v3.20.4

Investment in Securities | 12 Months Ended
--- | ---
Dec. 31, 2020
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, 2020 and 2019. December 31, 2020:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1) |  | Yield |  | Life (Years)(2)
Long: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed-rate mortgages |  | $ | 67,875 |  |  | $ | 2,543 |  |  | $ | 70,418 |  |  | $ | 1,832 |  |  | $ | (36) |  |  | $ | 72,214 |  |  | 3.30 | % |  | 1.83 | % |  | 3.24
20-year fixed-rate mortgages |  | 50,131 |  |  | 3,097 |  |  | 53,228 |  |  | 182 |  |  | — |  |  | 53,410 |  |  | 2.57 | % |  | 1.08 | % |  | 4.46
30-year fixed-rate mortgages |  | 626,021 |  |  | 30,738 |  |  | 656,759 |  |  | 25,765 |  |  | (444) |  |  | 682,080 |  |  | 3.99 | % |  | 2.35 | % |  | 4.17
Adjustable rate mortgages |  | 6,171 |  |  | 159 |  |  | 6,330 |  |  | 124 |  |  | — |  |  | 6,454 |  |  | 3.66 | % |  | 2.27 | % |  | 3.42
Reverse mortgages |  | 89,383 |  |  | 5,152 |  |  | 94,535 |  |  | 3,123 |  |  | (29) |  |  | 97,629 |  |  | 3.97 | % |  | 2.37 | % |  | 4.60
Interest only securities |  | n/a |  | n/a |  | 43,406 |  |  | 5,808 |  |  | (1,558) |  |  | 47,656 |  |  | 3.36 | % |  | 10.01 | % |  | 4.85
Non-Agency RMBS |  | 321,842 |  |  | (131,083) |  |  | 190,759 |  |  | 15,880 |  |  | (5,549) |  |  | 201,090 |  |  | 3.15 | % |  | 6.40 | % |  | 5.46
CMBS |  | 188,085 |  |  | (61,763) |  |  | 126,322 |  |  | 1,655 |  |  | (16,910) |  |  | 111,067 |  |  | 2.71 | % |  | 7.47 | % |  | 8.09
Non-Agency interest only securities |  | n/a |  | n/a |  | 8,123 |  |  | 1,792 |  |  | (305) |  |  | 9,610 |  |  | 1.17 | % |  | 18.85 | % |  | 3.49
CLOs |  | n/a |  | n/a |  | 208,907 |  |  | 2,563 |  |  | (30,199) |  |  | 181,271 |  |  | 3.67 | % |  | 8.50 | % |  | 3.50
ABS backed by consumer loans |  | 69,646 |  |  | (24,936) |  |  | 44,710 |  |  | 221 |  |  | (6) |  |  | 44,925 |  |  | 11.95 | % |  | 18.57 | % |  | 1.11
Corporate debt |  | 27,083 |  |  | (23,187) |  |  | 3,896 |  |  | 1,296 |  |  | (3) |  |  | 5,189 |  |  | 2.13 | % |  | 6.75 | % |  | 3.10
Corporate equity |  | n/a |  | n/a |  | 1,604 |  |  | 376 |  |  | (390) |  |  | 1,590 |  |  | n/a |  | n/a |  | n/a
Total Long |  | 1,446,237 |  |  | (199,280) |  |  | 1,508,997 |  |  | 60,617 |  |  | (55,429) |  |  | 1,514,185 |  |  | 3.84 | % |  | 4.88 | % |  | 4.45
Short: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate debt |  | (200) |  |  | (1) |  |  | (201) |  |  | — |  |  | (17) |  |  | (218) |  |  | 5.09 | % |  | 4.67 | % |  | 6.42
European sovereign bonds |  | (37,804) |  |  | 3,163 |  |  | (34,641) |  |  | — |  |  | (3,783) |  |  | (38,424) |  |  | 0.23 | % |  | 0.06 | % |  | 3.11
Total Short |  | (38,004) |  |  | 3,162 |  |  | (34,842) |  |  | — |  |  | (3,800) |  |  | (38,642) |  |  | 0.26 | % |  | 0.09 | % |  | 3.13
Total |  | $ | 1,408,233 |  |  | $ | (196,118) |  |  | $ | 1,474,155 |  |  | $ | 60,617 |  |  | $ | (59,229) |  |  | $ | 1,475,543 |  |  | 3.92 | % |  | 4.77 | % |  | 4.49
(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)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, 2019:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1) |  | Yield |  | Life (Years)(2)
Long: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed-rate mortgages |  | $ | 314,636 |  |  | $ | 6,369 |  |  | $ | 321,005 |  |  | $ | 2,604 |  |  | $ | (203) |  |  | $ | 323,406 |  |  | 3.05 | % |  | 2.28 | % |  | 3.05
20-year fixed-rate mortgages |  | 804 |  |  | 49 |  |  | 853 |  |  | 24 |  |  | — |  |  | 877 |  |  | 4.62 | % |  | 2.99 | % |  | 4.80
30-year fixed-rate mortgages |  | 1,358,762 |  |  | 64,846 |  |  | 1,423,608 |  |  | 13,821 |  |  | (2,830) |  |  | 1,434,599 |  |  | 4.20 | % |  | 2.95 | % |  | 6.63
Adjustable rate mortgages |  | 9,651 |  |  | 315 |  |  | 9,966 |  |  | 90 |  |  | (54) |  |  | 10,002 |  |  | 3.99 | % |  | 2.03 | % |  | 4.09
Reverse mortgages |  | 122,670 |  |  | 8,133 |  |  | 130,803 |  |  | 2,023 |  |  | (26) |  |  | 132,800 |  |  | 4.43 | % |  | 2.78 | % |  | 6.67
Interest only securities |  | n/a |  | n/a |  | 34,044 |  |  | 1,624 |  |  | (389) |  |  | 35,279 |  |  | 2.81 | % |  | 9.27 | % |  | 3.86
Non-Agency RMBS |  | 274,353 |  |  | (122,685) |  |  | 151,668 |  |  | 12,549 |  |  | (1,081) |  |  | 163,136 |  |  | 3.41 | % |  | 7.25 | % |  | 5.31
CMBS |  | 185,417 |  |  | (67,961) |  |  | 117,456 |  |  | 2,990 |  |  | (480) |  |  | 119,966 |  |  | 3.31 | % |  | 6.62 | % |  | 8.94
Non-Agency interest only securities |  | n/a |  | n/a |  | 6,517 |  |  | 1,817 |  |  | (18) |  |  | 8,316 |  |  | 1.10 | % |  | 8.18 | % |  | 4.14
CLOs |  | n/a |  | n/a |  | 169,238 |  |  | 4,219 |  |  | (3,014) |  |  | 170,443 |  |  | 5.05 | % |  | 9.62 | % |  | 4.75
ABS backed by consumer loans |  | 67,080 |  |  | (19,154) |  |  | 47,926 |  |  | 1,596 |  |  | (912) |  |  | 48,610 |  |  | 12.17 | % |  | 14.00 | % |  | 1.22
Corporate debt |  | 22,125 |  |  | (21,241) |  |  | 884 |  |  | 229 |  |  | — |  |  | 1,113 |  |  | — | % |  | — | % |  | 0.33
Corporate equity |  | n/a |  | n/a |  | 1,242 |  |  | 152 |  |  | — |  |  | 1,394 |  |  | n/a |  | n/a |  | n/a
Total Long |  | 2,355,498 |  |  | (151,329) |  |  | 2,415,210 |  |  | 43,738 |  |  | (9,007) |  |  | 2,449,941 |  |  | 4.15 | % |  | 4.09 | % |  | 5.88
Short: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate debt |  | (450) |  |  | (6) |  |  | (456) |  |  | — |  |  | (15) |  |  | (471) |  |  | 5.44 | % |  | 5.21 | % |  | 4.90
U.S. Treasury securities |  | (63,140) |  |  | 381 |  |  | (62,759) |  |  | 63 |  |  | (298) |  |  | (62,994) |  |  | 1.76 | % |  | 1.87 | % |  | 6.11
European sovereign bonds |  | (9,759) |  |  | 133 |  |  | (9,626) |  |  | — |  |  | (318) |  |  | (9,944) |  |  | 0.77 | % |  | 0.12 | % |  | 1.58
Total Short |  | (73,349) |  |  | 508 |  |  | (72,841) |  |  | 63 |  |  | (631) |  |  | (73,409) |  |  | 1.65 | % |  | 1.66 | % |  | 5.49
Total |  | $ | 2,282,149 |  |  | $ | (150,821) |  |  | $ | 2,342,369 |  |  | $ | 43,801 |  |  | $ | (9,638) |  |  | $ | 2,376,532 |  |  | 4.23 | % |  | 4.01 | % |  | 5.90
(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)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, 2020 and 2019. December 31, 2020:
($ 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 |  | $ | 139,059 |  |  | $ | 135,844 |  |  | 4.15 | % |  | $ | 8,143 |  |  | $ | 7,314 |  |  | 3.99 | %
Greater than three years and less than seven years |  | 770,173 |  |  | 742,946 |  |  | 3.79 | % |  | 32,669 |  |  | 29,362 |  |  | 3.74 | %
Greater than seven years and less than eleven years |  | 2,555 |  |  | 2,480 |  |  | 3.01 | % |  | 5,165 |  |  | 5,063 |  |  | 1.04 | %
Greater than eleven years |  | — |  |  | — |  |  | — | % |  | 1,679 |  |  | 1,667 |  |  | 0.83 | %
Total |  | $ | 911,787 |  |  | $ | 881,270 |  |  | 3.84 | % |  | $ | 47,656 |  |  | $ | 43,406 |  |  | 3.36 | %
(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. December 31, 2019:
($ 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 |  | $ | 188,593 |  |  | $ | 187,099 |  |  | 3.39 | % |  | $ | 9,011 |  |  | $ | 8,611 |  |  | 3.35 | %
Greater than three years and less than seven years |  | 961,839 |  |  | 953,031 |  |  | 4.25 | % |  | 25,334 |  |  | 24,512 |  |  | 2.66 | %
Greater than seven years and less than eleven years |  | 713,862 |  |  | 708,805 |  |  | 3.89 | % |  | 934 |  |  | 921 |  |  | 1.90 | %
Greater than eleven years |  | 37,390 |  |  | 37,300 |  |  | 3.51 | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 1,901,684 |  |  | $ | 1,886,235 |  |  | 4.02 | % |  | $ | 35,279 |  |  | $ | 34,044 |  |  | 2.81 | %
(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, 2020 and 2019. December 31, 2020:
($ 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 |  | $ | 58,350 |  |  | $ | 54,339 |  |  | 3.39 | % |  | $ | 5,163 |  |  | $ | 3,754 |  |  | 0.92 | % |  | $ | 89,235 |  |  | $ | 90,869 |  |  | 7.73 | %
Greater than three years and less than seven years |  | 114,815 |  |  | 109,161 |  |  | 3.45 | % |  | 4,447 |  |  | 4,369 |  |  | 1.37 | % |  | 139,830 |  |  | 163,670 |  |  | 3.69 | %
Greater than seven years and less than eleven years |  | 109,519 |  |  | 123,782 |  |  | 2.74 | % |  | — |  |  | — |  |  | — | % |  | 2,320 |  |  | 2,974 |  |  | 1.14 | %
Greater than eleven years |  | 29,473 |  |  | 29,799 |  |  | 1.46 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 312,157 |  |  | $ | 317,081 |  |  | 2.98 | % |  | $ | 9,610 |  |  | $ | 8,123 |  |  | 1.17 | % |  | $ | 231,385 |  |  | $ | 257,513 |  |  | 5.09 | %
(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 asset-backed securities, backed by consumer loans and corporate debt. (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, 2019:
($ 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 |  | $ | 50,120 |  |  | $ | 48,213 |  |  | 2.73 | % |  | $ | 439 |  |  | $ | 401 |  |  | 1.37 | % |  | $ | 54,446 |  |  | $ | 54,090 |  |  | 11.11 | %
Greater than three years and less than seven years |  | 87,436 |  |  | 79,326 |  |  | 4.42 | % |  | 7,877 |  |  | 6,116 |  |  | 1.08 | % |  | 157,384 |  |  | 155,651 |  |  | 5.38 | %
Greater than seven years and less than eleven years |  | 127,533 |  |  | 123,924 |  |  | 3.31 | % |  | — |  |  | — |  |  | — | % |  | 8,336 |  |  | 8,307 |  |  | — | %
Greater than eleven years |  | 18,013 |  |  | 17,661 |  |  | 0.81 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 283,102 |  |  | $ | 269,124 |  |  | 3.37 | % |  | $ | 8,316 |  |  | $ | 6,517 |  |  | 1.10 | % |  | $ | 220,166 |  |  | $ | 218,048 |  |  | 6.60 | %
(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 asset-backed securities, 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 tables detail the components of interest income by security type for the years ended December 31, 2020 and 2019:
|  | Year Ended
(In thousands) |  | December 31, 2020 |  | December 31, 2019
Security Type |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 59,987 |  |  | $ | (31,975) |  |  | $ | 28,012 |  |  | $ | 62,103 |  |  | $ | (24,731) |  |  | $ | 37,372 |
Non-Agency RMBS and CMBS |  | 15,257 |  |  | 5,775 |  |  | 21,032 |  |  | 13,855 |  |  | 2,782 |  |  | 16,637 |
CLOs |  | 14,103 |  |  | 3,529 |  |  | 17,632 |  |  | 15,857 |  |  | (1,599) |  |  | 14,258 |
Other securities(1) |  | 11,545 |  |  | (4,986) |  |  | 6,559 |  |  | 7,157 |  |  | (2,468) |  |  | 4,689 |
Total |  | $ | 100,892 |  |  | $ | (27,657) |  |  | $ | 73,235 |  |  | $ | 98,972 |  |  | $ | (26,016) |  |  | $ | 72,956 |
(1)Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities. For the years ended December 31, 2020 and 2019, the Catch-Up Premium Amortization Adjustment was $(4.5) million and $(4.7) 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, 2020 and 2019.
|  | Year Ended
(In thousands) |  | December 31, 2020 |  | December 31, 2019(1)
Security Type |  | Proceeds(2) |  | Gross Realized Gains |  | Gross Realized Losses(3) |  | Net Realized Gain (Loss) |  | Proceeds(2) |  | Gross Realized Gains |  | Gross Realized Losses(3) |  | Net Realized Gain (Loss)
Agency RMBS |  | $ | 1,439,413 |  |  | $ | 16,260 |  |  | $ | (3,481) |  |  | $ | 12,779 |  |  | $ | 1,010,251 |  |  | $ | 9,006 |  |  | $ | (2,254) |  |  | $ | 6,752 |
Non-Agency RMBS and CMBS |  | 145,323 |  |  | 13,692 |  |  | (4,187) |  |  | 9,505 |  |  | 184,725 |  |  | 12,552 |  |  | (4,869) |  |  | 7,683 |
CLOs |  | 46,632 |  |  | 1,122 |  |  | (4,251) |  |  | (3,129) |  |  | 62,063 |  |  | 1,286 |  |  | (816) |  |  | 470 |
Other securities(4) |  | 188,152 |  |  | 1,662 |  |  | (9) |  |  | 1,653 |  |  | 636,886 |  |  | 1,113 |  |  | 2 |  |  | 1,115 |
Total |  | $ | 1,819,520 |  |  | $ | 32,736 |  |  | $ | (11,928) |  |  | $ | 20,808 |  |  | $ | 1,893,925 |  |  | $ | 23,957 |  |  | $ | (7,937) |  |  | $ | 16,020 |
(1)Conformed to current period presentation. (2)Includes proceeds on sales of securities not yet settled as of period end. (3)Excludes realized losses of $(17.7) million and $(28.7) million, for the years ended December 31, 2020 and 2019, respectively, 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. (4)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. The following table presents 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 bases, by length of time that such securities have been in an unrealized loss position at December 31, 2020. December 31, 2020:
(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 |  | $ | 126,926 |  |  | $ | (981) |  |  | $ | 832 |  |  | $ | (44) |  |  | $ | 127,758 |  |  | $ | (1,025) |
Non-Agency RMBS and CMBS |  | 20,474 |  |  | (2,616) |  |  | 2,599 |  |  | (348) |  |  | 23,073 |  |  | (2,964) |
CLOs |  | 5,279 |  |  | (753) |  |  | 1,196 |  |  | (1,131) |  |  | 6,475 |  |  | (1,884) |
Other securities(1) |  | 1,107 |  |  | (8) |  |  | — |  |  | — |  |  | 1,107 |  |  | (8) |
Total |  | $ | 153,786 |  |  | $ | (4,358) |  |  | $ | 4,627 |  |  | $ | (1,523) |  |  | $ | 158,413 |  |  | $ | (5,881) |
(1)Other securities includes ABS backed by consumer loans and corporate debt and equity securities. The following table presents the fair value and gross unrealized losses of our long securities by length of time that such securities have been in an unrealized loss position at December 31, 2019. December 31, 2019:
(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 |  | $ | 328,968 |  |  | $ | (1,503) |  |  | $ | 125,095 |  |  | $ | (1,999) |  |  | $ | 454,063 |  |  | $ | (3,502) |
Non-Agency RMBS and CMBS |  | 88,495 |  |  | (880) |  |  | 27,218 |  |  | (699) |  |  | 115,713 |  |  | (1,579) |
CLOs |  | 37,354 |  |  | (1,911) |  |  | 9,245 |  |  | (1,103) |  |  | 46,599 |  |  | (3,014) |
Other securities(1) |  | 16,562 |  |  | (852) |  |  | 1,380 |  |  | (60) |  |  | 17,942 |  |  | (912) |
Total |  | $ | 471,379 |  |  | $ | (5,146) |  |  | $ | 162,938 |  |  | $ | (3,861) |  |  | $ | 634,317 |  |  | $ | (9,007) |
(1)Other securities includes ABS backed by consumer loans, corporate debt and equity, and U.S. Treasury 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, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $24.9 million related to adverse changes in estimated future cash flows on its securities, primarily due to the economic impact of the COVID-19 pandemic. 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, 2020, the estimated credit losses on such securities was $2.6 million. As of December 31, 2020, the Company determined for certain securities that a portion of such securities cost basis is not collectible; for the year ended December 31, 2020, the Company recognized realized losses on these securities of $(17.7) million, which are reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. For the year ended December 31, 2019, the Company recognized an impairment charge of $28.7 million on the cost basis of its securities, which is included in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.

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