XML 72 R27.htm IDEA: XBRL DOCUMENT v3.20.1
Mortgage-Backed Securities (Tables)
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Schedule of present amortized cost, fair value and unrealized gain/losses of Company's MBS investments The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2020 and December 31, 2019.
 
 
March 31, 2020
 
 
 
 
 
 
(dollars in thousands)
 
 
 
 
 
Principal or Notional Value
Total Premium
Total Discount
Amortized Cost
Allowance for credit losses
Fair Value
Gross Unrealized Gains
Gross Unrealized Losses
Net Unrealized Gain/(Loss)
Non-Agency RMBS
 
 
 
 
 
 
 
 
 
Senior
$
1,924,284

$
1,870

$
(922,847
)
$
1,003,307

$
(5,410
)
$
1,420,224

$
424,613

$
(2,286
)
$
422,327

Subordinated
900,396

8,496

(341,888
)
567,004

(904
)
528,178

42,782

(80,704
)
(37,922
)
Interest-only
6,931,077

287,092

—

287,092

—

225,998

41,151

(102,245
)
(61,094
)
Agency RMBS
 

 

 

 

 
 

 

 



Pass-through
—

—

—

—

—

—

—

—

—

Interest-only
1,484,016

135,180

—

135,180

—

105,644

—

(29,536
)
(29,536
)
Agency CMBS
 
 
 
 
 
 
 
 
 
Project loans
2,506,241

49,294

(4,878
)
2,550,657

—

2,786,527

235,985

(115
)
235,870

Interest-only
1,764,487

47,163

—

47,163

—

46,189

1,614

(2,588
)
(974
)
Total
$
15,510,501

$
529,095

$
(1,269,613
)
$
4,590,403

$
(6,314
)
$
5,112,760

$
746,145

$
(217,474
)
$
528,671


 
 
December 31, 2019
 
 
 
 
 
 
(dollars in thousands)
 
 
 
 
 
Principal or Notional Value
Total Premium
Total Discount
Amortized Cost
Fair Value
Gross Unrealized Gains
Gross Unrealized Losses
Net Unrealized Gain/(Loss)
Non-Agency RMBS
 
 
 
 
 
 
 
 
Senior
$
2,024,564

$
2,038

$
(953,916
)
$
1,072,686

$
1,700,911

$
628,518

$
(293
)
$
628,225

Subordinated
876,592

9,915

(332,913
)
553,594

624,598

76,272

(5,268
)
71,004

Interest-only
7,458,653

301,170

—

301,170

288,899

51,481

(63,752
)
(12,271
)
Agency RMBS
 

 

 

 

 

 

 

 

Pass-through
6,080,547

131,023

—

6,211,570

6,362,626

152,271

(1,215
)
151,056

Interest-only
1,539,941

139,536

—

139,536

127,667

220

(12,089
)
(11,869
)
Agency CMBS
 
 
 
 
 
 
 
 
Project loans
2,621,938

52,681

(4,961
)
2,669,658

2,801,692

132,700

(666
)
132,034

Interest-only
1,817,246

51,140

—

51,140

49,025

586

(2,701
)
(2,115
)
Total
$
22,419,481

$
687,503

$
(1,291,790
)
$
10,999,354

$
11,955,418

$
1,042,048

$
(85,984
)
$
956,064
Schedule of temporary impairment losses, investments
The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019. All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses.

 
 
 
March 31, 2020
 
 
 
 
 
 
 


(dollars in thousands)
 
 
 
 
 
 
 
Unrealized Loss Position for Less than 12 Months
 
Unrealized Loss Position for 12 Months or More
 
Total
 
Estimated Fair Value
Unrealized Losses
Number of Positions
 
Estimated Fair Value
Unrealized Losses
Number of Positions
 
Estimated Fair Value
Unrealized Losses
Number of Positions
Non-Agency RMBS
 
 
 
 
 
 
 
 
 
 
 
Senior
$
85,768

$
(2,286
)
14

 
$
—

$
—

—

 
$
85,768

$
(2,286
)
14

Subordinated
407,971

(80,429
)
32

 
1,435

(275
)
10

 
409,406

(80,704
)
42

Interest-only
75,692

(35,469
)
97

 
43,493

(66,776
)
66

 
119,185

(102,245
)
163

Agency RMBS
 

 



 


 

 

 
 

 

 

Pass-through
—

—

—

 
—

—

—

 
—

—

—

Interest-only
104,396

(28,624
)
23

 
1,250

(912
)
1

 
105,646

(29,536
)
24

Agency CMBS
 
 
 
 
 
 
 
 
 
 
 
Project loans
—

—

—

 
39,863

(115
)
3

 
39,863

(115
)
3

Interest-only
2,333

(196
)
3

 
8,809

(2,392
)
7

 
11,142

(2,588
)
10

Total
$
676,160

$
(147,004
)
169

 
$
94,850

$
(70,470
)
87

 
$
771,010

$
(217,474
)
256


 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
(dollars in thousands)
 
 
 
 
 
 
 
Unrealized Loss Position for Less than 12 Months
 
Unrealized Loss Position for 12 Months or More
 
Total
 
Estimated Fair Value
Unrealized Losses
Number of Positions
 
Estimated Fair Value
Unrealized Losses
Number of Positions
 
Estimated Fair Value
Unrealized Losses
Number of Positions
Non-Agency RMBS
 
 
 
 
 
 
 
 
 
 
 
Senior
$
—

$
—

—

 
$
31,635

$
(293
)
1

 
$
31,635

$
(293
)
1

Subordinated
69,178

(5,064
)
9

 
1,836

(204
)
11

 
71,014

(5,268
)
20

Interest-only
50,376

(22,737
)
46

 
64,129

(41,015
)
66

 
114,505

(63,752
)
112

Agency RMBS
 

 

 

 
 

 

 

 
 

 

 

Pass-through
11,398

(605
)
4

 
67,552

(610
)
5

 
78,950

(1,215
)
9

Interest-only
121,228

(12,089
)
22

 
—

—

—

 
121,228

(12,089
)
22

Agency CMBS
 
 
 
 
 
 
 
 
 
 
 
Project loans
41,971

(277
)
3

 
44,896

(389
)
4

 
86,867

(666
)
7

Interest-only
15,045

(295
)
6

 
9,930

(2,406
)
7

 
24,975

(2,701
)
13

Total
$
309,196

$
(41,067
)
90

 
$
219,978

$
(44,917
)
94

 
$
529,174

$
(85,984
)
184
Schedule of summary of credit loss allowance A summary of the credit loss allowance for the quarter ended March 31, 2020 is presented below.

 
For the Quarter Ended
 
March 31, 2020
 
(dollars in thousands)
Beginning balance of the allowance for credit losses on available-for-sale securities at the beginning of period
$
—

 
 
Transition impact from CECL standard
—

Additions to the allowance for credit losses on securities for which credit losses were not previously recorded
(6,314
)
Allowance on purchased financial assets with credit deterioration
—

Reductions for the securities sold during the period
—

Write-offs charged against the allowance
—

Recoveries of amounts previously written off
—


 
Ending balance of the allowance for credit losses on available-for-sale securities at the end of period
$
(6,314
)
Schedule of significant credit quality indicators
The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of March 31, 2020.
 
 
For the Quarter Ended
 
 
March 31, 2020
 
 
(dollars in thousands)
  
 
Prepay Rate
CDR
Loss Severity
  
Amortized Cost
Weighted Average
Weighted Average
Weighted Average
Non-Agency RMBS
 
 
 
 
Senior
165,966,737
6.0%
3.1%
50.8%
Subordinated
55,410,172
7.5%
0.9%
39.0%
Summary of unrealized gains and losses on MBS
The following tables present a summary of unrealized gains and losses at March 31, 2020 and December 31, 2019.
 
 
March 31, 2020
 
 
 
 
 
(dollars in thousands) 
 
 
 
 
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
Gross Unrealized Gain Included in Cumulative Earnings
Total Gross Unrealized Gain
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
Gross Unrealized Loss Included in Cumulative Earnings
Total Gross Unrealized Loss
Non-Agency RMBS
 
 
 
 
 
 
Senior
$
424,613

$
—

$
424,613

$
(2,286
)
$
—

$
(2,286
)
Subordinated
35,815

6,967

42,782

(6,817
)
(73,887
)
(80,704
)
Interest-only
—

41,151

41,151

—

(102,245
)
(102,245
)
Agency RMBS
 

 

 
 

 

 
Pass-through
—

—

—

—

—

—

Interest-only
—

—

—

—

(29,536
)
(29,536
)
Agency CMBS
 
 
 
 
 
 
Project loans
51,281

184,704

235,985

(115
)
—

(115
)
Interest-only
—

1,614

1,614

—

(2,588
)
(2,588
)
Total
$
511,709

$
234,436

$
746,145

$
(9,218
)
$
(208,256
)
$
(217,474
)
 
 
December 31, 2019
 
 
 
 
 
(dollars in thousands)  
 
 
 
 
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
Gross Unrealized Gain Included in Cumulative Earnings
Total Gross Unrealized Gain
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
Gross Unrealized Loss Included in Cumulative Earnings
Total Gross Unrealized Loss
Non-Agency RMBS
 
 
 
 
 
 
Senior
$
628,518

$
—

$
628,518

$
(293
)
$
—

$
(293
)
Subordinated
57,174

19,098

76,272

(55
)
(5,213
)
(5,268
)
Interest-only
—

51,481

51,481

—

(63,752
)
(63,752
)
Agency RMBS
 

 

 

 

 

 

Pass-through
—

152,271

152,271

—

(1,215
)
(1,215
)
Interest-only
—

220

220

—

(12,089
)
(12,089
)
Agency CMBS
 
 
 
 
 
 
Project loans
23,643

109,057

132,700

(651
)
(15
)
(666
)
Interest-only
—

586

586

—

(2,701
)
(2,701
)
Total
$
709,335

$
332,713

$
1,042,048

$
(999
)
$
(84,985
)
$
(85,984
)
Residential mortgage backed securities collateral characteristics
The following tables provide a summary of the Company’s MBS portfolio at March 31, 2020 and December 31, 2019.
 
March 31, 2020
 
Principal or Notional Value
at Period-End
(dollars in thousands)
Weighted Average Amortized
Cost Basis
Weighted Average Fair Value
Weighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS
 
 
 
 
Senior
$
1,924,284

$
52.14

73.81

4.8
%
17.3
%
Subordinated
900,396

62.97

58.66

3.8
%
6.8
%
Interest-only
6,931,077

4.14

3.26

1.3
%
11.5
%
Agency RMBS
 

 

 

 

 

Interest-only
1,484,016

9.11

7.12

1.6
%
4.1
%
Agency CMBS










Project loans
2,506,241

101.77

111.18

3.8
%
3.6
%
Interest-only
1,764,487

2.67

2.62

0.6
%
4.8
%
(1) Bond Equivalent Yield at period end.

 
December 31, 2019
 
Principal or Notional Value at Period-End
(dollars in thousands)
Weighted Average Amortized
Cost Basis
Weighted Average Fair Value
Weighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS
 
 
 
 
Senior
$
2,024,564

$
52.98

$
84.01

5.0
%
20.8
%
Subordinated
876,592

63.15

71.25

3.7
%
6.9
%
Interest-only
7,458,653

4.04

3.87

1.1
%
8.4
%
Agency RMBS
 

 

 

 

 

Pass-through
6,080,547

102.15

104.64

4.0
%
3.4
%
Interest-only
1,539,941

9.06

8.29

1.6
%
4.0
%
Agency CMBS










Project loans
2,621,938

101.82

106.86

3.7
%
3.6
%
Interest-only
1,817,246

2.81

2.70

0.7
%
4.7
%
(1) Bond Equivalent Yield at period end.
Credit ratings of residential MBS
The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at March 31, 2020 and December 31, 2019.
 
March 31, 2020
December 31, 2019

AAA
0.7
%
0.4
%
AA
0.1
%
0.1
%
A
1.0
%
0.9
%
BBB
1.7
%
1.6
%
BB
3.9
%
3.8
%
B
1.5
%
1.6
%
Below B or not rated
91.1
%
91.6
%
Total
100.0
%
100.0
%
Schedule of MBS by estimated weighted average life classification The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at March 31, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model
considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
 
March 31, 2020
 
(dollars in thousands) 
 
Weighted Average Life
 
Less than one year
Greater than one year and less
than five years
Greater than five years and less
than ten years
Greater than ten years
Total
Fair value
 
 
 
 
 
Non-Agency RMBS
 
 
 
 
 
Senior
$
9,861

$
344,239

$
559,033

$
507,091

$
1,420,224

Subordinated
—

29,670

112,528

385,980

528,178

Interest-only
—

113,900

109,067

3,031

225,998

Agency RMBS
 

 

 

 

 

Pass-through
—

—

—

—

—

Interest-only
—

1,250

104,394

—

105,644

Agency CMBS
 
 
 
 
 
Project loans
14,951

—

31,252

2,740,324

2,786,527

Interest-only
2,333

39,945

3,911

—

46,189

Total fair value
$
27,145

$
529,004

$
920,185

$
3,636,426

$
5,112,760

Amortized cost
 

 

 

 

 

Non-Agency RMBS
 
 

 

 

 

Senior
$
9,961

$
273,374

$
369,124

$
350,848

$
1,003,307

Subordinated
—

21,487

111,344

434,173

567,004

Interest-only
1,752

145,034

137,145

3,161

287,092

Agency RMBS
 

 

 

 

 

Pass-through
—

—

—

—

—

Interest-only
—

2,162

133,018

—

135,180

Agency CMBS
 
 
 
 
 
Project loans
14,981

—

28,646

2,507,030

2,550,657

Interest-only
2,529

40,879

3,755

—

47,163

Total amortized cost
$
29,223

$
482,936

$
783,032

$
3,295,212

$
4,590,403

 
December 31, 2019
 
(dollars in thousands)
 
Weighted Average Life
 
Less than one year
Greater than one year and less
than five years
Greater than five years and less
than ten years
Greater than ten years
Total
Fair value
 
 
 
 
 
Non-Agency RMBS
 
 
 
 
 
Senior
$
16,343

$
450,185

$
676,382

$
558,001

$
1,700,911

Subordinated
—

43,796

95,973

484,829

624,598

Interest-only
—

126,631

159,057

3,211

288,899

Agency RMBS
 

 

 

 

 

Pass-through
—

5,939,408

421,539

1,679

6,362,626

Interest-only
—

1,614

126,053

—

127,667

Agency CMBS
 
 
 
 
 
Project loans
15,065

—

29,385

2,757,242

2,801,692

Interest-only
—

20,528

28,497

—

49,025

Total fair value
$
31,408

$
6,582,162

$
1,536,886

$
3,804,962

$
11,955,418

Amortized cost
 

 

 

 

 

Non-Agency RMBS
 
 

 

 

 

Senior
$
15,206

$
304,850

$
409,958

$
342,672

$
1,072,686

Subordinated
—

29,085

86,033

438,476

553,594

Interest-only
—

150,221

148,889

2,060

301,170

Agency RMBS
 

 

 

 

 

Pass-through
—

5,796,044

414,482

1,044

6,211,570

Interest-only
—

2,260

137,276

—

139,536

Agency CMBS
 
 
 
 
 
Project loans
15,084

—

28,954

2,625,620

2,669,658

Interest-only
—

22,950

28,190

—

51,140

Total amortized cost
$
30,290

$
6,305,410

$
1,253,782

$
3,409,872

$
10,999,354
Schedule of collateral characteristics of underlying Mortgages of Non-Agency RMBS portfolio
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2020 and December 31, 2019.
 
March 31, 2020
December 31, 2019
Weighted average maturity (years)
 
23.3

 
23.6

Weighted average amortized loan to value (1)
 
62.7
%
 
63.2
%
Weighted average FICO (2)
 
718

 
719

Weighted average loan balance (in thousands)
 
$
308

 
$
313

Weighted average percentage owner occupied
 
81.1
%
 
80.6
%
Weighted average percentage single family residence
 
60.3
%
 
60.0
%
Weighted average current credit enhancement
 
0.9
%
 
1.1
%
Weighted average geographic concentration of top four states
CA
33.4
%
CA
32.5
%
 
FL
6.9
%
FL
6.6
%
 
NY
6.8
%
NY
6.3
%
 
TX
2.1
%
TX
2.0
%
(1) Value represents appraised value of the collateral at the time of loan origination.
(2) FICO as determined at the time of loan origination.
Schedule of percentage of Non-Agency RMBS by year originated
The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at March 31, 2020 and December 31, 2019.
Origination Year
March 31, 2020
December 31, 2019

2003 and prior
1.1
%
1.3
%
2004
1.7
%
1.5
%
2005
10.9
%
10.7
%
2006
52.5
%
52.9
%
2007
26.8
%
26.6
%
2008 and later
7.0
%
7.0
%
Total
100.0
%
100.0
%
Schedule of gains and losses from sales of investments The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2020 and 2019 are as follows:

 
For the Quarters Ended
 
March 31, 2020
March 31, 2019
 
(dollars in thousands)
Proceeds from sales:
 
 
Non-Agency RMBS
33,797

4,430

Agency RMBS
5,710,134

1,482,369

Agency CMBS
105,017

22,482

 
 
 
Gross realized gains:
 
 
Non-Agency RMBS
1,256

285

Agency RMBS
74,264

27,012

Agency CMBS
6,150

—

Gross realized losses:
 
 
Non-Agency RMBS
—

(1,320
)
Agency RMBS
(5,816
)
(15,149
)
Agency CMBS
—

(2,225
)
Net realized gain (loss)
$
75,854

$
8,603