Investment in Securities (Tables)

3 Months Ended

Mar. 31, 2022

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Holdings

The following tables detail the Company's investment in securities as of March 31, 2022 and December 31, 2021.

March 31, 2022:

							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	$	193,850	$	7,731	$	201,581	$	24	$	(9,104)	$	192,501	2.57	%	1.47	%	4.19
20-year fixed-rate mortgages	7,804		405		8,209		—		(687)		7,522		2.42	%	1.45	%	6.61
30-year fixed-rate mortgages	1,238,682		48,710		1,287,392		585		(70,283)		1,217,694		2.98	%	2.21	%	8.04
Adjustable rate mortgages	8,783		533		9,316		19		(397)		8,938		3.25	%	1.98	%	5.14
Reverse mortgages	47,708		3,072		50,780		—		(1,564)		49,216		3.19	%	2.19	%	4.16
Interest only securities	n/a		n/a		27,508		2,250		(3,138)		26,620		1.82	%	8.23	%	4.83
Non-Agency RMBS	321,307		(129,181)		192,126		8,517		(10,227)		190,416		2.91	%	6.79	%	4.53
CMBS	56,045		(27,958)		28,087		451		(2,222)		26,316		2.45	%	7.19	%	8.23
Non-Agency interest only securities	n/a		n/a		21,508		3,418		(535)		24,391		0.22	%	12.89	%	6.47
CLOs	n/a		n/a		53,430		5,220		(11,739)		46,911		1.53	%	7.91	%	3.24
ABS backed by consumer loans	125,758		(45,323)		80,435		955		(4,886)		76,504		11.67	%	15.59	%	1.31
Corporate debt	22,467		(21,746)		721		30		(92)		659		0.08	%	—	%	2.38
Corporate equity	n/a		n/a		8,902		2,325		(1,386)		9,841		n/a		n/a		n/a
Total Long	2,022,404		(163,757)		1,969,995		23,794		(116,260)		1,877,529		1.75	%	3.56	%	6.69
Short:
U.S. Treasury securities	(55,900)		579		(55,321)		2,615		(29)		(52,735)		1.10	%	1.30	%	4.73
European sovereign bonds	(27,308)		(607)		(27,915)		971		—		(26,944)		0.01	%	0.05	%	2.94
Total Short	(83,208)		(28)		(83,236)		3,586		(29)		(79,679)		0.75	%	0.88	%	4.12
Total	$	1,939,196	$	(163,785)	$	1,886,759	$	27,380	$	(116,289)	$	1,797,850	1.77	%	3.45	%	6.58

(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, 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	$	223,140	$	10,668	$	233,808	$	696	$	(1,953)	$	232,551	2.65	%	1.44	%	4.45
20-year fixed-rate mortgages	46,353		2,800		49,153		16		(1,280)		47,889		2.42	%	1.31	%	5.62
30-year fixed-rate mortgages	1,265,499		59,047		1,324,546		8,187		(12,311)		1,320,422		3.01	%	2.13	%	7.00
Adjustable rate mortgages	9,131		566		9,697		25		(266)		9,456		3.15	%	2.12	%	4.62
Reverse mortgages	50,601		3,215		53,816		300		(1,106)		53,010		3.06	%	2.21	%	4.17
Interest only securities	n/a		n/a		32,607		3,371		(2,690)		33,288		3.46	%	8.91	%	4.33
Non-Agency RMBS	326,762		(130,015)		196,747		10,276		(5,418)		201,605		4.17	%	6.15	%	3.99
CMBS	46,873		(23,570)		23,303		469		(892)		22,880		2.84	%	7.00	%	7.85
Non-Agency interest only securities	n/a		n/a		16,701		1,405		(394)		17,712		0.64	%	14.71	%	5.43
CLOs	n/a		n/a		70,444		5,919		(14,034)		62,329		3.59	%	8.94	%	3.11
ABS backed by consumer loans	118,154		(43,139)		75,015		1,242		(3,149)		73,108		11.65	%	14.80	%	1.30
Corporate debt	28,565		(24,425)		4,140		1,723		(309)		5,554		0.65	%	7.50	%	1.96
Corporate equity	n/a		n/a		5,788		2,691		(923)		7,556		n/a		n/a		n/a
Total Long	2,115,078		(144,853)		2,095,765		36,320		(44,725)		2,087,360		3.37	%	3.37	%	5.90
Short:
U.S. Treasury securities	(93,750)		1,421		(92,329)		406		(267)		(92,190)		1.13	%	1.31	%	7.81
European sovereign bonds	(28,086)		170		(27,916)		156		(575)		(28,335)		0.01	%	0.05	%	3.18
Total Short	(121,836)		1,591		(120,245)		562		(842)		(120,525)		0.87	%	1.02	%	6.73
Total	$	1,993,242	$	(143,262)	$	1,975,520	$	36,882	$	(45,567)	$	1,966,835	3.52	%	3.24	%	5.94

(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 March 31, 2022 and December 31, 2021.

March 31, 2022:

($ 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	$	47,868	$	48,901	3.78	%	$	5,089	$	5,226	1.50	%
Greater than three years and less than seven years	497,446		518,055		3.35	%	18,426		19,997		2.12	%
Greater than seven years and less than eleven years	929,602		989,290		2.68	%	3,105		2,285		1.18	%
Greater than eleven years	955		1,032		2.00	%	—		—		—	%
Total	$	1,475,871	$	1,557,278	2.93	%	$	26,620	$	27,508	1.82	%

(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, 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	$	45,956	$	45,678	3.99	%	$	8,981	$	8,466	3.10	%
Greater than three years and less than seven years	950,723		955,157		3.24	%	22,497		22,379		3.76	%
Greater than seven years and less than eleven years	665,617		669,147		2.46	%	1,810		1,762		1.46	%
Greater than eleven years	1,032		1,038		1.99	%	—		—		—	%
Total	$	1,663,328	$	1,671,020	2.95	%	$	33,288	$	32,607	3.46	%

(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 March 31, 2022 and December 31, 2021.

March 31, 2022:

($ 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	$	88,559	$	89,147	2.99	%	$	8,198	$	7,549	0.90	%	$	103,234	$	107,476	6.32	%
Greater than three years and less than seven years	54,228		52,533		2.41	%	—		—		—	%	20,840		27,110		1.29	%
Greater than seven years and less than eleven years	66,751		70,489		3.74	%	16,193		13,959		0.18	%	—		—		—	%
Greater than eleven years	7,194		8,044		0.05	%	—		—		—	%	—		—		—	%
Total	$	216,732	$	220,213	2.84	%	$	24,391	$	21,508	0.22	%	$	124,074	$	134,586	5.10	%

(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, 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	$	96,277	$	92,396	4.31	%	$	6,360	$	5,504	0.85	%	$	110,953	$	114,392	8.82	%
Greater than three years and less than seven years	93,787		90,822		4.79	%	2,187		2,141		0.12	%	30,038		35,207		3.42	%
Greater than seven years and less than eleven years	26,639		28,293		1.80	%	9,165		9,056		0.63	%	—		—		—	%
Greater than eleven years	7,782		8,539		0.34	%	—		—		—	%	—		—		—	%
Total	$	224,485	$	220,050	4.03	%	$	17,712	$	16,701	0.64	%	$	140,991	$	149,599	7.55	%

(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 table details the components of interest income by security type for the three-month periods ended March 31, 2022 and 2021:

	Three-Month Period Ended
(In thousands)	March 31, 2022						March 31, 2021
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	14,335	$	(6,137)	$	8,198	$	14,352	$	(7,600)	$	6,752
Non-Agency RMBS and CMBS	4,086		28		4,114		3,756		1,467		5,223
CLOs	1,729		(585)		1,144		2,536		944		3,480
Other securities(1)	5,557		(1,113)		4,444		3,533		(657)		2,876
Total	$	25,707	$	(7,807)	$	17,900	$	24,177	$	(5,846)	$	18,331

(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, 2022 and 2021.

(In thousands)	Three-Month Period Ended March 31, 2022
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	391,924	$	1,203	$	(12,500)	$	(11,297)
Non-Agency RMBS and CMBS	6,509		1,957		(39)		1,918
CLOs	16,366		1,981		(619)		1,362
Other securities(3)	15,697		3,473		(315)		3,158
Total	$	430,496	$	8,614	$	(13,473)	$	(4,859)

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

(2)Excludes realized losses of $(1.6) million for the three-month period ended March 31, 2022, 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.

(In thousands)	Three-Month Period Ended March 31, 2021
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	71,737	$	424	$	(395)	$	29
Non-Agency RMBS and CMBS	123,208		6,609		(1,365)		5,244
CLOs	85,575		1,184		(191)		993
Other securities(3)	9,306		512		(303)		209
Total	$	289,826	$	8,729	$	(2,254)	$	6,475

(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, 2022 and December 31, 2021.

March 31, 2022:

(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	$	1,226,857	$	(65,638)	$	185,703	$	(16,704)	$	1,412,560	$	(82,342)
Non-Agency RMBS and CMBS	67,428		(3,617)		3,751		(365)		71,179		(3,982)
CLOs	2,923		(20)		16,461		(1,893)		19,384		(1,913)
Other securities(1)	1,320		(1,381)		—		(5)		1,320		(1,386)
Total	$	1,298,528	$	(70,656)	$	205,915	$	(18,967)	$	1,504,443	$	(89,623)

(1)Other securities includes corporate debt and equity securities.

December 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	$	1,083,017	$	(15,190)	$	39,124	$	(1,815)	$	1,122,141	$	(17,005)
Non-Agency RMBS and CMBS	11,296		(802)		4,462		(1,850)		15,758		(2,652)
CLOs	624		(14)		1,302		(2,749)		1,926		(2,763)
Total	$	1,094,937	$	(16,006)	$	44,888	$	(6,414)	$	1,139,825	$	(22,420)