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Investment Securities Available for Sale, at Fair Value (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of Investment Securities Available For Sale, Fair Value Option

The Company's investment securities available for sale consisted of the following as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			September 30, 2020																								December 31, 2019
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Fair Value Option
Agency RMBS:
Agency Fixed-Rate			$	—					$	—					$	—					$	—					$	21,033					$	—					$	(55)					$	20,978
Total Agency RMBS			—						—						—						—						21,033						—						(55)						20,978
Agency CMBS			—						—						—						—						31,076						—						(395)						30,681
Total Agency			—						—						—						—						52,109						—						(450)						51,659
Non-Agency RMBS (1)			108,134						153						(11,884)						96,403						122,628						2,435						(1,248)						123,815
CMBS (2)			141,282						3,225						(5,619)						138,888						20,096						563						(19)						20,640
ABS			39,519						5,488						—						45,007						49,902						—						(688)						49,214
Total investment securities available for sale - fair value option			288,935						8,866						(17,503)						280,298						244,735						2,998						(2,405)						245,328
CECL Securities
Agency RMBS:
Agency ARMs (3)			—						—						—						—						55,740						13						(1,347)						54,406
Agency Fixed-Rate			—						—						—						—						846,203						7,397						(6,107)						847,493
Total Agency RMBS			—						—						—						—						901,943						7,410						(7,454)						901,899
Agency CMBS			—						—						—						—						20,258						19						—						20,277
Total Agency			—						—						—						—						922,201						7,429						(7,454)						922,176
Non-Agency RMBS (4)			291,925						425						(12,988)						279,362						578,955						12,557						(13)						591,499
CMBS			43,413						1,260						(636)						44,037						234,524						12,737						(124)						247,137
Total investment securities available for sale - CECL Securities			335,338						1,685						(13,624)						323,399						1,735,680						32,723						(7,591)						1,760,812
Total			$	624,273					$	10,551					$	(31,127)					$	603,697					$	1,980,415					$	35,721					$	(9,996)					$	2,006,140

(1)Includes non-Agency RMBS held in a securitization trust with a total fair value of $44.3 million as of September 30, 2020 (see Note 9).

(2)Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the nine months ended September 30, 2020 with a total fair value of $95.9 million as of September 30, 2020.

(3)For the Company's Agency ARMs with stated reset periods, the weighted average reset period was 26 months as of December 31, 2019.

(4)Includes non-Agency RMBS held in a securitization trust with a total fair value of $87.6 million as of September 30, 2020 (see Note 9).

Schedule of Investment Securities Available for Sale, CECL Securities

The Company's investment securities available for sale consisted of the following as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			September 30, 2020																								December 31, 2019
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Fair Value Option
Agency RMBS:
Agency Fixed-Rate			$	—					$	—					$	—					$	—					$	21,033					$	—					$	(55)					$	20,978
Total Agency RMBS			—						—						—						—						21,033						—						(55)						20,978
Agency CMBS			—						—						—						—						31,076						—						(395)						30,681
Total Agency			—						—						—						—						52,109						—						(450)						51,659
Non-Agency RMBS (1)			108,134						153						(11,884)						96,403						122,628						2,435						(1,248)						123,815
CMBS (2)			141,282						3,225						(5,619)						138,888						20,096						563						(19)						20,640
ABS			39,519						5,488						—						45,007						49,902						—						(688)						49,214
Total investment securities available for sale - fair value option			288,935						8,866						(17,503)						280,298						244,735						2,998						(2,405)						245,328
CECL Securities
Agency RMBS:
Agency ARMs (3)			—						—						—						—						55,740						13						(1,347)						54,406
Agency Fixed-Rate			—						—						—						—						846,203						7,397						(6,107)						847,493
Total Agency RMBS			—						—						—						—						901,943						7,410						(7,454)						901,899
Agency CMBS			—						—						—						—						20,258						19						—						20,277
Total Agency			—						—						—						—						922,201						7,429						(7,454)						922,176
Non-Agency RMBS (4)			291,925						425						(12,988)						279,362						578,955						12,557						(13)						591,499
CMBS			43,413						1,260						(636)						44,037						234,524						12,737						(124)						247,137
Total investment securities available for sale - CECL Securities			335,338						1,685						(13,624)						323,399						1,735,680						32,723						(7,591)						1,760,812
Total			$	624,273					$	10,551					$	(31,127)					$	603,697					$	1,980,415					$	35,721					$	(9,996)					$	2,006,140

(1)Includes non-Agency RMBS held in a securitization trust with a total fair value of $44.3 million as of September 30, 2020 (see Note 9).

(2)Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the nine months ended September 30, 2020 with a total fair value of $95.9 million as of September 30, 2020.

(3)For the Company's Agency ARMs with stated reset periods, the weighted average reset period was 26 months as of December 31, 2019.

(4)Includes non-Agency RMBS held in a securitization trust with a total fair value of $87.6 million as of September 30, 2020 (see Note 9).

Schedule of Investments Securities Sold

The following tables summarize our investment securities sold during the three months ended September 30, 2020 and 2019, respectively (dollar amounts in thousands).

			Three Months Ended September 30, 2020
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Non-Agency RMBS (1)			$	259,493					$	141					$	(8,860)					$	(8,719)
CMBS			110,680						6,849						(705)						6,144
Total			$	370,173					$	6,990					$	(9,565)					$	(2,575)

(1)Includes the sale of non-Agency RMBS held in a securitization trust for total proceeds of $40.4 million and a net realized gain of $26.1 thousand.

			Three Months Ended September 30, 2019
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Non-Agency RMBS			$	1,021					$	33					$	—					$	33
CMBS			40,161						4,980						—						4,980
Total			$	41,182					$	5,013					$	—					$	5,013

The following tables summarize our investment securities sold during the nine months ended September 30, 2020 and 2019, respectively (dollar amounts in thousands):

			Nine Months Ended September 30, 2020
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Agency RMBS:
Agency ARMs			$	49,892					$	44					$	(4,157)					$	(4,113)
Agency Fixed-Rate (1)			943,074						5,358						(11,697)						(6,339)
Total Agency RMBS			992,966						5,402						(15,854)						(10,452)
Agency CMBS (2)			145,411						5,666						(209)						5,457
Total Agency			1,138,377						11,068						(16,063)						(4,995)
Non-Agency RMBS (3)			428,251						435						(34,681)						(34,246)
CMBS			248,741						8,176						(30,289)						(22,113)
Total			$	1,815,369					$	19,679					$	(81,033)					$	(61,354)

(1)Includes Agency RMBS securities issued by Consolidated SLST (see Note 4).

(2)Includes Agency CMBS securities transferred from the Consolidated K-Series (see Note 6).

(3)Includes the sale of non-Agency RMBS held in a securitization trust for total proceeds of $67.6 million and a net realized gain of $0.2 million.

			Nine Months Ended September 30, 2019
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Non-Agency RMBS			$	1,021					$	33					$	—					$	33
CMBS			96,930						21,938						(156)						21,782
Total			$	97,951					$	21,971					$	(156)					$	21,815

Schedule of Weighted Average Lives of Investment Securities

The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

Weighted Average Life			September 30, 2020						December 31, 2019
0 to 5 years			$	343,573					$	1,359,894
Over 5 to 10 years			183,910						521,517
10+ years			76,214						124,729
Total			$	603,697					$	2,006,140

Schedule of Investment Securities Available for Sale in Unrealized Loss Position

The following table presents the Company's CECL Securities in an unrealized loss position with no credit losses reported, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at September 30, 2020 (dollar amounts in thousands):

September 30, 2020			Less than 12 months												Greater than 12 months												Total
			Carrying Value						Gross Unrealized Losses						Carrying Value						Gross Unrealized Losses						Carrying Value						Gross Unrealized Losses
Non-Agency RMBS			$	235,449					$	(11,651)					$	16,966					$	(1,337)					$	252,415					$	(12,988)
CMBS			33,903						(636)						—						—						33,903						(636)
Total			$	269,352					$	(12,287)					$	16,966					$	(1,337)					$	286,318					$	(13,624)

The following table presents the Company's investment securities available for sale in an unrealized loss position reported through other comprehensive income, aggregated by investment category and length of time that individual securities were in a continuous unrealized loss position as of December 31, 2019 (dollar amounts in thousands):

December 31, 2019			Less than 12 months												Greater than 12 months												Total
			Carrying Value						Gross Unrealized Losses						Carrying Value						Gross Unrealized Losses						Carrying Value						Gross Unrealized Losses
Agency RMBS			$	—					$	—					$	222,286					$	(7,454)					$	222,286					$	(7,454)
Non-Agency RMBS			—						—						104						(13)						104						(13)
CMBS			25,507						(124)						—						—						25,507						(124)
Total			$	25,507					$	(124)					$	222,390					$	(7,467)					$	247,897					$	(7,591)

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