Investment in Securities

9 Months Ended

Sep. 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 September 30, 2023 and December 31, 2022.

September 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	$	92,040	$	(1,694)	$	90,346	$	—	$	(8,012)	$	82,334	2.57	%	2.87	%	4.00
20-year fixed-rate mortgages	6,695		339		7,034		—		(1,481)		5,553		2.41	%	1.57	%	6.81
30-year fixed-rate mortgages	919,485		(7,202)		912,283		3		(85,911)		826,375		4.09	%	4.07	%	8.32
Adjustable rate mortgages	5,355		532		5,887		—		(733)		5,154		3.81	%	2.01	%	4.25
Reverse mortgages	33,083		3,570		36,653		—		(3,124)		33,529		5.14	%	3.24	%	4.95
Interest only securities	n/a		n/a		10,837		1,244		(740)		11,341		1.04	%	12.29	%	5.30
Non-Agency RMBS	430,400		(131,255)		299,145		8,880		(36,785)		271,240		5.00	%	8.79	%	5.35
CMBS	49,591		(20,650)		28,941		323		(11,371)		17,893		3.05	%	9.37	%	6.86
Non-Agency interest only securities	n/a		n/a		36,730		6,428		(1,892)		41,266		0.17	%	13.81	%	7.80
CLOs	n/a		n/a		39,824		2,292		(12,166)		29,950		1.87	%	10.25	%	3.94
ABS	1,988		(710)		1,278		7		—		1,285		3.84	%	10.25	%	2.52
ABS backed by consumer loans	140,308		(48,253)		92,055		141		(11,672)		80,524		12.00	%	12.11	%	1.48
Corporate debt	34,408		(24,749)		9,659		971		(338)		10,292		—	%	—	%	1.91
Corporate equity	n/a		n/a		8,924		3,365		(1,354)		10,935		n/a		n/a		n/a
U.S. Treasury securities	78,030		44		78,074		—		(3,696)		74,378		3.71	%	3.71	%	6.07
Total Long	1,791,383		(230,028)		1,657,670		23,654		(179,275)		1,502,049		4.74	%	5.79	%	6.77
Short:
Corporate equity	n/a		n/a		(143)		—		(45)		(188)		n/a		n/a		n/a
U.S. Treasury securities	(149,454)		1,738		(147,716)		8,753		(7)		(138,970)		2.37	%	2.61	%	2.87
European sovereign bonds	(26,005)		(1,703)		(27,708)		3,034		—		(24,674)		0.01	%	0.15	%	1.43
Total Short	(175,459)		35		(175,567)		11,787		(52)		(163,832)		2.02	%	2.22	%	2.65
Total	$	1,615,924	$	(229,993)	$	1,482,103	$	35,441	$	(179,327)	$	1,338,217	4.49	%	5.44	%	6.36

(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 September 30, 2023 and December 31, 2022.

September 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	$	38,408	$	39,972	3.94	%	$	1,668	$	1,768	0.54	%
Greater than three years and less than seven years	200,692		218,462		4.37	%	7,290		6,943		1.76	%
Greater than seven years and less than eleven years	710,970		790,249		3.88	%	2,115		1,826		2.25	%
Greater than eleven years	2,875		3,520		2.50	%	268		300		0.68	%
Total	$	952,945	$	1,052,203	3.98	%	$	11,341	$	10,837	1.04	%

(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 September 30, 2023 and December 31, 2022.

September 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	$	110,499	$	115,137	3.83	%	$	3,731	$	4,147	0.05	%	$	105,613	$	120,967	5.56	%
Greater than three years and less than seven years	99,541		103,113		7.24	%	13,528		12,676		0.30	%	78,474		86,443		4.24	%
Greater than seven years and less than eleven years	55,367		68,284		5.09	%	23,667		19,634		0.15	%	12,342		13,480		2.10	%
Greater than eleven years	23,726		41,552		2.96	%	340		273		1.11	%	—		—		—	%
Total	$	289,133	$	328,086	4.80	%	$	41,266	$	36,730	0.17	%	$	196,429	$	220,890	5.15	%

(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, 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 nine-month periods ended September 30, 2023 and 2022:


	Three-Month Period Ended
(In thousands)	September 30, 2023						September 30, 2022
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	10,894	$	(403)	$	10,491	$	11,950	$	(1,169)	$	10,781
Non-Agency RMBS and CMBS	7,811		(95)		7,716		5,020		(52)		4,968
CLOs	1,205		(372)		833		1,523		(595)		928
Other securities(1)	6,107		(1,865)		4,242		5,473		(2,377)		3,096
Total	$	26,017	$	(2,735)	$	23,282	$	23,966	$	(4,193)	$	19,773

(1)Other securities includes ABS, corporate debt securities, and U.S. Treasury securities.


	Nine-Month Period Ended
(In thousands)	September 30, 2023						September 30, 2022
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	29,746	$	(4,318)	$	25,428	$	39,227	$	(9,199)	$	30,028
Non-Agency RMBS and CMBS	21,629		(136)		21,493		13,878		79		13,957
CLOs	3,038		(391)		2,647		5,139		(1,800)		3,339
Other securities(1)	17,590		(4,260)		13,330		15,616		(4,525)		11,091
Total	$	72,003	$	(9,105)	$	62,898	$	73,860	$	(15,445)	$	58,415

(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, 2023 and 2022 the Catch-Up Amortization Adjustment was $0.3 million and $1.6 million, respectively. For the nine-month periods ended September 30, 2023 and 2022 the Catch-Up Amortization Adjustment was $(0.6) million and $3.1 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 nine-month periods ended September 30, 2023 and 2022.


	Three-Month Period Ended								Three-Month Period Ended
(In thousands)	September 30, 2023								September 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	$	86,936	$	172	$	(5,662)	$	(5,490)	$	311,908	$	728	$	(34,921)	$	(34,193)
Non-Agency RMBS and CMBS	5,012		329		(120)		209		13,121		2,210		(372)		1,838
CLOs	—		53		—		53		992		3,324		(57)		3,267
Other securities(3)	289,990		1,071		(2,827)		(1,756)		79,510		636		(366)		270
Total	$	381,938	$	1,625	$	(8,609)	$	(6,984)	$	405,531	$	6,898	$	(35,716)	$	(28,818)

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

(2)Excludes realized losses of $(12.0) million and $(2.0) million for the three-month periods ended September 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, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.


	Nine-Month Period Ended								Nine-Month Period Ended
(In thousands)	September 30, 2023								September 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	$	474,962	$	1,023	$	(46,505)	$	(45,482)	$	878,629	$	1,923	$	(68,939)	$	(67,016)
Non-Agency RMBS and CMBS	46,243		2,742		(169)		2,573		20,715		6,546		(398)		6,148
CLOs	—		496		(1)		495		18,259		7,584		(747)		6,837
Other securities(3)	1,000,184		2,893		(6,012)		(3,119)		173,437		4,301		(820)		3,481
Total	$	1,521,389	$	7,154	$	(52,687)	$	(45,533)	$	1,091,040	$	20,354	$	(70,904)	$	(50,550)

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

(2)Excludes realized losses of $(20.4) million and $(4.5) million, for the nine-month periods ended September 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, 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 September 30, 2023 and December 31, 2022.

September 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	$	485,932	$	(21,140)	$	459,339	$	(77,737)	$	945,271	$	(98,877)
Non-Agency RMBS and CMBS	3,062		(165)		42,113		(7,532)		45,175		(7,697)
CLOs	3,331		(200)		12,186		(3,069)		15,517		(3,269)
Other securities(1)	64,447		(3,022)		11,884		(2,126)		76,331		(5,148)
Total	$	556,772	$	(24,527)	$	525,522	$	(90,464)	$	1,082,294	$	(114,991)

(1)Other securities includes ABS and 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 September 30, 2023 and December 31, 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $38.9 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 September 30, 2023 and 2022, the Company recognized realized losses on these securities of $(12.0) million and $(2.0) million, respectively. For the nine-month periods ended September 30, 2023 and 2022, the Company recognized realized losses on these securities of $(20.4) million and $(4.5) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.