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Investment in Securities
 12 Months Ended
Dec. 31, 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 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.