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Mortgage-Backed Securities (Tables)
 3 Months Ended
Mar. 31, 2020
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 March 31, 2020 and December 31, 2019, 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 government-sponsored enterprise, 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, 2020:
($ in thousands)
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
 
Current Principal
 
Unamortized Premium (Discount)
 
Amortized Cost
 
Gains
 
Losses
 
Fair Value
 
Coupon(1)
 
Yield
 
Life
(Years)(2)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15-year fixed-rate mortgages
$
124,511

 
$
2,519

 
$
127,030

 
$
5,347

 
$
(2
)
 
$
132,375

 
3.53%
 
2.92%
 
3.66
20-year fixed-rate mortgages
1,087

 
78

 
1,165

 
22

 
—

 
1,187

 
5.00%
 
3.42%
 
4.46
30-year fixed-rate mortgages
708,062

 
30,759

 
738,821

 
27,106

 
(707
)
 
765,220

 
4.13%
 
3.05%
 
4.23
Adjustable rate mortgages
28,823

 
1,013

 
29,836

 
490

 
(93
)
 
30,233

 
3.74%
 
2.13%
 
3.13
Reverse mortgages
90,656

 
6,559

 
97,215

 
1,951

 
(809
)
 
98,357

 
4.49%
 
2.78%
 
5.36
Interest only securities
 n/a

 
 n/a

 
17,266

 
477

 
(2,114
)
 
15,629

 
3.25%
 
7.92%
 
3.27
Total Agency RMBS
953,139

 
40,928

 
1,011,333

 
35,393

 
(3,725
)
 
1,043,001

 
3.94%
 
3.06%
 
4.07
Non-Agency RMBS
10,507

 
(3,887
)
 
6,620

 
1,395

 
(495
)
 
7,520

 
3.26%
 
10.81%
 
5.10
Total RMBS
$
963,646

 
$
37,041

 
$
1,017,953

 
$
36,788

 
$
(4,220
)
 
$
1,050,521

 
3.94%
 
3.11%
 
4.08
(1)
Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
(2)
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, 2019:
($ in thousands)
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
 
Current Principal
 
Unamortized Premium (Discount)
 
Amortized Cost
 
Gains
 
Losses
 
Fair Value
 
Coupon(1)
 
Yield
 
Life
(Years)(2)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15-year fixed-rate mortgages
$
173,350

 
$
3,498

 
$
176,848

 
$
4,424

 
$
(41
)
 
$
181,231

 
3.45%
 
2.89%
 
4.06
20-year fixed-rate mortgages
1,276

 
80

 
1,356

 
29

 
—

 
1,385

 
5.00%
 
3.34%
 
5.09
30-year fixed-rate mortgages
996,451

 
45,099

 
1,041,550

 
19,676

 
(2,348
)
 
1,058,878

 
4.18%
 
3.12%
 
6.71
Adjustable rate mortgages
32,122

 
927

 
33,049

 
264

 
(58
)
 
33,255

 
3.79%
 
2.41%
 
4.20
Reverse mortgages
91,560

 
6,847

 
98,407

 
1,549

 
(22
)
 
99,934

 
4.53%
 
2.73%
 
5.66
Interest only securities
 n/a

 
 n/a

 
17,795

 
648

 
(199
)
 
18,244

 
3.22%
 
9.11%
 
3.97
Total Agency RMBS
1,294,759

 
56,451

 
1,369,005

 
26,590

 
(2,668
)
 
1,392,927

 
3.99%
 
3.12%
 
5.92
Non-Agency RMBS
10,947

 
(4,023
)
 
6,924

 
1,928

 
(1
)
 
8,851

 
3.73%
 
13.48%
 
5.93
Total RMBS
$
1,305,706

 
$
52,428

 
$
1,375,929

 
$
28,518

 
$
(2,669
)
 
$
1,401,778

 
3.98%
 
3.17%
 
5.92
(1)
Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
(2)
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, 2020:
($ in thousands)
 
Agency RMBS
 
Agency Interest Only Securities
 
Non-Agency RMBS
Estimated Weighted Average Life(1)
 
Fair
Value
 
Amortized Cost
 
Weighted Average Coupon(2)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(2)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(2)
Less than three years
 
$
140,016

 
$
136,852

 
4.33
%
 
$
5,309

 
$
5,855

 
4.60
%
 
$
1,840

 
$
1,779

 
5.01
%
Greater than three years and less than seven years
 
842,456

 
812,785

 
4.03
%
 
10,190

 
11,308

 
2.68
%
 
1,636

 
351

 
2.19
%
Greater than seven years and less than eleven years
 
44,900

 
44,430

 
4.06
%
 
130

 
103

 
0.34
%
 
2,226

 
2,656

 
1.58
%
Greater than eleven years
 
—

 
—

 
—
%
 
—

 
—

 
—
%
 
1,818

 
1,834

 
5.78
%
Total
 
$
1,027,372

 
$
994,067

 
4.08
%
 
$
15,629

 
$
17,266

 
3.25
%
 
$
7,520

 
$
6,620

 
3.26
%
(1)
Average lives of RMBS are generally shorter than stated contractual maturities.
(2)
Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
As of December 31, 2019:
($ in thousands)
 
Agency RMBS
 
Agency Interest Only Securities
 
Non-Agency RMBS
Estimated Weighted Average Life(1)
 
Fair
Value
 
Amortized Cost
 
Weighted Average Coupon(2)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(2)
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon(2)
Less than three years
 
$
53,620

 
$
52,683

 
4.72
%
 
$
3,695

 
$
3,407

 
4.53
%
 
$
4,000

 
$
3,823

 
5.35
%
Greater than three years and less than seven years
 
793,820

 
778,950

 
4.18
%
 
14,446

 
14,283

 
2.93
%
 
784

 
307

 
3.88
%
Greater than seven years and less than eleven years
 
496,334

 
488,956

 
3.92
%
 
103

 
105

 
0.33
%
 
4,067

 
2,794

 
2.29
%
Greater than eleven years
 
30,909

 
30,621

 
3.97
%
 
—

 
—

 
—
%
 
—

 
—

 
—
%
Total
 
$
1,374,683

 
$
1,351,210

 
4.10
%
 
$
18,244

 
$
17,795

 
3.22
%
 
$
8,851

 
$
6,924

 
3.73
%

(1)
Average lives of RMBS are generally shorter than stated contractual maturities.
(2)
Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
Interest Income Components - Investments [Table Text Block]
The following tables reflect the components of interest income on the Company's RMBS for the three-month periods ended March 31, 2020 and 2019:
 
 
Three-Month Period Ended
March 31, 2020
 
Three-Month Period Ended
March 31, 2019
($ in thousands)
 
Coupon
Interest
 
Net Amortization
 
Interest
Income
 
Coupon
Interest
 
Net Amortization
 
Interest
Income
Agency RMBS
 
$
14,179

 
$
(4,843
)
 
$
9,336

 
$
16,269

 
$
(4,146
)
 
$
12,123

Non-Agency RMBS
 
89

 
107

 
196

 
112

 
132

 
244

Total
 
$
14,268

 
$
(4,736
)
 
$
9,532

 
$
16,381

 
$
(4,014
)
 
$
12,367