 31, 2019 and December 31, 2018 (dollar amounts in thousands):



March 31, 2019	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	$	—	$	—		$	1,004,264	$	(21,759	)	$	1,004,264	$	(21,759	)
Non-Agency RMBS	51,269		(401		)	150		(14		)	51,419		(415		)
Total investment securities available for sale	$	51,269	$	(401	)	$	1,004,414	$	(21,773	)	$	1,055,683	$	(22,174	)

At March 31, 2019, 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 $21.8 million at March 31, 2019. Agency RMBS are issued by 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 March 31, 2019 any unrealized losses on its Agency RMBS were temporary.

Gross unrealized losses on the Company's non-Agency RMBS were $0.4 million at March 31, 2019, respectively. Credit risk associated with non-Agency RMBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary impairment and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads.



December 31, 2018	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	$	310,783	$	(8,037	)	$	726,028	$	(30,247	)	$	1,036,811	$	(38,284	)
Non-Agency RMBS	187,395		(1,451		)	158		(15		)	187,553		(1,466		)
CMBS	75,292		(376		)	—		—			75,292		(376		)
Total investment securities available for sale	$	573,470	$	(9,864	)	$	726,186	$	(30,262	)	$	1,299,656	$	(40,126	)

Other than Temporary Impairment

For the three months ended March 31, 2019 and 2018, the Company did not recognize other-than-temporary impairment through earnings.