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Investment Securities Available for Sale, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Schedule of Investment Securities Available For Sale, Fair Value Option The Company's investment securities available for sale consisted of the following as of June 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
 
June 30, 2020
 
December 31, 2019
 
Amortized Cost
 
Unrealized
 
Fair Value
 
Amortized Cost
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Fair Value Option
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 (1)
214,841

 
438

 
(23,342
)
 
191,937

 
122,628

 
2,435

 
(1,248
)
 
123,815

CMBS (2)
229,023

 
9,308

 
(10,765
)
 
227,566

 
20,096

 
563

 
(19
)
 
20,640

ABS
45,969

 
—

 
(3,469
)
 
42,500

 
49,902

 
—

 
(688
)
 
49,214

Total investment securities available for sale - fair value option
489,833

 
9,746

 
(37,576
)
 
462,003

 
244,735

 
2,998

 
(2,405
)
 
245,328

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CECL Securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs (3)
—

 
—

 
—

 
—

 
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 (4)
470,600

 
—

 
(32,341
)
 
438,259

 
578,955

 
12,557

 
(13
)
 
591,499

CMBS
62,633

 
1,084

 
(3,171
)
 
60,546

 
234,524

 
12,737

 
(124
)
 
247,137

Total investment securities available for sale - CECL Securities
533,233

 
1,084

 
(35,512
)
 
498,805

 
1,735,680

 
32,723

 
(7,591
)
 
1,760,812

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
$
1,023,066

 
$
10,830

 
$
(73,088
)
 
$
960,808

 
$
1,980,415

 
$
35,721

 
$
(9,996
)
 
$
2,006,140


(1) 
Includes non-Agency RMBS held in a securitization trust with a total fair value of $90.8 million as of June 30, 2020 (see Note 9).
(2) 
Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the six months ended June 30, 2020 with a total fair value of $139.8 million as of June 30, 2020.
(3) 
For the Company's Agency ARMs with stated reset periods, the weighted average reset period was 26 months as of December 31, 2019.
(4) 
Includes non-Agency RMBS held in a securitization trust with a total fair value of $86.3 million as of June 30, 2020 (see Note 9).
Schedule of Investment Securities Available for Sale, CECL Securities The Company's investment securities available for sale consisted of the following as of June 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
 
June 30, 2020
 
December 31, 2019
 
Amortized Cost
 
Unrealized
 
Fair Value
 
Amortized Cost
 
Unrealized
 
Fair Value
 
 
Gains
 
Losses
 
 
 
Gains
 
Losses
 
Fair Value Option
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 (1)
214,841

 
438

 
(23,342
)
 
191,937

 
122,628

 
2,435

 
(1,248
)
 
123,815

CMBS (2)
229,023

 
9,308

 
(10,765
)
 
227,566

 
20,096

 
563

 
(19
)
 
20,640

ABS
45,969

 
—

 
(3,469
)
 
42,500

 
49,902

 
—

 
(688
)
 
49,214

Total investment securities available for sale - fair value option
489,833

 
9,746

 
(37,576
)
 
462,003

 
244,735

 
2,998

 
(2,405
)
 
245,328

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CECL Securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency ARMs (3)
—

 
—

 
—

 
—

 
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 (4)
470,600

 
—

 
(32,341
)
 
438,259

 
578,955

 
12,557

 
(13
)
 
591,499

CMBS
62,633

 
1,084

 
(3,171
)
 
60,546

 
234,524

 
12,737

 
(124
)
 
247,137

Total investment securities available for sale - CECL Securities
533,233

 
1,084

 
(35,512
)
 
498,805

 
1,735,680

 
32,723

 
(7,591
)
 
1,760,812

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
$
1,023,066

 
$
10,830

 
$
(73,088
)
 
$
960,808

 
$
1,980,415

 
$
35,721

 
$
(9,996
)
 
$
2,006,140


(1) 
Includes non-Agency RMBS held in a securitization trust with a total fair value of $90.8 million as of June 30, 2020 (see Note 9).
(2) 
Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the six months ended June 30, 2020 with a total fair value of $139.8 million as of June 30, 2020.
(3) 
For the Company's Agency ARMs with stated reset periods, the weighted average reset period was 26 months as of December 31, 2019.
(4) 
Includes non-Agency RMBS held in a securitization trust with a total fair value of $86.3 million as of June 30, 2020 (see Note 9).
Schedule of Investments Securities Sold
The following table summarizes our investment securities sold during the three months ended June 30, 2020 (dollar amounts in thousands). There were no investment securities sold during the three months ended June 30, 2019.

 
Three Months Ended June 30, 2020
 
Sales Proceeds
 
Realized Gains
 
Realized Losses
 
Net Realized Gains/Losses
Non-Agency RMBS (1)
$
37,810

 
$
294

 
$
(1,690
)
 
$
(1,396
)
CMBS
24,022

 
1,327

 
—

 
1,327

Total
$
61,832

 
$
1,621

 
$
(1,690
)
 
$
(69
)

(1) 
Includes the sale of non-Agency RMBS held in a securitization trust for total proceeds of $27.2 million and a net realized gain of $0.2 million.

The following tables summarize our investment securities sold during the six months ended June 30, 2020 and 2019, respectively (dollar amounts in thousands):

 
Six Months Ended June 30, 2020
 
Sales Proceeds
 
Realized Gains
 
Realized Losses
 
Net Realized Gains/Losses
Agency RMBS:
 
 
 
 
 
 
 
Agency ARMs
$
49,892

 
$
44

 
$
(4,157
)
 
$
(4,113
)
Agency Fixed-Rate (1)
943,074

 
5,358

 
(11,697
)
 
(6,339
)
Total Agency RMBS
992,966

 
5,402

 
(15,854
)
 
(10,452
)
Agency CMBS (2)
145,411

 
5,666

 
(209
)
 
5,457

Total Agency
1,138,377

 
11,068

 
(16,063
)
 
(4,995
)
Non-Agency RMBS (3)
168,758

 
294

 
(25,821
)
 
(25,527
)
CMBS
138,061

 
1,327

 
(29,584
)
 
(28,257
)
Total
$
1,445,196

 
$
12,689

 
$
(71,468
)
 
$
(58,779
)

(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).
(3) 
Includes the sale of non-Agency RMBS held in a securitization trust for total proceeds of $27.2 million and a net realized gain of $0.2 million.

 
Six Months Ended June 30, 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 Weighted Average Lives of Investment Securities
The following table sets forth the weighted average lives of our investment securities available for sale as of June 30, 2020 and December 31, 2019 (dollar amounts in thousands):
Weighted Average Life
June 30, 2020
 
December 31, 2019
0 to 5 years
$
605,108

 
$
1,359,894

Over 5 to 10 years
285,099

 
521,517

10+ years
70,601

 
124,729

Total
$
960,808

 
$
2,006,140
Schedule of Investment Securities Available for Sale in Unrealized Loss Position
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
)

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 June 30, 2020 (dollar amounts in thousands):

June 30, 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
$
421,337

 
$
(31,061
)
 
$
16,922

 
$
(1,280
)
 
$
438,259

 
$
(32,341
)
CMBS
43,927

 
(2,546
)
 
6,678

 
(625
)
 
50,605

 
(3,171
)
Total
$
465,264

 
$
(33,607
)
 
$
23,600

 
$
(1,905
)
 
$
488,864

 
$
(35,512
)