XML 40 R29.htm IDEA: XBRL DOCUMENT v3.10.0.1
Schedule of Mortgage-Backed Securities (Details) - USD ($)
$ in Thousands
9 Months Ended 12 Months Ended
Sep. 30, 2018
Dec. 31, 2017
Mortgage-Backed Securities [Line Items]    
Mortgage-backed securities, at fair value $ 1,575,983 $ 1,685,998
Residential Mortgage Backed Securities [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal 1,530,593 1,597,984
Unamortized Premium (Discount) 71,739 86,354
Amortized Cost 1,619,933 1,697,535
Gross Unrealized Gain on Securities 3,895 5,474
Gross Unrealized Losses on Securities (47,845) (17,011)
Mortgage-backed securities, at fair value $ 1,575,983 $ 1,685,998
Weighted Average Coupon 4.09% 3.94%
Weighted Average Yield 3.23% 3.03%
Weighted Average Life (Years) [1] 7 years 223 days 7 years 142 days
Non-Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 14,418 $ 21,995
Unamortized Premium (Discount) (4,510) (6,717)
Amortized Cost 9,908 15,278
Gross Unrealized Gain on Securities 2,045 2,846
Gross Unrealized Losses on Securities (1) (99)
Mortgage-backed securities, at fair value $ 11,952 $ 18,025
Weighted Average Coupon 4.38% 3.58%
Weighted Average Yield 6.74% 8.39%
Weighted Average Life (Years) [1] 5 years 215 days 7 years 343 days
15-year fixed rate mortgages [Member] | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 145,249 $ 170,998
Unamortized Premium (Discount) 6,070 7,553
Amortized Cost 151,319 178,551
Gross Unrealized Gain on Securities 1 28
Gross Unrealized Losses on Securities (5,551) (1,805)
Mortgage-backed securities, at fair value $ 145,769 $ 176,774
Weighted Average Coupon 3.42% 3.38%
Weighted Average Yield 2.38% 2.31%
Weighted Average Life (Years) [1] 4 years 212 days 4 years 274 days
20-year fixed rate mortgages [Member] | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 7,687 $ 8,712
Unamortized Premium (Discount) 600 682
Amortized Cost 8,287 9,394
Gross Unrealized Gain on Securities 0 0
Gross Unrealized Losses on Securities (421) (164)
Mortgage-backed securities, at fair value $ 7,866 $ 9,230
Weighted Average Coupon 4.00% 4.00%
Weighted Average Yield 2.54% 2.55%
Weighted Average Life (Years) [1] 6 years 7 days 6 years 7 days
30-year fixed rate mortgages [Member] | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 1,273,788 $ 1,303,584
Unamortized Premium (Discount) 61,785 76,681
Amortized Cost 1,335,573 1,380,265
Gross Unrealized Gain on Securities 92 1,929
Gross Unrealized Losses on Securities (38,053) (12,605)
Mortgage-backed securities, at fair value $ 1,297,612 $ 1,369,589
Weighted Average Coupon 4.11% 3.96%
Weighted Average Yield 3.27% 3.06%
Weighted Average Life (Years) [1] 8 years 142 days 8 years 66 days
Adjustable Rate Mortgages | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 18,513 $ 28,087
Unamortized Premium (Discount) 1,222 1,862
Amortized Cost 19,735 29,949
Gross Unrealized Gain on Securities 2 30
Gross Unrealized Losses on Securities (686) (421)
Mortgage-backed securities, at fair value $ 19,051 $ 29,558
Weighted Average Coupon 3.95% 3.87%
Weighted Average Yield 2.59% 2.58%
Weighted Average Life (Years) [1] 4 years 29 days 4 years 256 days
Reverse mortgages [Member] | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 70,938 $ 64,608
Unamortized Premium (Discount) 6,572 6,293
Amortized Cost 77,510 70,901
Gross Unrealized Gain on Securities 12 259
Gross Unrealized Losses on Securities (2,473) (543)
Mortgage-backed securities, at fair value $ 75,049 $ 70,617
Weighted Average Coupon 4.54% 4.53%
Weighted Average Yield 2.89% 2.79%
Weighted Average Life (Years) [1] 5 years 288 days 6 years 33 days
Interest-Only [Member] | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Amortized Cost $ 17,601 $ 13,197
Gross Unrealized Gain on Securities 1,743 382
Gross Unrealized Losses on Securities (660) (1,374)
Mortgage-backed securities, at fair value $ 18,684 $ 12,205
Weighted Average Coupon 4.44% 4.36%
Weighted Average Yield 8.07% 5.64%
Weighted Average Life (Years) [1] 4 years 288 days 3 years 102 days
Agency Securities [Member] | Agency RMBS [Member]    
Mortgage-Backed Securities [Line Items]    
Current Principal $ 1,516,175 $ 1,575,989
Unamortized Premium (Discount) 76,249 93,071
Amortized Cost 1,610,025 1,682,257
Gross Unrealized Gain on Securities 1,850 2,628
Gross Unrealized Losses on Securities (47,844) (16,912)
Mortgage-backed securities, at fair value $ 1,564,031 $ 1,667,973
Weighted Average Coupon 4.09% 3.95%
Weighted Average Yield 3.21% 2.98%
Weighted Average Life (Years) [1] 7 years 226 days 7 years 139 days
[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.