Mortgage-Backed Securities (Tables)
|
12 Months Ended |
Dec. 31, 2018 |
|---|
| Investments, Debt and Equity Securities [Abstract] |
|
| Schedule of present amortized cost, fair value and unrealized gain/losses of Company's MBS investments |
The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of December 31, 2018 and 2017. | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2018 | | | | | | | (dollars in thousands) | | | | | | Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Non-Agency RMBS | | | | | | | | | Senior | $ | 2,386,049 |
| $ | 537 |
| $ | (1,112,368 | ) | $ | 1,274,218 |
| $ | 1,943,124 |
| $ | 669,356 |
| $ | (450 | ) | $ | 668,906 |
| Senior, interest-only | 5,667,198 |
| 286,942 |
| — |
| 286,942 |
| 254,890 |
| 31,123 |
| (63,175 | ) | (32,052 | ) | Subordinated | 394,037 |
| 8,642 |
| (179,669 | ) | 223,010 |
| 276,467 |
| 53,702 |
| (245 | ) | 53,457 |
| Subordinated, interest-only | 221,549 |
| 9,932 |
| — |
| 9,932 |
| 11,649 |
| 2,000 |
| (283 | ) | 1,717 |
| Agency MBS | |
| |
| |
| |
| |
| |
| |
|
|
| Residential | 8,984,249 |
| 221,606 |
| — |
| 9,205,855 |
| 9,174,382 |
| 51,986 |
| (83,459 | ) | (31,473 | ) | Commercial | 2,895,679 |
| 61,727 |
| (4,469 | ) | 2,952,937 |
| 2,881,222 |
| 6,303 |
| (78,018 | ) | (71,715 | ) | Interest-only | 3,028,572 |
| 136,026 |
| — |
| 136,026 |
| 133,346 |
| 1,986 |
| (4,666 | ) | (2,680 | ) | Total | $ | 23,577,333 |
| $ | 725,412 |
| $ | (1,296,506 | ) | $ | 14,088,920 |
| $ | 14,675,080 |
| $ | 816,456 |
| $ | (230,296 | ) | $ | 586,160 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | | | | | (dollars in thousands) | | | | | | Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Non-Agency RMBS | | | | | | | | | Senior | $ | 2,733,926 |
| $ | 540 |
| $ | (1,257,103 | ) | $ | 1,477,363 |
| $ | 2,231,415 |
| $ | 754,234 |
| $ | (182 | ) | $ | 754,052 |
| Senior, interest-only | 4,862,461 |
| 262,996 |
| — |
| 262,996 |
| 210,850 |
| 15,761 |
| (67,907 | ) | (52,146 | ) | Subordinated | 501,455 |
| 10,571 |
| (177,206 | ) | 334,820 |
| 401,225 |
| 66,704 |
| (299 | ) | 66,405 |
| Subordinated, interest-only | 201,378 |
| 7,369 |
| — |
| 7,369 |
| 7,826 |
| 902 |
| (445 | ) | 457 |
| Agency MBS | |
| |
| |
| |
| |
| |
| |
| |
| Residential | 2,227,128 |
| 123,245 |
| — |
| 2,350,373 |
| 2,322,180 |
| 5,706 |
| (33,899 | ) | (28,193 | ) | Commercial | 1,894,594 |
| 47,430 |
| (4,685 | ) | 1,937,339 |
| 1,938,281 |
| 17,041 |
| (16,099 | ) | 942 |
| Interest-only | 3,021,840 |
| 111,277 |
| — |
| 111,277 |
| 104,367 |
| 834 |
| (7,744 | ) | (6,910 | ) | Total | $ | 15,442,782 |
| $ | 563,428 |
| $ | (1,438,994 | ) | $ | 6,481,537 |
| $ | 7,216,144 |
| $ | 861,182 |
| $ | (126,575 | ) | $ | 734,607 |
|
|
| Schedule of changes in accretable yield |
The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
| | | | | | | | | For the Year Ended | | December 31, 2018 | December 31, 2017 | | (dollars in thousands) | Balance at beginning of period | $ | 1,303,589 |
| $ | 1,550,110 |
| Purchases | 43,866 |
| 20,962 |
| Yield income earned | (231,205 | ) | (266,214 | ) | Reclassification (to) from non-accretable difference | 157,117 |
| 18,909 |
| Sales and deconsolidation | (25,058 | ) | (20,178 | ) | Balance at end of period | $ | 1,248,309 |
| $ | 1,303,589 |
|
|
| Schedule of non-agency RMBS having deteriorated credit when acquired |
The table below presents the outstanding principal balance and related amortized cost at December 31, 2018 and 2017 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. | | | | | | | | | For the Year Ended | | December 31, 2018 | December 31, 2017 | | (dollars in thousands) | Outstanding principal balance: | | | Beginning of period | $ | 2,673,350 |
| $ | 3,138,265 |
| End of period | $ | 2,325,154 |
| $ | 2,673,350 |
| Amortized cost: | |
| |
| Beginning of period | $ | 1,381,839 |
| $ | 1,695,079 |
| End of period | $ | 1,158,291 |
| $ | 1,381,839 |
|
|
| Schedule of temporary impairment losses, investments |
The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2018 and 2017. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2018 | | | | | | | |
| (dollars in thousands) | | | | | | | | Unrealized Loss Position for Less than 12 Months | | Unrealized Loss Position for 12 Months or More | | Total | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | Non-Agency RMBS | | | | | | | | | | | | Senior | $ | — |
| $ | — |
| — |
| | $ | 33,303 |
| $ | (450 | ) | 1 |
| | $ | 33,303 |
| $ | (450 | ) | 1 |
| Senior, interest-only | 34,236 |
| (4,276 | ) | 29 |
| | 95,108 |
| (58,899 | ) | 91 |
| | 129,344 |
| (63,175 | ) | 120 |
| Subordinated | 13,404 |
| (245 | ) | 7 |
| | — |
| — |
| 8 |
| | 13,404 |
| (245 | ) | 15 |
| Subordinated, interest-only | 2,104 |
| (158 | ) | 2 |
| | 303 |
| (125 | ) | 1 |
| | 2,407 |
| (283 | ) | 3 |
| Agency MBS | |
| |
|
|
| |
|
| |
| |
| | |
| |
| |
| Residential | 779,322 |
| (6,220 | ) | 17 |
| | 1,809,566 |
| (77,239 | ) | 114 |
| | 2,588,888 |
| (83,459 | ) | 131 |
| Commercial | 1,697,555 |
| (56,382 | ) | 548 |
| | 504,570 |
| (21,636 | ) | 183 |
| | 2,202,125 |
| (78,018 | ) | 731 |
| Interest-only | 5,769 |
| (48 | ) | 2 |
| | 41,659 |
| (4,618 | ) | 17 |
| | 47,428 |
| (4,666 | ) | 19 |
| Total | $ | 2,532,390 |
| $ | (67,329 | ) | 605 |
| | $ | 2,484,509 |
| $ | (162,967 | ) | 415 |
| | $ | 5,016,899 |
| $ | (230,296 | ) | 1,020 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | | | | | | | (dollars in thousands) | | | | | | | | Unrealized Loss Position for Less than 12 Months | | Unrealized Loss Position for 12 Months or More | | Total | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | Non-Agency RMBS | | | | | | | | | | | | Senior | $ | 35,229 |
| $ | (182 | ) | 1 |
| | $ | — |
| $ | — |
| — |
| | $ | 35,229 |
| $ | (182 | ) | 1 |
| Senior, interest-only | 28,129 |
| (1,724 | ) | 27 |
| | 120,120 |
| (66,183 | ) | 120 |
| | 148,249 |
| (67,907 | ) | 147 |
| Subordinated | 235 |
| (38 | ) | 7 |
| | 6,261 |
| (261 | ) | 5 |
| | 6,496 |
| (299 | ) | 12 |
| Subordinated, interest-only | — |
| — |
| — |
| | 945 |
| (445 | ) | 3 |
| | 945 |
| (445 | ) | 3 |
| Agency MBS | |
| |
| |
| | |
| |
| |
| | |
| |
| |
| Residential | 660,103 |
| (5,197 | ) | 21 |
| | 1,471,464 |
| (28,702 | ) | 93 |
| | 2,131,567 |
| (33,899 | ) | 114 |
| Commercial | 830,889 |
| (11,695 | ) | 176 |
| | 161,980 |
| (4,404 | ) | 91 |
| | 992,869 |
| (16,099 | ) | 267 |
| Interest-only | 15,142 |
| (641 | ) | 7 |
| | 57,875 |
| (7,103 | ) | 24 |
| | 73,017 |
| (7,744 | ) | 31 |
| Total | $ | 1,569,727 |
| $ | (19,477 | ) | 239 |
| | $ | 1,818,645 |
| $ | (107,098 | ) | 336 |
| | $ | 3,388,372 |
| $ | (126,575 | ) | 575 |
|
|
| Other than temporary impairment, credit losses recognized in earnings |
A summary of the OTTI included in earnings for the years ended December 31, 2018, 2017 and 2016 are presented below.
| | | | | | | | | | | | For the Year Ended | | December 31, 2018 | December 31, 2017 | December 31, 2016 | | (dollars in thousands) | Total other-than-temporary impairment losses | $ | (2,556 | ) | $ | (5,169 | ) | $ | (9,589 | ) | Portion of loss recognized in other comprehensive income (loss) | (19,235 | ) | (56,687 | ) | (48,398 | ) | Net other-than-temporary credit impairment losses | $ | (21,791 | ) | $ | (61,856 | ) | $ | (57,987 | ) |
The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. | | | | | | | | | | | | For the Year Ended | | December 31, 2018 | December 31, 2017 | December 31, 2016 | | (dollars in thousands) | Cumulative credit loss beginning balance | $ | 591,521 |
| $ | 556,485 |
| $ | 529,112 |
| Additions: | |
| |
| | Other-than-temporary impairments not previously recognized | 9,379 |
| 12,669 |
| 25,959 |
| Reductions for securities sold or deconsolidated during the period | (9,169 | ) | (12,405 | ) | (9,429 | ) | Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 12,412 |
| 47,211 |
| 32,027 |
| Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (16,944 | ) | (12,439 | ) | (21,184 | ) | Cumulative credit impairment loss ending balance | $ | 587,199 |
| $ | 591,521 |
| $ | 556,485 |
|
|
| Other than temporary impairment of investments recorded in earnings, significant inputs and assumptions |
The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS for the periods reported are summarized as follows:
| | | | | For the Year Ended | | December 31, 2018 | December 31, 2017 | Loss Severity | | | Weighted Average | 59% | 64% | Range | 5% - 132% | 28% - 89% | 60+ days delinquent | | | Weighted Average | 13% | 21% | Range | 0% - 30% | 11% - 27% | Credit Enhancement (1) |
| | Weighted Average | 14% | 16% | Range | 0% - 55% | 0% - 50% | 3 Month CPR | | | Weighted Average | 10% | 10% | Range | 0% - 39% | 0% - 24% | 12 Month CPR | | | Weighted Average | 11% | 11% | Range | 1% - 28% | 1% - 19% |
(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. |
| Summary of unrealized gains and losses on MBS |
The following tables present a summary of unrealized gains and losses at December 31, 2018 and 2017. | | | | | | | | | | | | | | | | | | | | | | December 31, 2018 | | | | | | (dollars in thousands) | | | | | Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | Non-Agency RMBS | | | | | | | Senior | $ | 669,356 |
| $ | — |
| $ | 669,356 |
| $ | (450 | ) | $ | — |
| $ | (450 | ) | Senior, interest-only | — |
| 31,123 |
| 31,123 |
| — |
| (63,175 | ) | (63,175 | ) | Subordinated | 50,235 |
| 3,467 |
| 53,702 |
| (151 | ) | (94 | ) | (245 | ) | Subordinated, interest-only | — |
| 2,000 |
| 2,000 |
| — |
| (283 | ) | (283 | ) | Agency MBS | |
| |
| | |
| |
| | Residential | 1,708 |
| 50,278 |
| 51,986 |
| (59,552 | ) | (23,907 | ) | (83,459 | ) | Commercial | 811 |
| 5,492 |
| 6,303 |
| (35,125 | ) | (42,893 | ) | (78,018 | ) | Interest-only | — |
| 1,986 |
| 1,986 |
| — |
| (4,666 | ) | (4,666 | ) | Total | $ | 722,110 |
| $ | 94,346 |
| $ | 816,456 |
| $ | (95,278 | ) | $ | (135,018 | ) | $ | (230,296 | ) |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2017 | | | | | | (dollars in thousands) | | | | | Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | Non-Agency RMBS | | | | | | | Senior | $ | 754,234 |
| $ | — |
| $ | 754,234 |
| $ | (182 | ) | $ | — |
| $ | (182 | ) | Senior, interest-only | — |
| 15,761 |
| 15,761 |
| — |
| (67,907 | ) | (67,907 | ) | Subordinated | 62,989 |
| 3,715 |
| 66,704 |
| (102 | ) | (197 | ) | (299 | ) | Subordinated, interest-only | — |
| 902 |
| 902 |
| — |
| (445 | ) | (445 | ) | Agency MBS | |
| |
| |
| |
| |
| |
| Residential | 5,706 |
| — |
| 5,706 |
| (29,083 | ) | (4,816 | ) | (33,899 | ) | Commercial | 15,462 |
| 1,579 |
| 17,041 |
| (12,122 | ) | (3,977 | ) | (16,099 | ) | Interest-only | — |
| 834 |
| 834 |
| — |
| (7,744 | ) | (7,744 | ) | Total | $ | 838,391 |
| $ | 22,791 |
| $ | 861,182 |
| $ | (41,489 | ) | $ | (85,086 | ) | $ | (126,575 | ) |
|
| Residential mortgage backed securities collateral characteristics |
The following tables provide a summary of the Company’s MBS portfolio at December 31, 2018 and 2017. | | | | | | | | | | | | | | | | December 31, 2018 | | Principal or Notional Value
at Period-End
(dollars in thousands) | Weighted Average Amortized
Cost Basis | Weighted Average Fair Value | Weighted Average
Coupon | Weighted Average Yield at Period-End (1) | Non-Agency RMBS | | | | | Senior | $ | 2,386,049 |
| $ | 53.40 |
| $ | 81.44 |
| 5.0 | % | 19.5 | % | Senior, interest-only | 5,667,198 |
| 5.06 |
| 4.50 |
| 1.2 | % | 8.4 | % | Subordinated | 394,037 |
| 56.60 |
| 70.16 |
| 4.0 | % | 9.9 | % | Subordinated, interest-only | 221,549 |
| 4.48 |
| 5.26 |
| 1.1 | % | 16.4 | % | Agency MBS | |
| |
| |
| |
| |
| Residential pass-through | 8,984,249 |
| 102.47 |
| 102.12 |
| 4.0 | % | 3.6 | % | Commercial pass-through | 2,895,679 |
| 101.98 |
| 99.50 |
| 3.6 | % | 3.4 | % | Interest-only | 3,028,572 |
| 4.49 |
| 4.40 |
| 0.8 | % | 4.3 | % |
(1) Bond Equivalent Yield at period end.
| | | | | | | | | | | | | | | | December 31, 2017 | | Principal or Notional Value at Period-End
(dollars in thousands) | Weighted Average Amortized
Cost Basis | Weighted Average Fair Value | Weighted Average
Coupon | Weighted Average Yield at Period-End (1) | Non-Agency RMBS | | | | | Senior | $ | 2,733,926 |
| $ | 54.04 |
| $ | 81.62 |
| 4.6 | % | 16.7 | % | Senior, interest-only | 4,862,461 |
| 5.41 |
| 4.34 |
| 1.3 | % | 8.0 | % | Subordinated | 501,455 |
| 66.77 |
| 80.01 |
| 4.1 | % | 9.6 | % | Subordinated, interest-only | 201,378 |
| 3.66 |
| 3.89 |
| 0.8 | % | 11.8 | % | Agency MBS | |
| |
| |
| |
| |
| Residential pass-through | 2,227,128 |
| 105.53 |
| 104.27 |
| 3.8 | % | 2.9 | % | Commercial pass-through | 1,894,594 |
| 102.26 |
| 102.31 |
| 3.6 | % | 3.2 | % | Interest-only | 3,021,840 |
| 3.68 |
| 3.45 |
| 0.7 | % | 3.4 | % |
(1) Bond Equivalent Yield at period end. |
| Credit ratings of residential MBS |
The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at December 31, 2018 and December 31, 2017 based on fair value. We believe fair value provides an improved representation of the credit rating distribution of the Company's Non-Agency RMBS portfolio.
| | | | | | | December 31, 2018 | December 31, 2017 |
| AAA | 0.5 | % | — | % | AA | 0.1 | % | — | % | A | 0.3 | % | — | % | BBB | 0.4 | % | 0.5 | % | BB | 3.6 | % | 0.7 | % | B | 1.1 | % | 0.6 | % | Below B or not rated | 94.0 | % | 98.2 | % | Total | 100.0 | % | 100.0 | % |
|
| Schedule of MBS by estimated weighted average life classification |
The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2018 and December 31, 2017 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. | | | | | | | | | | | | | | | | | | December 31, 2018 | | (dollars in thousands) | | Weighted Average Life | | Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | Fair value | | | | | | Non-Agency RMBS | | | | | | Senior | $ | 7,611 |
| $ | 357,543 |
| $ | 946,536 |
| $ | 631,434 |
| $ | 1,943,124 |
| Senior interest-only | 1,189 |
| 38,407 |
| 96,401 |
| 118,893 |
| 254,890 |
| Subordinated | — |
| 39,825 |
| 43,744 |
| 192,898 |
| 276,467 |
| Subordinated interest-only | — |
| 303 |
| 9,321 |
| 2,025 |
| 11,649 |
| Agency MBS | |
| |
| |
| |
| |
| Residential | — |
| 640,713 |
| 8,524,211 |
| 9,458 |
| 9,174,382 |
| Commercial | — |
| 15,468 |
| 28,205 |
| 2,837,549 |
| 2,881,222 |
| Interest-only | 65,675 |
| 48,580 |
| 19,091 |
| — |
| 133,346 |
| Total fair value | $ | 74,475 |
| $ | 1,140,839 |
| $ | 9,667,509 |
| $ | 3,792,257 |
| $ | 14,675,080 |
| Amortized cost | |
| |
| |
| |
| |
| Non-Agency RMBS | | |
| |
| |
| |
| Senior | $ | 7,522 |
| $ | 277,025 |
| $ | 585,187 |
| $ | 404,484 |
| $ | 1,274,218 |
| Senior interest-only | 2,250 |
| 46,944 |
| 111,538 |
| 126,210 |
| 286,942 |
| Subordinated | — |
| 29,487 |
| 26,036 |
| 167,487 |
| 223,010 |
| Subordinated interest-only | — |
| 428 |
| 7,358 |
| 2,146 |
| 9,932 |
| Agency MBS | |
| |
| |
| |
| |
| Residential | — |
| 645,368 |
| 8,550,766 |
| 9,721 |
| 9,205,855 |
| Commercial | — |
| 15,543 |
| 29,447 |
| 2,907,947 |
| 2,952,937 |
| Interest-only | 64,185 |
| 53,076 |
| 18,765 |
| — |
| 136,026 |
| Total amortized cost | $ | 73,957 |
| $ | 1,067,871 |
| $ | 9,329,097 |
| $ | 3,617,995 |
| $ | 14,088,920 |
|
| | | | | | | | | | | | | | | | | | December 31, 2017 | | (dollars in thousands) | | Weighted Average Life | | Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | Fair value | | | | | | Non-Agency RMBS | | | | | | Senior | $ | 2,179 |
| $ | 681,086 |
| $ | 910,234 |
| $ | 637,916 |
| $ | 2,231,415 |
| Senior interest-only | 19 |
| 54,107 |
| 72,702 |
| 84,022 |
| 210,850 |
| Subordinated | — |
| 75,495 |
| 121,555 |
| 204,175 |
| 401,225 |
| Subordinated interest-only | — |
| 7,165 |
| 661 |
| — |
| 7,826 |
| Agency MBS | |
| |
| |
| |
| |
| Residential | — |
| 21,777 |
| 2,300,403 |
| — |
| 2,322,180 |
| Commercial | — |
| 45,770 |
| 16,559 |
| 1,875,952 |
| 1,938,281 |
| Interest-only | — |
| 74,490 |
| 25,271 |
| 4,606 |
| 104,367 |
| Total fair value | $ | 2,198 |
| $ | 959,890 |
| $ | 3,447,385 |
| $ | 2,806,671 |
| $ | 7,216,144 |
| Amortized cost | |
| |
| |
| |
| |
| Non-Agency RMBS | | |
| |
| |
| |
| Senior | $ | 2,124 |
| $ | 493,965 |
| $ | 569,458 |
| $ | 411,816 |
| $ | 1,477,363 |
| Senior interest-only | 1,271 |
| 73,758 |
| 94,145 |
| 93,822 |
| 262,996 |
| Subordinated | — |
| 61,987 |
| 91,044 |
| 181,789 |
| 334,820 |
| Subordinated interest-only | — |
| 6,355 |
| 1,014 |
| — |
| 7,369 |
| Agency MBS | |
| |
| |
| |
| |
| Residential | — |
| 22,069 |
| 2,328,304 |
| — |
| 2,350,373 |
| Commercial | — |
| 47,170 |
| 17,176 |
| 1,872,993 |
| 1,937,339 |
| Interest-only | — |
| 79,356 |
| 27,582 |
| 4,339 |
| 111,277 |
| Total amortized cost | $ | 3,395 |
| $ | 784,660 |
| $ | 3,128,723 |
| $ | 2,564,759 |
| $ | 6,481,537 |
|
|
| Schedule of collateral characteristics of underlying Mortgages of Non-Agency RMBS portfolio |
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2018 and December 31, 2017. | | | | | | | | | | | December 31, 2018 | December 31, 2017 | Weighted average maturity (years) | | 21.3 |
| | 20.7 |
| Weighted average amortized loan to value (1) | | 62.9 | % | | 64.4 | % | Weighted average FICO (2) | | 708 |
| | 697 |
| Weighted average loan balance (in thousands) | | $ | 308 |
| | $ | 314 |
| Weighted average percentage owner occupied | | 85.7 | % | | 84.4 | % | Weighted average percentage single family residence | | 63.8 | % | | 66.3 | % | Weighted average current credit enhancement | | 1.4 | % | | 2.2 | % | Weighted average geographic concentration of top four states | CA | 33.8 | % | CA | 31.7 | % | | FL | 7.7 | % | NY | 8.5 | % | | NY | 7.4 | % | FL | 8.3 | % | | NJ | 2.1 | % | NJ | 2.7 | % |
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. |
| Schedule of percentage of Non-Agency RMBS by year originated |
The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2018 and December 31, 2017 based on fair value. We believe fair value provides an improved representation of the origination years of the Company's Non-Agency RMBS portfolio. | | | | | | Origination Year | December 31, 2018 | December 31, 2017 |
| 2003 and prior | 1.3 | % | 1.6 | % | 2004 | 1.7 | % | 0.9 | % | 2005 | 12.9 | % | 12.5 | % | 2006 | 49.8 | % | 46.4 | % | 2007 | 31.0 | % | 36.5 | % | 2008 and later | 3.3 | % | 2.1 | % | Total | 100.0 | % | 100.0 | % |
|
| Schedule of gains and losses from sales of investments |
The proceeds and gross realized gains and gross realized losses from sales of investments for the year ended December 31, 2018, 2017 and 2016 are as follows:
| | | | | | | | | | | | For the Year Ended | | December 31, 2018 | December 31, 2017 | December 31, 2016 | | (dollars in thousands) | Proceeds from sales | $ | 116,975 |
| $ | 812,005 |
| $ | 2,719,329 |
| | | | | Gross realized gains | 7,547 |
| 17,538 |
| 28,572 |
| Gross realized losses | (10,391 | ) | (8,415 | ) | (10,417 | ) | Net realized gain (loss) | $ | (2,844 | ) | $ | 9,123 |
| $ | 18,155 |
|
|