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Mortgage-Backed Securities | 9 Months Ended
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Sep. 30, 2018
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 September 30, 2018 and December 31, 2017, 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 September 30, 2018:
($ 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 | $ | 145,249 |  |  | $ | 6,070 |  |  | $ | 151,319 |  |  | $ | 1 |  |  | $ | (5,551 | ) |  | $ | 145,769 |  |  | 3.42% |  | 2.38% |  | 4.58
20-year fixed-rate mortgages | 7,687 |  |  | 600 |  |  | 8,287 |  |  | — |  |  | (421 | ) |  | 7,866 |  |  | 4.00% |  | 2.54% |  | 6.02
30-year fixed-rate mortgages | 1,273,788 |  |  | 61,785 |  |  | 1,335,573 |  |  | 92 |  |  | (38,053 | ) |  | 1,297,612 |  |  | 4.11% |  | 3.27% |  | 8.39
Adjustable rate mortgages | 18,513 |  |  | 1,222 |  |  | 19,735 |  |  | 2 |  |  | (686 | ) |  | 19,051 |  |  | 3.95% |  | 2.59% |  | 4.08
Reverse mortgages | 70,938 |  |  | 6,572 |  |  | 77,510 |  |  | 12 |  |  | (2,473 | ) |  | 75,049 |  |  | 4.54% |  | 2.89% |  | 5.79
Interest only securities | n/a |  |  | n/a |  |  | 17,601 |  |  | 1,743 |  |  | (660 | ) |  | 18,684 |  |  | 4.44% |  | 8.07% |  | 4.79
Total Agency RMBS | 1,516,175 |  |  | 76,249 |  |  | 1,610,025 |  |  | 1,850 |  |  | (47,844 | ) |  | 1,564,031 |  |  | 4.09% |  | 3.21% |  | 7.62
Non-Agency RMBS | 14,418 |  |  | (4,510 | ) |  | 9,908 |  |  | 2,045 |  |  | (1 | ) |  | 11,952 |  |  | 4.38% |  | 6.74% |  | 5.59
Total RMBS | $ | 1,530,593 |  |  | $ | 71,739 |  |  | $ | 1,619,933 |  |  | $ | 3,895 |  |  | $ | (47,845 | ) |  | $ | 1,575,983 |  |  | 4.09% |  | 3.23% |  | 7.61
(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.
December 31, 2017:
($ 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 | $ | 170,998 |  |  | $ | 7,553 |  |  | $ | 178,551 |  |  | $ | 28 |  |  | $ | (1,805 | ) |  | $ | 176,774 |  |  | 3.38% |  | 2.31% |  | 4.75
20-year fixed-rate mortgages | 8,712 |  |  | 682 |  |  | 9,394 |  |  | — |  |  | (164 | ) |  | 9,230 |  |  | 4.00% |  | 2.55% |  | 6.02
30-year fixed-rate mortgages | 1,303,584 |  |  | 76,681 |  |  | 1,380,265 |  |  | 1,929 |  |  | (12,605 | ) |  | 1,369,589 |  |  | 3.96% |  | 3.06% |  | 8.18
Adjustable rate mortgages | 28,087 |  |  | 1,862 |  |  | 29,949 |  |  | 30 |  |  | (421 | ) |  | 29,558 |  |  | 3.87% |  | 2.58% |  | 4.70
Reverse mortgages | 64,608 |  |  | 6,293 |  |  | 70,901 |  |  | 259 |  |  | (543 | ) |  | 70,617 |  |  | 4.53% |  | 2.79% |  | 6.09
Interest only securities | n/a |  |  | n/a |  |  | 13,197 |  |  | 382 |  |  | (1,374 | ) |  | 12,205 |  |  | 4.36% |  | 5.64% |  | 3.28
Total Agency RMBS | 1,575,989 |  |  | 93,071 |  |  | 1,682,257 |  |  | 2,628 |  |  | (16,912 | ) |  | 1,667,973 |  |  | 3.95% |  | 2.98% |  | 7.38
Non-Agency RMBS | 21,995 |  |  | (6,717 | ) |  | 15,278 |  |  | 2,846 |  |  | (99 | ) |  | 18,025 |  |  | 3.58% |  | 8.39% |  | 7.94
Total RMBS | $ | 1,597,984 |  |  | $ | 86,354 |  |  | $ | 1,697,535 |  |  | $ | 5,474 |  |  | $ | (17,011 | ) |  | $ | 1,685,998 |  |  | 3.94% |  | 3.03% |  | 7.39
(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, 2018:
($ 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 |  | $ | 4,376 |  |  | $ | 4,451 |  |  | 4.12 | % |  | $ | 1,132 |  |  | $ | 1,517 |  |  | 4.51 | % |  | $ | 5,033 |  |  | $ | 4,259 |  |  | 5.28 | %
Greater than three years and less than seven years |  | 312,760 |  |  | 323,265 |  |  | 4.00 | % |  | 17,552 |  |  | 16,084 |  |  | 4.43 | % |  | 2,611 |  |  | 2,465 |  |  | 5.84 | %
Greater than seven years and less than eleven years |  | 1,208,634 |  |  | 1,244,869 |  |  | 4.08 | % |  | — |  |  | — |  |  | — | % |  | 4,308 |  |  | 3,184 |  |  | 2.69 | %
Greater than eleven years |  | 19,577 |  |  | 19,839 |  |  | 3.99 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 1,545,347 |  |  | $ | 1,592,424 |  |  | 4.07 | % |  | $ | 18,684 |  |  | $ | 17,601 |  |  | 4.44 | % |  | $ | 11,952 |  |  | $ | 9,908 |  |  | 4.38 | %
(1) | Average lives of RMBS are generally shorter than stated contractual maturities.
As of December 31, 2017:
($ 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 |  | $ | 7,931 |  |  | $ | 7,935 |  |  | 3.70 | % |  | $ | 3,357 |  |  | $ | 4,253 |  |  | 4.15 | % |  | $ | — |  |  | $ | — |  |  | — | %
Greater than three years and less than seven years |  | 419,295 |  |  | 423,248 |  |  | 3.93 | % |  | 8,848 |  |  | 8,944 |  |  | 4.51 | % |  | 9,625 |  |  | 9,062 |  |  | 5.00 | %
Greater than seven years and less than eleven years |  | 1,221,160 |  |  | 1,230,479 |  |  | 3.92 | % |  | — |  |  | — |  |  | — | % |  | 5,892 |  |  | 3,697 |  |  | 2.14 | %
Greater than eleven years |  | 7,382 |  |  | 7,398 |  |  | 3.68 | % |  | — |  |  | — |  |  | — | % |  | 2,508 |  |  | 2,519 |  |  | 2.18 | %
Total |  | $ | 1,655,768 |  |  | $ | 1,669,060 |  |  | 3.92 | % |  | $ | 12,205 |  |  | $ | 13,197 |  |  | 4.36 | % |  | $ | 18,025 |  |  | $ | 15,278 |  |  | 3.58 | %
(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- and nine-month periods ended September 30, 2018 and 2017:
|  | Three-Month Period Ended September 30, 2018 |  | Nine-Month Period Ended September 30, 2018
($ in thousands) |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 16,744 |  |  | $ | (4,029 | ) |  | $ | 12,715 |  |  | $ | 50,341 |  |  | $ | (11,485 | ) |  | $ | 38,856 |
Non-Agency RMBS |  | 362 |  |  | 44 |  |  | 406 |  |  | 680 |  |  | 282 |  |  | 962 |
Total |  | $ | 17,106 |  |  | $ | (3,985 | ) |  | $ | 13,121 |  |  | $ | 51,021 |  |  | $ | (11,203 | ) |  | $ | 39,818 |
|  | Three-Month Period Ended September 30, 2017 |  | Nine-Month Period Ended September 30, 2017
($ in thousands) |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 16,880 |  |  | $ | (4,646 | ) |  | $ | 12,234 |  |  | $ | 43,373 |  |  | $ | (8,983 | ) |  | $ | 34,390 |
Non-Agency RMBS |  | 186 |  |  | 172 |  |  | 358 |  |  | 593 |  |  | 445 |  |  | 1,038 |
Total |  | $ | 17,066 |  |  | $ | (4,474 | ) |  | $ | 12,592 |  |  | $ | 43,966 |  |  | $ | (8,538 | ) |  | $ | 35,428 |
For the three-month periods ended September 30, 2018 and 2017 the Catch-up Premium Amortization Adjustment was $(0.4) million and $(0.7) million, respectively. For nine-month periods ended September 30, 2018 and 2017 the Catch-up Premium Amortization Adjustment was $(0.1) million and $1.6 million, respectively.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
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