| 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 December 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 | | $ | 314,636 |
| | $ | 6,369 |
| | $ | 321,005 |
| | $ | 2,604 |
| | $ | (203 | ) | | $ | 323,406 |
| | 3.05 | % | | 2.28 | % | | 3.05 | 20-year fixed-rate mortgages | | 804 |
| | 49 |
| | 853 |
| | 24 |
| | — |
| | 877 |
| | 4.62 | % | | 2.99 | % | | 4.80 | 30-year fixed-rate mortgages | | 1,358,762 |
| | 64,846 |
| | 1,423,608 |
| | 13,821 |
| | (2,830 | ) | | 1,434,599 |
| | 4.20 | % | | 2.95 | % | | 6.63 | Adjustable rate mortgages | | 9,651 |
| | 315 |
| | 9,966 |
| | 90 |
| | (54 | ) | | 10,002 |
| | 3.99 | % | | 2.03 | % | | 4.09 | Reverse mortgages | | 122,670 |
| | 8,133 |
| | 130,803 |
| | 2,023 |
| | (26 | ) | | 132,800 |
| | 4.43 | % | | 2.78 | % | | 6.67 | Interest only securities | | n/a |
| | n/a |
| | 34,044 |
| | 1,624 |
| | (389 | ) | | 35,279 |
| | 2.81 | % | | 9.27 | % | | 3.86 | Non-Agency RMBS | | 274,353 |
| | (122,685 | ) | | 151,668 |
| | 12,549 |
| | (1,081 | ) | | 163,136 |
| | 3.41 | % | | 7.25 | % | | 5.31 | CMBS | | 185,417 |
| | (67,961 | ) | | 117,456 |
| | 2,990 |
| | (480 | ) | | 119,966 |
| | 3.31 | % | | 6.62 | % | | 8.94 | Non-Agency interest only securities | | n/a |
| | n/a |
| | 6,517 |
| | 1,817 |
| | (18 | ) | | 8,316 |
| | 1.10 | % | | 8.18 | % | | 4.14 | CLOs | | n/a |
| | n/a |
| | 169,238 |
| | 4,219 |
| | (3,014 | ) | | 170,443 |
| | 5.05 | % | | 9.62 | % | | 4.75 | ABS backed by consumer loans | | 67,080 |
| | (19,154 | ) | | 47,926 |
| | 1,596 |
| | (912 | ) | | 48,610 |
| | 12.17 | % | | 14.00 | % | | 1.22 | Corporate debt | | 22,125 |
| | (21,241 | ) | | 884 |
| | 229 |
| | — |
| | 1,113 |
| | — | % | | — | % | | 0.33 | Corporate equity | | n/a |
| | n/a |
| | 1,242 |
| | 152 |
| | — |
| | 1,394 |
| | n/a |
| | n/a |
| | n/a | Total Long | | 2,355,498 |
| | (151,329 | ) | | 2,415,210 |
| | 43,738 |
| | (9,007 | ) | | 2,449,941 |
| | 4.15 | % | | 4.09 | % | | 5.88 | Short: | | | | | | | | | | | | | | | | | | | Corporate debt | | (450 | ) | | (6 | ) | | (456 | ) | | — |
| | (15 | ) | | (471 | ) | | 5.44 | % | | 5.21 | % | | 4.90 | U.S. Treasury securities | | (63,140 | ) | | 381 |
| | (62,759 | ) | | 63 |
| | (298 | ) | | (62,994 | ) | | 1.76 | % | | 1.87 | % | | 6.11 | European sovereign bonds | | (9,759 | ) | | 133 |
| | (9,626 | ) | | — |
| | (318 | ) | | (9,944 | ) | | 0.77 | % | | 0.12 | % | | 1.58 | Total Short | | (73,349 | ) | | 508 |
| | (72,841 | ) | | 63 |
| | (631 | ) | | (73,409 | ) | | 1.65 | % | | 1.66 | % | | 5.49 | Total | | $ | 2,282,149 |
| | $ | (150,821 | ) | | $ | 2,342,369 |
| | $ | 43,801 |
| | $ | (9,638 | ) | | $ | 2,376,532 |
| | 4.23 | % | | 4.01 | % | | 5.90 |
| | (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 December 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 | | $ | 188,593 |
| | $ | 187,099 |
| | 3.39 | % | | $ | 9,011 |
| | $ | 8,611 |
| | 3.35 | % | Greater than three years and less than seven years | | 961,839 |
| | 953,031 |
| | 4.25 | % | | 25,334 |
| | 24,512 |
| | 2.66 | % | Greater than seven years and less than eleven years | | 713,862 |
| | 708,805 |
| | 3.89 | % | | 934 |
| | 921 |
| | 1.90 | % | Greater than eleven years | | 37,390 |
| | 37,300 |
| | 3.51 | % | | — |
| | — |
| | — | % | Total | | $ | 1,901,684 |
| | $ | 1,886,235 |
| | 4.02 | % | | $ | 35,279 |
| | $ | 34,044 |
| | 2.81 | % |
| | (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 December 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 | | $ | 50,120 |
| | $ | 48,213 |
| | 2.73 | % | | $ | 439 |
| | $ | 401 |
| | 1.37 | % | | $ | 54,446 |
| | $ | 54,090 |
| | 11.11 | % | Greater than three years and less than seven years | | 87,436 |
| | 79,326 |
| | 4.42 | % | | 7,877 |
| | 6,116 |
| | 1.08 | % | | 157,384 |
| | 155,651 |
| | 5.38 | % | Greater than seven years and less than eleven years | | 127,533 |
| | 123,924 |
| | 3.31 | % | | — |
| | — |
| | — | % | | 8,336 |
| | 8,307 |
| | — | % | Greater than eleven years | | 18,013 |
| | 17,661 |
| | 0.81 | % | | — |
| | — |
| | — | % | | — |
| | — |
| | — | % | Total | | $ | 283,102 |
| | $ | 269,124 |
| | 3.37 | % | | $ | 8,316 |
| | $ | 6,517 |
| | 1.10 | % | | $ | 220,166 |
| | $ | 218,048 |
| | 6.60 | % |
| | (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 year ended December 31, 2019: | | | | | | | | | | | | | | (In thousands) | | Year Ended December 31, 2019 | Security Type | | Coupon Interest | | Net Amortization | | Interest Income | Agency RMBS | | $ | 62,103 |
| | $ | (24,731 | ) | | $ | 37,372 |
| Non-Agency RMBS and CMBS | | 13,855 |
| | 2,782 |
| | 16,637 |
| CLOs | | 15,857 |
| | (1,599 | ) | | 14,258 |
| Other securities(1) | | 7,157 |
| | (2,468 | ) | | 4,689 |
| Total | | $ | 98,972 |
| | $ | (26,016 | ) | | $ | 72,956 |
|
| | (1) | Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities. |
For the year ended December 31, 2019 the Catch-Up Premium Amortization Adjustment was $(4.7) million. The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the year ended December 31, 2019. | | | | | | | | | | | | | | | | | | (In thousands) | | Year Ended
December 31, 2019 | Security Type | | Proceeds(1) | | Gross Realized Gains | | Gross Realized Losses | | Net Realized Gain (Loss) | Agency RMBS | | $ | 1,010,251 |
| | $ | 9,006 |
| | $ | (4,924 | ) | | $ | 4,082 |
| Non-Agency RMBS and CMBS | | 184,725 |
| | 12,552 |
| | (7,348 | ) | | 5,204 |
| CLOs | | 62,063 |
| | 1,286 |
| | (19,464 | ) | | (18,178 | ) | Other securities(2) | | 636,886 |
| | 1,113 |
| | (4,863 | ) | | (3,750 | ) | Total | | $ | 1,893,925 |
| | $ | 23,957 |
| | $ | (36,599 | ) | | $ | (12,642 | ) |
| | (1) | Includes proceeds on sales of securities not yet settled as of period end. |
| | (2) | Other securities includes ABS 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 December 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 | | $ | 328,968 |
| | $ | (1,503 | ) | | $ | 125,095 |
| | $ | (1,999 | ) | | $ | 454,063 |
| | $ | (3,502 | ) | Non-Agency RMBS and CMBS | | 88,495 |
| | (880 | ) | | 27,218 |
| | (699 | ) | | 115,713 |
| | (1,579 | ) | CLOs | | 37,354 |
| | (1,911 | ) | | 9,245 |
| | (1,103 | ) | | 46,599 |
| | (3,014 | ) | Other securities(1) | | 16,562 |
| | (852 | ) | | 1,380 |
| | (60 | ) | | 17,942 |
| | (912 | ) | Total | | $ | 471,379 |
| | $ | (5,146 | ) | | $ | 162,938 |
| | $ | (3,861 | ) | | $ | 634,317 |
| | $ | (9,007 | ) |
| | (1) | Other securities includes ABS 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 year ended December 31, 2019, the Company recognized an impairment charge of $28.7 million, on the cost basis of its securities, which is included in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. For each of the remaining securities in a loss position at December 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.
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