Investment Securities (Tables)

3 Months Ended

Mar. 31, 2024

Investments, Debt and Equity Securities [Abstract]

Schedule of Investments Securities at Cost

The following table sets forth a summary of RMBS at cost as of March 31, 2024 and December 31, 2023:

	March 31, 2024		December 31, 2023
	(in thousands)
AOMT RMBS	$	88,323	$	84,957
Whole Pool Agency RMBS	$	359,892	$	391,964

The following table sets forth certain information about the Company’s investments in U.S. Treasury securities as of March 31, 2024 and December 31, 2023:

Date	Face Value		Unamortized Discount, net		Amortized Cost		Unrealized Gain/(Loss)		Fair Value		Net Effective Yield
	($ in thousands)
March 31, 2024	$	150,000	$	195	$	149,805	$	—	$	149,805	5.19	%
December 31, 2023	$	150,000	$	159	$	149,841	$	86	$	149,927	5.30	%

Schedule of Investments in RMBS and CMBS at Fair Value

The following tables sets forth certain information about the Company’s investments in RMBS at fair value as of March 31, 2024 and December 31, 2023:

	Real Estate Securities at Fair Value		Securities Sold Under Agreements to Repurchase		Allocated Capital
March 31, 2024:	(in thousands)
AOMT RMBS (1)
Mezzanine	$	11,824	$	(702)	$	11,122
Subordinate	58,955		(19,726)		39,229
Interest Only/Excess	13,982		(1,830)		12,152
Retained RMBS in VIEs (2)	—		(22,243)		(22,243)
Total AOMT RMBS	$	84,761	$	(44,501)	$	40,260
Whole Pool Agency RMBS (3)
Fannie Mae	$	155,229	$	—	$	155,229
Freddie Mac	205,146		—		205,146
Whole Pool Total Agency RMBS	$	360,375	$	—	$	360,375
Total RMBS	$	445,136	$	(44,501)	$	400,635

(1)     AOMT RMBS held as of March 31, 2024 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions.

(2)     A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $119.8 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

(3)     The whole pool RMBS presented as of March 31, 2024 were purchased from a broker to whom the Company owes approximately $360 million, payable upon the settlement date of the trade. See Note 6 - Due to Broker.

December 31, 2023	Real Estate Securities at Fair Value		Securities Sold Under Agreements to Repurchase		Allocated Capital
	(in thousands)
AOMT RMBS (1)
Mezzanine	$	10,972	$	(844)	$	10,128
Subordinate	55,665		(19,812)		35,853
Interest Only/Excess	13,059		(1,871)		11,188
Retained RMBS in VIEs (2)	—		(22,116)		(22,116)
Total AOMT RMBS	$	79,696	$	(44,643)	$	35,053
Whole Pool Agency RMBS (3)
Fannie Mae	$	278,510	$	—	$	278,510
Freddie Mac	113,852		—		113,852
Whole Pool Total Agency RMBS	$	392,362	$	—	$	392,362
Total RMBS	$	472,058	$	(44,643)	$	427,415

(1)     AOMT RMBS held as of December 31, 2023 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions.

(2)     A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $124.1 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets.

(3)     The whole pool RMBS presented as of December 31, 2023 were purchased from a broker to whom the Company owes approximately $392 million, payable upon the settlement date of the trade. See Note 6 - Due to Broker.