Investment in Securities

9 Months Ended

Sep. 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 September 30, 2022 and December 31, 2021.

September 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	$	156,524	$	4,390	$	160,914	$	—	$	(18,212)	$	142,702	2.54	%	1.76	%	4.45
20-year fixed-rate mortgages	7,382		393		7,775		—		(1,488)		6,287		2.41	%	1.56	%	7.09
30-year fixed-rate mortgages	1,037,876		22,495		1,060,371		—		(130,864)		929,507		3.32	%	2.91	%	8.93
Adjustable rate mortgages	6,672		584		7,256		—		(758)		6,498		3.41	%	2.29	%	4.79
Reverse mortgages	30,502		3,189		33,691		—		(2,895)		30,796		3.47	%	2.39	%	4.67
Interest only securities	n/a		n/a		20,101		1,510		(2,086)		19,525		1.53	%	9.63	%	5.54
Non-Agency RMBS	331,522		(117,925)		213,597		5,021		(25,319)		193,299		3.85	%	7.28	%	6.20
CMBS	38,996		(17,920)		21,076		388		(5,787)		15,677		2.60	%	8.45	%	8.16
Non-Agency interest only securities	n/a		n/a		23,450		4,471		(797)		27,124		0.20	%	14.84	%	8.41
CLOs	n/a		n/a		45,013		2,999		(17,477)		30,535		1.87	%	8.69	%	3.54
ABS backed by consumer loans	111,727		(26,001)		85,726		432		(10,590)		75,568		12.00	%	12.93	%	1.18
Corporate debt	25,161		(21,244)		3,917		88		(403)		3,602		—	%	—	%	1.10
Corporate equity	n/a		n/a		10,578		2,840		(2,249)		11,169		n/a		n/a		n/a
U.S. Treasury securities	32,300		26		32,326		—		(1,843)		30,483		2.89	%	2.85	%	5.33
Total Long	1,778,662		(152,013)		1,725,791		17,749		(220,768)		1,522,772		1.67	%	4.29	%	7.38
Short:
U.S. Treasury securities	(193,100)		4,956		(188,144)		10,723		(183)		(177,604)		2.16	%	2.51	%	5.24
European sovereign bonds	(23,228)		(3,600)		(26,828)		4,890		—		(21,938)		0.01	%	0.04	%	2.43
Total Short	(216,328)		1,356		(214,972)		15,613		(183)		(199,542)		1.93	%	2.21	%	4.93
Total	$	1,562,334	$	(150,657)	$	1,510,819	$	33,362	$	(220,951)	$	1,323,230	1.66	%	4.05	%	7.09

(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 September 30, 2022 and December 31, 2021.

September 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	$	21,155	$	22,926	3.60	%	$	2,456	$	2,906	0.98	%
Greater than three years and less than seven years	220,121		246,931		3.13	%	11,713		12,321		1.72	%
Greater than seven years and less than eleven years	869,360		993,984		3.23	%	5,073		4,555		2.51	%
Greater than eleven years	5,154		6,166		2.69	%	283		319		0.68	%
Total	$	1,115,790	$	1,270,007	3.22	%	$	19,525	$	20,101	1.53	%

(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 September 30, 2022 and December 31, 2021.

September 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	$	67,934	$	72,559	3.57	%	$	1,615	$	1,107	1.64	%	$	94,901	$	109,256	6.24	%
Greater than three years and less than seven years	55,935		58,953		4.17	%	3,913		4,366		1.47	%	45,287		57,726		2.20	%
Greater than seven years and less than eleven years	57,705		69,132		3.98	%	21,596		17,977		0.17	%	—		—		—	%
Greater than eleven years	27,402		34,029		3.02	%	—		—		—	%	—		—		—	%
Total	$	208,976	$	234,673	3.72	%	$	27,124	$	23,450	0.20	%	$	140,188	$	166,982	4.95	%

(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 ABS 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 ABS 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 nine-month periods ended September 30, 2022 and 2021:


	Three-Month Period Ended
(In thousands)	September 30, 2022						September 30, 2021
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	11,950	$	(1,169)	$	10,781	$	14,797	$	(9,551)	$	5,246
Non-Agency RMBS and CMBS	5,020		(52)		4,968		3,307		748		4,055
CLOs	1,523		(595)		928		3,532		(1,456)		2,076
Other securities(1)	5,473		(2,377)		3,096		4,590		(1,813)		2,777
Total	$	23,966	$	(4,193)	$	19,773	$	26,226	$	(12,072)	$	14,154

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


	Nine-Month Period Ended
(In thousands)	September 30, 2022						September 30, 2021
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	39,227	$	(9,199)	$	30,028	$	43,449	$	(20,123)	$	23,326
Non-Agency RMBS and CMBS	13,878		79		13,957		10,321		3,179		13,500
CLOs	5,139		(1,800)		3,339		7,978		59		8,037
Other securities(1)	15,616		(4,525)		11,091		12,296		(3,796)		8,500
Total	$	73,860	$	(15,445)	$	58,415	$	74,044	$	(20,681)	$	53,363

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

For the three-month periods ended September 30, 2022 and 2021 the Catch-Up Premium Amortization Adjustment was $1.6 million and $(2.9) million, respectively. For the nine-month periods ended September 30, 2022 and 2021 the Catch-Up Premium Amortization Adjustment was $3.1 million and $10 thousand, respectively.

The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2022 and 2021.


	Three-Month Period Ended
(In thousands)	September 30, 2022								September 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	$	311,908	$	728	$	(34,921)	$	(34,193)	$	128,510	$	831	$	(1,860)	$	(1,029)
Non-Agency RMBS and CMBS	13,121		2,210		(372)		1,838		55,122		3,887		(1,081)		2,806
CLOs	992		3,324		(57)		3,267		—		2,846		—		2,846
Other securities(3)	79,510		636		(366)		270		145,131		2,460		(313)		2,147
Total	$	405,531	$	6,898	$	(35,716)	$	(28,818)	$	328,763	$	10,024	$	(3,254)	$	6,770

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

(2)Excludes realized losses of $(2.0) million and $(0.3) million, for the three-month periods ended September 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.


	Nine-Month Period Ended
(In thousands)	September 30, 2022								September 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	$	878,629	$	1,923	$	(68,939)	$	(67,016)	$	620,728	$	4,171	$	(9,114)	$	(4,943)
Non-Agency RMBS and CMBS	20,715		6,546		(398)		6,148		196,874		13,396		(2,598)		10,798
CLOs	18,259		7,584		(747)		6,837		129,001		3,882		(973)		2,909
Other securities(3)	173,437		4,301		(820)		3,481		169,812		2,705		(185)		2,520
Total	$	1,091,040	$	20,354	$	(70,904)	$	(50,550)	$	1,116,415	$	24,154	$	(12,870)	$	11,284

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

(2)Excludes realized losses of $(4.5) million and $(1.5) million for the nine-month periods ended September 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 September 30, 2022 and December 31, 2021.

September 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	$	873,628	$	(108,405)	$	245,402	$	(46,133)	$	1,119,030	$	(154,538)
Non-Agency RMBS and CMBS	64,863		(5,565)		30,650		(7,862)		95,513		(13,427)
CLOs	5,985		(504)		15,332		(5,081)		21,317		(5,585)
Other securities(1)	33,122		(3,245)		565		(847)		33,687		(4,092)
Total	$	977,598	$	(117,719)	$	291,949	$	(59,923)	$	1,269,547	$	(177,642)

(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 September 30, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $28.0 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 December 31, 2021, the estimated credit losses on such securities was $0.3 million; there were no estimated credit losses on such securities at September 30, 2022.

The Company has determined for certain securities that a portion of such securities cost basis is not collectible. For the three-month periods ended September 30, 2022 and 2021, the Company recognized realized losses on these securities of $(2.0) million and $(0.3) million, respectively. For the nine-month periods ended September 30, 2022 and 2021, the Company recognized realized losses on these securities of $(4.5) million and $(1.5) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.