Investment in Securities

6 Months Ended

Jun. 30, 2021

Investments, Debt and Equity Securities [Abstract]

The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of June 30, 2021 and December 31, 2020.

June 30, 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	$	213,767	$	10,286	$	224,053	$	1,804	$	(1,030)	$	224,827	2.71	%	1.50	%	4.39
20-year fixed-rate mortgages	49,918		2,962		52,880		—		(772)		52,108		2.45	%	1.28	%	5.02
30-year fixed-rate mortgages	995,081		53,817		1,048,898		13,971		(6,128)		1,056,741		3.31	%	2.21	%	5.87
Adjustable rate mortgages	25,744		1,443		27,187		42		(136)		27,093		2.85	%	2.14	%	4.64
Reverse mortgages	70,726		4,387		75,113		1,309		(488)		75,934		3.46	%	2.49	%	4.21
Interest only securities	n/a		n/a		37,629		4,211		(2,795)		39,045		3.54	%	9.11	%	5.02
Non-Agency RMBS	310,337		(138,278)		172,059		12,006		(4,302)		179,763		3.90	%	7.20	%	4.79
CMBS	75,981		(33,955)		42,026		1,326		(3,801)		39,551		2.92	%	8.23	%	7.75
Non-Agency interest only securities	n/a		n/a		10,270		1,755		(271)		11,754		0.97	%	13.92	%	4.64
CLOs	n/a		n/a		80,665		4,879		(15,005)		70,539		3.53	%	9.09	%	3.54
ABS backed by consumer loans	106,144		(35,522)		70,622		2,654		(4,022)		69,254		11.73	%	14.78	%	1.28
Corporate debt	33,076		(28,662)		4,414		1,480		(10)		5,884		0.75	%	7.50	%	2.58
Corporate equity	n/a		n/a		6,196		2,360		(59)		8,497		n/a		n/a		n/a
Total Long	1,880,774		(163,522)		1,852,012		47,797		(38,819)		1,860,990		3.56	%	3.71	%	5.19
Short:
Corporate debt	(200)		(2)		(202)		—		(20)		(222)		5.18	%	4.67	%	5.92
U.S. Treasury securities	(105,230)		1,144		(104,086)		664		(417)		(103,839)		1.00	%	1.08	%	7.44
European sovereign bonds	(40,984)		2,006		(38,978)		88		(2,423)		(41,313)		0.21	%	0.07	%	2.82
Total Short	(146,414)		3,148		(143,266)		752		(2,860)		(145,374)		0.79	%	0.81	%	6.13
Total	$	1,734,360	$	(160,374)	$	1,708,746	$	48,549	$	(41,679)	$	1,715,616	3.80	%	3.50	%	5.11

(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

The following tables detail weighted average life of the Company's Agency RMBS as of June 30, 2021 and December 31 2020.

June 30, 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	$	77,820	$	76,491	4.36	%	$	6,672	$	6,890	2.85	%
Greater than three years and less than seven years	1,168,339		1,161,681		3.21	%	27,420		27,034		4.04	%
Greater than seven years and less than eleven years	190,544		189,959		2.54	%	3,560		2,365		1.22	%
Greater than eleven years	—		—		—	%	1,393		1,340		1.12	%
Total	$	1,436,703	$	1,428,131	3.19	%	$	39,045	$	37,629	3.54	%

(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 June 30, 2021 and December 31, 2020.

June 30, 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	$	89,036	$	84,000	4.74	%	$	4,559	$	3,317	0.90	%	$	97,320	$	101,706	9.00	%
Greater than three years and less than seven years	77,216		72,818		3.52	%	4,368		4,033		1.51	%	48,357		53,995		3.71	%
Greater than seven years and less than eleven years	43,198		47,499		2.08	%	2,827		2,920		0.30	%	—		—		—	%
Greater than eleven years	9,864		9,768		4.08	%	—		—		—	%	—		—		—	%
Total	$	219,314	$	214,085	3.70	%	$	11,754	$	10,270	0.97	%	$	145,677	$	155,701	7.17	%

(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.

The following tables detail the components of interest income by security type for the three- and six-month periods ended June 30, 2021 and 2020:


	Three-Month Period Ended
(In thousands)	June 30, 2021						June 30, 2020
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	14,300	$	(2,972)	$	11,328	$	12,603	$	(9,218)	$	3,385
Non-Agency RMBS and CMBS	3,259		964		4,223		3,631		1,377		5,008
CLOs	1,909		571		2,480		3,987		376		4,363
Other securities(1)	4,173		(1,326)		2,847		3,098		(1,104)		1,994
Total	$	23,641	$	(2,763)	$	20,878	$	23,319	$	(8,569)	$	14,750


	Six-Month Period Ended
(In thousands)	June 30, 2021						June 30, 2020
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	28,652	$	(10,572)	$	18,080	$	33,515	$	(18,062)	$	15,453
Non-Agency RMBS and CMBS	7,015		2,431		9,446		7,684		2,090		9,774
CLOs	4,445		1,515		5,960		9,406		(635)		8,771
Other securities(1)	7,706		(1,983)		5,723		6,023		(2,149)		3,874
Total	$	47,818	$	(8,609)	$	39,209	$	56,628	$	(18,756)	$	37,872

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

For the three-month periods ended June 30, 2021 and 2020, the Catch-Up Premium Amortization Adjustment was $3.0 million and $(3.6) million, respectively. For the six-month periods ended June 30, 2021 and 2020, the Catch-Up Premium Amortization Adjustment was $3.0 million and $(4.8) million, respectively.

The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and six-month periods ended June 30, 2021 and 2020.


	Three-Month Period Ended
(In thousands)	June 30, 2021								June 30, 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	$	417,359	$	2,997	$	(6,930)	$	(3,933)	$	140,109	$	4,673	$	(614)	$	4,059
Non-Agency RMBS and CMBS	18,544		2,900		(152)		2,748		20,621		1,031		(2,769)		(1,738)
CLOs	43,426		2,320		(3,250)		(930)		7,172		—		(3,178)		(3,178)
Other securities(3)	15,375		247		(84)		163		36,727		264		(55)		209
Total	$	494,704	$	8,464	$	(10,416)	$	(1,952)	$	204,629	$	5,968	$	(6,616)	$	(648)

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

(2)Excludes realized losses of $(82) thousand and $(13.8) million, for the three-month periods ended June 30, 2021 and 2020, 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.

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


	Six-Month Period Ended
(In thousands)	June 30, 2021								June 30, 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	$	492,218	$	3,378	$	(7,291)	$	(3,913)	$	1,425,590	$	13,698	$	(3,231)	$	10,467
Non-Agency RMBS and CMBS	141,752		9,139		(1,147)		7,992		98,423		9,432		(3,729)		5,703
CLOs	129,001		3,491		(3,429)		62		41,714		1,122		(3,202)		(2,080)
Other securities(3)	24,681		503		(130)		373		157,311		900		(254)		646
Total	$	787,652	$	16,511	$	(11,997)	$	4,514	$	1,723,038	$	25,152	$	(10,416)	$	14,736

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

(2)Excludes realized losses of $(1.3) million and $(13.8) million for the six-month periods ended June 30, 2021 and 2020, 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.

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

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 June 30, 2021 and December 31, 2020.

June 30, 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	$	703,563	$	(8,569)	$	347	$	(13)	$	703,910	$	(8,582)
Non-Agency RMBS and CMBS	10,865		(487)		2,817		(219)		13,682		(706)
CLOs	43		(20)		7,114		(3,674)		7,157		(3,694)
Other securities(1)	—		(5)		—		—		—		(5)
Total	$	714,471	$	(9,081)	$	10,278	$	(3,906)	$	724,749	$	(12,987)

(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.

As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of June 30, 2021 and December 31, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $16.9 million and $24.9 million, respectively, related to adverse changes in estimated future cash flows on its securities. Certain of the Company's securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such securities; as of June 30, 2021 and December 31, 2020, the estimated credit losses on such securities was $0.3 million and $2.6 million, respectively.

The Company has determined for certain securities that a portion of such securities cost basis is not collectible. For the three-month periods ended June 30, 2021 and 2020, the Company recognized realized losses on these securities of $(82) thousand and $(13.8) million, respectively. For the six-month periods ended June 30, 2021 and 2020, the Company recognized realized losses on these securities of $(1.3) million and $(13.8) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.