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

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of Available-for-sale Securities Reconciliation

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


	December 31, 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	$	138,541	$	854	$	—	$	139,395	$	21,033	$	—	$	(55)	$	20,978
Total Agency RMBS	138,541		854		—		139,395		21,033		—		(55)		20,978
Agency CMBS	—		—		—		—		31,076		—		(395)		30,681
Total Agency	138,541		854		—		139,395		52,109		—		(450)		51,659
Non-Agency RMBS (1)	100,465		170		(10,786)		89,849		122,628		2,435		(1,248)		123,815
CMBS (2)	139,019		5,685		(3,731)		140,973		20,096		563		(19)		20,640
ABS	34,139		9,086		—		43,225		49,902		—		(688)		49,214
Total investment securities available for sale - fair value option	412,164		15,795		(14,517)		413,442		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)	266,855		4,336		(5,374)		265,817		578,955		12,557		(13)		591,499
CMBS	43,435		2,032		—		45,467		234,524		12,737		(124)		247,137

Total investment securities available for sale - CECL Securities	310,290		6,368		(5,374)		311,284		1,735,680		32,723		(7,591)		1,760,812
Total	$	722,454	$	22,163	$	(19,891)	$	724,726	$	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 $37.6 million as of December 31, 2020 (see Note 7).

(2)Includes IOs and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the year ended December 31, 2020, with a total fair value of $97.6 million as of December 31, 2020.

(3)For the Company's Agency ARMs with stated reset period, 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 $71.5 million as of December 31, 2020 (see Note 7).

Schedule of Investments Securities Sold

The following tables summarize our investment securities sold during the years ended December 31, 2020, 2019, and 2018, respectively (dollar amounts in thousands):


	Year Ended December 31, 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)	433,076		435			(34,856)		(34,421)
CMBS	248,741		8,176			(30,289)		(22,113)
Total	$	1,820,194	$	19,679		$	(81,208)	$	(61,529)

(1)Includes Agency RMBS securities issued by Consolidated SLST (see Note 3).

(2)Includes Agency CMBS securities transferred from the Consolidated K-Series (see Note 4).

(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.


	Year Ended December 31, 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


	Year Ended December 31, 2018
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)
Agency IOs	$	26,899	$	88	$	(12,358)	$	(12,270)

Total	$	26,899	$	88	$	(12,358)	$	(12,270)

Debt Securities, Available-For-Sale, Weighted Average Lives

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


Weighted Average Life	December 31, 2020		December 31, 2019
0 to 5 years	$	332,934	$	1,359,894
Over 5 to 10 years	320,361		521,517
10+ years	71,431		124,729
Total	$	724,726	$	2,006,140

Investment Securities Available-for-sale in an Unrealized Loss Position

The following tables present 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 December 31, 2020 (dollar amounts in thousands):


December 31, 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	$	159,841	$	(4,526)	$	8,234	$	(848)	$	168,075	$	(5,374)

Total	$	159,841	$	(4,526)	$	8,234	$	(848)	$	168,075	$	(5,374)

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

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)