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Investment Securities Available for Sale (Tables) | 9 Months Ended
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Sep. 30, 2019
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, 2019 and December 31, 2018 (dollar amounts in thousands):
| September 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 | $ | 23,841 |  |  | $ | — |  |  | $ | (675 | ) |  | $ | 23,166 |  |  | $ | 26,338 |  |  | $ | — |  |  | $ | (1,052 | ) |  | $ | 25,286 |
Fannie Mae | 33,323 |  |  | 17 |  |  | (705 | ) |  | 32,635 |  |  | 43,984 |  |  | 8 |  |  | (1,384 | ) |  | 42,608 |
Ginnie Mae | 2,971 |  |  | — |  |  | (101 | ) |  | 2,870 |  |  | 3,627 |  |  | — |  |  | (127 | ) |  | 3,500 |
Total Agency ARMs (1) | 60,135 |  |  | 17 |  |  | (1,481 | ) |  | 58,671 |  |  | 73,949 |  |  | 8 |  |  | (2,563 | ) |  | 71,394 |
Agency Fixed- Rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | 79,266 |  |  | 997 |  |  | (433 | ) |  | 79,830 |  |  | 87,018 |  |  | — |  |  | (2,526 | ) |  | 84,492 |
Fannie Mae | 819,540 |  |  | 3,860 |  |  | (6,063 | ) |  | 817,337 |  |  | 915,039 |  |  | — |  |  | (33,195 | ) |  | 881,844 |
Total Agency Fixed-Rate | 898,806 |  |  | 4,857 |  |  | (6,496 | ) |  | 897,167 |  |  | 1,002,057 |  |  | — |  |  | (35,721 | ) |  | 966,336 |
Total Agency RMBS | 958,941 |  |  | 4,874 |  |  | (7,977 | ) |  | 955,838 |  |  | 1,076,006 |  |  | 8 |  |  | (38,284 | ) |  | 1,037,730 |
Non-Agency RMBS (1)(2)(3) | 610,624 |  |  | 11,800 |  |  | (896 | ) |  | 621,528 |  |  | 215,337 |  |  | 166 |  |  | (1,466 | ) |  | 214,037 |
CMBS (1) (2) | 264,721 |  |  | 13,831 |  |  | (154 | ) |  | 278,398 |  |  | 243,046 |  |  | 17,815 |  |  | (376 | ) |  | 260,485 |
ABS (3) | 48,557 |  |  | — |  |  | (303 | ) |  | 48,254 |  |  | — |  |  | — |  |  | — |  |  | — |
Total investment securities available for sale | $ | 1,882,843 |  |  | $ | 30,505 |  |  | $ | (9,330 | ) |  | $ | 1,904,018 |  |  | $ | 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 27 months, 45 months, and one month, respectively.
(2) | Included in CMBS is $52.7 million of first loss POs and certain IOs held in securitization trusts as of December 31, 2018.
(3) For the Company's non-Agency RMBS IOs and ABS, unrealized gains and losses are recognized in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.
Schedule of 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, 2019 and December 31, 2018 (dollar amounts in thousands):
Weighted Average Life | September 30, 2019 |  | December 31, 2018
0 to 5 years | $ | 840,518 |  |  | $ | 456,947 |
Over 5 to 10 years | 688,443 |  |  | 1,043,369 |
10+ years | 375,057 |  |  | 11,936 |
Total | $ | 1,904,018 |  |  | $ | 1,512,252 |
Schedule of Investment Securities Available for Sale in Unrealized Loss Position |
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 | )
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 September 30, 2019 and December 31, 2018 (dollar amounts in thousands):
September 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 | $ | — |  |  | $ | — |  |  | $ | 291,801 |  |  | $ | (7,977 | ) |  | $ | 291,801 |  |  | $ | (7,977 | )
Non-Agency RMBS | 15,430 |  |  | (178 | ) |  | 118 |  |  | (14 | ) |  | 15,548 |  |  | (192 | )
CMBS | 31,311 |  |  | (154 | ) |  | — |  |  | — |  |  | 31,311 |  |  | (154 | )
Total investment securities available for sale | $ | 46,741 |  |  | $ | (332 | ) |  | $ | 291,919 |  |  | $ | (7,991 | ) |  | $ | 338,660 |  |  | $ | (8,323 | )

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