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Mortgage-Backed Securities
9 Months Ended
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities Mortgage-Backed Securities
The following tables present details of the Company's mortgage-backed securities portfolio at September 30, 2022 and December 31, 2021, 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 government-sponsored enterprise, 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
September 30, 2022:
($ in thousands)
Gross UnrealizedWeighted Average
Current PrincipalUnamortized Premium (Discount)
Amortized Cost
GainsLossesFair Value
Coupon(1)
Yield
Life
(Years)
(2)
Agency RMBS:
15-year fixed-rate mortgages
$78,506 $296 $78,802 $52 $(6,389)$72,465 2.81%2.52%4.22
20-year fixed-rate mortgages
10,979 721 11,700 — (2,088)9,612 2.84%1.76%6.86
30-year fixed-rate mortgages
879,451 12,482 891,933 — (91,772)800,161 3.53%3.16%8.60
Adjustable rate mortgages
8,808 771 9,579 — (831)8,748 3.26%2.35%4.48
Reverse mortgages
18,044 2,014 20,058 — (1,673)18,385 3.74%2.56%4.65
Interest only securities
 n/a  n/a 9,928 581 (1,113)9,396 3.99%7.39%6.86
Total Agency RMBS 995,788 16,284 1,022,000 633 (103,866)918,767 3.49%3.12%8.10
Non-Agency RMBS:
Principal and interest securities10,595 (3,193)7,402 789 (471)7,720 4.10%6.17%8.59
Interest only securities
 n/a  n/a 6,428 1,753 — 8,181 0.24%17.57%9.57
Total Non-Agency RMBS10,595 (3,193)13,830 2,542 (471)15,901 0.30%11.47%9.09
Total RMBS$1,006,383 $13,091 $1,035,830 $3,175 $(104,337)$934,668 2.20%3.23%8.11
(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
(2)Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
December 31, 2021:
($ in thousands)
Gross UnrealizedWeighted Average
Current PrincipalUnamortized Premium (Discount)
Amortized Cost
Gains
LossesFair Value
Coupon(1)
Yield
Life
(Years)(2)
Agency RMBS:
15-year fixed-rate mortgages
$125,033 $5,066 $130,099 $1,488 $(877)$130,710 2.78%1.69%4.18
20-year fixed-rate mortgages
35,732 1,479 37,211 34 (898)36,347 2.31%1.50%5.96
30-year fixed-rate mortgages
1,027,843 38,504 1,066,347 13,672 (7,115)1,072,904 3.03%2.37%4.97
Adjustable rate mortgages
11,491 543 12,034 59 (133)11,960 2.82%2.21%4.23
Reverse mortgages
35,313 2,339 37,652 242 (597)37,297 3.33%2.27%4.24
Interest only securities
n/an/a12,983 95 (2,789)10,289 3.36%5.34%3.87
Total Agency RMBS1,235,412 47,931 1,296,326 15,590 (12,409)1,299,507 3.02%2.31%4.81
Non-Agency RMBS:
Principal and interest securities10,672 (3,438)7,234 1,822 — 9,056 1.47%6.25%7.49
Interest only securities
n/an/a2,684 114 — 2,798 0.27%11.58%6.79
Total Non-Agency RMBS10,672 (3,438)9,918 1,936 — 11,854 0.30%7.69%6.82
Total RMBS$1,246,084 $44,493 $1,306,244 $17,526 $(12,409)$1,311,361 2.48%2.33%5.21
(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
(2)Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
By Estimated Weighted Average Life
As of September 30, 2022
($ in thousands)
Agency RMBSAgency Interest Only SecuritiesNon-Agency RMBS
Estimated Weighted Average Life(1)
Fair
Value
Amortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$11,307 $12,106 3.65 %$772 $862 4.35 %$242 $256 6.00 %
Greater than three years and less than seven years212,436 231,651 3.71 %2,241 2,249 4.34 %475 345 4.73 %
Greater than seven years and less than eleven years680,920 763,247 3.38 %6,383 6,817 3.77 %14,525 13,229 0.29 %
Greater than eleven years4,708 5,068 4.12 %— — — %659 — 3.40 %
Total$909,371 $1,012,072 3.46 %$9,396 $9,928 3.99 %$15,901 $13,830 0.30 %
(1)Average lives of RMBS are generally shorter than stated contractual maturities.
(2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
As of December 31, 2021:
($ in thousands)
Agency RMBSAgency Interest Only SecuritiesNon-Agency RMBS
Estimated Weighted Average Life(1)
Fair
Value
Amortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$28,443 $28,273 3.75 %$1,628 $2,027 2.10 %$561 $457 6.00 %
Greater than three years and less than seven years724,996 718,318 3.53 %7,820 10,095 4.38 %1,773 1,571 0.35 %
Greater than seven years and less than eleven years280,147 281,786 2.50 %841 861 2.39 %9,520 7,890 0.25 %
Greater than eleven years255,632 254,966 2.00 %— — — %— — — %
Total$1,289,218 $1,283,343 2.99 %$10,289 $12,983 3.36 %$11,854 $9,918 0.30 %
(1)Average lives of RMBS are generally shorter than stated contractual maturities.
(2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
The following tables reflect the components of interest income on the Company's RMBS for the three- and nine-month periods ended September 30, 2022 and 2021:
Three-Month Period Ended
September 30, 2022
Three-Month Period Ended
September 30, 2021
($ in thousands)
Coupon
Interest
Net AmortizationInterest
Income
Coupon
Interest
Net AmortizationInterest
Income
Agency RMBS$8,541 $$8,548 $9,724 $(4,475)$5,249 
Non-Agency RMBS488 (81)407 34 140 174 
Total$9,029 $(74)$8,955 $9,758 $(4,335)$5,423 
Nine-Month Period Ended
September 30, 2022
Nine-Month Period Ended
September 30, 2021
($ in thousands)
Coupon
Interest
Net AmortizationInterest
Income
Coupon
Interest
Net AmortizationInterest
Income
Agency RMBS$26,754 $(3,572)$23,182 $30,172 $(8,957)$21,215 
Non-Agency RMBS1,392 (270)1,122 150 419 569 
Total$28,146 $(3,842)$24,304 $30,322 $(8,538)$21,784 
For the three-month periods ended September 30, 2022 and 2021, the Catch-up Premium Amortization Adjustment was $1.4 million and $(1.2) million, respectively. For the nine-month periods ended September 30, 2022 and 2021, the Catch-up Premium Amortization Adjustment was $2.5 million and $1.5 million, respectively.
At September 30, 2022, the Company had gross unrealized losses on RMBS of $(104.3) million, of which $(0.5) million relates primarily to adverse changes in estimated future cash flows on Agency IOs. At December 31, 2021, the Company had gross unrealized losses on RMBS of $(12.4) million, of which $(2.2) million relates to adverse changes in estimated future cash flows on Agency IOs and non-Agency RMBS, primarily resulting from an increase in expected prepayments.
The Company determined for certain securities that a portion of such securities' cost basis is not collectible; for the three- and nine-month periods ended September 30, 2022, the Company recognized realized losses on such securities of $(1.0) million and $(1.5) million, respectively. For the three- and nine-month periods ended September 30, 2021, the Company recognized realized losses on such securities of $(0.3) million and $(0.6) million, respectively. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.