Mortgage-Backed Securities (Tables)

9 Months Ended

Sep. 30, 2018

Investments, Debt and Equity Securities [Abstract]

Mortgage-backed securities [Table Text Block]

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.

Weighted Average Life Classifications [Table Text Block]

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.

Interest Income Components - Investments [Table Text Block]

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