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Mortgage-Backed Securities | 3 Months Ended
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Mar. 31, 2016
Investments, Debt and Equity Securities [Abstract] |
Mortgage-Backed Securities | Mortgage-Backed Securities The following tables present details of the Company's mortgage-backed securities portfolio at March 31, 2016 and December 31, 2015, 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 a U.S. government agency or GSE. The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk. By RMBS Type – March 31, 2016:
($ in thousands) |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
| Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield |  | Life (Years)(1)
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed rate mortgages | $ | 143,705 |  |  | $ | 7,240 |  |  | $ | 150,945 |  |  | $ | 1,632 |  |  | $ | (41 | ) |  | $ | 152,536 |  |  | 3.43% |  | 2.26% |  | 4.57
20-year fixed rate mortgages | 17,991 |  |  | 1,235 |  |  | 19,226 |  |  | 262 |  |  | — |  |  | 19,488 |  |  | 4.00% |  | 2.73% |  | 5.75
30-year fixed rate mortgages | 788,135 |  |  | 52,863 |  |  | 840,998 |  |  | 12,218 |  |  | (890 | ) |  | 852,326 |  |  | 4.11% |  | 3.04% |  | 7.48
Adjustable rate mortgages | 35,122 |  |  | 2,110 |  |  | 37,232 |  |  | 108 |  |  | (207 | ) |  | 37,133 |  |  | 4.05% |  | 2.70% |  | 4.98
Reverse mortgages | 70,867 |  |  | 6,312 |  |  | 77,179 |  |  | 597 |  |  | (228 | ) |  | 77,548 |  |  | 4.56% |  | 2.45% |  | 5.48
Interest only securities | n/a |  | n/a |  | 8,660 |  |  | 50 |  |  | (1,779 | ) |  | 6,931 |  |  | 3.88% |  | 4.89% |  | 1.91
Total Agency RMBS | 1,055,820 |  |  | 69,760 |  |  | 1,134,240 |  |  | 14,867 |  |  | (3,145 | ) |  | 1,145,962 |  |  | 4.03% |  | 2.89% |  | 6.45
Non-Agency RMBS | 42,649 |  |  | (16,474 | ) |  | 26,175 |  |  | 2,358 |  |  | (902 | ) |  | 27,631 |  |  | 2.62% |  | 8.47% |  | 4.55
Total RMBS | $ | 1,098,469 |  |  | $ | 53,286 |  |  | $ | 1,160,415 |  |  | $ | 17,225 |  |  | $ | (4,047 | ) |  | $ | 1,173,593 |  |  | 3.98% |  | 3.02% |  | 6.38
(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.
For the three month period ended March 31, 2016, the weighted average holdings of RMBS investments based on amortized cost was $1.225 billion. December 31, 2015:
($ in thousands) |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
| Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield |  | Life (Years)(1)
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed rate mortgages | $ | 162,546 |  |  | $ | 7,839 |  |  | $ | 170,385 |  |  | $ | 531 |  |  | $ | (655 | ) |  | $ | 170,261 |  |  | 3.38% |  | 2.31% |  | 4.99
20-year fixed rate mortgages | 18,477 |  |  | 1,277 |  |  | 19,754 |  |  | 153 |  |  | (77 | ) |  | 19,830 |  |  | 4.00% |  | 2.75% |  | 6.50
30-year fixed rate mortgages | 842,524 |  |  | 53,832 |  |  | 896,356 |  |  | 8,117 |  |  | (3,679 | ) |  | 900,794 |  |  | 4.12% |  | 3.11% |  | 8.29
Adjustable rate mortgages | 36,433 |  |  | 2,196 |  |  | 38,629 |  |  | 81 |  |  | (180 | ) |  | 38,530 |  |  | 4.05% |  | 2.68% |  | 5.44
Reverse mortgages | 68,690 |  |  | 6,515 |  |  | 75,205 |  |  | 34 |  |  | (1,547 | ) |  | 73,692 |  |  | 4.63% |  | 2.54% |  | 5.64
Interest only securities | n/a |  | n/a |  | 8,491 |  |  | 248 |  |  | (981 | ) |  | 7,758 |  |  | 3.82% |  | 3.30% |  | 2.36
Total Agency RMBS | 1,128,670 |  |  | 71,659 |  |  | 1,208,820 |  |  | 9,164 |  |  | (7,119 | ) |  | 1,210,865 |  |  | 4.03% |  | 2.94% |  | 7.16
Non-Agency RMBS | 48,408 |  |  | (18,013 | ) |  | 30,395 |  |  | 2,264 |  |  | (1,258 | ) |  | 31,401 |  |  | 2.48% |  | 20.97% |  | 4.81
Total RMBS | $ | 1,177,078 |  |  | $ | 53,646 |  |  | $ | 1,239,215 |  |  | $ | 11,428 |  |  | $ | (8,377 | ) |  | $ | 1,242,266 |  |  | 3.97% |  | 3.39% |  | 7.07
(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.
For the year ended December 31, 2015, the weighted average holdings of RMBS investments based on amortized cost was $1.323 billion. By Estimated Weighted Average Life As of March 31, 2016:
($ in thousands) |  | Agency RMBS |  | Agency Interest Only Securities |  | Non-Agency RMBS
Estimated Weighted Average Life(1) |  | 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 |  | $ | 56,198 |  |  | $ | 55,792 |  |  | 4.72 | % |  | $ | 4,859 |  |  | $ | 6,335 |  |  | 3.67 | % |  | $ | 2,395 |  |  | $ | 1,371 |  |  | 3.23 | %
Greater than three years and less than seven years |  | 426,760 |  |  | 420,717 |  |  | 4.05 | % |  | 2,072 |  |  | 2,325 |  |  | 5.06 | % |  | 23,144 |  |  | 23,498 |  |  | 2.70 | %
Greater than seven years and less than eleven years |  | 654,427 |  |  | 647,435 |  |  | 3.98 | % |  | — |  |  | — |  |  | — | % |  | 2,092 |  |  | 1,306 |  |  | 0.59 | %
Greater than eleven years |  | 1,646 |  |  | 1,636 |  |  | 4.00 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 1,139,031 |  |  | $ | 1,125,580 |  |  | 4.04 | % |  | $ | 6,931 |  |  | $ | 8,660 |  |  | 3.88 | % |  | $ | 27,631 |  |  | $ | 26,175 |  |  | 2.62 | %
(1) | Average lives of RMBS are generally shorter than stated contractual maturities.
As of December 31, 2015:
($ in thousands) |  | Agency RMBS |  | Agency Interest Only Securities |  | Non-Agency RMBS
Estimated Weighted Average Life(1) |  | 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 |  | $ | 30,054 |  |  | $ | 30,227 |  |  | 4.76 | % |  | $ | 4,974 |  |  | $ | 5,701 |  |  | 3.55 | % |  | $ | 2,558 |  |  | $ | 1,543 |  |  | 3.21 | %
Greater than three years and less than seven years |  | 273,477 |  |  | 273,107 |  |  | 3.78 | % |  | 2,784 |  |  | 2,790 |  |  | 4.97 | % |  | 24,736 |  |  | 25,478 |  |  | 2.66 | %
Greater than seven years and less than eleven years |  | 893,730 |  |  | 891,112 |  |  | 4.10 | % |  | — |  |  | — |  |  | — | % |  | 4,107 |  |  | 3,374 |  |  | 0.55 | %
Greater than eleven years |  | 5,846 |  |  | 5,883 |  |  | 3.81 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 1,203,107 |  |  | $ | 1,200,329 |  |  | 4.04 | % |  | $ | 7,758 |  |  | $ | 8,491 |  |  | 3.82 | % |  | $ | 31,401 |  |  | $ | 30,395 |  |  | 2.48 | %
(1) | Average lives of RMBS are generally shorter than stated contractual maturities.
The following table reflects the components of interest income on the Company's RMBS for the three month periods ended March 31, 2016 and 2015:
|  | Three Month Period Ended March 31, 2016 |  | Three Month Period Ended March 31, 2015
($ in thousands) |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 11,144 |  |  | $ | (2,194 | ) |  | $ | 8,950 |  |  | $ | 12,491 |  |  | $ | (2,959 | ) |  | $ | 9,532 |
Non-Agency RMBS |  | 276 |  |  | 343 |  |  | 619 |  |  | 283 |  |  | 456 |  |  | 739 |
Total |  | $ | 11,420 |  |  | $ | (1,851 | ) |  | $ | 9,569 |  |  | $ | 12,774 |  |  | $ | (2,503 | ) |  | $ | 10,271 |

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