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Mortgage-Backed Securities (Tables)
3 Months Ended
Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Mortgage-backed securities [Table Text Block]
The following tables present details of the Company's mortgage-backed securities portfolio at March 31, 2018 and December 31, 2017, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or GSE. The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk.
By RMBS Type
March 31, 2018:
($ in thousands)
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
 
Current Principal
 
Unamortized Premium (Discount)
 
Amortized
Cost
 
Gains
 
Losses
 
Fair Value
 
Coupon
 
Yield
 
Life
(Years)
(1)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15-year fixed-rate mortgages
$
151,969

 
$
6,721

 
$
158,690

 
$

 
$
(3,840
)
 
$
154,850

 
3.41%
 
2.31%
 
4.63
20-year fixed-rate mortgages
8,432

 
646

 
9,078

 

 
(305
)
 
8,773

 
4.00%
 
2.53%
 
6.04
30-year fixed-rate mortgages
1,304,988

 
70,183

 
1,375,171

 
416

 
(34,367
)
 
1,341,220

 
3.93%
 
3.08%
 
8.39
Adjustable rate mortgages
22,613

 
1,397

 
24,010

 
10

 
(638
)
 
23,382

 
3.80%
 
2.57%
 
4.32
Reverse mortgages
69,813

 
6,723

 
76,536

 
166

 
(1,320
)
 
75,382

 
4.52%
 
2.83%
 
6.05
Interest only securities
 n/a

 
 n/a

 
14,264

 
1,151

 
(889
)
 
14,526

 
4.46%
 
5.87%
 
4.17
Total Agency RMBS
1,557,815

 
85,670

 
1,657,749

 
1,743

 
(41,359
)
 
1,618,133

 
3.94%
 
3.01%
 
7.61
Non-Agency RMBS
15,258

 
(4,755
)
 
10,503

 
2,001

 
(62
)
 
12,442

 
3.94%
 
6.82%
 
7.43
Total RMBS
$
1,573,073

 
$
80,915

 
$
1,668,252

 
$
3,744

 
$
(41,421
)
 
$
1,630,575

 
3.94%
 
3.03%
 
7.61
(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.
December 31, 2017:
($ in thousands)
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
 
Current Principal
 
Unamortized Premium (Discount)
 
Amortized
Cost
 
Gains
 
Losses
 
Fair Value
 
Coupon
 
Yield
 
Life
(Years)(1)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15-year fixed-rate mortgages
$
170,998

 
$
7,553

 
$
178,551

 
$
28

 
$
(1,805
)
 
$
176,774

 
3.38%
 
2.31%
 
4.75
20-year fixed-rate mortgages
8,712

 
682

 
9,394

 

 
(164
)
 
9,230

 
4.00%
 
2.55%
 
6.02
30-year fixed-rate mortgages
1,303,584

 
76,681

 
1,380,265

 
1,929

 
(12,605
)
 
1,369,589

 
3.96%
 
3.06%
 
8.18
Adjustable rate mortgages
28,087

 
1,862

 
29,949

 
30

 
(421
)
 
29,558

 
3.87%
 
2.58%
 
4.70
Reverse mortgages
64,608

 
6,293

 
70,901

 
259

 
(543
)
 
70,617

 
4.53%
 
2.79%
 
6.09
Interest only securities
 n/a

 
 n/a

 
13,197

 
382

 
(1,374
)
 
12,205

 
4.36%
 
5.64%
 
3.28
Total Agency RMBS
1,575,989

 
93,071

 
1,682,257

 
2,628

 
(16,912
)
 
1,667,973

 
3.95%
 
2.98%
 
7.38
Non-Agency RMBS
21,995

 
(6,717
)
 
15,278

 
2,846

 
(99
)
 
18,025

 
3.58%
 
8.39%
 
7.94
Total RMBS
$
1,597,984

 
$
86,354

 
$
1,697,535

 
$
5,474

 
$
(17,011
)
 
$
1,685,998

 
3.94%
 
3.03%
 
7.39
(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.
Weighted Average Life Classifications [Table Text Block]
By Estimated Weighted Average Life
As of March 31, 2018:
($ in thousands)
 
Agency RMBS
 
Agency Interest Only Securities
 
Non-Agency RMBS
Estimated Weighted Average Life(1)
 
Fair
Value
 
Amortized Cost
 
Weighted Average Coupon
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon
Less than three years
 
$
6,903

 
$
6,949

 
3.59
%
 
$
1,508

 
$
1,962

 
4.08
%
 
$

 
$

 
%
Greater than three years and less than seven years
 
331,586

 
339,800

 
3.87
%
 
13,018

 
12,302

 
4.55
%
 
7,784

 
6,861

 
4.89
%
Greater than seven years and less than eleven years
 
1,253,210

 
1,284,720

 
3.91
%
 

 

 
%
 
2,188

 
1,111

 
2.89
%
Greater than eleven years
 
11,908

 
12,016

 
4.05
%
 

 

 
%
 
2,470

 
2,531

 
2.50
%
Total
 
$
1,603,607

 
$
1,643,485

 
3.90
%
 
$
14,526

 
$
14,264

 
4.46
%
 
$
12,442

 
$
10,503

 
3.94
%
(1)
Average lives of RMBS are generally shorter than stated contractual maturities.
As of December 31, 2017:
($ in thousands)
 
Agency RMBS
 
Agency Interest Only Securities
 
Non-Agency RMBS
Estimated Weighted Average Life(1)
 
Fair
Value
 
Amortized Cost
 
Weighted Average Coupon
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon
 
Fair Value
 
Amortized Cost
 
Weighted Average Coupon
Less than three years
 
$
7,931

 
$
7,935

 
3.70
%
 
$
3,357

 
$
4,253

 
4.15
%
 
$

 
$

 
%
Greater than three years and less than seven years
 
419,295

 
423,248

 
3.93
%
 
8,848

 
8,944

 
4.51
%
 
9,625

 
9,062

 
5.00
%
Greater than seven years and less than eleven years
 
1,221,160

 
1,230,479

 
3.92
%
 

 

 
%
 
5,892

 
3,697

 
2.14
%
Greater than eleven years
 
7,382

 
7,398

 
3.68
%
 

 

 
%
 
2,508

 
2,519

 
2.18
%
Total
 
$
1,655,768

 
$
1,669,060

 
3.92
%
 
$
12,205

 
$
13,197

 
4.36
%
 
$
18,025

 
$
15,278

 
3.58
%

(1)
Average lives of RMBS are generally shorter than stated contractual maturities.
Interest Income Components - Investments [Table Text Block]
The following table reflects the components of interest income on the Company's RMBS for the three month periods ended March 31, 2018 and 2017:
 
 
Three Month Period Ended
March 31, 2018
 
Three Month Period Ended
March 31, 2017
($ in thousands)
 
Coupon Interest
 
Net Amortization
 
Interest
Income
 
Coupon Interest
 
Net Amortization
 
Interest
Income
Agency RMBS
 
$
16,908

 
$
(4,248
)
 
$
12,660

 
$
12,579

 
$
(755
)
 
$
11,824

Non-Agency RMBS
 
169

 
86

 
255

 
253

 
101

 
354

Total
 
$
17,077

 
$
(4,162
)
 
$
12,915

 
$
12,832

 
$
(654
)
 
$
12,178