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Investment Securities Available for Sale
 6 Months Ended
Jun. 30, 2019
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 June 30, 2019 and December 31, 2018 (dollar amounts in thousands):
 
June 30, 2019
 
December 31, 2018
 
Amortized Cost
 
Unrealized
 
Fair Value
 
Amortized Cost
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Agency RMBS
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
$
24,618

 
$
—

 
$
(733
)
 
$
23,885

 
$
26,338

 
$
—

 
$
(1,052
)
 
$
25,286

Fannie Mae
36,379

 
20

 
(895
)
 
35,504

 
43,984

 
8

 
(1,384
)
 
42,608

Ginnie Mae
3,233

 
—

 
(103
)
 
3,130

 
3,627

 
—

 
(127
)
 
3,500

Total Agency ARMs (1)
64,230

 
20

 
(1,731
)
 
62,519

 
73,949

 
8

 
(2,563
)
 
71,394

Agency Fixed- Rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freddie Mac
82,165

 
650

 
(502
)
 
82,313

 
87,018

 
—

 
(2,526
)
 
84,492

Fannie Mae
856,313

 
1,080

 
(8,025
)
 
849,368

 
915,039

 
—

 
(33,195
)
 
881,844

Total Agency Fixed-Rate
938,478

 
1,730

 
(8,527
)
 
931,681

 
1,002,057

 
—

 
(35,721
)
 
966,336

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Agency RMBS
1,002,708

 
1,750

 
(10,258
)
 
994,200

 
1,076,006

 
8

 
(38,284
)
 
1,037,730

Non-Agency RMBS (1)(2)
428,443

 
4,719

 
(322
)
 
432,840

 
215,337

 
166

 
(1,466
)
 
214,037

CMBS (1) (3)
276,947

 
15,300

 
(157
)
 
292,090

 
243,046

 
17,815

 
(376
)
 
260,485

ABS
24,768

 
—

 
(29
)
 
24,739

 
—

 
—

 
—

 
—

Total investment securities available for sale
$
1,732,866

 
$
21,769

 
$
(10,766
)
 
$
1,743,869

 
$
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 28 months, five months, and one month, respectively.
(2) 
Includes $3.1 million in non-Agency RMBS purchased not yet settled, which are included in accrued expenses and other liabilities on the Company's condensed consolidated balance sheet.
(3) 
Included in CMBS is $52.7 million of first loss POs and certain IOs held in securitization trusts as of December 31, 2018.

Realized Gain or Loss Activity

The Company did not sell investment securities available for sale during the three months ended June 30, 2019. During the six months ended June 30, 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 and six months ended June 30, 2018, the Company received total proceeds of approximately $16.8 million and $26.9 million, respectively, from the sale of investment securities available for sale, realizing a net loss of approximately $8.8 million and $12.3 million, respectively.

Weighted Average Life

Actual maturities of our available for sale securities are generally shorter than stated contractual maturities (with maturities up to 40 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of June 30, 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 10.2 years and 5.7 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of June 30, 2019 and December 31, 2018 (dollar amounts in thousands):
Weighted Average Life
June 30, 2019
 
December 31, 2018
0 to 5 years
$
670,546

 
$
456,947

Over 5 to 10 years
733,319

 
1,043,369

10+ years
340,004

 
11,936

Total
$
1,743,869

 
$
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 June 30, 2019 and December 31, 2018 (dollar amounts in thousands):

June 30, 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
$
—

 
$
—

 
$
617,454

 
$
(10,258
)
 
$
617,454

 
$
(10,258
)
Non-Agency RMBS
36,903

 
(309
)
 
133

 
(13
)
 
37,036

 
(322
)
CMBS
31,310

 
(157
)
 
—

 
—

 
31,310

 
(157
)
ABS
24,739

 
(29
)
 
—

 
—

 
24,739

 
(29
)
Total investment securities available for sale
$
92,952

 
$
(495
)
 
$
617,587

 
$
(10,271
)
 
$
710,539

 
$
(10,766
)


At June 30, 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 $10.3 million at June 30, 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, June 30, 2019, any unrealized losses on its Agency RMBS were temporary.

Gross unrealized losses on the Company's non-Agency RMBS and CMBS were $0.3 million and $0.2 million at June 30, 2019, respectively. Credit risk associated with non-Agency RMBS and CMBS 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 and six months ended June 30, 2019 and 2018, the Company did not recognize other-than-temporary impairment through earnings.