Investment in Securities

6 Months Ended

Jun. 30, 2023

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, 2023 and December 31, 2022.

June 30, 2023:


							Gross Unrealized						Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)(2)		Yield		Life (Years)(3)
Long:
Agency RMBS:
15-year fixed-rate mortgages	$	79,540	$	981	$	80,521	$	—	$	(7,375)	$	73,146	2.54	%	2.15	%	3.87
20-year fixed-rate mortgages	6,825		350		7,175		—		(1,204)		5,971		2.41	%	1.56	%	6.75
30-year fixed-rate mortgages	850,534		(3,204)		847,330		211		(53,932)		793,609		3.90	%	3.79	%	7.67
Adjustable rate mortgages	5,484		544		6,028		—		(699)		5,329		3.75	%	2.10	%	4.44
Reverse mortgages	26,561		3,300		29,861		—		(2,933)		26,928		4.36	%	2.55	%	4.86
Interest only securities	n/a		n/a		13,299		1,195		(983)		13,511		1.09	%	14.08	%	5.26
Non-Agency RMBS	403,725		(131,644)		272,081		7,042		(32,117)		247,006		5.07	%	8.96	%	6.64
CMBS	45,701		(18,357)		27,344		335		(10,141)		17,538		3.03	%	8.52	%	6.31
Non-Agency interest only securities	n/a		n/a		30,079		5,577		(2,094)		33,562		0.17	%	14.75	%	7.67
CLOs	n/a		n/a		40,862		1,819		(17,463)		25,218		1.93	%	7.54	%	3.75
ABS backed by consumer loans	128,164		(39,484)		88,680		240		(11,781)		77,139		0.05	%	12.52	%	1.35
Corporate debt	32,384		(23,490)		8,894		1,047		(308)		9,633		—	%	—	%	2.19
Corporate equity	n/a		n/a		9,960		3,482		(1,706)		11,736		n/a		n/a		n/a
U.S. Treasury securities	163,398		(314)		163,084		46		(2,593)		160,537		3.72	%	3.73	%	6.05
Total Long	1,742,316		(211,318)		1,625,198		20,994		(145,329)		1,500,863		3.72	%	5.51	%	6.60
Short:
Corporate equity	n/a		n/a		(234)		—		(29)		(263)		n/a		n/a		n/a
U.S. Treasury securities	(146,390)		2,064		(144,326)		8,157		—		(136,169)		2.18	%	2.43	%	3.86
European sovereign bonds	(26,862)		(838)		(27,700)		2,414		—		(25,286)		0.01	%	0.15	%	1.70
Total Short	(173,252)		1,226		(172,260)		10,571		(29)		(161,718)		1.84	%	2.06	%	3.52
Total	$	1,569,064	$	(210,092)	$	1,452,938	$	31,565	$	(145,358)	$	1,339,145	3.92	%	5.17	%	6.30

(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)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity.

(3)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)(2)		Yield		Life (Years)(3)
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		4.12	%	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	4.46	%	4.41	%	6.67

(2)Conformed to current period presentation. Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity.

The following tables detail weighted average life of the Company's Agency RMBS as of June 30, 2023 and December 31, 2022.

June 30, 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	$	35,950	$	37,146	4.26	%	$	1,901	$	2,119	0.57	%
Greater than three years and less than seven years	304,863		323,510		4.50	%	8,864		8,698		1.84	%
Greater than seven years and less than eleven years	562,748		608,512		3.41	%	2,473		2,177		1.73	%
Greater than eleven years	1,422		1,747		2.50	%	273		305		0.68	%
Total	$	904,983	$	970,915	3.79	%	$	13,511	$	13,299	1.09	%

(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 June 30, 2023 and December 31, 2022.

June 30, 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	$	83,099	$	87,434	3.82	%	$	4,210	$	4,376	0.05	%	$	98,258	$	120,172	0.85	%
Greater than three years and less than seven years	67,235		72,595		5.70	%	5,481		5,181		0.37	%	155,825		162,397		3.50	%
Greater than seven years and less than eleven years	65,320		83,839		5.03	%	23,554		20,240		0.15	%	18,444		18,951		2.92	%
Greater than eleven years	48,890		55,557		5.68	%	317		282		1.24	%	—		—		—	%
Total	$	264,544	$	299,425	4.87	%	$	33,562	$	30,079	0.17	%	$	272,527	$	301,520	1.91	%

(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.

The following table details the components of interest income by security type for the three- and six-month periods ended June 30, 2023 and 2022:


	Three-Month Period Ended
(In thousands)	June 30, 2023						June 30, 2022
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	9,503	$	(1,687)	$	7,816	$	12,941	$	(1,892)	$	11,049
Non-Agency RMBS and CMBS	7,387		(202)		7,185		4,772		103		4,875
CLOs	880		(206)		674		1,887		(620)		1,267
Other securities(1)	5,640		(1,021)		4,619		4,587		(1,036)		3,551
Total	$	23,410	$	(3,116)	$	20,294	$	24,187	$	(3,445)	$	20,742

(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, 2023						June 30, 2022
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	18,852	$	(3,916)	$	14,936	$	27,276	$	(8,029)	$	19,247
Non-Agency RMBS and CMBS	13,818		(41)		13,777		8,858		131		8,989
CLOs	1,833		(18)		1,815		3,616		(1,205)		2,411
Other securities(1)	11,483		(2,395)		9,088		10,144		(2,149)		7,995
Total	$	45,986	$	(6,370)	$	39,616	$	49,894	$	(11,252)	$	38,642

(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, 2023 and 2022 the Catch-Up Premium Amortization Adjustment was $(0.5) million and $2.1 million, respectively. For the six-month periods ended June 30, 2023 and 2022 the Catch-Up Premium Amortization Adjustment was $(1.0) million and $1.5 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, 2023 and 2022.


	Three-Month Period Ended								Three-Month Period Ended
(In thousands)	June 30, 2023								June 30, 2022
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	$	182,522	$	65	$	(14,517)	$	(14,452)	$	174,796	$	26	$	(21,549)	$	(21,523)
Non-Agency RMBS and CMBS	14,042		1,345		(50)		1,295		1,086		2,395		(3)		2,392
CLOs	—		354		—		354		2,835		2,358		(70)		2,288
Other securities(3)	436,139		1,843		(1,777)		66		79,896		197		(144)		53
Total	$	632,703	$	3,607	$	(16,344)	$	(12,737)	$	258,613	$	4,976	$	(21,766)	$	(16,790)

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

(2)Excludes realized losses of $(2.7) million and $(1.0) million for the three-month periods ended June 30, 2023 and 2022, 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								Six-Month Period Ended
(In thousands)	June 30, 2023								June 30, 2022
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	$	388,026	$	852	$	(40,844)	$	(39,992)	$	566,721	$	1,207	$	(34,027)	$	(32,820)
Non-Agency RMBS and CMBS	41,230		2,429		(65)		2,364		7,594		4,336		(26)		4,310
CLOs	—		442		—		442		17,267		4,260		(690)		3,570
Other securities(3)	710,195		2,163		(3,526)		(1,363)		93,927		3,665		(454)		3,211
Total	$	1,139,451	$	5,886	$	(44,435)	$	(38,549)	$	685,509	$	13,468	$	(35,197)	$	(21,729)

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

(2)Excludes realized losses of $(8.4) million and $2.5 million, for the six-month periods ended June 30, 2023 and 2022, 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 basis, by length of time that such securities have been in an unrealized loss position at June 30, 2023 and December 31, 2022.

June 30, 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	$	459,363	$	(8,795)	$	423,269	$	(57,692)	$	882,632	$	(66,487)
Non-Agency RMBS and CMBS	601		(10)		46,920		(10,369)		47,521		(10,379)
CLOs	1,268		(4)		13,624		(2,560)		14,892		(2,564)
Other securities(1)	135,630		(2,541)		12,124		(1,758)		147,754		(4,299)
Total	$	596,862	$	(11,350)	$	495,937	$	(72,379)	$	1,092,799	$	(83,729)

(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.

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, 2023 and December 31, 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $34.9 million and $35.1 million, respectively, related to adverse changes in estimated future cash flows on its securities.

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, 2023 and 2022, the Company recognized realized losses on these securities of $(2.7) million and $(1.0) million, respectively. For the six-month periods ended June 30, 2023 and 2022, the Company recognized realized losses on these securities of $(8.4) million and $(2.5) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.