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Investment Securities Available for Sale, at Fair Value | 9 Months Ended
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Sep. 30, 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 where changes in fair value are recorded in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. The Company also has investment securities available for sale where the fair value option has not been elected, or CECL Securities. CECL Securities are reported at fair value with unrealized gains and losses recorded in other comprehensive income (loss) on the Company's condensed consolidated statements of comprehensive income. The Company's investment securities available for sale consisted of the following as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
| September 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) | 108,134 |  |  | 153 |  |  | (11,884) |  |  | 96,403 |  |  | 122,628 |  |  | 2,435 |  |  | (1,248) |  |  | 123,815 |
CMBS (2) | 141,282 |  |  | 3,225 |  |  | (5,619) |  |  | 138,888 |  |  | 20,096 |  |  | 563 |  |  | (19) |  |  | 20,640 |
ABS | 39,519 |  |  | 5,488 |  |  | — |  |  | 45,007 |  |  | 49,902 |  |  | — |  |  | (688) |  |  | 49,214 |
Total investment securities available for sale - fair value option | 288,935 |  |  | 8,866 |  |  | (17,503) |  |  | 280,298 |  |  | 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) | 291,925 |  |  | 425 |  |  | (12,988) |  |  | 279,362 |  |  | 578,955 |  |  | 12,557 |  |  | (13) |  |  | 591,499 |
CMBS | 43,413 |  |  | 1,260 |  |  | (636) |  |  | 44,037 |  |  | 234,524 |  |  | 12,737 |  |  | (124) |  |  | 247,137 |
Total investment securities available for sale - CECL Securities | 335,338 |  |  | 1,685 |  |  | (13,624) |  |  | 323,399 |  |  | 1,735,680 |  |  | 32,723 |  |  | (7,591) |  |  | 1,760,812 |
Total | $ | 624,273 |  |  | $ | 10,551 |  |  | $ | (31,127) |  |  | $ | 603,697 |  |  | $ | 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 $44.3 million as of September 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 nine months ended September 30, 2020 with a total fair value of $95.9 million as of September 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 $87.6 million as of September 30, 2020 (see Note 9). 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 September 30, 2020 and 2019, respectively (dollar amounts in thousands).
| Three Months Ended September 30, 2020
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS (1) | $ | 259,493 |  |  | $ | 141 |  |  | $ | (8,860) |  |  | $ | (8,719) |
CMBS | 110,680 |  |  | 6,849 |  |  | (705) |  |  | 6,144 |
Total | $ | 370,173 |  |  | $ | 6,990 |  |  | $ | (9,565) |  |  | $ | (2,575) |
(1)Includes the sale of non-Agency RMBS held in a securitization trust for total proceeds of $40.4 million and a net realized gain of $26.1 thousand.
| Three Months Ended September 30, 2019
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS | $ | 1,021 |  |  | $ | 33 |  |  | $ | — |  |  | $ | 33 |
CMBS | 40,161 |  |  | 4,980 |  |  | — |  |  | 4,980 |
Total | $ | 41,182 |  |  | $ | 5,013 |  |  | $ | — |  |  | $ | 5,013 |
The following tables summarize our investment securities sold during the nine months ended September 30, 2020 and 2019, respectively (dollar amounts in thousands):
| Nine Months Ended September 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) | 428,251 |  |  | 435 |  |  | (34,681) |  |  | (34,246) |
CMBS | 248,741 |  |  | 8,176 |  |  | (30,289) |  |  | (22,113) |
Total | $ | 1,815,369 |  |  | $ | 19,679 |  |  | $ | (81,033) |  |  | $ | (61,354) |
(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 $67.6 million and a net realized gain of $0.2 million.
| Nine Months Ended September 30, 2019
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS | $ | 1,021 |  |  | $ | 33 |  |  | $ | — |  |  | $ | 33 |
CMBS | 96,930 |  |  | 21,938 |  |  | (156) |  |  | 21,782 |
Total | $ | 97,951 |  |  | $ | 21,971 |  |  | $ | (156) |  |  | $ | 21,815 |
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 September 30, 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 7.1 years and 5.0 years, respectively. The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
Weighted Average Life | September 30, 2020 |  | December 31, 2019
0 to 5 years | $ | 343,573 |  |  | $ | 1,359,894 |
Over 5 to 10 years | 183,910 |  |  | 521,517 |
10+ years | 76,214 |  |  | 124,729 |
Total | $ | 603,697 |  |  | $ | 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 September 30, 2020 and determined that no allowance for credit losses was necessary. Accordingly, the Company did not recognize credit losses through earnings for the three and nine months ended September 30, 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 September 30, 2020 (dollar amounts in thousands):
September 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 | $ | 235,449 |  |  | $ | (11,651) |  |  | $ | 16,966 |  |  | $ | (1,337) |  |  | $ | 252,415 |  |  | $ | (12,988) |  |  |  |  |
CMBS | 33,903 |  |  | (636) |  |  | — |  |  | — |  |  | 33,903 |  |  | (636) |  |  |  |  |
Total | $ | 269,352 |  |  | $ | (12,287) |  |  | $ | 16,966 |  |  | $ | (1,337) |  |  | $ | 286,318 |  |  | $ | (13,624) |  |  |  |  |
At September 30, 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 $13.0 million and $0.6 million, respectively, at September 30, 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 and nine months ended September 30, 2019, the Company did not recognize other-than-temporary impairment through earnings.

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