Investments in RMBS (Tables)

9 Months Ended

Sep. 30, 2019

All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income (loss) except for securities that are OTTI (dollars in thousands):

Summary of RMBS Assets

As of September 30, 2019

	Original				Gross Unrealized									Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
RMBS
Fannie Mae	$	1,835,342	$	1,598,859	$	20,154	$	(1,668	)	$	1,617,345		200	(B)		3.82	%		3.67	%		26
Freddie Mac		799,247		692,286		10,328		(478	)		702,136		86	(B)		3.74	%		3.60	%		27
CMOs		171,229		157,306		6,450		-			163,756		39	(B)		5.15	%		5.45	%		16
Total/Weighted Average	$	2,805,818	$	2,448,451	$	36,932	$	(2,146	)	$	2,483,237		325			3.89	%		3.77	%		26

As of December 31, 2018

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
RMBS
Fannie Mae	$	1,362,606	$	1,208,854	$	224	$	(30,914	)	$	1,178,164		154	(B)		3.87	%		3.70	%		25
Freddie Mac		548,862		471,148		246		(12,386	)		459,008		63	(B)		3.75	%		3.60	%		27
CMOs		130,629		128,418		5,136		(616	)		132,938		30	(B)		5.79	%		5.78	%		15
Total/Weighted Average	$	2,042,097	$	1,808,420	$	5,606	$	(43,916	)	$	1,770,110		247			3.98	%		3.82	%		25

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, the majority of which, by unpaid principal balance (“UPB”), are unrated or rated below investment grade at September 30, 2019 by at least one NRSRO. The Company’s private label securities are rated investment grade by at least one NRSRO as of September 30, 2019.

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

(D)	The weighted average maturity is based on the timing of expected principal reduction on the assets.

Summary of RMBS Investments by Maturity

Summary of RMBS Assets by Maturity

As of September 30, 2019

	Original				Gross Unrealized							Number		Weighted Average
Years to Maturity	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
5-10 Years	$	54,918	$	47,742	$	2,287	$	-		$	50,029		14	(B)		5.78	%		6.14	%		09
Over 10 Years		2,750,900		2,400,709		34,645		(2,146	)		2,433,208		311	(B)		3.85	%		3.72	%		26
Total/Weighted Average	$	2,805,818	$	2,448,451	$	36,932	$	(2,146	)	$	2,483,237		325			3.89	%		3.77	%		26

As of December 31, 2018

	Original				Gross Unrealized							Number		Weighted Average
Years to Maturity	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
5-10 Years	$	24,377	$	15,100	$	731	$	(134	)	$	15,697		7	(B)		4.97	%		4.93	%		09
Over 10 Years		2,017,720		1,793,320		4,875		(43,782	)		1,754,413		240	(B)		3.97	%		3.81	%		25
Total/Weighted Average	$	2,042,097	$	1,808,420	$	5,606	$	(43,916	)	$	1,770,110		247			3.98	%		3.82	%		25

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, the majority of which, by UPB, are unrated or rated below investment grade at September 30, 2019 by at least one NRSRO. The Company’s private label securities are rated investment grade by at least one NRSRO as of September 30, 2019.

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

(D)	The weighted average maturity is based on the timing of expected principal reduction on the assets.

Summary of RMBS Securities in an Unrealized Loss Position

The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):

RMBS Unrealized Loss Positions

As of September 30, 2019

	Original				Gross							Weighted Average
Duration in Loss Position	Face Value		Book Value		Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than Twelve Months	$	197,867	$	183,984	$	(355	)	$	183,629		22	(B)		3.70	%		3.52	%		28
Twelve or More Months		233,284		185,355		(1,791	)		183,564		33	(B)		3.72	%		3.50	%		24
Total/Weighted Average	$	431,151	$	369,339	$	(2,146	)	$	367,193		55			3.71	%		3.51	%		26

As of December 31, 2018

	Original				Gross							Weighted Average
Duration in Loss Position	Face Value		Book Value		Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than Twelve Months	$	256,937	$	224,617	$	(1,563	)	$	223,054		28	(B)		4.26	%		4.14	%		24
Twelve or More Months		1,512,169		1,321,115		(42,353	)		1,278,762		181	(B)		3.78	%		3.60	%		25
Total/Weighted Average	$	1,769,106	$	1,545,732	$	(43,916	)	$	1,501,816		209			3.85	%		3.68	%		25

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

(D)

The weighted average maturity is based on the timing of expected principal reduction on the assets. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.