
December 31, 2022
(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	$	1,153,458	$	7,377	$	(624,803)	$	536,032	$	(4,418)	$	761,808	$	237,127	$	(6,933)	$	230,194
Subordinated	439,591		3,872		(139,142)		304,321		(2,770)		286,909		22,035		(36,677)		(14,642)
Interest-only	3,286,545		162,820		—		162,820		—		98,764		15,968		(80,024)		(64,056)
Agency RMBS

Interest-only	409,940		18,768		—		18,768		—		15,148		1,371		(4,991)		(3,620)
Agency CMBS
Project loans	302,685		5,805		(192)		308,298		—		289,418		—		(18,880)		(18,880)
Interest-only	2,669,396		139,738		—		139,738		—		126,378		1,654		(15,014)		(13,360)
Total	$	8,261,615	$	338,380	$	(764,137)	$	1,469,977	$	(7,188)	$	1,578,425	$	278,155	$	(162,519)	$	115,636



December 31, 2021
(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	$	1,283,788	$	5,906	$	(673,207)	$	616,487	$	(212)	$	985,682	$	369,913	$	(506)	$	369,407
Subordinated	845,432		5,179		(274,843)		575,768		(1)		652,025		99,240		(22,982)		76,258
Interest-only	3,904,665		191,230		—		191,230		—		172,501		36,512		(55,241)		(18,729)
Agency RMBS

Interest-only	992,978		102,934		—		102,934		—		60,487		—		(42,447)		(42,447)
Agency CMBS
Project loans	560,565		10,812		(879)		570,498		—		614,419		43,921		—		43,921
Interest-only	2,578,640		147,024		—		147,024		—		146,789		3,044		(3,279)		(235)
Total	$	10,166,068	$	463,085	$	(948,929)	$	2,203,941	$	(213)	$	2,631,903	$	552,630	$	(124,455)	$	428,175

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 December 31, 2022 and December 31, 2021. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.


December 31, 2022
(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	$	83,553	$	(6,170)	13	$	7,577	$	(763)	1	$	91,130	$	(6,933)	14
Subordinated	161,959		(27,120)		28	37,025		(9,557)		8	198,984		(36,677)		36
Interest-only	41,890		(24,411)		79	15,213		(55,613)		50	57,103		(80,024)		129
Agency RMBS

Interest-only	6,062		(500)		4	2,825		(4,491)		4	8,887		(4,991)		8
Agency CMBS
Project loans	281,307		(18,880)		131	—		—		—	281,307		(18,880)		131
Interest-only	81,472		(10,503)		5	35,234		(4,511)		3	116,706		(15,014)		8
Total	$	656,243	$	(87,584)	260	$	97,874	$	(74,935)	66	$	754,117	$	(162,519)	326



December 31, 2021
(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	$	30,846	$	(506)	2	$	—	$	—	—	$	30,846	$	(506)	2
Subordinated	36,942		(657)		7	28,371		(22,325)		9	65,313		(22,982)		16
Interest-only	11,872		(1,958)		24	30,474		(53,283)		56	42,346		(55,241)		80
Agency RMBS

Interest-only	5,003		(1,215)		4	55,486		(41,232)		21	60,489		(42,447)		25
Agency CMBS

Interest-only	131,551		(3,164)		7	491		(115)		1	132,042		(3,279)		8
Total	$	216,214	$	(7,500)	44	$	114,822	$	(116,955)	87	$	331,036	$	(124,455)	131

At December 31, 2022, the Company did not intend to sell any of its Agency and Non-Agency MBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of December 31, 2022.

The Company had $3 million gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of December 31, 2022. There were no such losses on its Agency MBS as of December 31, 2021. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2022 unrealized losses on its Agency MBS were temporary.

Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $20 million and $506 thousand, at December 31, 2022 and December 31, 2021, respectively. After evaluating the securities and recording any allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be

forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.

The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the years ended December 31, 2022 and 2021 is presented below.


	For the Year Ended
		December 31, 2022		December 31, 2021
	(dollars in thousands)
Beginning allowance for credit losses		$	213	$	180


Additions to the allowance for credit losses on securities for which credit losses were not previously recorded		3,515		475
Allowance on purchased financial assets with credit deterioration		—		—
Reductions for the securities sold during the period		—		—
Increase/(decrease) on securities with an allowance in the prior period		4,525		(830)
Write-offs charged against the allowance		(1,204)		(86)
Recoveries of amounts previously written off		139		474

Ending allowance for credit losses		$	7,188	$	213



	December 31, 2022
		(dollars in thousands)
		Prepay Rate	CDR	Loss Severity
	Amortized Cost	Weighted Average	Weighted Average	Weighted Average
Non-Agency RMBS
Senior	88,062	7.5%	2.4%	39.7%
Subordinated	66,914	9.2%	0.4%	40.9%



	December 31, 2021
		(dollars in thousands)
		Prepay Rate	CDR	Loss Severity
	Amortized Cost	Weighted Average	Weighted Average	Weighted Average
Non-Agency RMBS
Senior	6,941	2.4%	5.1%	60.9%
Subordinated	1	10.0%	0.3%	30.0%

The increase in the allowance for credit losses for the year ended December 31, 2022 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2021. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.


			December 31, 2022
			(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	$	237,127	$	—	$	237,127	$	(5,132)	$	(1,801)	$	(6,933)
Subordinated	14,600		7,435		22,035		(14,418)		(22,259)		(36,677)
Interest-only	—		15,968		15,968		—		(80,024)		(80,024)
Agency RMBS

Interest-only	—		1,371		1,371		—		(4,991)		(4,991)
Agency CMBS
Project loans	—		—		—		(2,832)		(16,048)		(18,880)
Interest-only	—		1,654		1,654		—		(15,014)		(15,014)
Total	$	251,727	$	26,428	$	278,155	$	(22,382)	$	(140,137)	$	(162,519)


			December 31, 2021
			(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	$	369,913	$	—	$	369,913	$	(506)	$	—	$	(506)
Subordinated	33,587		65,653		99,240		—		(22,982)		(22,982)
Interest-only	—		36,512		36,512		—		(55,241)		(55,241)
Agency RMBS

Interest-only	—		—		—		—		(42,447)		(42,447)
Agency CMBS
Project loans	2,060		41,861		43,921		—		—		—
Interest-only	—		3,044		3,044		—		(3,279)		(3,279)
Total	$	405,560	$	147,070	$	552,630	$	(506)	$	(123,949)	$	(124,455)

Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.


	December 31, 2022
	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	$	1,153,458	$	46.09	66.05	5.3	%	16.4	%
Subordinated	439,591		68.60		65.27	4.2	%	6.8	%
Interest-only	3,286,545		4.95		3.01	0.6	%	5.3	%
Agency RMBS

Interest-only	409,940		4.58		3.70	0.9	%	5.0	%
Agency CMBS
Project loans	302,685		101.85		95.62	4.3	%	4.1	%
Interest-only	2,669,396		5.23		4.73	0.7	%	3.4	%


	December 31, 2021
	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	$	1,283,788	$	48.02	$	76.78	4.5	%	18.0	%
Subordinated	845,432		68.10		77.12		3.8	%	7.1	%
Interest-only	3,904,665		4.90		4.42		1.7	%	13.2	%
Agency RMBS

Interest-only	992,978		10.37		6.09		1.3	%	0.3	%
Agency CMBS
Project loans	560,565		101.77		109.61		4.3	%	4.1	%
Interest-only	2,578,640		5.70		5.69		0.7	%	4.6	%

Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2022 and December 31, 2021 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 the Company's prepayment assumptions for the Agency MBS and 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.


	December 31, 2022
	(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	$	6,727	$	152,811	$	308,351	$	293,919	$	761,808
Subordinated	3,957		6,829		113,903		162,220		286,909
Interest-only	205		30,780		65,038		2,741		98,764
Agency RMBS

Interest-only	—		—		15,148		—		15,148
Agency CMBS
Project loans	8,112		—		—		281,306		289,418
Interest-only	139		126,239		—		—		126,378
Total fair value	$	19,140	$	316,659	$	502,440	$	740,186	$	1,578,425
Amortized cost
Non-Agency RMBS
Senior	$	6,336	$	122,916	$	206,615	$	200,165	$	536,032
Subordinated	1,184		5,008		118,700		179,429		304,321
Interest-only	6,249		64,172		89,266		3,133		162,820
Agency RMBS

Interest-only	—		—		18,768		—		18,768
Agency CMBS
Project loans	8,112		—		—		300,186		308,298
Interest-only	200		139,538		—		—		139,738
Total amortized cost	$	22,081	$	331,634	$	433,349	$	682,913	$	1,469,977


	December 31, 2021
	(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	$	3,186	$	279,222	$	318,684	$	384,590	$	985,682
Subordinated	3,303		149,089		276,979		222,654		652,025
Interest-only	2,300		140,558		29,642		1		172,501
Agency RMBS

Interest-only	—		—		60,487		—		60,487
Agency CMBS
Project loans	8,388		—		—		606,031		614,419
Interest-only	1,335		141,997		3,457		—		146,789
Total fair value	$	18,512	$	710,866	$	689,249	$	1,213,276	$	2,631,903
Amortized cost
Non-Agency RMBS
Senior	$	2,349	$	194,506	$	190,030	$	229,602	$	616,487
Subordinated	1		129,063		244,103		202,601		575,768
Interest-only	27,764		140,757		22,648		61		191,230
Agency RMBS

Interest-only	—		—		102,934		—		102,934
Agency CMBS
Project loans	8,388		—		—		562,110		570,498
Interest-only	1,540		142,290		3,194		—		147,024
Total amortized cost	$	40,042	$	606,616	$	562,909	$	994,374	$	2,203,941

The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses.


	December 31, 2022				December 31, 2021
Weighted average maturity (years)		21.4				21.4
Weighted average amortized loan to value (1)		58.2		%		60.3		%
Weighted average FICO (2)		713				706
Weighted average loan balance (in thousands)		$	258			$	259
Weighted average percentage owner-occupied		84.4		%		84.0		%
Weighted average percentage single family residence		61.4		%		62.7		%
Weighted average current credit enhancement		1.1		%		1.2		%
Weighted average geographic concentration of top four states	CA	32.7		%	CA	31.2		%
	NY	11.3		%	NY	10.4		%
	FL	7.6		%	FL	8.0		%
	NJ	4.5		%	NJ	4.6		%

Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2022, 2021, and 2020 are as follows:


	For the Year Ended
		December 31, 2022		December 31, 2021		December 31, 2020
	(dollars in thousands)
Proceeds from sales:
Non-Agency RMBS		23,056		47,877		166,747
Agency RMBS		42,502		626		5,710,134
Agency CMBS		—		201,037		1,060,987

Gross realized gains:
Non-Agency RMBS		—		37,742		22,021
Agency RMBS		—		—		74,264
Agency CMBS		—		13,735		88,929
Gross realized losses:
Non-Agency RMBS		(15,595)		(4,955)		(9,470)
Agency RMBS		(60,878)		(1,209)		(5,816)
Agency CMBS		—		—		(2,982)
Net realized gain (loss)		$	(76,473)	$	45,313	$	166,946