v3.21.2

Investment in Securities (Tables)

9 Months Ended

Sep. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Holdings

The following tables detail the Company's investment in securities as of September 30, 2021 and December 31, 2020.

September 30, 2021:

																								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						$	219,169					$	10,304					$	229,473					$	1,491					$	(1,033)					$	229,931					2.65		%				1.42		%				4.47
20-year fixed-rate mortgages						48,893						2,892						51,785						20						(852)						50,953						2.45		%				1.22		%				5.50
30-year fixed-rate mortgages						1,079,522						55,479						1,135,001						14,478						(5,847)						1,143,632						3.21		%				2.09		%				6.61
Adjustable rate mortgages						10,436						558						10,994						36						(150)						10,880						3.21		%				2.28		%				4.65
Reverse mortgages						59,894						3,683						63,577						759						(802)						63,534						3.21		%				2.28		%				4.28
Interest only securities						n/a						n/a						35,948						4,640						(2,511)						38,077						3.51		%				7.90		%				4.50
Non-Agency RMBS						311,561						(131,975)						179,586						10,730						(5,306)						185,010						4.63		%				7.12		%				7.13
CMBS						33,801						(22,359)						11,442						282						(926)						10,798						2.91		%				10.47		%				8.69
Non-Agency interest only securities						n/a						n/a						9,999						1,598						(248)						11,349						0.98		%				14.00		%				6.28
CLOs						n/a						n/a						74,021						6,888						(13,631)						67,278						3.57		%				9.15		%				3.23
ABS backed by consumer loans						112,732						(38,471)						74,261						1,383						(4,349)						71,295						11.49		%				14.99		%				1.26
Corporate debt						27,837						(23,748)						4,089						865						(122)						4,832						0.76		%				7.50		%				2.13
Corporate equity						n/a						n/a						5,470						2,686						(162)						7,994						n/a						n/a						n/a
Total Long						1,903,845						(143,637)						1,885,646						45,856						(35,939)						1,895,563						3.57		%				3.50		%				5.89
Short:
European sovereign bonds						(29,989)						553						(29,436)						227						(1,085)						(30,294)						0.02		%				0.05		%				3.48
Total Short						(29,989)						553						(29,436)						227						(1,085)						(30,294)						0.02		%				0.05		%				3.48
Total						$	1,873,856					$	(143,084)					$	1,856,210					$	46,083					$	(37,024)					$	1,865,269					3.63		%				3.45		%				5.93

(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, 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.

Securities by Weighted Average Life

The following tables detail weighted average life of the Company's Agency RMBS as of September 30, 2021 and December 31 2020.

September 30, 2021:

($ 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						$	48,284					$	47,527					4.05		%				$	7,496					$	7,032					3.54		%
Greater than three years and less than seven years						977,274						970,123						3.31		%				28,763						27,162						3.63		%
Greater than seven years and less than eleven years						472,327						472,137						2.56		%				1,818						1,754						1.43		%
Greater than eleven years						1,045						1,043						2.00		%				—						—						—		%
Total						$	1,498,930					$	1,490,830					3.10		%				$	38,077					$	35,948					3.51		%

(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, 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.

The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of September 30, 2021 and December 31, 2020.

September 30, 2021:

($ 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						$	73,102					$	68,824					5.06		%				$	2,172					$	1,324					—		%				$	108,880					$	112,891					8.73		%
Greater than three years and less than seven years						56,905						54,286						3.57		%				4,142						3,980						2.18		%				34,525						39,480						3.43		%
Greater than seven years and less than eleven years						54,517						56,473						5.33		%				5,035						4,695						0.23		%				—						—						—		%
Greater than eleven years						11,284						11,445						1.93		%				—						—						—		%				—						—						—		%
Total						$	195,808					$	191,028					4.53		%				$	11,349					$	9,999					0.98		%				$	143,405					$	152,371					7.36		%

(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, 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, 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 tables detail the components of interest income by security type for the three- and nine-month periods ended September 30, 2021 and 2020:

						Three-Month Period Ended
(In thousands)						September 30, 2021																		September 30, 2020
Security Type						Coupon Interest						Net Amortization						Interest Income						Coupon Interest						Net Amortization						Interest Income
Agency RMBS						$	14,797					$	(9,551)					$	5,246					$	14,117					$	(7,454)					$	6,663
Non-Agency RMBS and CMBS						3,307						748						4,055						3,311						1,911						5,222
CLOs						3,532						(1,456)						2,076						2,256						2,179						4,435
Other securities(1)						4,590						(1,813)						2,777						2,970						(1,435)						1,535
Total						$	26,226					$	(12,072)					$	14,154					$	22,654					$	(4,799)					$	17,855

						Nine-Month Period Ended
(In thousands)						September 30, 2021																		September 30, 2020
Security Type						Coupon Interest						Net Amortization						Interest Income						Coupon Interest						Net Amortization						Interest Income
Agency RMBS						$	43,449					$	(20,123)					$	23,326					$	47,632					$	(25,516)					$	22,116
Non-Agency RMBS and CMBS						10,321						3,179						13,500						10,995						4,001						14,996
CLOs						7,978						59						8,037						11,662						1,543						13,205
Other securities(1)						12,296						(3,796)						8,500						8,992						(3,584)						5,408
Total						$	74,044					$	(20,681)					$	53,363					$	79,281					$	(23,556)					$	55,725

(1)Other securities includes ABS backed by consumer loans, 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- and nine-month periods ended September 30, 2021 and 2020.

						Three-Month Period Ended
(In thousands)						September 30, 2021																								September 30, 2020
Security Type						Proceeds(1)						Gross Realized Gains						Gross Realized Losses(2)						Net Realized Gain (Loss)						Proceeds(1)						Gross Realized Gains						Gross Realized Losses						Net Realized Gain (Loss)
Agency RMBS						$	128,510					$	831					$	(1,860)					$	(1,029)					$	10,675					$	2,467					$	(564)					$	1,903
Non-Agency RMBS and CMBS						55,122						3,887						(1,081)						2,806						17,926						1,669						(171)						1,498
CLOs						—						2,846						—						2,846						—						—						256						256
Other securities(3)						145,131						2,460						(313)						2,147						11,861						373						(74)						299
Total						$	328,763					$	10,024					$	(3,254)					$	6,770					$	40,462					$	4,509					$	(553)					$	3,956

(1)Includes proceeds on sales of securities not yet settled as of period end.

(2)Excludes realized losses of $(0.3) million and $(2.5) million, for the three-month periods ended September 30, 2021 and 2020, 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.

(3)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

						Nine-Month Period Ended
(In thousands)						September 30, 2021																								September 30, 2020
Security Type						Proceeds(1)						Gross Realized Gains						Gross Realized Losses(2)						Net Realized Gain (Loss)						Proceeds(1)						Gross Realized Gains						Gross Realized Losses						Net Realized Gain (Loss)
Agency RMBS						$	620,728					$	4,171					$	(9,114)					$	(4,943)					$	1,438,469					$	15,982					$	(3,369)					$	12,613
Non-Agency RMBS and CMBS						196,874						13,396						(2,598)						10,798						116,349						11,081						(3,880)						7,201
CLOs						129,001						3,882						(973)						2,909						41,714						1,122						(2,928)						(1,806)
Other securities(3)						169,812						2,705						(185)						2,520						169,172						1,273						(329)						944
Total						$	1,116,415					$	24,154					$	(12,870)					$	11,284					$	1,765,704					$	29,458					$	(10,506)					$	18,952

(1)Includes proceeds on sales of securities not yet settled as of period end.

(2)Excludes realized losses of $(1.5) million and $(16.3) million for the nine-month periods ended September 30, 2021 and 2020, 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.

(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 bases, by length of time that such securities have been in an unrealized loss position at September 30, 2021 and December 31, 2020.

September 30, 2021:

(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						$	663,008					$	(7,783)					$	31,177					$	(972)					$	694,185					$	(8,755)
Non-Agency RMBS and CMBS						41,556						(812)						4,050						(200)						45,606						(1,012)
CLOs						—						—						1,264						(1,006)						1,264						(1,006)
Total						$	704,564					$	(8,595)					$	36,491					$	(2,178)					$	741,055					$	(10,773)

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, corporate debt and equity, and U.S. Treasury securities.

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