Investments in RMBS (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2019

					Gross Unrealized									Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
RMBS
Fannie Mae	$	1,878,229	$	1,596,288	$	23,636	$	(691	)	$	1,619,233		198	(B)		3.80	%		3.65	%		27
Freddie Mac		824,991		715,892		12,204		(245	)		727,851		88	(B)		3.72	%		3.59	%		28
CMOs		127,229		123,053		6,030		-			129,083		30	(B)		5.28	%		5.26	%		11
Private Label MBS		50,500		31,595		598		-			32,193		11	(B)		4.06	%		4.06	%		29
Total/Weighted Average	$	2,880,949	$	2,466,828	$	42,468	$	(936	)	$	2,508,360		327			3.85	%		3.72	%		26

As of December 31, 2018

					Gross Unrealized									Weighted Average
Asset Type	Original FaceValue		Book Value		Gains		Losses			Carrying Value^(A)		Number 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		100,129		99,023		5,060		(583	)		103,500		23	(B)		6.30	%		6.29	%		11
Private Label MBS		30,500		29,395		76		(33	)		29,438		7	(B)		4.10	%		4.11	%		29
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. Collateralized mortgage obligations (“CMOs”) issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by unpaid principal balance (“UPB”), are unrated or rated below investment grade at December 31, 2019 by at least one NRSRO. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 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 December 31, 2019

					Gross Unrealized									Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
1-5 Years	$	1,500		895		64		-			959		1	(B)		6.34	%		6.34	%		04
5-10 Years		64,579		61,935		4,153		-			66,088		13	(B)		5.85	%		5.81	%		09
Over 10 Years		2,814,870		2,403,998		38,251		(936	)		2,441,313		313	(B)		3.80	%		3.66	%		27
Total/Weighted Average	$	2,880,949	$	2,466,828	$	42,468	$	(936	)	$	2,508,360		327			3.85	%		3.72	%		26

As of December 31, 2018

					Gross Unrealized										Weighted Average
Years to Maturity	Original Face Value		Book Value			Gains		Losses			Carrying Value^(A)		Number 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, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSRO. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 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 December 31, 2019

												Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than Twelve Months	$	55,588	$	55,429	$	(105	)	$	55,324		5	(B)		3.70	%		3.53	%		29
Twelve or More Months		169,346		131,540		(831	)		130,709		23	(B)		3.76	%		3.54	%		25
Total/Weighted Average	$	224,934	$	186,969	$	(936	)	$	186,033		28			3.74	%		3.54	%		26

As of December 31, 2018

												Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross 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)	The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSRO. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 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. 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.