Investment in Securities (Tables)

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

The following tables detail the Company's investment in securities as of March 31, 2021 and December 31, 2020.

March 31, 2021:


							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	$	177,384	$	8,396	$	185,780	$	1,680	$	(1,646)	$	185,814	2.64	%	1.28	%	4.45
20-year fixed-rate mortgages	52,654		3,140		55,794		45		(1,125)		54,714		2.48	%	1.09	%	5.37
30-year fixed-rate mortgages	1,037,659		55,060		1,092,719		19,811		(12,610)		1,099,920		3.32	%	1.92	%	6.03
Adjustable rate mortgages	5,526		145		5,671		136		—		5,807		3.48	%	2.60	%	4.14
Reverse mortgages	85,309		4,840		90,149		2,339		(12)		92,476		3.66	%	2.35	%	4.54
Interest only securities	n/a		n/a		44,867		6,034		(1,850)		49,051		3.47	%	9.39	%	5.39
Non-Agency RMBS	332,129		(142,479)		189,650		11,640		(4,677)		196,613		4.15	%	6.95	%	5.52
CMBS	79,301		(35,426)		43,875		1,329		(6,574)		38,630		2.72	%	8.54	%	7.72
Non-Agency interest only securities	n/a		n/a		8,918		1,861		(190)		10,589		1.08	%	8.56	%	5.16
CLOs	n/a		n/a		126,830		2,695		(23,126)		106,399		3.80	%	9.12	%	3.41
ABS backed by consumer loans	90,892		(31,149)		59,743		2,069		(2,339)		59,473		9.81	%	18.73	%	1.22
Corporate debt	26,861		(22,622)		4,239		1,302		(20)		5,521		1.34	%	7.58	%	2.63
Corporate equity	n/a		n/a		3,530		612		(22)		4,120		n/a		n/a		n/a
Total Long	1,887,715		(160,095)		1,911,765		51,553		(54,191)		1,909,127		3.53	%	3.76	%	5.43
Short:
Corporate debt	(200)		(1)		(201)		—		(18)		(219)		5.11	%	4.67	%	6.17
U.S. Treasury securities	(62,750)		1,721		(61,029)		1,577		—		(59,452)		0.86	%	1.21	%	8.38
European sovereign bonds	(36,308)		1,682		(34,626)		—		(2,101)		(36,727)		0.22	%	0.06	%	2.86
Total Short	(99,258)		3,402		(95,856)		1,577		(2,119)		(96,398)		0.64	%	0.80	%	6.28
Total	$	1,788,457	$	(156,693)	$	1,815,909	$	53,130	$	(56,310)	$	1,812,729	3.68	%	3.62	%	5.38

(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, 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

Securities by Weighted Average Life

The following tables detail weighted average life of the Company's Agency RMBS as of March 31, 2021 and December 31 2020.

March 31, 2021:


($ 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	$	79,755	$	77,736	4.44	%	$	6,335	$	5,597	3.81	%
Greater than three years and less than seven years	1,145,288		1,135,139		3.27	%	35,542		33,166		3.87	%
Greater than seven years and less than eleven years	213,688		217,238		2.53	%	4,416		4,269		0.84	%
Greater than eleven years	—		—		—	%	2,758		1,835		1.16	%
Total	$	1,438,731	$	1,430,113	3.22	%	$	49,051	$	44,867	3.47	%

(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, 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	%

(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 March 31, 2021 and December 31, 2020.

March 31, 2021:


($ 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	$	56,973	$	54,090	3.53	%	$	4,649	$	3,333	0.94	%	$	100,024	$	105,291	6.89	%
Greater than three years and less than seven years	102,383		97,457		4.85	%	4,600		4,266		1.44	%	71,369		85,521		4.06	%
Greater than seven years and less than eleven years	56,309		61,353		2.67	%	—		—		—	%	—		—		—	%
Greater than eleven years	19,578		20,625		3.79	%	1,340		1,319		0.30	%	—		—		—	%
Total	$	235,243	$	233,525	3.88	%	$	10,589	$	8,918	1.08	%	$	171,393	$	190,812	5.63	%

(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, 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	%

(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 three-month periods ended March 31, 2021 and 2020:


	Three-Month Period Ended
(In thousands)	March 31, 2021						March 31, 2020
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	14,352	$	(7,600)	$	6,752	$	20,912	$	(8,844)	$	12,068
Non-Agency RMBS and CMBS	3,756		1,467		5,223		4,053		713		4,766
CLOs	2,536		944		3,480		5,419		(1,011)		4,408
Other securities(1)	3,533		(657)		2,876		2,925		(1,045)		1,880
Total	$	24,177	$	(5,846)	$	18,331	$	33,309	$	(10,187)	$	23,122

(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 three-month periods ended March 31, 2021 and 2020.


	Three-Month Period Ended
(In thousands)	March 31, 2021								March 31, 2020
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)		Proceeds(1)		Gross Realized Gains		Gross Realized Losses		Net Realized Gain (Loss)
Agency RMBS	$	71,737	$	424	$	(395)	$	29	$	1,285,482	$	9,221	$	(2,813)	$	6,408
Non-Agency RMBS and CMBS	123,208		6,609		(1,365)		5,244		77,802		8,496		(1,056)		7,440
CLOs	85,575		1,184		(191)		993		34,542		1,122		(23)		1,099
Other securities(3)	9,306		512		(303)		209		120,991		637		(200)		437
Total	$	289,826	$	8,729	$	(2,254)	$	6,475	$	1,518,817	$	19,476	$	(4,092)	$	15,384

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

(2)Excludes realized losses of $(1.2) million for the three-month period ended March 31, 2021, 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.

(3)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 tables present 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 March 31, 2021 and December 31, 2020.

March 31, 2021:


(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	$	806,309	$	(15,549)	$	629	$	(33)	$	806,938	$	(15,582)
Non-Agency RMBS and CMBS	1,048		(103)		16,209		(1,563)		17,257		(1,666)
CLOs	1,864		(16)		1,364		(886)		3,228		(902)
Other securities(1)	—		(5)		—		—		—		(5)
Total	$	809,221	$	(15,673)	$	18,202	$	(2,482)	$	827,423	$	(18,155)

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

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, corporate debt and equity, and U.S. Treasury securities.