Investment in Securities

The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following table details the Company's investment in securities as of March 31, 2019.



							Gross Unrealized					Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains	Losses		Fair Value		Coupon⁽¹⁾		Yield		Life (Years)⁽²⁾
Long:
Agency RMBS:
15-year fixed-rate mortgages	70,927		2,897		73,824		68	(1,261	)	72,631		3.48	%	2.40	%	4.39
20-year fixed-rate mortgages	2,267		148		2,415		—	(38	)	2,377		4.20	%	2.88	%	5.32
30-year fixed-rate mortgages	906,415		43,286		949,701		4,584	(9,311	)	944,974		4.20	%	3.37	%	6.82
Adjustable rate mortgages	9,173		401		9,574		23	(137	)	9,460		3.97	%	2.97	%	3.16
Reverse mortgages	83,293		6,448		89,741		233	(629	)	89,345		4.40	%	3.03	%	6.34
Interest only securities	n/a		n/a		25,473		1,110	(1,155	)	25,428		3.31	%	7.48	%	3.61
Non-Agency RMBS	298,383		(111,182	)	187,201		17,642	(2,540	)	202,303		3.44	%	6.42	%	7.31
CMBS	65,186		(36,910	)	28,276		1,284	(147	)	29,413		2.77	%	8.42	%	8.38
Non-Agency interest only securities	n/a		n/a		5,693		1,953	—		7,646		0.77	%	25.35	%	7.63
CLOs	n/a		n/a		98,713		2,941	(3,657	)	97,997		3.85	%	16.22	%	5.68
ABS backed by consumer loans	36,022		(12,488	)	23,534		940	(366	)	24,108		14.52	%	11.85	%	1.16
Corporate debt	26,730		(20,956	)	5,774		44	(81	)	5,737		9.26	%	20.18	%	1.57
Corporate equity	n/a		n/a		1,583		4	(122	)	1,465		n/a		n/a		n/a
U.S. Treasury securities	16,375		189		16,564		45	(8	)	16,601		2.51	%	2.30	%	5.68
Total Long	1,514,771		(128,167	)	1,518,066		30,871	(19,452	)	1,529,485		4.15	%	5.08	%	6.49
Short:
Corporate debt	(5,160	)	515		(4,645	)	237	(33	)	(4,441	)	5.19	%	5.91	%	6.16
U.S. Treasury securities	(2,800	)	15		(2,785	)	—	(125	)	(2,910	)	2.88	%	2.92	%	9.38
European sovereign bonds	(18,605	)	(884	)	(19,489	)	947	(319	)	(18,861	)	1.69	%	0.43	%	1.27
Total Short	(26,565	)	(354	)	(26,919	)	1,184	(477	)	(26,212	)	2.42	%	1.64	%	3.00
Total	1,488,206		(128,521	)	1,491,147		32,055	(19,929	)	1,503,273		4.18	%	5.02	%	6.55


(1)	Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.


(2)	Average lives of MBS 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.

The following table details weighted average life of the Company's Agency RMBS as of March 31, 2019.



($ in thousands)	Agency RMBS				Agency Interest Only Securities
Estimated Weighted Average Life⁽¹⁾	Fair Value	Amortized Cost	Weighted Average Coupon⁽²⁾		Fair Value	Amortized Cost	Weighted Average Coupon⁽²⁾
Less than three years	38,461	38,339	4.64	%	7,582	7,763	3.14	%
Greater than three years less than seven years	486,247	489,019	4.29	%	17,582	17,460	3.42	%
Greater than seven years less then eleven years	581,828	585,867	4.04	%	264	250	0.66	%
Greater than eleven years	12,251	12,030	4.10	%	—	—	—	%
Total	1,118,787	1,125,255	4.17	%	25,428	25,473	3.31	%


(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.


(2)	Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

The following table details weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2019.



($ in thousands)	Non-Agency RMBS and CMBS				Non-Agency IOs				CLOs and Other Securities⁽²⁾
Estimated Weighted Average Life⁽¹⁾	Fair Value	Amortized Cost	Weighted Average Coupon⁽³⁾		Fair Value	Amortized Cost	Weighted Average Coupon⁽³⁾		Fair Value	Amortized Cost	Weighted Average Coupon⁽³⁾
Less than three years	60,447	52,618	2.07	%	176	30	2.00	%	34,601	34,877	12.03	%
Greater than three years less than seven years	65,214	60,490	5.32	%	3,829	3,450	1.40	%	90,984	91,770	4.33	%
Greater than seven years less then eleven years	53,571	49,960	3.61	%	306	—	0.50	%	17,235	16,487	0.68	%
Greater than eleven years	52,484	52,409	2.15	%	3,335	2,213	—	%	1,623	1,451	—	%
Total	231,716	215,477	3.36	%	7,646	5,693	0.77	%	144,443	144,585	5.69	%


(1)	Average lives of MBS 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.


(2)	Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.


(3)	Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

The following table details the components of interest income by security type for the three-month period ended March 31, 2019:



Security Type	Coupon Interest	Net Amortization		Interest Income
	(In thousands)
Agency RMBS	12,190	(4,628	)	7,562
Non-Agency RMBS and CMBS	3,849	547		4,396
CLOs	4,244	65		4,309
Other securities⁽¹⁾	1,593	(562	)	1,031
Total	21,876	(4,578	)	17,298


(1)	Other securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.

For the three-month period ended March 31, 2019 the Catch-Up Premium Amortization Adjustment was $(0.5) million.

The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month period ended March 31, 2019.



Security Type	Proceeds	Gross Realized Gains	Gross Realized Losses		Net Realized Gain (Loss)
	(In thousands)
Agency RMBS	128,304	712	(1,679	)	(967	)
Non-Agency RMBS and CMBS	129,545	1,272	(3,443	)	(2,171	)
CLOs	44,822	140	(935	)	(795	)
Other securities⁽¹⁾	405,903	758	(1,259	)	(501	)
Total	708,574	2,882	(7,316	)	(4,434	)


(1)	Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at March 31, 2019.



(In thousands)	Less than 12 Months			Greater than 12 Months			Total
Security Type	Fair Value	Unrealized Losses		Fair Value	Unrealized Losses		Fair Value	Unrealized Losses
Agency RMBS	123,567	(627	)	521,597	(11,904	)	645,164	(12,531	)
Non-Agency RMBS and CMBS	85,338	(1,585	)	34,988	(1,102	)	120,326	(2,687	)
CLOs	28,953	(996	)	25,154	(2,661	)	54,107	(3,657	)
Other securities⁽¹⁾	16,896	(177	)	2,963	(400	)	19,859	(577	)
Total	254,754	(3,385	)	584,702	(16,067	)	839,456	(19,452	)


(1)	Other securities includes asset-backed securities, backed by consumer loans, corporate debt and equity, and U.S. Treasury securities.

As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. For the three-month period ended March 31, 2019, the Company recognized an impairment charge of $1.3 million on the cost basis of its securities, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. For each of the remaining securities in a loss position at March 31, 2019, the unrealized loss is due to market conditions and not to a change in the credit quality of the securities. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the issuing government agency or government-sponsored enterprise, but rather are due to changes in interest rates and prepayment expectations.