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Investment Securities Available For Sale, at Fair Value | 12 Months Ended
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Dec. 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 where changes in fair value are recorded in unrealized gains (losses), net on the Company's 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 consolidated statements of comprehensive income. The Company's investment securities available for sale consisted of the following as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):
| December 31, 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 | $ | 138,541 |  |  | $ | 854 |  |  | $ | — |  |  | $ | 139,395 |  |  | $ | 21,033 |  |  | $ | — |  |  | $ | (55) |  |  | $ | 20,978 |
Total Agency RMBS | 138,541 |  |  | 854 |  |  | — |  |  | 139,395 |  |  | 21,033 |  |  | — |  |  | (55) |  |  | 20,978 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |  |  | 31,076 |  |  | — |  |  | (395) |  |  | 30,681 |
Total Agency | 138,541 |  |  | 854 |  |  | — |  |  | 139,395 |  |  | 52,109 |  |  | — |  |  | (450) |  |  | 51,659 |
Non-Agency RMBS (1) | 100,465 |  |  | 170 |  |  | (10,786) |  |  | 89,849 |  |  | 122,628 |  |  | 2,435 |  |  | (1,248) |  |  | 123,815 |
CMBS (2) | 139,019 |  |  | 5,685 |  |  | (3,731) |  |  | 140,973 |  |  | 20,096 |  |  | 563 |  |  | (19) |  |  | 20,640 |
ABS | 34,139 |  |  | 9,086 |  |  | — |  |  | 43,225 |  |  | 49,902 |  |  | — |  |  | (688) |  |  | 49,214 |
Total investment securities available for sale - fair value option | 412,164 |  |  | 15,795 |  |  | (14,517) |  |  | 413,442 |  |  | 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) | 266,855 |  |  | 4,336 |  |  | (5,374) |  |  | 265,817 |  |  | 578,955 |  |  | 12,557 |  |  | (13) |  |  | 591,499 |
CMBS | 43,435 |  |  | 2,032 |  |  | — |  |  | 45,467 |  |  | 234,524 |  |  | 12,737 |  |  | (124) |  |  | 247,137 |
Total investment securities available for sale - CECL Securities | 310,290 |  |  | 6,368 |  |  | (5,374) |  |  | 311,284 |  |  | 1,735,680 |  |  | 32,723 |  |  | (7,591) |  |  | 1,760,812 |
Total | $ | 722,454 |  |  | $ | 22,163 |  |  | $ | (19,891) |  |  | $ | 724,726 |  |  | $ | 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 $37.6 million as of December 31, 2020 (see Note 7). (2)Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the year ended December 31, 2020, with a total fair value of $97.6 million as of December 31, 2020. (3)For the Company's Agency ARMs with stated reset period, 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 $71.5 million as of December 31, 2020 (see Note 7). Accrued interest receivable for investment securities available for sale in the amount of $2.4 million and $5.9 million as of December 31, 2020 and 2019, respectively, is included in other assets on the Company's consolidated balance sheets. Realized Gain or Loss Activity The following tables summarize our investment securities sold during the years ended December 31, 2020, 2019, and 2018, respectively (dollar amounts in thousands):
| Year Ended December 31, 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) | 433,076 |  |  | 435 |  |  | (34,856) |  |  | (34,421) |
CMBS | 248,741 |  |  | 8,176 |  |  | (30,289) |  |  | (22,113) |
Total | $ | 1,820,194 |  |  | $ | 19,679 |  |  | $ | (81,208) |  |  | $ | (61,529) |
(1)Includes Agency RMBS securities issued by Consolidated SLST (see Note 3). (2)Includes Agency CMBS securities transferred from the Consolidated K-Series (see Note 4). (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.
| Year Ended December 31, 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 |
| Year Ended December 31, 2018
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Agency IOs | $ | 26,899 |  |  | $ | 88 |  |  | $ | (12,358) |  |  | $ | (12,270) |
Total | $ | 26,899 |  |  | $ | 88 |  |  | $ | (12,358) |  |  | $ | (12,270) |
Weighted Average Life Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 39 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of December 31, 2020 and 2019, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 5.6 years and 5.0 years, respectively. The following table sets forth the weighted average lives of our investment securities available for sale as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):
Weighted Average Life | December 31, 2020 |  | December 31, 2019
0 to 5 years | $ | 332,934 |  |  | $ | 1,359,894 |
Over 5 to 10 years | 320,361 |  |  | 521,517 |
10+ years | 71,431 |  |  | 124,729 |
Total | $ | 724,726 |  |  | $ | 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 December 31, 2020 and determined that no allowance for credit losses was necessary. Accordingly, the Company did not recognize credit losses through earnings for the year ended December 31, 2020. The following tables present 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 December 31, 2020 (dollar amounts in thousands):
December 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 | $ | 159,841 |  |  | $ | (4,526) |  |  | $ | 8,234 |  |  | $ | (848) |  |  | $ | 168,075 |  |  | $ | (5,374) |
Total | $ | 159,841 |  |  | $ | (4,526) |  |  | $ | 8,234 |  |  | $ | (848) |  |  | $ | 168,075 |  |  | $ | (5,374) |
At December 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 were $5.4 million at December 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 the 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 years ended December 31, 2019 and 2018, the Company did not recognize other-than-temporary impairment through earnings.

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