Investment in Securities

6 Months Ended

Jun. 30, 2022

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, 2022 and December 31, 2021.

June 30, 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	$	202,940	$	5,895	$	208,835	$	—	$	(14,161)	$	194,674	2.47	%	1.63	%	4.37
20-year fixed-rate mortgages	7,588		400		7,988		—		(1,024)		6,964		2.43	%	1.53	%	6.96
30-year fixed-rate mortgages	1,135,813		34,160		1,169,973		703		(105,131)		1,065,545		3.01	%	2.43	%	8.78
Adjustable rate mortgages	7,465		585		8,050		—		(561)		7,489		3.37	%	2.29	%	5.29
Reverse mortgages	35,122		3,139		38,261		—		(2,328)		35,933		2.95	%	2.32	%	4.63
Interest only securities	n/a		n/a		25,575		2,238		(3,040)		24,773		1.64	%	8.47	%	5.38
Non-Agency RMBS	352,965		(122,284)		230,681		5,634		(18,103)		218,212		3.48	%	7.17	%	5.99
CMBS	56,045		(27,788)		28,257		519		(4,638)		24,138		2.59	%	7.37	%	8.02
Non-Agency interest only securities	n/a		n/a		25,375		4,827		(501)		29,701		0.22	%	14.77	%	8.92
CLOs	n/a		n/a		49,418		2,996		(16,847)		35,567		1.68	%	8.45	%	3.22
ABS backed by consumer loans	129,855		(44,133)		85,722		667		(8,206)		78,183		12.00	%	14.88	%	1.19
Corporate debt	23,330		(21,395)		1,935		118		(286)		1,767		—	%	—	%	1.61
Corporate equity	n/a		n/a		9,872		2,349		(1,945)		10,276		n/a		n/a		n/a
U.S. Treasury securities	25,000		(136)		24,864		—		(573)		24,291		2.58	%	2.65	%	6.79
Total Long	1,976,123		(171,557)		1,914,806		20,051		(177,344)		1,757,513		1.65	%	3.96	%	7.28
Short:
U.S. Treasury securities	(157,900)		2,690		(155,210)		4,262		(258)		(151,206)		2.02	%	2.29	%	4.75
European sovereign bonds	(25,803)		(2,112)		(27,915)		2,966		—		(24,949)		0.01	%	0.05	%	2.68
Total Short	(183,703)		578		(183,125)		7,228		(258)		(176,155)		1.74	%	1.95	%	4.46
Total	$	1,792,420	$	(170,979)	$	1,731,681	$	27,279	$	(177,602)	$	1,581,358	1.65	%	3.78	%	7.02

(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

The following tables detail weighted average life of the Company's Agency RMBS as of June 30, 2022 and December 31, 2021.

June 30, 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	$	33,488	$	34,931	3.56	%	$	3,041	$	3,409	1.14	%
Greater than three years and less than seven years	319,241		342,249		3.02	%	17,537		18,683		1.98	%
Greater than seven years and less than eleven years	954,181		1,051,744		2.88	%	3,883		3,158		1.42	%
Greater than eleven years	3,695		4,183		2.54	%	312		325		0.69	%
Total	$	1,310,605	$	1,433,107	2.92	%	$	24,773	$	25,575	1.64	%

(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	%

(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, 2022 and December 31, 2021.

June 30, 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	$	81,220	$	82,707	3.90	%	$	1,924	$	1,163	1.03	%	$	96,718	$	106,493	6.29	%
Greater than three years and less than seven years	67,445		69,842		2.96	%	676		710		1.35	%	43,090		55,446		2.14	%
Greater than seven years and less than eleven years	67,527		74,627		3.80	%	27,101		23,502		0.21	%	—		—		—	%
Greater than eleven years	26,158		31,762		2.45	%	—		—		—	%	—		—		—	%
Total	$	242,350	$	258,938	3.36	%	$	29,701	$	25,375	0.22	%	$	139,808	$	161,939	5.20	%

(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.

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	%

(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 table details the components of interest income by security type for the three- and six-month periods ended June 30, 2022 and 2021:


	Three-Month Period Ended
(In thousands)	June 30, 2022						June 30, 2021
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	12,941	$	(1,892)	$	11,049	$	14,300	$	(2,972)	$	11,328
Non-Agency RMBS and CMBS	4,772		103		4,875		3,259		964		4,223
CLOs	1,887		(620)		1,267		1,909		571		2,480
Other securities(1)	4,587		(1,036)		3,551		4,173		(1,326)		2,847
Total	$	24,187	$	(3,445)	$	20,742	$	23,641	$	(2,763)	$	20,878

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


	Six-Month Period Ended
(In thousands)	June 30, 2022						June 30, 2021
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	27,276	$	(8,029)	$	19,247	$	28,652	$	(10,572)	$	18,080
Non-Agency RMBS and CMBS	8,858		131		8,989		7,015		2,431		9,446
CLOs	3,616		(1,205)		2,411		4,445		1,515		5,960
Other securities(1)	10,144		(2,149)		7,995		7,706		(1,983)		5,723
Total	$	49,894	$	(11,252)	$	38,642	$	47,818	$	(8,609)	$	39,209

(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, 2022 and 2021 the Catch-Up Premium Amortization Adjustment was $2.1 million and $3.0 million, respectively. For the six-month periods ended June 30, 2022 and 2021 the Catch-Up Premium Amortization Adjustment was $1.5 million and $3.0 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, 2022 and 2021.


	Three-Month Period Ended
(In thousands)	June 30, 2022								June 30, 2021
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)		Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	174,796	$	26	$	(21,549)	$	(21,523)	$	417,359	$	2,997	$	(6,930)	$	(3,933)
Non-Agency RMBS and CMBS	1,086		2,395		(3)		2,392		18,544		2,900		(152)		2,748
CLOs	2,835		2,358		(70)		2,288		43,426		2,320		(3,250)		(930)
Other securities(3)	79,896		197		(144)		53		15,375		247		(84)		163
Total	$	258,613	$	4,976	$	(21,766)	$	(16,790)	$	494,704	$	8,464	$	(10,416)	$	(1,952)

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

(2)Excludes realized losses of $(1.0) million and $(82) thousand, for the three-month periods ended June 30, 2022 and 2021, 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, 2022								June 30, 2021
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)		Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	566,721	$	1,207	$	(34,027)	$	(32,820)	$	492,218	$	3,378	$	(7,291)	$	(3,913)
Non-Agency RMBS and CMBS	7,594		4,336		(26)		4,310		141,752		9,139		(1,147)		7,992
CLOs	17,267		4,260		(690)		3,570		129,001		3,491		(3,429)		62
Other securities(3)	93,927		3,665		(454)		3,211		24,681		503		(130)		373
Total	$	685,509	$	13,468	$	(35,197)	$	(21,729)	$	787,652	$	16,511	$	(11,997)	$	4,514

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

(2)Excludes realized losses of $(2.5) million and $(1.3) million for the six-month periods ended June 30, 2022 and 2021, 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, 2022 and December 31, 2021.

June 30, 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	$	997,780	$	(90,856)	$	268,936	$	(32,771)	$	1,266,716	$	(123,627)
Non-Agency RMBS and CMBS	86,548		(5,858)		3,999		(173)		90,547		(6,031)
CLOs	6,692		(427)		16,620		(5,348)		23,312		(5,775)
Other securities(1)	26,124		(2,432)		—		(85)		26,124		(2,517)
Total	$	1,117,144	$	(99,573)	$	289,555	$	(38,377)	$	1,406,699	$	(137,950)

(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)

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, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $23.4 million and $17.5 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 both June 30, 2022 and December 31, 2021, the estimated credit losses on such securities was $0.3 million.

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, 2022 and 2021, the Company recognized realized losses on these securities of $(1.0) million and $(82) thousand, respectively. For the six-month periods ended June 30, 2022 and 2021, the Company recognized realized losses on these securities of $(2.5) million and $(1.3) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.