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Investment in Securities (Tables)
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Holdings The following tables detail the Company's investment in securities as of March 31, 2020 and December 31, 2019.
March 31, 2020:
 
 
 
 
 
 
 
 
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
 
$
74,791

 
$
2,405

 
$
77,196

 
$
2,001

 
$
(7
)
 
$
79,190

 
3.55
%
 
2.47
%
 
3.56
20-year fixed-rate mortgages
 
752

 
46

 
798

 
30

 
—

 
828

 
4.67
%
 
2.97
%
 
3.96
30-year fixed-rate mortgages
 
699,907

 
32,413

 
732,320

 
22,005

 
(341
)
 
753,984

 
4.17
%
 
2.89
%
 
3.89
Adjustable rate mortgages
 
8,645

 
345

 
8,990

 
82

 
(18
)
 
9,054

 
3.99
%
 
1.66
%
 
3.08
Reverse mortgages
 
122,183

 
7,747

 
129,930

 
2,317

 
(1,646
)
 
130,601

 
4.23
%
 
2.80
%
 
6.14
Interest only securities
 
 n/a

 
 n/a

 
37,801

 
5,442

 
(899
)
 
42,344

 
2.72
%
 
10.24
%
 
3.53
Non-Agency RMBS
 
278,092

 
(112,903
)
 
165,189

 
9,344

 
(15,301
)
 
159,232

 
3.01
%
 
6.02
%
 
5.12
CMBS
 
165,470

 
(60,960
)
 
104,510

 
—

 
(32,728
)
 
71,782

 
2.17
%
 
7.60
%
 
8.96
Non-Agency interest only securities
 
 n/a

 
 n/a

 
6,044

 
1,776

 
(316
)
 
7,504

 
0.98
%
 
21.18
%
 
3.45
CLOs
 
 n/a

 
 n/a

 
228,873

 
156

 
(59,756
)
 
169,273

 
4.18
%
 
8.22
%
 
4.78
ABS backed by consumer loans
 
77,534

 
(22,007
)
 
55,527

 
193

 
(1,093
)
 
54,627

 
11.68
%
 
15.13
%
 
1.16
Corporate debt
 
21,953

 
(21,476
)
 
477

 
133

 
—

 
610

 
—
%
 
—
%
 
0.16
Corporate equity
 
 n/a

 
 n/a

 
1,547

 
155

 
(990
)
 
712

 
n/a

 
n/a

 
n/a
U.S. Treasury securities
 
1,424

 
233

 
1,657

 
—

 
(3
)
 
1,654

 
2.00
%
 
1.33
%
 
29.90
Total Long
 
1,450,751

 
(174,157
)
 
1,550,859

 
43,634

 
(113,098
)
 
1,481,395

 
4.10
%
 
5.00
%
 
4.46
Short:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
(1,650
)
 
244

 
(1,406
)
 
23

 
(36
)
 
(1,419
)
 
3.91
%
 
5.21
%
 
21.74
U.S. Treasury securities
 
(2,000
)
 
(151
)
 
(2,151
)
 
—

 
(3
)
 
(2,154
)
 
1.50
%
 
0.71
%
 
9.88
European sovereign bonds
 
(9,584
)
 
(28
)
 
(9,612
)
 
—

 
(106
)
 
(9,718
)
 
0.76
%
 
0.12
%
 
1.33
Total Short
 
(13,234
)
 
65

 
(13,169
)
 
23

 
(145
)
 
(13,291
)
 
1.22
%
 
0.41
%
 
4.90
Total
 
$
1,437,517

 
$
(174,092
)
 
$
1,537,690

 
$
43,657

 
$
(113,243
)
 
$
1,468,104

 
4.13
%
 
4.96
%
 
4.45
(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.
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.
Securities by Weighted Average Life
The following tables detail weighted average life of the Company's Agency RMBS as of March 31, 2020 and December 31, 2019.
March 31, 2020:
($ 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
 
$
239,683

 
$
235,043

 
4.33
%
 
$
14,682

 
$
13,632

 
3.12
%
Greater than three years and less than seven years
 
679,513

 
658,916

 
4.08
%
 
27,051

 
23,686

 
2.54
%
Greater than seven years and less than eleven years
 
54,461

 
55,275

 
3.92
%
 
611

 
483

 
0.45
%
Greater than eleven years
 
—

 
—

 
—
%
 
—

 
—

 
—
%
Total
 
$
973,657

 
$
949,234

 
4.13
%
 
$
42,344

 
$
37,801

 
2.72
%
(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.
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 tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2020 and December 31, 2019.
March 31, 2020:
($ 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
 
$
49,552

 
$
50,047

 
2.47
%
 
$
3,573

 
$
2,212

 
0.23
%
 
$
59,366

 
$
61,375

 
10.80
%
Greater than three years and less than seven years
 
78,011

 
76,645

 
3.83
%
 
3,931

 
3,832

 
1.41
%
 
154,645

 
193,698

 
4.85
%
Greater than seven years and less than eleven years
 
89,540

 
126,467

 
2.39
%
 
—

 
—

 
—
%
 
10,499

 
29,804

 
0.16
%
Greater than eleven years
 
13,911

 
16,540

 
0.35
%
 
—

 
—

 
—
%
 
1,654

 
1,657

 
2.00
%
Total
 
$
231,014

 
$
269,699

 
2.69
%
 
$
7,504

 
$
6,044

 
0.98
%
 
$
226,164

 
$
286,534

 
5.62
%
(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.
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.
Investment Income
The following table details the components of interest income by security type for the three-month periods ended March 31, 2020 and 2019:
 
 
Three-Month Period Ended
(In thousands)
 
March 31, 2020
 
March 31, 2019
Security Type
 
Coupon Interest
 
Net Amortization
 
Interest Income
 
Coupon Interest
 
Net Amortization
 
Interest Income
Agency RMBS
 
$
20,912

 
$
(8,844
)
 
$
12,068

 
$
12,190

 
$
(4,628
)
 
$
7,562

Non-Agency RMBS and CMBS
 
4,053

 
713

 
4,766

 
3,849

 
547

 
4,396

CLOs
 
5,419

 
(1,011
)
 
4,408

 
4,244

 
65

 
4,309

Other securities(1)
 
2,925

 
(1,045
)
 
1,880

 
1,593

 
(562
)
 
1,031

Total
 
$
33,309

 
$
(10,187
)
 
$
23,122

 
$
21,876

 
$
(4,578
)
 
$
17,298

(1)
Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities.
Schedule of Realized Gain (Loss)
The following table presents proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month periods ended March 31, 2020 and 2019.
 
 
Three-Month Period Ended
(In thousands)
 
March 31, 2020
 
March 31, 2019
Security Type
 
Proceeds(1)
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gain (Loss)
 
Proceeds(1)
 
Gross Realized Gains
 
Gross Realized Losses
 
Net Realized Gain (Loss)
Agency RMBS
 
$
1,285,482

 
$
9,221

 
$
(2,813
)
 
$
6,408

 
$
128,304

 
$
712

 
$
(1,679
)
 
$
(967
)
Non-Agency RMBS and CMBS
 
77,802

 
8,496

 
(1,056
)
 
7,440

 
129,545

 
1,272

 
(3,443
)
 
(2,171
)
CLOs
 
34,542

 
1,122

 
(23
)
 
1,099

 
44,822

 
140

 
(935
)
 
(795
)
Other securities(2)
 
120,991

 
637

 
(200
)
 
437

 
405,903

 
758

 
(1,259
)
 
(501
)
Total
 
$
1,518,817

 
$
19,476

 
$
(4,092
)
 
$
15,384

 
$
708,574

 
$
2,882

 
$
(7,316
)
 
$
(4,434
)
(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.
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value
The following table presents the fair value and gross unrealized losses of our long securities, excluding those where there are expected future credit losses as of the balance sheet date, by length of time that such securities have been in an unrealized loss position at March 31, 2020.
March 31, 2020:
(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
 
$
3,912

 
$
(342
)
 
$
852

 
$
(78
)
 
$
4,764

 
$
(420
)
Non-Agency RMBS and CMBS
 
119,313

 
(30,678
)
 
13,070

 
(1,142
)
 
132,383

 
(31,820
)
CLOs
 
159,024

 
(55,065
)
 
5,470

 
(4,127
)
 
164,494

 
(59,192
)
Other securities(1)
 
48,836

 
(333
)
 
—

 
—

 
48,836

 
(333
)
Total
 
$
331,085

 
$
(86,418
)
 
$
19,392

 
$
(5,347
)
 
$
350,477

 
$
(91,765
)
(1)
Other securities includes ABS backed by consumer loans, corporate debt and 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.
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.