v3.19.1
Investment in Securities (Tables)
 3 Months Ended
Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Holdings
The following table details the Company's investment in securities as of March 31, 2019.
 
 
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
($ in thousands)
 
Current Principal
 
Unamortized Premium (Discount)
 
Amortized Cost
 
Gains
 
Losses
 
Fair Value
 
Coupon(1)
 
Yield
 
Life (Years)(2)
Long:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15-year fixed-rate mortgages
 
70,927

 
2,897

 
73,824

 
68

 
(1,261
)
 
72,631

 
3.48
%
 
2.40
%
 
4.39
20-year fixed-rate mortgages
 
2,267

 
148

 
2,415

 
—

 
(38
)
 
2,377

 
4.20
%
 
2.88
%
 
5.32
30-year fixed-rate mortgages
 
906,415

 
43,286

 
949,701

 
4,584

 
(9,311
)
 
944,974

 
4.20
%
 
3.37
%
 
6.82
Adjustable rate mortgages
 
9,173

 
401

 
9,574

 
23

 
(137
)
 
9,460

 
3.97
%
 
2.97
%
 
3.16
Reverse mortgages
 
83,293

 
6,448

 
89,741

 
233

 
(629
)
 
89,345

 
4.40
%
 
3.03
%
 
6.34
Interest only securities
 
 n/a

 
 n/a

 
25,473

 
1,110

 
(1,155
)
 
25,428

 
3.31
%
 
7.48
%
 
3.61
Non-Agency RMBS
 
298,383

 
(111,182
)
 
187,201

 
17,642

 
(2,540
)
 
202,303

 
3.44
%
 
6.42
%
 
7.31
CMBS
 
65,186

 
(36,910
)
 
28,276

 
1,284

 
(147
)
 
29,413

 
2.77
%
 
8.42
%
 
8.38
Non-Agency interest only securities
 
 n/a

 
 n/a

 
5,693

 
1,953

 
—

 
7,646

 
0.77
%
 
25.35
%
 
7.63
CLOs
 
 n/a

 
 n/a

 
98,713

 
2,941

 
(3,657
)
 
97,997

 
3.85
%
 
16.22
%
 
5.68
ABS backed by consumer loans
 
36,022

 
(12,488
)
 
23,534

 
940

 
(366
)
 
24,108

 
14.52
%
 
11.85
%
 
1.16
Corporate debt
 
26,730

 
(20,956
)
 
5,774

 
44

 
(81
)
 
5,737

 
9.26
%
 
20.18
%
 
1.57
Corporate equity
 
 n/a

 
 n/a

 
1,583

 
4

 
(122
)
 
1,465

 
n/a

 
n/a

 
n/a
U.S. Treasury securities
 
16,375

 
189

 
16,564

 
45

 
(8
)
 
16,601

 
2.51
%
 
2.30
%
 
5.68
Total Long
 
1,514,771

 
(128,167
)
 
1,518,066

 
30,871

 
(19,452
)
 
1,529,485

 
4.15
%
 
5.08
%
 
6.49
Short:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
(5,160
)
 
515

 
(4,645
)
 
237

 
(33
)
 
(4,441
)
 
5.19
%
 
5.91
%
 
6.16
U.S. Treasury securities
 
(2,800
)
 
15

 
(2,785
)
 
—

 
(125
)
 
(2,910
)
 
2.88
%
 
2.92
%
 
9.38
European sovereign bonds
 
(18,605
)
 
(884
)
 
(19,489
)
 
947

 
(319
)
 
(18,861
)
 
1.69
%
 
0.43
%
 
1.27
Total Short
 
(26,565
)
 
(354
)
 
(26,919
)
 
1,184

 
(477
)
 
(26,212
)
 
2.42
%
 
1.64
%
 
3.00
Total
 
1,488,206

 
(128,521
)
 
1,491,147

 
32,055

 
(19,929
)
 
1,503,273

 
4.18
%
 
5.02
%
 
6.55
(1)
Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)
Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
Debt Securities, Available-for-sale
The following table details weighted average life of the Company's Agency RMBS as of March 31, 2019.
($ in thousands)
 
Agency RMBS
 
Agency Interest Only Securities
Estimated Weighted Average Life(1)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(2)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(2)
Less than three years
 
38,461

 
38,339

 
4.64
%
 
7,582

 
7,763

 
3.14
%
Greater than three years less than seven years
 
486,247

 
489,019

 
4.29
%
 
17,582

 
17,460

 
3.42
%
Greater than seven years less then eleven years
 
581,828

 
585,867

 
4.04
%
 
264

 
250

 
0.66
%
Greater than eleven years
 
12,251

 
12,030

 
4.10
%
 
—

 
—

 
—
%
Total
 
1,118,787

 
1,125,255

 
4.17
%
 
25,428

 
25,473

 
3.31
%
(1)
Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)
Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
The following table details weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2019.
($ in thousands)
 
Non-Agency RMBS and CMBS
 
Non-Agency IOs
 
CLOs and Other Securities(2)
Estimated Weighted Average Life(1)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(3)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(3)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(3)
Less than three years
 
60,447

 
52,618

 
2.07
%
 
176

 
30

 
2.00
%
 
34,601

 
34,877

 
12.03
%
Greater than three years less than seven years
 
65,214

 
60,490

 
5.32
%
 
3,829

 
3,450

 
1.40
%
 
90,984

 
91,770

 
4.33
%
Greater than seven years less then eleven years
 
53,571

 
49,960

 
3.61
%
 
306

 
—

 
0.50
%
 
17,235

 
16,487

 
0.68
%
Greater than eleven years
 
52,484

 
52,409

 
2.15
%
 
3,335

 
2,213

 
—
%
 
1,623

 
1,451

 
—
%
Total
 
231,716

 
215,477

 
3.36
%
 
7,646

 
5,693

 
0.77
%
 
144,443

 
144,585

 
5.69
%
(1)
Average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)
Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.
Investment Income
The following table details the components of interest income by security type for the three-month period ended March 31, 2019:
Security Type
 
Coupon Interest
 
Net Amortization
 
Interest Income
 
 
(In thousands)
Agency RMBS
 
12,190

 
(4,628
)
 
7,562

Non-Agency RMBS and CMBS
 
3,849

 
547

 
4,396

CLOs
 
4,244

 
65

 
4,309

Other securities(1)
 
1,593

 
(562
)
 
1,031

Total
 
21,876

 
(4,578
)
 
17,298

(1)
Other securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.
Schedule of Realized Gain (Loss)
The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month period ended March 31, 2019.
Security Type
 
Proceeds
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gain (Loss)
 
 
(In thousands)
Agency RMBS
 
128,304

 
712

 
(1,679
)
 
(967
)
Non-Agency RMBS and CMBS
 
129,545

 
1,272

 
(3,443
)
 
(2,171
)
CLOs
 
44,822

 
140

 
(935
)
 
(795
)
Other securities(1)
 
405,903

 
758

 
(1,259
)
 
(501
)
Total
 
708,574

 
2,882

 
(7,316
)
 
(4,434
)
(1)
Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value
The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at March 31, 2019.
(In thousands)
 
Less than 12 Months
 
Greater than 12 Months
 
Total
Security Type
 
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses
Agency RMBS
 
123,567

 
(627
)
 
521,597

 
(11,904
)
 
645,164

 
(12,531
)
Non-Agency RMBS and CMBS
 
85,338

 
(1,585
)
 
34,988

 
(1,102
)
 
120,326

 
(2,687
)
CLOs
 
28,953

 
(996
)
 
25,154

 
(2,661
)
 
54,107

 
(3,657
)
Other securities(1)
 
16,896

 
(177
)
 
2,963

 
(400
)
 
19,859

 
(577
)
Total
 
254,754

 
(3,385
)
 
584,702

 
(16,067
)
 
839,456

 
(19,452
)
(1)
Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, and U.S. Treasury securities.