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Investment in Securities (Tables)
 3 Months Ended
Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Holdings The following tables detail the Company's investment in securities as of March 31, 2024 and December 31, 2023.
March 31, 2024:
Gross UnrealizedWeighted Average
($ in thousands)Current PrincipalUnamortized Premium (Discount)Amortized CostGainsLossesFair Value
Coupon(1)(2)
Yield
Life (Years)(3)
Long:
Agency RMBS:
15-year fixed-rate mortgages$56,106 $220 $56,326 $5 $(4,562)$51,769 2.57 %2.41 %3.42
20-year fixed-rate mortgages2,324 107 2,431 — (428)2,003 2.29 %1.45 %6.19
30-year fixed-rate mortgages599,815 (9,708)590,107 1,453 (35,526)556,034 4.02 %4.09 %6.77
Adjustable rate mortgages5,171 532 5,703 — (660)5,043 3.88 %2.10 %4.82
Reverse mortgages35,416 3,211 38,627 233 (1,948)36,912 5.98 %3.38 %4.80
Interest only securities n/a  n/a 10,291 1,090 (570)10,811 1.23 %11.69 %5.75
Non-Agency RMBS336,052 (122,112)213,940 12,616 (22,760)203,796 5.18 %8.77 %4.92
CMBS51,171 (20,689)30,482 667 (11,348)19,801 3.22 %9.09 %6.70
Non-Agency interest only securities n/a  n/a 32,038 6,560 (2,074)36,524 0.17 %13.57 %7.85
CLOs n/a  n/a 67,872 2,477 (5,649)64,700 2.86 %11.40 %4.69
ABS58,732 (43,923)14,809 141 (261)14,689 4.50 %24.22 %3.36
ABS backed by consumer loans151,568 (70,659)80,909 1,560 (10,925)71,544 12.00 %10.52 %1.55
Corporate debt61,323 (49,312)12,011 1,752 (834)12,929 — %— %2.18
Corporate equity n/a  n/a 22,120 1,547 (6,412)17,255  n/a n/an/a
U.S. Treasury securities223,338 2,947 226,285 522 (1,769)225,038 4.29 %4.04 %7.79
Total Long1,581,016 (309,386)1,403,951 30,623 (105,726)1,328,848 4.89 %6.05 %6.01
Short:
U.S. Treasury securities(142,128)645 (141,483)2,333 (244)(139,394)3.52 %3.66 %2.01
European sovereign bonds(26,575)(1,148)(27,723)1,999 — (25,724)0.01 %0.15 %0.94
Total Short(168,703)(503)(169,206)4,332 (244)(165,118)2.96 %3.09 %1.85
Total$1,412,313 $(309,889)$1,234,745 $34,955 $(105,970)$1,163,730 4.71 %5.72 %5.55
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity.
(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
December 31, 2023:
Gross UnrealizedWeighted Average
($ in thousands)Current PrincipalUnamortized Premium (Discount)Amortized CostGainsLossesFair 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 mortgages2,368 114 2,482 — (404)2,078 2.29 %1.48 %6.25
30-year fixed-rate mortgages783,123 (6,744)776,379 4,313 (38,595)742,097 4.04 %4.04 %6.61
Adjustable rate mortgages5,252 568 5,820 — (690)5,130 3.81 %2.09 %4.42
Reverse mortgages36,196 3,928 40,124 34 (2,987)37,171 5.37 %3.55 %4.76
Interest only securitiesn/an/a11,891 1,320 (499)12,712 1.08 %13.18 %5.36
Non-Agency RMBS427,431 (139,654)287,777 11,369 (29,672)269,474 5.07 %8.96 %4.73
CMBS74,591 (20,389)54,202 349 (11,780)42,771 4.87 %8.93 %4.72
Non-Agency interest only securitiesn/an/a35,214 6,212 (2,650)38,776 0.17 %14.57 %7.46
CLOsn/an/a44,939 1,873 (8,834)37,978 2.27 %11.81 %4.46
ABS16,416 (8,956)7,460 256 (20)7,696 7.16 %13.85 %2.49
ABS backed by consumer loans151,310 (67,159)84,151 1,577 (11,502)74,226 12.00 %11.38 %1.50
Corporate debt30,944 (23,191)7,753 579 (291)8,041 — %— %1.93
Corporate equityn/an/a23,066 1,851 (3,789)21,128 n/an/an/a
U.S. Treasury securities212,433 (49,289)163,144 2,415 (496)165,063 4.25 %4.01 %7.43
Total Long1,798,051 (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)$1,364,074 4.78 %5.71 %5.42
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity.
(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
Securities by Weighted Average Life
The following tables detail weighted average life of the Company's Agency RMBS as of March 31, 2024 and December 31, 2023.
March 31, 2024:
($ in thousands)Agency RMBSAgency Interest Only Securities
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$79,510 $79,994 5.45 %$1,151 $1,228 0.81 %
Greater than three years and less than seven years244,763 257,937 4.62 %5,891 5,641 1.45 %
Greater than seven years and less than eleven years327,488 355,263 3.25 %3,512 3,131 1.61 %
Greater than eleven years— — — %257 291 0.68 %
Total$651,761 $693,194 3.99 %$10,811 $10,291 1.23 %
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
December 31, 2023:
($ in thousands)Agency RMBSAgency Interest Only Securities
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized 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 years346,074 360,574 4.49 %8,227 7,601 1.77 %
Greater than seven years and less than eleven years404,789 432,515 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 $11,891 1.08 %
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2024 and December 31, 2023.
March 31, 2024:
($ in thousands)Non-Agency RMBS and CMBSNon-Agency IOs
CLOs and Other Securities(2)
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Less than three years$76,678 $78,082 4.58 %$2,531 $3,244 0.16 %$107,299 $117,291 5.50 %
Greater than three years and less than seven years100,758 101,413 7.00 %10,367 10,225 0.29 %129,772 132,122 4.90 %
Greater than seven years and less than eleven years35,690 44,069 4.35 %23,299 18,314 0.15 %151,829 152,473 4.16 %
Greater than eleven years10,471 20,858 1.96 %327 255 1.25 %— — — %
Total$223,597 $244,422 4.92 %$36,524 $32,038 0.17 %$388,900 $401,886 5.06 %
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Other Securities includes ABS, corporate debt, and U.S. Treasury securities.
(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
December 31, 2023:
($ in thousands)Non-Agency RMBS and CMBSNon-Agency IOs
CLOs and Other Securities(2)
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized 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 years131,314 135,591 7.05 %11,014 11,343 0.28 %106,529 107,727 5.13 %
Greater than seven years and less than eleven years58,741 74,401 5.04 %23,555 19,072 0.15 %86,705 85,011 4.12 %
Greater than eleven years6,114 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 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, 2024 and 2023:
Three-Month Period Ended
(In thousands)March 31, 2024March 31, 2023
Security TypeCoupon InterestNet AmortizationInterest IncomeCoupon InterestNet AmortizationInterest Income
Agency RMBS $9,067 $(1,998)$7,069 $9,349 $(2,228)$7,121 
Non-Agency RMBS and CMBS8,687 (849)7,838 6,431 161 6,592 
CLOs1,885 (376)1,509 953 187 1,140 
Other securities(1)
7,124 (2,658)4,466 5,843 (1,374)4,469 
Total$26,763 $(5,881)$20,882 $22,576 $(3,254)$19,322 
(1)Other securities includes ABS, 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, 2024 and 2023.
(In thousands)Three-Month Period Ended March 31, 2024
Security Type
Proceeds(1)
Gross Realized Gains
Gross Realized Losses(2)
Net Realized Gain (Loss)
Agency RMBS $236,602 $1,077 $(13,231)$(12,154)
Non-Agency RMBS and CMBS
112,793 6,814 (865)5,949 
CLOs2,312 388 (122)266 
Other securities(3)
55,270 1,528 (622)906 
Total$406,977 $9,807 $(14,840)$(5,033)
(1)Includes proceeds on sales of securities not yet settled as of period end.
(2)Excludes realized losses of $(9.7) million for the three-month period ended March 31, 2024, 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)Three-Month Period Ended 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.
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 basis, by length of time that such securities have been in an unrealized loss position at March 31, 2024 and December 31, 2023.
March 31, 2024:
(In thousands)Less than 12 MonthsGreater than 12 MonthsTotal
Security TypeFair ValueUnrealized LossesFair ValueUnrealized LossesFair ValueUnrealized Losses
Agency RMBS $180,991 $(3,896)$299,073 $(39,004)$480,064 $(42,900)
Non-Agency RMBS and CMBS159 (1)47,168 (9,009)47,327 (9,010)
CLOs9,274 (179)3,560 (876)12,834 (1,055)
Other securities(1)
197,110 (6,522)827 (1,679)197,937 (8,201)
Total$387,534 $(10,598)$350,628 $(50,568)$738,162 $(61,166)
(1)Other securities includes ABS and corporate debt and equity securities.
December 31, 2023:
(In thousands)Less than 12 MonthsGreater than 12 MonthsTotal
Security TypeFair ValueUnrealized LossesFair ValueUnrealized LossesFair ValueUnrealized Losses
Agency RMBS$125,112 $(730)$426,834 $(45,854)$551,946 $(46,584)
Non-Agency RMBS and CMBS10,301 (200)14,195 (882)24,496 (1,082)
CLOs7,152 (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 corporate debt and equity securities.