Investment in Securities

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Investment in Securities

Investment in Securities

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 December 31, 2023 and 2022.

December 31, 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	$	57,987	$	252	$	58,239	$	22	$	(4,225)	$	54,036	2.58	%	2.42	%	3.48
20-year fixed-rate mortgages	2,368		114		2,482		—		(404)		2,078		2.29	%	1.48	%	6.25
30-year fixed-rate mortgages	783,123		(6,744)		776,379		4,313		(38,595)		742,097		4.04	%	4.04	%	6.61
Adjustable rate mortgages	5,252		568		5,820		—		(690)		5,130		3.81	%	2.09	%	4.42
Reverse mortgages	36,196		3,928		40,124		34		(2,987)		37,171		5.37	%	3.55	%	4.76
Interest only securities	n/a		n/a		11,891		1,320		(499)		12,712		1.08	%	13.18	%	5.36
Non-Agency RMBS	427,431		(139,654)		287,777		11,369		(29,672)		269,474		5.07	%	8.96	%	4.73
CMBS	74,591		(20,389)		54,202		349		(11,780)		42,771		4.87	%	8.93	%	4.72
Non-Agency interest only securities	n/a		n/a		35,214		6,212		(2,650)		38,776		0.17	%	14.57	%	7.46
CLOs	n/a		n/a		44,939		1,873		(8,834)		37,978		2.27	%	11.81	%	4.46
ABS	16,416		(8,956)		7,460		256		(20)		7,696		7.16	%	13.85	%	2.49
ABS backed by consumer loans	151,310		(67,159)		84,151		1,577		(11,502)		74,226		12.00	%	11.38	%	1.50
Corporate debt	30,944		(23,191)		7,753		579		(291)		8,041		—	%	—	%	1.93
Corporate equity	n/a		n/a		23,066		1,851		(3,789)		21,128		n/a		n/a		n/a
U.S. Treasury securities	212,433		(49,289)		163,144		2,415		(496)		165,063		4.25	%	4.01	%	7.43
Total Long	1,798,051		(310,520)		1,602,641		32,170		(116,434)		1,518,377		4.95	%	5.99	%	5.80
Short:
U.S. Treasury securities	$	(130,121)	$	533	$	(129,588)	$	2,094	$	(619)	$	(128,113)	3.47	%	3.61	%	1.88
European sovereign bonds	(27,159)		(557)		(27,716)		1,526		—		(26,190)		0.01	%	0.15	%	1.20
Total Short	(157,280)		(24)		(157,304)		3,620		(619)		(154,303)		2.87	%	3.00	%	1.77
Total	$	1,640,771	$	(310,544)	$	1,445,337	$	35,790	$	(117,053)	$	1,364,074	4.78	%	5.71	%	5.42

(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

(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)Conformed to current period presentation. Total long, total short, and total weighted average coupon excludes 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.

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

December 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	$	89,649	$	89,955	5.39	%	$	1,541	$	1,546	0.57	%
Greater than three years and less than seven years	346,074		360,574		4.49	%	8,227		7,601		1.77	%
Greater than seven years and less than eleven years	404,789		432,515		3.30	%	2,676		2,448		1.84	%
Greater than eleven years	—		—		—	%	268		296		0.68	%
Total	$	840,512	$	883,044	3.99	%	$	12,712	$	11,891	1.08	%

(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	%

(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.

The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of December 31, 2023 and 2022.

December 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	$	116,076	$	117,707	4.41	%	$	3,885	$	4,535	0.10	%	$	99,770	$	114,709	6.02	%
Greater than three years and less than seven years	131,314		135,591		7.05	%	11,014		11,343		0.28	%	106,529		107,727		5.13	%
Greater than seven years and less than eleven years	58,741		74,401		5.04	%	23,555		19,072		0.15	%	86,705		85,011		4.12	%
Greater than eleven years	6,114		14,280		0.38	%	322		264		1.25	%	—		—		—	%
Total	$	312,245	$	341,979	5.04	%	$	38,776	$	35,214	0.17	%	$	293,004	$	307,447	5.40	%

(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	%

(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.

The following table details the components of interest income by security type for the years ended December 31, 2023, 2022 and 2021:

	Year Ended
(In thousands)	December 31, 2023						December 31, 2022						December 31, 2021
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	41,414	$	(4,406)	$	37,008	$	50,032	$	(10,410)	$	39,622	$	58,495	$	(24,642)	$	33,853
Non-Agency RMBS and CMBS	29,805		66		29,871		18,887		267		19,154		13,987		3,423		17,410
CLOs	4,375		(666)		3,709		5,963		(1,605)		4,358		10,701		(1,035)		9,666
Other securities(1)	23,678		(6,151)		17,527		20,665		(5,876)		14,789		17,332		(5,538)		11,794
Total	$	99,272	$	(11,157)	$	88,115	$	95,547	$	(17,624)	$	77,923	$	100,515	$	(27,792)	$	72,723

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

For the years ended December 31, 2023, 2022, and 2021 the Catch-Up Amortization Adjustment was $(0.1) million, $4.1 million, and $1.3 million, respectively.

The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the years ended December 31, 2023, 2022, and 2021.

(In thousands)	Year Ended December 31, 2023
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	1,394,118	$	1,142	$	(57,677)	$	(56,535)
Non-Agency RMBS and CMBS	131,697		2,993		(1,297)		1,696
CLOs	210		1,547		(171)		1,376
Other securities(3)	1,278,153		6,898		(7,298)		(400)
Total	$	2,804,178	$	12,580	$	(66,443)	$	(53,863)

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

(2)Excludes realized losses of $(31.7) million for the year ended December 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, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

(In thousands)	Year Ended December 31, 2022
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	1,090,180	$	2,159	$	(100,959)	$	(98,800)
Non-Agency RMBS and CMBS	30,171		6,907		(2,707)		4,200
CLOs	18,259		7,597		(747)		6,850
Other securities(3)	326,008		4,294		(1,661)		2,633
Total	$	1,464,618	$	20,957	$	(106,074)	$	(85,117)

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

(2)Excludes realized losses of $(6.0) million for the year ended December 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.

(In thousands)	Year Ended December 31, 2021
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	963,052	$	5,389	$	(10,859)	$	(5,470)
Non-Agency RMBS and CMBS	207,232		14,144		(2,723)		11,421
CLOs	130,747		4,163		(976)		3,187
Other securities(3)	194,025		2,588		(927)		1,661
Total	$	1,495,056	$	26,284	$	(15,485)	$	10,799

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

(2)Excludes realized losses of $(3.3) million for the year ended December 31, 2021, 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 December 31, 2023 and 2022.

December 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	$	125,112	$	(730)	$	426,834	$	(45,854)	$	551,946	$	(46,584)
Non-Agency RMBS and CMBS	10,301		(200)		14,195		(882)		24,496		(1,082)
CLOs	7,152		(69)		5		—		7,157		(69)
Other securities(1)	15,930		(2,276)		10,958		(2,029)		26,888		(4,305)
Total	$	158,495	$	(3,275)	$	451,992	$	(48,765)	$	610,487	$	(52,040)

(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 December 31, 2023 and 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $32.6 million and $35.1 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, 2023, the estimated credit losses on such securities was $1.1 million.

The Company has determined for certain securities that a portion of such securities cost basis is not collectible. For the years ended December 31, 2023, 2022, and 2021, the Company recognized realized losses on these securities of $(31.7) million, $(6.0) million, and $(3.3) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.