Mortgage-Backed Securities (Tables)

3 Months Ended

Mar. 31, 2016

Investments, Debt and Equity Securities [Abstract]

Mortgage-backed securities [Table Text Block]

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.

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.

Weighted Average Life Classifications [Table Text Block]

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.

Interest Income Components - Investments [Table Text Block]

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