XML 101 R29.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Mortgage-Backed Securities and other securities (Tables)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Summary of certain information about the Company's investment portfolio
The following tables present certain information about the Company's investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):
 
December 31, 2019
 
Principal
Balance
 
Unamortized
Premium
(Discount),
net
 
Discount
Designated as
Credit Reserve and
OTTI
 
Amortized
Cost
 
Unrealized
Gain
 
Unrealized Loss
 
Estimated
Fair Value
 
Net
Weighted
Average
Coupon
Agency CMBS
$
1,347,929

 
$
26,514

 
$
—

 
$
1,374,443

 
$
66,832

 
$
(5,798
)
 
$
1,435,477

 
3.4
%
Agency CMBS Interest-Only Strips, accounted for as derivatives(1)(2)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
3,092

 
0.4
%
Subtotal Agency CMBS
1,347,929

 
26,514

 
—

 
1,374,443

 
66,832

 
(5,798
)
 
1,438,569

 
3.1
%
Agency RMBS
327,814

 
5,473

 
—

 
333,287

 
7,484

 
—

 
340,771

 
3.5
%
Agency RMBS Interest-Only Strips(1)
N/A

 
N/A

 
N/A

 
8,661

 
1,820

 
(138
)
 
10,343

 
2.8
%
Agency RMBS Interest-Only Strips, accounted for as derivatives(1)(2)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
5,572

 
3.0
%
Subtotal Agency RMBS
327,814

 
5,473

 
—

 
341,948

 
9,304

 
(138
)
 
356,686

 
3.3
%
Total Agency MBS
1,675,743

 
31,987

 
—

 
1,716,391

 
76,136

 
(5,936
)
 
1,795,255

 
3.1
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
52,767

 
4,492

 
(20,256
)
 
37,003

 
1,388

 
(260
)
 
38,131

 
4.8
%
Non-Agency RMBS Interest- Only Strips(1)
N/A

 
 N/A

 
 N/A

 
7,705

 
636

 
(658
)
 
7,683

 
0.6
%
Subtotal Non-Agency RMBS
52,767

 
4,492

 
(20,256
)
 
44,708

 
2,024

 
(918
)
 
45,814

 
1.0
%
Non-Agency CMBS
354,458

 
(17,909
)
 
(22,016
)
 
314,533

 
6,359

 
(4,873
)
 
316,019

 
5.1
%
Total Non-Agency MBS
407,225

 
(13,417
)
 
(42,272
)
 
359,241

 
8,383

 
(5,791
)
 
361,833

 
2.7
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities(3)
71,896

 
(2,437
)
 
(6,203
)
 
73,975

 
6,392

 
(206
)
 
80,161

 
6.7
%
Total
$
2,154,864

 
$
16,133

 
$
(48,475
)
 
$
2,149,607

 
$
90,911

 
$
(11,933
)
 
$
2,237,249

 
3.1
%

 
December 31, 2018
 
Principal
Balance
 
Unamortized
Premium
(Discount),
net
 
Discount
Designated as
Credit Reserve and
OTTI
 
Amortized
Cost
 
Unrealized Gain
 
Unrealized
Loss
 
Estimated
Fair Value
 
Net
Weighted
Average
Coupon
Agency CMBS
$
1,493,675

 
$
5,820

 
$
—

 
$
1,499,495

 
$
12,083

 
$
(29,594
)
 
$
1,481,984

 
3.3
%
Agency CMBS Interest-Only Strips, accounted for as derivatives(1)(2)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
4,158

 
0.4
%
Subtotal Agency CMBS
1,493,675

 
5,820

 
—

 
1,499,495

 
12,083

 
(29,594
)
 
1,486,142

 
3.0
%
Agency RMBS Interest-Only Strips(1)
N/A

 
N/A

 
N/A

 
11,480

 
1,062

 
(407
)
 
12,135

 
2.2
%
Agency RMBS Interest-Only Strips, accounted for as derivatives(1)(2)
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
N/A

 
7,702

 
2.9
%
Subtotal Agency RMBS
—

 
—

 
—

 
11,480

 
1,062

 
(407
)
 
19,837

 
2.5
%
Total Agency MBS
1,493,675

 
5,820

 
—

 
1,510,975

 
13,145

 
(30,001
)
 
1,505,979

 
2.9
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
54,887

 
6,909

 
(23,731
)
 
38,065

 
961

 
—

 
39,026

 
4.8
%
Non-Agency RMBS Interest- Only Strips(1)
N/A

 
N/A

 
N/A

 
11,154

 
382

 
(7
)
 
11,529

 
0.6
%
Subtotal Non-Agency RMBS
54,887

 
6,909

 
(23,731
)
 
49,219

 
1,343

 
(7
)
 
50,555

 
1.0
%
Non-Agency CMBS
240,431

 
(20,317
)
 
(22,189
)
 
197,925

 
5,021

 
(2,645
)
 
200,301

 
5.9
%
Total Non-Agency MBS
295,318

 
(13,408
)
 
(45,920
)
 
247,144

 
6,364

 
(2,652
)
 
250,856

 
2.4
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities(3)
47,042

 
(1,129
)
 
(7,603
)
 
55,284

 
5,012

 
(390
)
 
59,906

 
9.0
%
Total
$
1,836,035

 
$
(8,717
)
 
$
(53,523
)
 
$
1,813,403

 
$
24,521

 
$
(33,043
)
 
$
1,816,741

 
2.9
%
 

(1)
IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, and Agency CMBS IOs and IIOs, accounted for as derivatives was $121.7 million, $442.4 million, $64.8 million and $160.2 million, respectively. At December 31, 2018, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $158.8 million, $519.9 million, $89.8 million, $172.2 million, respectively.
(2)
Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
(3)
Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $10.7 million and $17.0 million, as of December 31, 2019 and December 31, 2018, respectively.
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities
The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2019, December 31, 2018 and December 31, 2017 (dollars in thousands):

 
Year ended December 31, 2019
 
Year ended December 31, 2018
 
Year ended December 31, 2017
 
Discount Designated as
Credit Reserve and OTTI
 
Accretable Discount(1)
 
Amortizable Premium(1)
 
Discount Designated as
Credit Reserve and OTTI
 
Accretable Discount(1)
 
Amortizable Premium(1)
 
Discount Designated as
Credit Reserve and
OTTI
 
Accretable Discount(1)
 
Amortizable Premium(1)
Balance at beginning of period
$
(53,523
)
 
$
(29,465
)
 
$
14,928

 
$
(72,915
)
 
$
(68,438
)
 
$
20,872

 
$
(130,484
)
 
$
(109,822
)
 
$
44,527

Accretion of discount
—

 
4,364

 
—

 
—

 
7,137

 
—

 
—

 
10,715

 
—

Amortization of premium
—

 
—

 
(1,215
)
 
—

 
—

 
(675
)
 
—

 
—

 
(843
)
Realized credit losses
7,290

 
—

 
—

 
5,863

 
—

 
—

 
2,391

 
—

 
—

Purchases
(28
)
 
(7,953
)
 
819

 
(7,182
)
 
(6,473
)
 
435

 
(19,385
)
 
(1,205
)
 
7,259

Sales
26,706

 
—

 
(19,640
)
 
32,301

 
40,338

 
(9,590
)
 
89,628

 
33,166

 
(31,118
)
Net impairment losses recognized in earnings
(6,612
)
 
—

 
—

 
(9,733
)
 
—

 
—

 
(15,310
)
 
—

 
—

Transfers/release of credit reserve(2)
(22,308
)
 
2,889

 
19,419

 
(1,857
)
 
(2,029
)
 
3,886

 
245

 
(1,292
)
 
1,047

Balance at end of period
$
(48,475
)
 
$
(30,165
)
 
$
14,311

 
$
(53,523
)
 
$
(29,465
)
 
$
14,928

 
$
(72,915
)
 
$
(68,438
)
 
$
20,872

 

(1)
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
(2)
Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium.
Schedule of the fair value and contractual maturities of the Company's investment securities
The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2019 and December 31, 2018 (dollars in thousands):
 
December 31, 2019
 
< or equal to 10
years
 
> 10 years and < or
equal to 20 years
 
> 20 years and < or
equal to 30 years
 
> 30 years
 
Total
Agency CMBS
$
973,189

 
$
462,288

 
$
—

 
$
—

 
$
1,435,477

Agency CMBS Interest-Only Strips, accounted for as derivatives
—

 
—

 
—

 
3,092

—

3,092

Agency RMBS
—

 
—

 
340,771

 
—

 
340,771

Agency RMBS Interest-Only Strips
2,413

 
1,966

 
5,964

 
—

 
10,343

Agency RMBS Interest-Only Strips, accounted for as derivatives
669

 
3,893

 
1,010

 
—

 
5,572

Subtotal Agency
976,271

 
468,147

 
347,745

 
3,092

 
1,795,255

 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
—

 
—

 
8,966

 
29,165

 
38,131

Non-Agency RMBS Interest-Only Strips
—

 
—

 
1,716

 
5,967

 
7,683

Non-Agency CMBS
89,782

 
125,282

 
92,610

 
8,345

 
316,019

Subtotal Non-Agency
89,782

 
125,282

 
103,292

 
43,477

 
361,833

 
 
 
 
 
 
 
 
 
 
Other securities
25,824

 
31,823

 
2,768

 
19,746

 
80,161

Total
$
1,091,877

 
$
625,252

 
$
453,805

 
$
66,315

 
$
2,237,249

 
December 31, 2018
 
< or equal to 10
years
 
> 10 years and < or
equal to 20 years
 
> 20 years and < or
equal to 30 years
 
> 30 years
 
Total
Agency CMBS
$
1,101,820

 
$
380,164

 
$
—

 
$
—

 
$
1,481,984

Agency CMBS Interest-Only Strips, accounted for as derivatives
—

 
—

 
—

 
4,158

 
4,158

Agency RMBS Interest-Only Strips
3,577

 
2,402

 
6,156

 
—

 
12,135

Agency RMBS Interest-Only Strips, accounted for as derivatives
1,089

 
4,053

 
2,560

 
—

 
7,702

Subtotal Agency
1,106,486

 
386,619

 
8,716

 
4,158

 
1,505,979

 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
—

 
—

 
8,540

 
30,486

 
39,026

Non-Agency RMBS Interest-Only Strips
—

 
—

 
4,310

 
7,219

 
11,529

Non-Agency CMBS
28,754

 
53,653

 
72,921

 
44,973

 
200,301

Subtotal Non-Agency
28,754

 
53,653

 
85,771

 
82,678

 
250,856

 
 
 
 
 
 
 
 
 
 
Other securities
7,698

 
26,020

 
—

 
26,188

 
59,906

Total
$
1,142,938

 
$
466,292

 
$
94,487

 
$
113,024

 
$
1,816,741
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position
The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and December 31, 2018 (dollars in thousands):
 
December 31, 2019
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
Agency CMBS
$
214,084

 
$
(5,798
)
 
16

 
$
—

 
$
—

 
—

 
$
214,084

 
$
(5,798
)
 
16

Agency RMBS Interest-Only Strips
1,376

 
(43
)
 
4

 
1,828

 
(95
)
 
7

 
3,204

 
(138
)
 
11

Subtotal Agency
215,460

 
(5,841
)
 
20

 
1,828

 
(95
)
 
7

 
217,288

 
(5,936
)
 
27

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
13,214

 
(260
)
 
1

 
—

 
—

 
—

 
13,214

 
(260
)
 
1

Non-Agency RMBS Interest-Only Strips
1,716

 
(658
)
 
1

 
—

 
—

 
—

 
1,716

 
(658
)
 
1

Non-Agency CMBS
171,650

 
(4,302
)
 
31

 
18,069

 
(571
)
 
4

 
189,719

 
(4,873
)
 
35

Subtotal Non-Agency
186,580

 
(5,220
)
 
33

 
18,069

 
(571
)
 
4

 
204,649

 
(5,791
)
 
37

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities
10,512

 
(206
)
 
2

 
—

 
—

 
—

 
10,512

 
(206
)
 
2

Total
$
412,552

 
$
(11,267
)
 
55

 
$
19,897

 
$
(666
)
 
11

 
$
432,449

 
$
(11,933
)
 
66

 
December 31, 2018
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair Value
 
Unrealized
Losses
 
Number
of
Securities
Agency CMBS
$
29,413

 
$
(307
)
 
3

 
$
879,549

 
$
(29,287
)
 
72

 
$
908,962

 
$
(29,594
)
 
75

Agency RMBS Interest-Only Strips
3,277

 
(124
)
 
7

 
3,917

 
(283
)
 
9

 
7,194

 
(407
)
 
16

Subtotal Agency
32,690

 
(431
)
 
10

 
883,466

 
(29,570
)
 
81

 
916,156

 
(30,001
)
 
91

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-Agency RMBS
—

 
—

 
—

 
500

 
—

 
1

 
500

 
—

 
1

Non-Agency RMBS Interest-Only Strips
957

 
(7
)
 
2

 
—

 
—

 
—

 
957

 
(7
)
 
2

Non-Agency CMBS
65,339

 
(712
)
 
7

 
19,323

 
(1,933
)
 
3

 
84,662

 
(2,645
)
 
10

Subtotal Non-Agency
66,296

 
(719
)
 
9

 
19,823

 
(1,933
)
 
4

 
86,119

 
(2,652
)
 
13

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other securities
15,208

 
(390
)
 
2

 
—

 
—

 
—

 
15,208

 
(390
)
 
2

Total
$
114,194

 
$
(1,540
)
 
21

 
$
903,289

 
$
(31,503
)
 
85

 
$
1,017,483

 
$
(33,043
)
 
106
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio
The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands):
 
For the year ended December 31, 2019
 
For the year ended December 31, 2018
 
For the year ended December 31, 2017
Agency RMBS(1)
$
74

 
$
807

 
$
5,774

Non-Agency RMBS
1,331

 
996

 
—

Non-Agency CMBS
6,565

 
8,660

 
15,117

Other securities
604

 
717

 
1,982

Total
$
8,574

 
$
11,180

 
$
22,873


 

(1)
Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable.
Summary of the components of interest income on the Company's MBS and other securities
The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively (dollars in thousands):
 
For the year ended December 31, 2019
 
For the year ended December 31, 2018
 
For the year ended December 31, 2017
 
Coupon
Interest
 
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
 
Interest
Income
 
Coupon
Interest
 
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
 
Interest
Income
 
Coupon
Interest
 
Net (Premium
Amortization/
Amortization
Basis)
Discount
Amortization
 
Interest
Income
Agency CMBS
$
51,286

 
$
(2,327
)
 
$
48,959

 
$
60,148

 
$
(646
)
 
$
59,502

 
$
40,064

 
$
507

 
$
40,571

Agency RMBS
12,181

 
(3,053
)
 
9,128

 
19,507

 
(5,092
)
 
14,415

 
38,108

 
(13,058
)
 
25,050

Non-Agency RMBS
4,682

 
(2,214
)
 
2,468

 
7,120

 
(1,073
)
 
6,047

 
5,602

 
525

 
6,127

Non-Agency CMBS
14,178

 
4,017

 
18,195

 
20,058

 
6,366

 
26,424

 
19,179

 
8,276

 
27,455

Other securities
11,633

 
(6,472
)
 
5,161

 
14,805

 
(6,371
)
 
8,434

 
8,280

 
1,559

 
9,839

Total
$
93,960

 
$
(10,049
)
 
$
83,911

 
$
121,638

 
$
(6,816
)
 
$
114,822

 
$
111,233

 
$
(2,191
)
 
$
109,042
Schedule of sales and realized gains (loss) of the Company's MBS and other securities
The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2019, December 31, 2018 and December 31, 2017, respectively (dollars in thousands):
 
For the year ended December 31, 2019
 
Proceeds
 
Gross
Gains
 
Gross
Losses
 
Net
Gain (Loss)
Agency CMBS
$
891,072

 
$
32,793

 
$
(4,190
)
 
$
28,603

Agency RMBS
205,310

 
1,559

 
—

 
1,559

Non-Agency CMBS
40,235

 
317

 
(1,624
)
 
(1,307
)
Total
$
1,136,617

 
$
34,669

 
$
(5,814
)
 
$
28,855


 
For the year ended December 31, 2018
 
Proceeds
 
Gross
Gains
 
Gross
Losses
 
Net
Gain (Loss)
Agency CMBS
$
1,534,967

 
$
—

 
$
(51,045
)
 
$
(51,045
)
Agency RMBS
589,854

 
18

 
(23,997
)
 
(23,979
)
Non-Agency RMBS
99,842

 
7,008

 
(478
)
 
6,530

Non-Agency CMBS
140,292

 
3,086

 
(6,201
)
 
(3,115
)
Other securities
65,099

 
8,400

 
—

 
8,400

Total
$
2,430,054

 
$
18,512

 
$
(81,721
)
 
$
(63,209
)

 
For the year ended December 31, 2017
 
Proceeds
 
Gross
Gains
 
Gross
Losses
 
Net
Gain (Loss)
Agency RMBS(1)
$
1,251,985

 
$
5,020

 
$
(7,936
)
 
$
(2,916
)
Non-Agency RMBS(2)
243,838

 
24,356

 
(2,241
)
 
22,115

Non-Agency CMBS
54,875

 
2,543

 
(1,803
)
 
740

Other securities
38,447

 
713

 
(54
)
 
659

Total
$
1,589,145

 
$
32,632

 
$
(12,034
)
 
$
20,598

 

(1)
Excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and gross realized gains of approximately $432 thousand.
(2)
Excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million, gross realized gains of $274 thousand and gross realized losses of $180 thousand.