Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of Fair Values Measured on Recurring Basis

The following tables present our assets and liabilities measured at fair value on a recurring basis.

	September 30, 2021
	Fair Value Measurements Using:
$ in thousands	Level 1	Level 2	Level 3	NAV as a practical expedient (2)	Total at Fair Value
Assets:
Mortgage-backed securities (1)	—	8,828,002	—	—	8,828,002
Derivative assets	—	190	—	—	190
Other assets (3)	—	—	22,268	12,426	34,694
Total assets	—	8,828,192	22,268	12,426	8,862,886
Liabilities:
Derivative liabilities	—	11,671	—	—	11,671
Total liabilities	—	11,671	—	—	11,671

	December 31, 2020
	Fair Value Measurements Using:
$ in thousands	Level 1	Level 2	Level 3	NAV as a practical expedient (2)	Total at Fair Value
Assets:
Mortgage-backed securities (1)	—	8,172,182	—	—	8,172,182
Derivative assets	—	10,004	—	—	10,004
Other assets (3)	—	—	23,098	16,408	39,506
Total assets	—	8,182,186	23,098	16,408	8,221,692
Liabilities:
Derivative liabilities	—	6,344	—	—	6,344
Total liabilities	—	6,344	—	—	6,344

(1)For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities."

(2)Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of September 30, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.1 years and 1.5 years, respectively.

(3)Includes $22.3 million and $23.1 million of a commercial loan as of September 30, 2021 and December 31, 2020, respectively. We value the loan based on a third party appraisal.

Schedule of Net Derivative Asset (Liability) Level 3 Roll Forward

The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs:

	Three Months Ended September 30,	Nine Months Ended September 30,
$ in thousands	2020	2020
Beginning balance	(17,223)	10,281
Sales and settlements	17,223	31,354
Total net credit derivative gains (losses) included in net income:
Realized credit derivative gains (losses), net	(17,223)	(31,354)
Unrealized credit derivative gains (losses), net	17,223	(10,281)
Ending balance	—	—

Schedule of Loan Participation Interest Level 3 Roll Forward

The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs:

	Nine Months Ended September 30,
$ in thousands	2020
Beginning balance	44,654
Repayments	(19,269)
Sales	(21,577)
Total net gains and losses included in net income:
Realized losses	(3,808)
Net unrealized gains (losses)	—
Ending balance	—

Realized and unrealized gains and losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations.

The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs:

	Three Months Ended September 30,		Nine Months Ended September 30,
$ in thousands	2021	2020	2021	2020
Beginning balance	20,822	21,792	23,098	24,055
Cumulative effect of adoption of new accounting principle	—	—	—	342
Repayments	—	—	—	(136)
Total net unrealized gains (losses) included in net income:
Unrealized gains (losses)	1,446	(15)	(830)	(2,484)
Ending balance	22,268	21,777	22,268	21,777

Schedule of Fair Value Measurement of Commercial Loan

The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan:

	Fair Value at	Valuation	Unobservable
$ in thousands	September 30, 2021	Technique	Input	Rate
Commercial Loan	22,268	Discounted Cash Flow	Discount rate	26.3	%

	Fair Value at	Valuation	Unobservable
$ in thousands	December 31, 2020	Technique	Input	Rate
Commercial Loan	23,098	Discounted Cash Flow	Discount rate	29.9	%

Schedule of Carrying Values and Estimated Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at September 30, 2021 and December 31, 2020:

	September 30, 2021		December 31, 2020
$ in thousands	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value
Financial Liabilities
Repurchase agreements	7,873,798	7,873,781	7,228,699	7,228,719
Total	7,873,798	7,873,781	7,228,699	7,228,719