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Investment in Securities
 6 Months Ended
Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract]  
Investment in Securities
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 June 30, 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
 
133,432

 
3,326

 
136,758

 
1,158

 
(503
)
 
137,413

 
3.29
%
 
2.56
%
 
3.87
20-year fixed-rate mortgages
 
839

 
57

 
896

 
—

 
—

 
896

 
4.50
%
 
3.03
%
 
5.00
30-year fixed-rate mortgages
 
997,663

 
44,210

 
1,041,873

 
11,186

 
(5,057
)
 
1,048,002

 
4.14
%
 
3.29
%
 
6.72
Adjustable rate mortgages
 
8,887

 
334

 
9,221

 
81

 
(111
)
 
9,191

 
4.02
%
 
3.06
%
 
2.85
Reverse mortgages
 
109,314

 
8,157

 
117,471

 
1,334

 
(311
)
 
118,494

 
4.50
%
 
3.08
%
 
6.74
Interest only securities
 
 n/a

 
 n/a

 
24,346

 
1,125

 
(566
)
 
24,905

 
3.36
%
 
7.90
%
 
3.46
Non-Agency RMBS
 
281,461

 
(118,422
)
 
163,039

 
19,690

 
(1,398
)
 
181,331

 
3.78
%
 
6.57
%
 
4.84
CMBS
 
68,412

 
(37,571
)
 
30,841

 
3,089

 
—

 
33,930

 
3.21
%
 
9.59
%
 
8.10
Non-Agency interest only securities
 
 n/a

 
 n/a

 
5,443

 
1,970

 
—

 
7,413

 
1.02
%
 
21.44
%
 
3.28
CLOs
 
 n/a

 
 n/a

 
77,992

 
697

 
(2,478
)
 
76,211

 
3.14
%
 
15.27
%
 
5.61
ABS backed by consumer loans
 
30,892

 
(6,541
)
 
24,351

 
978

 
(310
)
 
25,019

 
14.61
%
 
14.37
%
 
1.15
Corporate debt
 
25,057

 
(20,938
)
 
4,119

 
26

 
(64
)
 
4,081

 
12.51
%
 
17.63
%
 
0.90
Corporate equity
 
 n/a

 
 n/a

 
1,445

 
347

 
(1
)
 
1,791

 
n/a

 
n/a

 
n/a
Total Long
 
1,655,957

 
(127,388
)
 
1,637,795

 
41,681

 
(10,799
)
 
1,668,677

 
4.14
%
 
4.55
%
 
6.07
Short:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
(450
)
 
(6
)
 
(456
)
 
—

 
(14
)
 
(470
)
 
5.42
%
 
5.21
%
 
5.39
U.S. Treasury securities
 
(37,900
)
 
(492
)
 
(38,392
)
 
—

 
(582
)
 
(38,974
)
 
2.34
%
 
2.19
%
 
8.13
European sovereign bonds
 
(9,895
)
 
239

 
(9,656
)
 
—

 
(483
)
 
(10,139
)
 
0.75
%
 
0.12
%
 
2.08
Total Short
 
(48,245
)
 
(259
)
 
(48,504
)
 
—

 
(1,079
)
 
(49,583
)
 
2.06
%
 
1.80
%
 
6.87
Total
 
1,607,712

 
(127,647
)
 
1,589,291

 
41,681

 
(11,878
)
 
1,619,094

 
4.21
%
 
4.47
%
 
6.05
(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 June 30, 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
 
52,440

 
51,998

 
4.86
%
 
8,248

 
8,047

 
3.27
%
Greater than three years less than seven years
 
597,007

 
594,329

 
4.13
%
 
16,657

 
16,299

 
3.41
%
Greater than seven years less than eleven years
 
664,549

 
659,892

 
3.97
%
 
—

 
—

 
—
%
Total
 
1,313,996

 
1,306,219

 
4.08
%
 
24,905

 
24,346

 
3.36
%
(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 June 30, 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
 
81,826

 
66,955

 
2.59
%
 
3,625

 
2,062

 
0.12
%
 
32,566

 
31,927

 
12.98
%
Greater than three years less than seven years
 
63,052

 
61,152

 
5.43
%
 
3,788

 
3,381

 
1.57
%
 
71,122

 
73,126

 
3.25
%
Greater than seven years less then eleven years
 
49,899

 
45,239

 
3.95
%
 
—

 
—

 
—
%
 
—

 
—

 
—
%
Greater than eleven years
 
20,484

 
20,534

 
1.50
%
 
—

 
—

 
—
%
 
1,623

 
1,409

 
—
%
Total
 
215,261

 
193,880

 
3.69
%
 
7,413

 
5,443

 
1.02
%
 
105,311

 
106,462

 
6.12
%
(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- and six-month periods ended June 30, 2019:
(In thousands)
 
Three-Month Period Ended
June 30, 2019
 
Six-Month Period Ended
June 30, 2019
Security Type
 
Coupon Interest
 
Net Amortization
 
Interest Income
 
Coupon Interest
 
Net Amortization
 
Interest Income
Agency RMBS
 
14,466

 
(4,965
)
 
9,501

 
26,656

 
(9,593
)
 
17,063

Non-Agency RMBS and CMBS
 
3,282

 
689

 
3,971

 
7,131

 
1,236

 
8,367

CLOs
 
3,666

 
(576
)
 
3,090

 
7,910

 
(511
)
 
7,399

Other securities(1)
 
1,443

 
(355
)
 
1,088

 
3,036

 
(917
)
 
2,119

Total
 
22,857

 
(5,207
)
 
17,650

 
44,733

 
(9,785
)
 
34,948

(1)
Other securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.
For the three- and six-month periods ended June 30, 2019 the Catch-Up Premium Amortization Adjustment was $(0.9) million and $(1.4) million, respectively.
The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and six-month periods ended June 30, 2019.
(In thousands)
 
Three-Month Period Ended
June 30, 2019
 
Six-Month Period Ended
June 30, 2019
Security Type
 
Proceeds
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gain (Loss)
 
Proceeds
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gain (Loss)
Agency RMBS
 
259,207

 
1,872

 
(1,565
)
 
307

 
387,511

 
2,578

 
(3,238
)
 
(660
)
Non-Agency RMBS and CMBS
 
19,139

 
825

 
(1,536
)
 
(711
)
 
148,684

 
2,092

 
(4,975
)
 
(2,883
)
CLOs
 
11,275

 
54

 
(3,109
)
 
(3,055
)
 
56,097

 
152

 
(4,002
)
 
(3,850
)
Other securities(1)
 
76,440

 
127

 
(808
)
 
(681
)
 
479,428

 
744

 
(1,851
)
 
(1,107
)
Total
 
366,061

 
2,878

 
(7,018
)
 
(4,140
)
 
1,071,720

 
5,566

 
(14,066
)
 
(8,500
)
(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 June 30, 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
 
79,449

 
(637
)
 
312,905

 
(5,911
)
 
392,354

 
(6,548
)
Non-Agency RMBS and CMBS
 
42,088

 
(604
)
 
54,549

 
(794
)
 
96,637

 
(1,398
)
CLOs
 
42,086

 
(2,172
)
 
5,161

 
(306
)
 
47,247

 
(2,478
)
Other securities(1)
 
6,157

 
(145
)
 
2,027

 
(230
)
 
8,184

 
(375
)
Total
 
169,780

 
(3,558
)
 
374,642

 
(7,241
)
 
544,422

 
(10,799
)
(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- and six-month periods ended June 30, 2019, the Company recognized an impairment charge of $4.7 million and $6.0 million, respectively, 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 June 30, 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.