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Investment Securities Available For Sale
 12 Months Ended
Dec. 31, 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 December 31, 2019 and 2018, respectively (dollar amounts in thousands):

 
December 31, 2019
 
December 31, 2018
 
Amortized Cost
 
Unrealized
 
Fair Value
 
Amortized Cost
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs (1)
$
55,740

 
$
13

 
$
(1,347
)
 
$
54,406

 
$
73,949

 
$
8

 
$
(2,563
)
 
$
71,394

Agency Fixed-Rate
867,236

 
7,397

 
(6,162
)
 
868,471

 
1,002,057

 
—

 
(35,721
)
 
966,336

Total Agency RMBS (2)
922,976

 
7,410

 
(7,509
)
 
922,877

 
1,076,006

 
8

 
(38,284
)
 
1,037,730

Agency CMBS (2)
51,334


19


(395
)

50,958

 
—

 
—

 
—

 
—

Total Agency
974,310

 
7,429

 
(7,904
)
 
973,835

 
1,076,006

 
8

 
(38,284
)
 
1,037,730

Non-Agency RMBS (2)
701,583

 
14,992

 
(1,261
)
 
715,314

 
215,337

 
166

 
(1,466
)
 
214,037

CMBS (2)(3)
254,620

 
13,300

 
(143
)
 
267,777

 
243,046

 
17,815

 
(376
)
 
260,485

ABS (2)
49,902

 
—

 
(688
)
 
49,214

 
—

 
—

 
—

 
—

Total investment securities available for sale
$
1,980,415

 
$
35,721

 
$
(9,996
)
 
$
2,006,140

 
$
1,534,389

 
$
17,989

 
$
(40,126
)
 
$
1,512,252



(1) 
For the Company’s Agency ARMs with stated reset periods, the weighted average reset period is 26 months and 31 months as of December 31, 2019 and 2018, respectively.
(2) 
As of December 31, 2019, certain of the Company’s investment securities available for sale are presented at fair value with unrealized gains and losses recognized in unrealized gains (losses), net on the Company’s consolidated statements of operations as a result of a fair value election pursuant to ASC 825. This includes Agency RMBS with a fair value of $21.0 million and net unrealized losses of $0.1 million, Agency CMBS with a fair value of $30.7 million and net unrealized losses of $0.4 million, non-Agency RMBS with a fair value of $123.8 million and net unrealized gains of $1.2 million, CMBS with a fair value of $20.6 million and net unrealized gains of $0.5 million, and ABS with a fair value of $49.2 million and net unrealized losses of $0.7 million.
(3) 
Included in CMBS is $52.7 million of first loss POs and certain IOs held in re-securitization trusts as of December 31, 2018.

Realized Gain or Loss Activity

During the year ended December 31, 2019, the Company received total proceeds of approximately $98.0 million from the sale of investment securities available for sale, realizing a net gain of approximately $21.8 million. During the year ended December 31, 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. During the year ended December 31, 2017, the Company received total proceeds of approximately $107.1 million from the sale of investment securities available for sale, realizing a net loss of approximately $0.1 million.

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 December 31, 2019 and 2018, based on management’s estimates, the weighted average life of the Company’s available for sale securities portfolio was approximately 5.0 years and 5.7 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of December 31, 2019 and 2018, respectively (dollar amounts in thousands):
Weighted Average Life
December 31, 2019
 
December 31, 2018
0 to 5 years
$
1,359,894

 
$
456,947

Over 5 to 10 years
521,517

 
1,043,369

10+ years
124,729

 
11,936

Total
$
2,006,140

 
$
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 OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at December 31, 2019 and 2018, respectively (dollar amounts in thousands):

December 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
$
—

 
$
—

 
$
222,286

 
$
(7,454
)
 
$
222,286

 
$
(7,454
)
Non-Agency RMBS
—

 
—

 
104

 
(13
)
 
104

 
(13
)
CMBS
25,507

 
(124
)
 
—

 
—

 
25,507

 
(124
)
Total
$
25,507

 
$
(124
)
 
$
222,390

 
$
(7,467
)
 
$
247,897

 
$
(7,591
)


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
$
573,470

 
$
(9,864
)
 
$
726,186

 
$
(30,262
)
 
$
1,299,656

 
$
(40,126
)



At December 31, 2019 and 2018, the Company did 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 $7.5 million and $38.3 million as of December 31, 2019 and 2018, respectively. 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 December 31, 2019 and 2018, any unrealized losses on its Agency RMBS were temporary.

Gross unrealized losses in other comprehensive income on the Company’s non-Agency RMBS were $13.0 thousand and $1.5 million at December 31, 2019 and 2018, respectively. Gross unrealized losses in other comprehensive income on the Company’s CMBS were $0.1 million and $0.4 million at December 31, 2019 and 2018, 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.

Other than Temporary Impairment

For the years ended December 31, 2019, 2018 and 2017, the Company did not recognize other-than-temporary impairment through earnings.