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Real Estate Securities | 9 Months Ended
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Sep. 30, 2013
Investments, Debt and Equity Securities [Abstract] |
Real Estate Securities | Real Estate Securities The following tables present details of the Company's real estate securities portfolio at September 30, 2013 and December 31, 2012, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by government-sponsored enterprises ("GSEs"), Fannie Mae or Freddie Mac. The non-Agency RMBS portfolio is not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and is therefore subject to greater credit risk. By RMBS Type - September 30, 2013:
($ in thousands) |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
| Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield |  | Weighted Average Life(Years)(1)
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed rate mortgages | $ | 192,906 |  |  | $ | 7,325 |  |  | $ | 200,231 |  |  | $ | 794 |  |  | $ | (1,575 | ) |  | $ | 199,450 |  |  | 3.05% |  | 2.25% |  | 5.86
30-year fixed rate mortgages | 1,165,255 |  |  | 45,873 |  |  | 1,211,128 |  |  | 7,443 |  |  | (24,126 | ) |  | 1,194,445 |  |  | 3.66% |  | 3.09% |  | 9.99
Adjustable rate mortgages | 29,840 |  |  | 1,698 |  |  | 31,538 |  |  | 169 |  |  | — |  |  | 31,707 |  |  | 4.47% |  | 2.38% |  | 3.98
Interest only securities | 108,374 |  |  | (97,019 | ) |  | 11,355 |  |  | 1,490 |  |  | (123 | ) |  | 12,722 |  |  | 4.00% |  | 11.95% |  | 4.68
Total Agency RMBS | 1,496,375 |  |  | (42,123 | ) |  | 1,454,252 |  |  | 9,896 |  |  | (25,824 | ) |  | 1,438,324 |  |  | 3.62% |  | 3.03% |  | 8.95
Non-Agency RMBS | 55,798 |  |  | (21,975 | ) |  | 33,823 |  |  | 1,305 |  |  | (661 | ) |  | 34,467 |  |  | 2.88% |  | 7.85% |  | 5.44
Total Real Estate Securities | $ | 1,552,173 |  |  | $ | (64,098 | ) |  | $ | 1,488,075 |  |  | $ | 11,201 |  |  | $ | (26,485 | ) |  | $ | 1,472,791 |  |  | 3.60% |  | 3.14% |  | 8.82
For the three month period ended September 30, 2013, the weighted average holdings of RMBS investments based on amortized cost was $1.453 billion. December 31, 2012:
($ in thousands) |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
| Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield |  | Weighted Average Life(Years)(1)
Non-Agency RMBS | $ | 26,890 |  |  | $ | (13,400 | ) |  | $ | 13,490 |  |  | $ | 117 |  |  | $ | (11 | ) |  | $ | 13,596 |  |  | 2.20% |  | 8.50% |  | 7.80
(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.
By Estimated Weighted Average Life - As of September 30, 2013:
($ in thousands) |  | Agency RMBS |  | Agency Interest Only Securities |  | Non-Agency RMBS
Estimated Weighted Average Life |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon
Less than three years |  | $ | 3,859 |  |  | $ | 3,859 |  |  | 6.01 | % |  | $ | 2,169 |  |  | $ | 1,601 |  |  | 5.12 | % |  | $ | 4,616 |  |  | $ | 4,291 |  |  | 1.97 | %
Greater than three years and less than seven years |  | 243,429 |  |  | 244,043 |  |  | 3.32 | % |  | 8,209 |  |  | 7,759 |  |  | 3.77 | % |  | 18,188 |  |  | 18,244 |  |  | 3.41 | %
Greater than seven years and less than eleven years |  | 1,160,705 |  |  | 1,177,237 |  |  | 3.64 | % |  | 2,344 |  |  | 1,995 |  |  | 3.50 | % |  | 10,963 |  |  | 10,477 |  |  | 1.88 | %
Greater than eleven years |  | 17,609 |  |  | 17,758 |  |  | 3.89 | % |  | — |  |  | — |  |  | 0.00 | % |  | 700 |  |  | 811 |  |  | 7.69 | %
Total |  | $ | 1,425,602 |  |  | $ | 1,442,897 |  |  | 3.59 | % |  | $ | 12,722 |  |  | $ | 11,355 |  |  | 4.00 | % |  | $ | 34,467 |  |  | $ | 33,823 |  |  | 2.88 | %
As of December 31, 2012:
($ in thousands) |  |  | Non-Agency RMBS
Estimated Weighted Average Life |  |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon
Less than three years |  |  | $ | 3,036 |  |  | $ | 3,001 |  |  | 5.57 | %
Greater than three years and less than seven years |  |  | 3,994 |  |  | 3,978 |  |  | 0.61 | %
Greater than seven years and less than eleven years |  |  | 3,601 |  |  | 3,608 |  |  | 1.10 | %
Greater than eleven years |  |  | 2,965 |  |  | 2,903 |  |  | 2.49 | %
Total |  |  | $ | 13,596 |  |  | $ | 13,490 |  |  | 2.20 | %
The following table illustrates components of interest income on the Company's RMBS for the three and nine months ended September 30, 2013:
|  | Three Month Period Ended September 30, 2013 |  | Nine Month Period Ended September 30, 2013
($ in thousands) |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 12,570 |  |  | $ | (2,089 | ) |  | $ | 10,481 |  |  | $ | 17,484 |  |  | $ | (3,129 | ) |  | $ | 14,355 |
Non-Agency RMBS |  | 428 |  |  | 307 |  |  | 735 |  |  | 824 |  |  | 631 |  |  | 1,455 |
Total |  | $ | 12,998 |  |  | $ | (1,782 | ) |  | $ | 11,216 |  |  | $ | 18,308 |  |  | $ | (2,498 | ) |  | $ | 15,810 |

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