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Investment Securities Available for Sale, at Fair Value
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Available for Sale, at Fair Value
Investment Securities Available for Sale, at Fair Value

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.

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.

Accrued interest receivable for all investment securities available for sale is included in receivables and other assets on the Company's condensed consolidated balance sheets.

Realized Gain and Loss Activity

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



Weighted Average Life

Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 40 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of March 31, 2020 and December 31, 2019, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 7.4 years and 5.0 years, respectively.

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



Unrealized Losses in Other Comprehensive Income

As of January 1, 2020, the Company adopted ASU 2016-13 to account for its investments in CECL Securities (see Note 2). The Company evaluated its CECL Securities that were in an unrealized loss position as of March 31, 2020 and determined that no allowance for credit losses was necessary. Accordingly, the Company did not recognize credit losses through earnings for the three months ended March 31, 2020.

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
)


At March 31, 2020, the Company did not intend to sell any of its investment securities available for sale that were in an unrealized loss position, and it was “more likely than not” that the Company would 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 non-Agency RMBS and CMBS were $102.7 million and $14.3 million, respectively, at March 31, 2020. 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. In performing its assessment, the Company considers past and expected future performance of the underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, current levels of subordination, volatility of the security's fair value, temporary declines in liquidity for the asset class and interest rate changes since purchase. Based upon the most recent evaluation, the Company 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.

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
)


Other than Temporary Impairment

For the three months ended March 31, 2019, the Company did not recognize other-than-temporary impairment through earnings.