Investment in Securities (Tables)

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

The following tables detail the Company's investment in securities as of March 31, 2023 and December 31, 2022.

March 31, 2023:


							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	$	82,439	$	1,090	$	83,529	$	111	$	(6,554)	$	77,086	2.55	%	2.04	%	3.92
20-year fixed-rate mortgages	7,023		366		7,389		—		(1,194)		6,195		2.41	%	1.57	%	6.77
30-year fixed-rate mortgages	761,446		14,982		776,428		1,185		(57,240)		720,373		3.78	%	3.33	%	7.74
Adjustable rate mortgages	5,952		574		6,526		—		(645)		5,881		3.49	%	2.22	%	4.72
Reverse mortgages	28,159		3,486		31,645		—		(3,007)		28,638		4.17	%	2.61	%	4.93
Interest only securities	n/a		n/a		14,717		1,093		(871)		14,939		1.29	%	10.68	%	5.32
Non-Agency RMBS	393,738		(135,108)		258,630		5,943		(29,365)		235,208		4.61	%	8.53	%	6.52
CMBS	38,996		(17,527)		21,469		337		(8,681)		13,125		2.54	%	8.32	%	8.55
Non-Agency interest only securities	n/a		n/a		29,771		5,214		(1,952)		33,033		0.18	%	14.87	%	6.97
CLOs	n/a		n/a		46,990		2,922		(17,744)		32,168		2.09	%	8.72	%	2.92
ABS backed by consumer loans	118,319		(35,170)		83,149		341		(11,290)		72,200		12.00	%	13.67	%	1.24
Corporate debt	31,394		(23,316)		8,078		819		(550)		8,347		—	%	—	%	2.55
Corporate equity	n/a		n/a		9,258		3,141		(1,297)		11,102		n/a		n/a		n/a
U.S. Treasury securities	130,153		219		130,372		1,540		(660)		131,252		3.73	%	3.67	%	6.43
Total Long	1,597,619		(190,404)		1,507,951		22,646		(141,050)		1,389,547		1.45	%	5.31	%	6.59
Short:
U.S. Treasury securities	(141,340)		1,803		(139,537)		6,501		(26)		(133,062)		2.11	%	2.34	%	3.79
European sovereign bonds	(26,668)		(1,025)		(27,693)		2,453		—		(25,240)		0.01	%	0.15	%	1.93
Total Short	(168,008)		778		(167,230)		8,954		(26)		(158,302)		1.78	%	1.98	%	3.50
Total	$	1,429,611	$	(189,626)	$	1,340,721	$	31,600	$	(141,076)	$	1,231,245	1.44	%	4.97	%	6.27

(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, 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	$	140,409	$	4,613	$	145,022	$	—	$	(14,892)	$	130,130	2.59	%	1.73	%	4.30
20-year fixed-rate mortgages	7,253		380		7,633		—		(1,301)		6,332		2.41	%	1.57	%	6.95
30-year fixed-rate mortgages	846,582		20,961		867,543		228		(89,105)		778,666		3.54	%	3.12	%	8.57
Adjustable rate mortgages	6,410		581		6,991		—		(737)		6,254		3.41	%	2.20	%	4.79
Reverse mortgages	29,658		3,511		33,169		—		(3,180)		29,989		3.50	%	2.60	%	4.84
Interest only securities	n/a		n/a		17,365		1,179		(1,652)		16,892		1.36	%	10.11	%	5.32
Non-Agency RMBS	388,304		(130,167)		258,137		5,228		(24,475)		238,890		4.33	%	7.29	%	5.74
CMBS	38,996		(17,722)		21,274		287		(6,992)		14,569		2.54	%	8.43	%	8.33
Non-Agency interest only securities	n/a		n/a		24,588		3,566		(1,182)		26,972		0.18	%	14.21	%	7.65
CLOs	n/a		n/a		45,240		3,217		(17,396)		31,061		2.16	%	9.37	%	3.06
ABS backed by consumer loans	115,604		(28,282)		87,322		278		(13,956)		73,644		11.87	%	13.42	%	1.21
Corporate debt	30,872		(23,337)		7,535		551		(553)		7,533		—	%	—	%	2.16
Corporate equity	n/a		n/a		9,799		2,941		(1,629)		11,111		n/a		n/a		n/a
U.S. Treasury securities	88,699		640		89,339		—		(1,917)		87,422		3.58	%	3.46	%	7.06
Total Long	1,692,787		(168,822)		1,620,957		17,475		(178,967)		1,459,465		1.59	%	4.70	%	6.93
Short:
U.S. Treasury securities	(200,850)		6,132		(194,718)		10,025		(731)		(185,424)		2.18	%	2.60	%	5.16
European sovereign bonds	(25,320)		(1,508)		(26,828)		3,049		—		(23,779)		0.01	%	0.04	%	2.17
Total Short	(226,170)		4,624		(221,546)		13,074		(731)		(209,203)		1.94	%	2.29	%	4.82
Total	$	1,466,617	$	(164,198)	$	1,399,411	$	30,549	$	(179,698)	$	1,250,262	1.58	%	4.41	%	6.67

Securities by Weighted Average Life

The following tables detail weighted average life of the Company's Agency RMBS as of March 31, 2023 and December 31, 2022.

March 31, 2023:


($ 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	$	19,952	$	20,363	3.72	%	$	1,985	$	2,168	0.69	%
Greater than three years and less than seven years	316,968		336,873		4.16	%	10,081		9,705		1.96	%
Greater than seven years and less than eleven years	499,799		546,523		3.37	%	2,596		2,518		1.58	%
Greater than eleven years	1,454		1,758		2.50	%	277		326		0.69	%
Total	$	838,173	$	905,517	3.66	%	$	14,939	$	14,717	1.29	%

(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, 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	$	20,547	$	21,976	3.57	%	$	2,202	$	2,501	0.90	%
Greater than three years and less than seven years	242,472		267,229		3.46	%	11,081		11,343		1.58	%
Greater than seven years and less than eleven years	685,742		768,041		3.38	%	3,345		3,207		1.94	%
Greater than eleven years	2,610		3,112		2.72	%	264		314		0.68	%
Total	$	951,371	$	1,060,358	3.40	%	$	16,892	$	17,365	1.36	%

(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, 2023 and December 31, 2022.

March 31, 2023:


($ 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	$	81,904	$	85,166	3.62	%	$	7,267	$	6,653	0.15	%	$	97,458	$	118,386	5.47	%
Greater than three years and less than seven years	80,754		86,740		5.61	%	3,089		3,704		1.50	%	133,695		137,301		3.51	%
Greater than seven years and less than eleven years	52,894		67,798		4.26	%	22,351		19,124		0.16	%	12,814		12,902		4.13	%
Greater than eleven years	32,781		40,395		4.48	%	326		290		1.24	%	—		—		—	%
Total	$	248,333	$	280,099	4.42	%	$	33,033	$	29,771	0.18	%	$	243,967	$	268,589	4.78	%

(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, 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	$	81,122	$	84,695	3.66	%	$	4,347	$	3,913	0.15	%	$	96,371	$	120,086	5.42	%
Greater than three years and less than seven years	109,722		115,716		5.41	%	3,723		4,247		1.47	%	53,804		59,754		3.69	%
Greater than seven years and less than eleven years	36,179		44,611		3.05	%	18,902		16,428		0.16	%	49,485		49,596		4.01	%
Greater than eleven years	26,436		34,389		3.53	%	—		—		—	%	—		—		—	%
Total	$	253,459	$	279,411	4.17	%	$	26,972	$	24,588	0.18	%	$	199,660	$	229,436	4.91	%

(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.

Investment Income

The following table details the components of interest income by security type for the three-month periods ended March 31, 2023 and 2022:


	Three-Month Period Ended
(In thousands)	March 31, 2023						March 31, 2022
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	9,349	$	(2,228)	$	7,121	$	14,335	$	(6,137)	$	8,198
Non-Agency RMBS and CMBS	6,431		161		6,592		4,086		28		4,114
CLOs	953		187		1,140		1,729		(585)		1,144
Other securities(1)	5,843		(1,374)		4,469		5,557		(1,113)		4,444
Total	$	22,576	$	(3,254)	$	19,322	$	25,707	$	(7,807)	$	17,900

(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, 2023 and 2022.


	Three-Month Period Ended
(In thousands)	March 31, 2023
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	205,504	$	796	$	(26,336)	$	(25,540)
Non-Agency RMBS and CMBS	27,188		1,084		(15)		1,069
CLOs	—		89		—		89
Other securities(3)	274,056		320		(1,749)		(1,429)
Total	$	506,748	$	2,289	$	(28,100)	$	(25,811)

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

(2)Excludes realized losses of $(5.7) million for the three-month period ended March 31, 2023, 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.


	Three-Month Period Ended
(In thousands)	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.

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, 2023 and December 31, 2022.

March 31, 2023:


(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	$	281,597	$	(10,070)	$	440,429	$	(58,421)	$	722,026	$	(68,491)
Non-Agency RMBS and CMBS	32,147		(2,724)		31,886		(7,850)		64,033		(10,574)
CLOs	—		—		14,157		(2,531)		14,157		(2,531)
Other securities(1)	61,182		(1,112)		1,145		(847)		62,327		(1,959)
Total	$	374,926	$	(13,906)	$	487,617	$	(69,649)	$	862,543	$	(83,555)

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

December 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	$	577,047	$	(51,817)	$	326,223	$	(57,564)	$	903,270	$	(109,381)
Non-Agency RMBS and CMBS	46,644		(5,205)		26,194		(4,959)		72,838		(10,164)
CLOs	6,035		(466)		12,212		(3,488)		18,247		(3,954)
Other securities(1)	90,523		(2,855)		726		(693)		91,249		(3,548)
Total	$	720,249	$	(60,343)	$	365,355	$	(66,704)	$	1,085,604	$	(127,047)

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