XML 61 R47.htm IDEA: XBRL DOCUMENT v3.23.1
SECURITIES - Summary of Securities (Details)
$ in Thousands
 3 Months Ended 12 Months Ended
Mar. 31, 2023
USD ($)
security
Dec. 31, 2022
USD ($)
security
Debt Securities, Available-for-sale [Line Items]    
Outstanding Face Amount $ 1,471,801 $ 1,670,439
Amortized Cost Basis 537,312 608,439
Gross Unrealized Gains 361 144
Gross Unrealized Losses (17,758) (21,163)
Carrying value, before allowance for credit loss $ 519,915 $ 587,420
Number of Securities | security 100 106
Weighted Average Coupon 2.37% 2.06%
Weighted Average Yield 5.72% 5.29%
Remaining Duration 1 year 7 days 1 year 25 days
Amortized Cost Basis $ 160  
Gross Unrealized Gains 0  
Gross Unrealized Losses (47)  
Carrying Value $ 113 $ 119
Number of equity securities | security 1 1
Allowance for current expected credit losses $ (20) $ (20)
Total Amortized Cost Basis 537,472 608,599
Total Gross Unrealized Gains 361 144
Total real estate securities, Gross Unrealized Losses (17,825) (21,224)
Carrying Value $ 520,008 $ 587,519
Total number of Securities | security 101 107
CMBS    
Debt Securities, Available-for-sale [Line Items]    
Outstanding Face Amount $ 503,183 $ 562,839
Amortized Cost Basis 502,710 562,246
Gross Unrealized Gains 43 0
Gross Unrealized Losses (17,563) (20,913)
Carrying value, before allowance for credit loss $ 485,190 $ 541,333
Number of Securities | security 70 71
Weighted Average Coupon 5.72% 5.22%
Weighted Average Yield 5.76% 5.32%
Remaining Duration 1 year 3 days 1 year 21 days
Risk retention requirement, amount $ 9,000 $ 9,000
CMBS interest-only    
Debt Securities, Available-for-sale [Line Items]    
Outstanding Face Amount 898,620 1,026,195
Amortized Cost Basis 9,493 10,498
Gross Unrealized Gains 177 121
Gross Unrealized Losses (134) (176)
Carrying value, before allowance for credit loss $ 9,536 $ 10,443
Number of Securities | security 9 10
Weighted Average Coupon 0.59% 0.41%
Weighted Average Yield 3.82% 3.65%
Remaining Duration 1 year 4 months 13 days 1 year 5 months 12 days
Risk retention requirement, amount $ 400 $ 400
GNMA interest-only    
Debt Securities, Available-for-sale [Line Items]    
Outstanding Face Amount 44,966 45,369
Amortized Cost Basis 265 285
Gross Unrealized Gains 139 17
Gross Unrealized Losses (19) (21)
Carrying value, before allowance for credit loss $ 385 $ 281
Number of Securities | security 14 14
Weighted Average Coupon 0.31% 0.31%
Weighted Average Yield 5.95% 4.23%
Remaining Duration 3 years 1 month 2 days 3 years 3 months 18 days
Agency securities    
Debt Securities, Available-for-sale [Line Items]    
Outstanding Face Amount $ 32 $ 36
Amortized Cost Basis 33 36
Gross Unrealized Gains 0 0
Gross Unrealized Losses (1) (1)
Carrying value, before allowance for credit loss $ 32 $ 35
Number of Securities | security 1 1
Weighted Average Coupon 4.00% 4.00%
Weighted Average Yield 2.70% 2.70%
Remaining Duration 1 year 5 months 1 day 1 year 6 months 14 days
U.S. Treasury securities    
Debt Securities, Available-for-sale [Line Items]    
Outstanding Face Amount $ 25,000 $ 36,000
Amortized Cost Basis 24,811 35,374
Gross Unrealized Gains 2 6
Gross Unrealized Losses (41) (52)
Carrying value, before allowance for credit loss $ 24,772 $ 35,328
Number of Securities | security 6 10
Weighted Average Yield 4.10% 4.17%
Remaining Duration 3 months 14 days 7 months 6 days
Common Stock    
Debt Securities, Available-for-sale [Line Items]    
Amortized Cost Basis   $ 160
Gross Unrealized Gains   0
Gross Unrealized Losses   $ (41)