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Investment Securities Available for Sale | 9 Months Ended
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Sep. 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 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.
Realized Gain or Loss Activity During the three and nine months ended September 30, 2019 the Company received total proceeds of approximately $41.2 million and $98.0 million, respectively, from the sale of investment securities available for sale, realizing a net gain of approximately $5.0 million and $21.8 million, respectively. The Company did not sell investment securities available for sale during the three months ended September 30, 2018. During the nine months ended September 30, 2018, the Company received total proceeds of approximately $26.9 million from the sale of investment securities available for sale, realizing a net loss of approximately $12.3 million. Weighted Average Life Actual maturities of our available for sale securities are generally shorter than stated contractual maturities (with contractual maturities up to 41 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of September 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 5.6 years and 5.7 years, respectively. 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 |
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 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 | )
At September 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 in other comprehensive income on the Company’s Agency RMBS were $8.0 million at September 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 September 30, 2019, any unrealized losses on its Agency RMBS were temporary. Gross unrealized losses in other comprehensive income on the Company's non-Agency RMBS and CMBS were $0.2 million and $0.2 million, respectively, at September 30, 2019. 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 nine months ended September 30, 2019 and 2018, the Company did not recognize other-than-temporary impairment through earnings.

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