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Investment Securities Available for Sale, at Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract] |
Schedule of Investment Securities Available For Sale, Fair Value Election | The Company accounts for certain of its investment securities available for sale using the fair value election pursuant to ASC 825. Changes in fair value of these investment securities are recorded in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. The Company's investment securities subject to the fair value election consisted of the following as of March 31, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
| March 31, 2020 |  | December 31, 2019
| Amortized Cost |  | Unrealized |  | Fair Value |  | Amortized Cost |  | Unrealized |  | Fair Value
|  | Gains |  | Losses |  |  |  | Gains |  | Losses |
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency Fixed-Rate | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 21,033 |  |  | $ | — |  |  | $ | (55 | ) |  | $ | 20,978 |
Total Agency RMBS | — |  |  | — |  |  | — |  |  | — |  |  | 21,033 |  |  | — |  |  | (55 | ) |  | 20,978 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |  |  | 31,076 |  |  | — |  |  | (395 | ) |  | 30,681 |
Total Agency | — |  |  | — |  |  | — |  |  | — |  |  | 52,109 |  |  | — |  |  | (450 | ) |  | 51,659 |
Non-Agency RMBS | 252,456 |  |  | 467 |  |  | (48,278 | ) |  | 204,645 |  |  | 122,628 |  |  | 2,435 |  |  | (1,248 | ) |  | 123,815 |
CMBS (1) | 231,031 |  |  | — |  |  | (33,244 | ) |  | 197,787 |  |  | 20,096 |  |  | 563 |  |  | (19 | ) |  | 20,640 |
ABS | 49,820 |  |  | — |  |  | (7,476 | ) |  | 42,344 |  |  | 49,902 |  |  | — |  |  | (688 | ) |  | 49,214 |
Total investment securities available for sale - fair value option | $ | 533,307 |  |  | $ | 467 |  |  | $ | (88,998 | ) |  | $ | 444,776 |  |  | $ | 244,735 |  |  | $ | 2,998 |  |  | $ | (2,405 | ) |  | $ | 245,328 |
(1) Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the three months ended March 31, 2020 with a total fair value of $124.2 million as of March 31, 2020.
Schedule of Investment Securities Available for Sale and Weighted Average Lives | The Company's investment securities available for sale for which changes in fair value are recorded in other comprehensive (loss) income on the Company's condensed consolidated statements of comprehensive income, or CECL Securities, consisted of the following as of March 31, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
| March 31, 2020 |  | December 31, 2019
| 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 |
Agency Fixed-Rate | — |  |  | — |  |  | — |  |  | — |  |  | 846,203 |  |  | 7,397 |  |  | (6,107 | ) |  | 847,493 |
Total Agency RMBS | — |  |  | — |  |  | — |  |  | — |  |  | 901,943 |  |  | 7,410 |  |  | (7,454 | ) |  | 901,899 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |  |  | 20,258 |  |  | 19 |  |  | — |  |  | 20,277 |
Total Agency | — |  |  | — |  |  | — |  |  | — |  |  | 922,201 |  |  | 7,429 |  |  | (7,454 | ) |  | 922,176 |
Non-Agency RMBS | 474,192 |  |  | — |  |  | (102,729 | ) |  | 371,463 |  |  | 578,955 |  |  | 12,557 |  |  | (13 | ) |  | 591,499 |
CMBS | 85,371 |  |  | — |  |  | (14,302 | ) |  | 71,069 |  |  | 234,524 |  |  | 12,737 |  |  | (124 | ) |  | 247,137 |
Total investment securities available for sale - CECL Securities | $ | 559,563 |  |  | $ | — |  |  | $ | (117,031 | ) |  | $ | 442,532 |  |  | $ | 1,735,680 |  |  | $ | 32,723 |  |  | $ | (7,591 | ) |  | $ | 1,760,812 |
(1) | For the Company's Agency ARMs with stated reset periods, the weighted average reset period was 26 months as of December 31, 2019.
The following table sets forth the weighted average lives of our investment securities available for sale as of March 31, 2020 and December 31, 2019 (dollar amounts in thousands):
Weighted Average Life | March 31, 2020 |  | December 31, 2019
0 to 5 years | $ | 248,128 |  |  | $ | 1,359,894 |
Over 5 to 10 years | 532,661 |  |  | 521,517 |
10+ years | 106,519 |  |  | 124,729 |
Total | $ | 887,308 |  |  | $ | 2,006,140 |
Schedule of Investments Securities Sold | The following tables summarize our investment securities sold during the three months ended March 31, 2020 and 2019, respectively (dollar amounts in thousands):
| Three Months Ended March 31, 2020
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains/Losses
Agency RMBS: |  |  |  |  |  |  |
Agency ARMs | $ | 49,893 |  |  | $ | 44 |  |  | $ | (4,157 | ) |  | $ | (4,113 | )
Agency Fixed-Rate (1) | 943,100 |  |  | 5,348 |  |  | (11,713 | ) |  | (6,365 | )
Total Agency RMBS | 992,993 |  |  | 5,392 |  |  | (15,870 | ) |  | (10,478 | )
Agency CMBS (2) | 145,411 |  |  | 5,666 |  |  | (209 | ) |  | 5,457 |
Total Agency | 1,138,404 |  |  | 11,058 |  |  | (16,079 | ) |  | (5,021 | )
Non-Agency RMBS | 130,948 |  |  | — |  |  | (24,132 | ) |  | (24,132 | )
CMBS | 114,038 |  |  | — |  |  | (29,584 | ) |  | (29,584 | )
Total | $ | 1,383,390 |  |  | $ | 11,058 |  |  | $ | (69,795 | ) |  | $ | (58,737 | )
(1) | Includes Agency RMBS securities issued by Consolidated SLST (see Note 4).
(2) | Includes Agency CMBS securities transferred from the Consolidated K-Series (see Note 6).
| Three Months Ended March 31, 2019
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains/Losses
CMBS | $ | 56,769 |  |  | $ | 16,957 |  |  | $ | (156 | ) |  | $ | 16,801 |
Total | $ | 56,769 |  |  | $ | 16,957 |  |  | $ | (156 | ) |  | $ | 16,801 |
Schedule of Investment Securities Available for Sale in Unrealized Loss Position | The following table presents the Company's CECL Securities in an unrealized loss position with no credit losses reported, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at March 31, 2020 (dollar amounts in thousands):
March 31, 2020 | Less than 12 months |  | Greater than 12 months |  | Total
| Carrying Value |  | Gross Unrealized Losses |  | Carrying Value |  | Gross Unrealized Losses |  | Carrying Value |  | Gross Unrealized Losses
Non-Agency RMBS | $ | 371,378 |  |  | $ | (102,709 | ) |  | $ | 85 |  |  | $ | (20 | ) |  | $ | 371,463 |  |  | $ | (102,729 | )
CMBS | 71,069 |  |  | (14,302 | ) |  | — |  |  | — |  |  | 71,069 |  |  | (14,302 | )
Total | $ | 442,447 |  |  | $ | (117,011 | ) |  | $ | 85 |  |  | $ | (20 | ) |  | $ | 442,532 |  |  | $ | (117,031 | )
The following table presents 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 were in a continuous unrealized loss position as of December 31, 2019 (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 | )

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