Investment in Securities (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Holdings

The following tables detail the Company's investment in securities as of December 31, 2020 and 2019.

December 31, 2020:

							Gross Unrealized						Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)		Yield		Life (Years)(2)
Long:
Agency RMBS:
15-year fixed-rate mortgages	$	67,875	$	2,543	$	70,418	$	1,832	$	(36)	$	72,214	3.30	%	1.83	%	3.24
20-year fixed-rate mortgages	50,131		3,097		53,228		182		—		53,410		2.57	%	1.08	%	4.46
30-year fixed-rate mortgages	626,021		30,738		656,759		25,765		(444)		682,080		3.99	%	2.35	%	4.17
Adjustable rate mortgages	6,171		159		6,330		124		—		6,454		3.66	%	2.27	%	3.42
Reverse mortgages	89,383		5,152		94,535		3,123		(29)		97,629		3.97	%	2.37	%	4.60
Interest only securities	n/a		n/a		43,406		5,808		(1,558)		47,656		3.36	%	10.01	%	4.85
Non-Agency RMBS	321,842		(131,083)		190,759		15,880		(5,549)		201,090		3.15	%	6.40	%	5.46
CMBS	188,085		(61,763)		126,322		1,655		(16,910)		111,067		2.71	%	7.47	%	8.09
Non-Agency interest only securities	n/a		n/a		8,123		1,792		(305)		9,610		1.17	%	18.85	%	3.49
CLOs	n/a		n/a		208,907		2,563		(30,199)		181,271		3.67	%	8.50	%	3.50
ABS backed by consumer loans	69,646		(24,936)		44,710		221		(6)		44,925		11.95	%	18.57	%	1.11
Corporate debt	27,083		(23,187)		3,896		1,296		(3)		5,189		2.13	%	6.75	%	3.10
Corporate equity	n/a		n/a		1,604		376		(390)		1,590		n/a		n/a		n/a
Total Long	1,446,237		(199,280)		1,508,997		60,617		(55,429)		1,514,185		3.84	%	4.88	%	4.45
Short:
Corporate debt	(200)		(1)		(201)		—		(17)		(218)		5.09	%	4.67	%	6.42
European sovereign bonds	(37,804)		3,163		(34,641)		—		(3,783)		(38,424)		0.23	%	0.06	%	3.11
Total Short	(38,004)		3,162		(34,842)		—		(3,800)		(38,642)		0.26	%	0.09	%	3.13
Total	$	1,408,233	$	(196,118)	$	1,474,155	$	60,617	$	(59,229)	$	1,475,543	3.92	%	4.77	%	4.49

(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.

(2)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

December 31, 2019:

							Gross Unrealized						Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)		Yield		Life (Years)(2)
Long:
Agency RMBS:
15-year fixed-rate mortgages	$	314,636	$	6,369	$	321,005	$	2,604	$	(203)	$	323,406	3.05	%	2.28	%	3.05
20-year fixed-rate mortgages	804		49		853		24		—		877		4.62	%	2.99	%	4.80
30-year fixed-rate mortgages	1,358,762		64,846		1,423,608		13,821		(2,830)		1,434,599		4.20	%	2.95	%	6.63
Adjustable rate mortgages	9,651		315		9,966		90		(54)		10,002		3.99	%	2.03	%	4.09
Reverse mortgages	122,670		8,133		130,803		2,023		(26)		132,800		4.43	%	2.78	%	6.67
Interest only securities	n/a		n/a		34,044		1,624		(389)		35,279		2.81	%	9.27	%	3.86
Non-Agency RMBS	274,353		(122,685)		151,668		12,549		(1,081)		163,136		3.41	%	7.25	%	5.31
CMBS	185,417		(67,961)		117,456		2,990		(480)		119,966		3.31	%	6.62	%	8.94
Non-Agency interest only securities	n/a		n/a		6,517		1,817		(18)		8,316		1.10	%	8.18	%	4.14
CLOs	n/a		n/a		169,238		4,219		(3,014)		170,443		5.05	%	9.62	%	4.75
ABS backed by consumer loans	67,080		(19,154)		47,926		1,596		(912)		48,610		12.17	%	14.00	%	1.22
Corporate debt	22,125		(21,241)		884		229		—		1,113		—	%	—	%	0.33
Corporate equity	n/a		n/a		1,242		152		—		1,394		n/a		n/a		n/a
Total Long	2,355,498		(151,329)		2,415,210		43,738		(9,007)		2,449,941		4.15	%	4.09	%	5.88
Short:
Corporate debt	(450)		(6)		(456)		—		(15)		(471)		5.44	%	5.21	%	4.90
U.S. Treasury securities	(63,140)		381		(62,759)		63		(298)		(62,994)		1.76	%	1.87	%	6.11
European sovereign bonds	(9,759)		133		(9,626)		—		(318)		(9,944)		0.77	%	0.12	%	1.58
Total Short	(73,349)		508		(72,841)		63		(631)		(73,409)		1.65	%	1.66	%	5.49
Total	$	2,282,149	$	(150,821)	$	2,342,369	$	43,801	$	(9,638)	$	2,376,532	4.23	%	4.01	%	5.90

(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.

(2)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

Securities by Weighted Average Life

The following tables detail weighted average life of the Company's Agency RMBS as of December 31, 2020 and 2019.

December 31, 2020:

($ in thousands)	Agency RMBS						Agency Interest Only Securities
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	139,059	$	135,844	4.15	%	$	8,143	$	7,314	3.99	%
Greater than three years and less than seven years	770,173		742,946		3.79	%	32,669		29,362		3.74	%
Greater than seven years and less than eleven years	2,555		2,480		3.01	%	5,165		5,063		1.04	%
Greater than eleven years	—		—		—	%	1,679		1,667		0.83	%
Total	$	911,787	$	881,270	3.84	%	$	47,656	$	43,406	3.36	%

(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

December 31, 2019:

($ in thousands)	Agency RMBS						Agency Interest Only Securities
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	188,593	$	187,099	3.39	%	$	9,011	$	8,611	3.35	%
Greater than three years and less than seven years	961,839		953,031		4.25	%	25,334		24,512		2.66	%
Greater than seven years and less than eleven years	713,862		708,805		3.89	%	934		921		1.90	%
Greater than eleven years	37,390		37,300		3.51	%	—		—		—	%
Total	$	1,901,684	$	1,886,235	4.02	%	$	35,279	$	34,044	2.81	%

(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of December 31, 2020 and 2019.

December 31, 2020:

($ in thousands)	Non-Agency RMBS and CMBS						Non-Agency IOs						CLOs and Other Securities(2)
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)
Less than three years	$	58,350	$	54,339	3.39	%	$	5,163	$	3,754	0.92	%	$	89,235	$	90,869	7.73	%
Greater than three years and less than seven years	114,815		109,161		3.45	%	4,447		4,369		1.37	%	139,830		163,670		3.69	%
Greater than seven years and less than eleven years	109,519		123,782		2.74	%	—		—		—	%	2,320		2,974		1.14	%
Greater than eleven years	29,473		29,799		1.46	%	—		—		—	%	—		—		—	%
Total	$	312,157	$	317,081	2.98	%	$	9,610	$	8,123	1.17	%	$	231,385	$	257,513	5.09	%

(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Other Securities includes asset-backed securities, backed by consumer loans and corporate debt.

(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

December 31, 2019:

($ in thousands)	Non-Agency RMBS and CMBS						Non-Agency IOs						CLOs and Other Securities(2)
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)
Less than three years	$	50,120	$	48,213	2.73	%	$	439	$	401	1.37	%	$	54,446	$	54,090	11.11	%
Greater than three years and less than seven years	87,436		79,326		4.42	%	7,877		6,116		1.08	%	157,384		155,651		5.38	%
Greater than seven years and less than eleven years	127,533		123,924		3.31	%	—		—		—	%	8,336		8,307		—	%
Greater than eleven years	18,013		17,661		0.81	%	—		—		—	%	—		—		—	%
Total	$	283,102	$	269,124	3.37	%	$	8,316	$	6,517	1.10	%	$	220,166	$	218,048	6.60	%

(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Other Securities includes asset-backed securities, backed by consumer loans, corporate debt, and U.S. Treasury securities.

(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

Investment Income

The following tables detail the components of interest income by security type for the years ended December 31, 2020 and 2019:

	Year Ended
(In thousands)	December 31, 2020						December 31, 2019
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	59,987	$	(31,975)	$	28,012	$	62,103	$	(24,731)	$	37,372
Non-Agency RMBS and CMBS	15,257		5,775		21,032		13,855		2,782		16,637
CLOs	14,103		3,529		17,632		15,857		(1,599)		14,258
Other securities(1)	11,545		(4,986)		6,559		7,157		(2,468)		4,689
Total	$	100,892	$	(27,657)	$	73,235	$	98,972	$	(26,016)	$	72,956

(1)Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities.

Schedule of Realized Gain (Loss)

The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the years ended December 31, 2020 and 2019.

	Year Ended
(In thousands)	December 31, 2020								December 31, 2019(1)
Security Type	Proceeds(2)		Gross Realized Gains		Gross Realized Losses(3)		Net Realized Gain (Loss)		Proceeds(2)		Gross Realized Gains		Gross Realized Losses(3)		Net Realized Gain (Loss)
Agency RMBS	$	1,439,413	$	16,260	$	(3,481)	$	12,779	$	1,010,251	$	9,006	$	(2,254)	$	6,752
Non-Agency RMBS and CMBS	145,323		13,692		(4,187)		9,505		184,725		12,552		(4,869)		7,683
CLOs	46,632		1,122		(4,251)		(3,129)		62,063		1,286		(816)		470
Other securities(4)	188,152		1,662		(9)		1,653		636,886		1,113		2		1,115
Total	$	1,819,520	$	32,736	$	(11,928)	$	20,808	$	1,893,925	$	23,957	$	(7,937)	$	16,020

(1)Conformed to current period presentation.

(2)Includes proceeds on sales of securities not yet settled as of period end.

(3)Excludes realized losses of $(17.7) million and $(28.7) million, for the years ended December 31, 2020 and 2019, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible.

(4)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

The following table presents the fair value and gross unrealized losses of our long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost bases, by length of time that such securities have been in an unrealized loss position at December 31, 2020.

December 31, 2020:

(In thousands)	Less than 12 Months				Greater than 12 Months				Total
Security Type	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Agency RMBS	$	126,926	$	(981)	$	832	$	(44)	$	127,758	$	(1,025)
Non-Agency RMBS and CMBS	20,474		(2,616)		2,599		(348)		23,073		(2,964)
CLOs	5,279		(753)		1,196		(1,131)		6,475		(1,884)
Other securities(1)	1,107		(8)		—		—		1,107		(8)
Total	$	153,786	$	(4,358)	$	4,627	$	(1,523)	$	158,413	$	(5,881)

(1)Other securities includes ABS backed by consumer loans and corporate debt and equity securities.

The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at December 31, 2019.

December 31, 2019:

(In thousands)	Less than 12 Months				Greater than 12 Months				Total
Security Type	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Agency RMBS	$	328,968	$	(1,503)	$	125,095	$	(1,999)	$	454,063	$	(3,502)
Non-Agency RMBS and CMBS	88,495		(880)		27,218		(699)		115,713		(1,579)
CLOs	37,354		(1,911)		9,245		(1,103)		46,599		(3,014)
Other securities(1)	16,562		(852)		1,380		(60)		17,942		(912)
Total	$	471,379	$	(5,146)	$	162,938	$	(3,861)	$	634,317	$	(9,007)

(1)Other securities includes ABS backed by consumer loans, corporate debt and equity, and U.S. Treasury securities.