v3.19.3

Investment in Securities | 9 Months Ended
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Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract] |
Investment in Securities | Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following table details the Company's investment in securities as of September 30, 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 |  | $ | 176,990 |  |  | $ | 3,542 |  |  | $ | 180,532 |  |  | $ | 1,710 |  |  | $ | (250 | ) |  | $ | 181,992 |  |  | 3.09 | % |  | 2.41 | % |  | 3.27
20-year fixed-rate mortgages |  | 820 |  |  | 53 |  |  | 873 |  |  | 8 |  |  | — |  |  | 881 |  |  | 4.54 | % |  | 3.00 | % |  | 4.75
30-year fixed-rate mortgages |  | 1,132,923 |  |  | 55,885 |  |  | 1,188,808 |  |  | 13,225 |  |  | (2,593 | ) |  | 1,199,440 |  |  | 4.24 | % |  | 3.13 | % |  | 5.64
Adjustable rate mortgages |  | 10,772 |  |  | 387 |  |  | 11,159 |  |  | 83 |  |  | (62 | ) |  | 11,180 |  |  | 3.98 | % |  | 2.26 | % |  | 2.56
Reverse mortgages |  | 123,557 |  |  | 8,606 |  |  | 132,163 |  |  | 2,325 |  |  | (22 | ) |  | 134,466 |  |  | 4.45 | % |  | 2.86 | % |  | 6.84
Interest only securities |  | n/a |  |  | n/a |  |  | 35,775 |  |  | 1,920 |  |  | (647 | ) |  | 37,048 |  |  | 2.40 | % |  | 9.03 | % |  | 3.50
Non-Agency RMBS |  | 250,196 |  |  | (106,851 | ) |  | 143,345 |  |  | 12,937 |  |  | (2,668 | ) |  | 153,614 |  |  | 3.63 | % |  | 6.66 | % |  | 5.26
CMBS |  | 71,217 |  |  | (38,214 | ) |  | 33,003 |  |  | 3,115 |  |  | (26 | ) |  | 36,092 |  |  | 3.44 | % |  | 9.38 | % |  | 8.66
Non-Agency interest only securities |  | n/a |  |  | n/a |  |  | 5,146 |  |  | 1,936 |  |  | — |  |  | 7,082 |  |  | 0.98 | % |  | 20.49 | % |  | 3.41
CLOs |  | n/a |  |  | n/a |  |  | 68,187 |  |  | 569 |  |  | (1,356 | ) |  | 67,400 |  |  | 3.23 | % |  | 15.56 | % |  | 5.58
ABS backed by consumer loans |  | 47,785 |  |  | (8,817 | ) |  | 38,968 |  |  | 628 |  |  | (280 | ) |  | 39,316 |  |  | 14.86 | % |  | 14.43 | % |  | 1.19
Corporate debt |  | 24,067 |  |  | (20,990 | ) |  | 3,077 |  |  | 106 |  |  | (1 | ) |  | 3,182 |  |  | — | % |  | 11.06 | % |  | 1.34
Corporate equity |  | n/a |  |  | n/a |  |  | 3,804 |  |  | 432 |  |  | — |  |  | 4,236 |  |  | n/a |  |  | n/a |  |  | n/a
Total Long |  | 1,838,327 |  |  | (106,399 | ) |  | 1,844,840 |  |  | 38,994 |  |  | (7,905 | ) |  | 1,875,929 |  |  | 4.20 | % |  | 4.29 | % |  | 5.34
Short: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate debt |  | (450 | ) |  | (6 | ) |  | (456 | ) |  | 1 |  |  | (18 | ) |  | (473 | ) |  | 5.46 | % |  | 5.21 | % |  | 5.17
U.S. Treasury securities |  | (26,260 | ) |  | (29 | ) |  | (26,289 | ) |  | — |  |  | (441 | ) |  | (26,730 | ) |  | 2.00 | % |  | 2.00 | % |  | 5.61
European sovereign bonds |  | (9,484 | ) |  | (158 | ) |  | (9,642 | ) |  | — |  |  | (64 | ) |  | (9,706 | ) |  | 0.75 | % |  | 0.12 | % |  | 1.83
Total Short |  | (36,194 | ) |  | (193 | ) |  | (36,387 | ) |  | 1 |  |  | (523 | ) |  | (36,909 | ) |  | 1.72 | % |  | 1.54 | % |  | 4.61
Total |  | $ | 1,802,133 |  |  | $ | (106,592 | ) |  | $ | 1,808,453 |  |  | $ | 38,995 |  |  | $ | (8,428 | ) |  | $ | 1,839,020 |  |  | 4.25 | % |  | 4.24 | % |  | 5.35
(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.
The following table details weighted average life of the Company's Agency RMBS as of September 30, 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 |  | $ | 305,530 |  |  | $ | 303,273 |  |  | 4.46 | % |  | $ | 12,616 |  |  | $ | 12,400 |  |  | 3.02 | %
Greater than three years and less than seven years |  | 721,685 |  |  | 714,126 |  |  | 4.12 | % |  | 24,432 |  |  | 23,375 |  |  | 2.07 | %
Greater than seven years and less than eleven years |  | 495,138 |  |  | 490,615 |  |  | 3.91 | % |  | — |  |  | — |  |  | — | %
Greater than eleven years |  | 5,606 |  |  | 5,521 |  |  | 3.55 | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 1,527,959 |  |  | $ | 1,513,535 |  |  | 4.12 | % |  | $ | 37,048 |  |  | $ | 35,775 |  |  | 2.40 | %
(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 September 30, 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 |  | $ | 45,363 |  |  | $ | 42,229 |  |  | 2.48 | % |  | $ | 3,290 |  |  | $ | 1,983 |  |  | — | % |  | $ | 45,890 |  |  | $ | 45,239 |  |  | 12.96 | %
Greater than three years and less than seven years |  | 73,889 |  |  | 66,788 |  |  | 4.92 | % |  | 3,792 |  |  | 3,163 |  |  | 1.59 | % |  | 62,386 |  |  | 63,584 |  |  | 3.35 | %
Greater than seven years and less than eleven years |  | 55,218 |  |  | 51,072 |  |  | 3.57 | % |  | — |  |  | — |  |  | — | % |  | 1,622 |  |  | 1,409 |  |  | — | %
Greater than eleven years |  | 15,236 |  |  | 16,259 |  |  | 1.13 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 189,706 |  |  | $ | 176,348 |  |  | 3.60 | % |  | $ | 7,082 |  |  | $ | 5,146 |  |  | 0.98 | % |  | $ | 109,898 |  |  | $ | 110,232 |  |  | 7.25 | %
(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.
(3) | 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 the components of interest income by security type for the three- and nine-month periods ended September 30, 2019:
(In thousands) |  | Three-Month Period Ended September 30, 2019 |  | Nine-Month Period Ended September 30, 2019
Security Type |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 16,026 |  |  | $ | (6,290 | ) |  | $ | 9,736 |  |  | $ | 42,681 |  |  | $ | (15,883 | ) |  | $ | 26,798 |
Non-Agency RMBS and CMBS |  | 3,383 |  |  | 430 |  |  | 3,813 |  |  | 10,514 |  |  | 1,666 |  |  | 12,180 |
CLOs |  | 3,480 |  |  | (627 | ) |  | 2,853 |  |  | 11,391 |  |  | (1,138 | ) |  | 10,253 |
Other securities(1) |  | 1,670 |  |  | (611 | ) |  | 1,059 |  |  | 4,706 |  |  | (1,528 | ) |  | 3,178 |
Total |  | $ | 24,559 |  |  | $ | (7,098 | ) |  | $ | 17,461 |  |  | $ | 69,292 |  |  | $ | (16,883 | ) |  | $ | 52,409 |
(1) | Other securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.
For the three- and nine-month periods ended September 30, 2019 the Catch-Up Premium Amortization Adjustment was $(1.5) million and $(2.9) million, respectively. The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2019.
(In thousands) |  | Three-Month Period Ended September 30, 2019 |  | Nine-Month Period Ended September 30, 2019
Security Type |  | Proceeds(1) |  | Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gain (Loss) |  | Proceeds(1) |  | Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gain (Loss)
Agency RMBS |  | $ | 331,572 |  |  | $ | 4,511 |  |  | $ | (696 | ) |  | $ | 3,815 |  |  | $ | 719,082 |  |  | $ | 6,955 |  |  | $ | (3,800 | ) |  | $ | 3,155 |
Non-Agency RMBS and CMBS |  | 16,496 |  |  | 9,606 |  |  | (1,093 | ) |  | 8,513 |  |  | 165,180 |  |  | 11,356 |  |  | (5,726 | ) |  | 5,630 |
CLOs |  | 2,060 |  |  | 1,287 |  |  | (7,267 | ) |  | (5,980 | ) |  | 58,157 |  |  | 1,169 |  |  | (10,999 | ) |  | (9,830 | )
Other securities(2) |  | 138,000 |  |  | 63 |  |  | (1,575 | ) |  | (1,512 | ) |  | 602,443 |  |  | 800 |  |  | (3,368 | ) |  | (2,568 | )
Total |  | $ | 488,128 |  |  | $ | 15,467 |  |  | $ | (10,631 | ) |  | $ | 4,836 |  |  | $ | 1,544,862 |  |  | $ | 20,280 |  |  | $ | (23,893 | ) |  | $ | (3,613 | )
(1) | Includes proceeds on sales of securities not yet settled as of period end.
(2) | Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
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 September 30, 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 |  | $ | 65,476 |  |  | $ | (578 | ) |  | $ | 185,049 |  |  | $ | (2,996 | ) |  | $ | 250,525 |  |  | $ | (3,574 | )
Non-Agency RMBS and CMBS |  | 26,133 |  |  | (842 | ) |  | 42,111 |  |  | (1,852 | ) |  | 68,244 |  |  | (2,694 | )
CLOs |  | 17,905 |  |  | (1,174 | ) |  | 4,222 |  |  | (182 | ) |  | 22,127 |  |  | (1,356 | )
Other securities(1) |  | 9,522 |  |  | (108 | ) |  | 3,003 |  |  | (173 | ) |  | 12,525 |  |  | (281 | )
Total |  | $ | 119,036 |  |  | $ | (2,702 | ) |  | $ | 234,385 |  |  | $ | (5,203 | ) |  | $ | 353,421 |  |  | $ | (7,905 | )
(1) | Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, and U.S. Treasury securities.
As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. For the three- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $10.1 million and $16.1 million, respectively, on the cost basis of its securities, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For each of the remaining securities in a loss position at September 30, 2019, the unrealized loss is due to market conditions and not to a change in the credit quality of the securities. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the issuing government agency or government-sponsored enterprise, but rather are due to changes in interest rates and prepayment expectations.

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