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

3 Months Ended

Mar. 31, 2021

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 March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

			March 31, 2021																								December 31, 2020
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Fair Value Option
Agency RMBS			$	136,491					$	—					$	(4,866)					$	131,625					$	138,541					$	854					$	—					$	139,395
Non-Agency RMBS (1)			81,451						425						(10,043)						71,833						100,465						170						(10,786)						89,849
CMBS (2)			114,177						2,124						(676)						115,625						139,019						5,685						(3,731)						140,973
ABS			32,149						12,473						—						44,622						34,139						9,086						—						43,225
Total investment securities available for sale - fair value option			364,268						15,022						(15,585)						363,705						412,164						15,795						(14,517)						413,442
CECL Securities
Non-Agency RMBS (3)			196,933						3,708						(867)						199,774						266,855						4,336						(5,374)						265,817
CMBS			31,783						1,430						(397)						32,816						43,435						2,032						—						45,467
Total investment securities available for sale - CECL Securities			228,716						5,138						(1,264)						232,590						310,290						6,368						(5,374)						311,284
Total			$	592,984					$	20,160					$	(16,849)					$	596,295					$	722,454					$	22,163					$	(19,891)					$	724,726

(1)Includes non-Agency RMBS held in a securitization trust with a total fair value of $37.6 million as of December 31, 2020. During the three months ended March 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization, returning the non-Agency RMBS held by the re-securitization trust to the Company (see Note 7).

(2)Includes IO and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the three months ended March 31, 2020, with a total fair value of $74.0 million and $97.6 million as of March 31, 2021 and December 31, 2020 respectively.

(3)Includes non-Agency RMBS held in a securitization trust with a total fair value of $71.5 million as of December 31, 2020. During the three months ended March 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization, returning the non-Agency RMBS held by the re-securitization trust to the Company (see Note 7).

Schedule of Investment Securities Available for Sale, CECL Securities

The Company's investment securities available for sale consisted of the following as of March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

			March 31, 2021																								December 31, 2020
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Fair Value Option
Agency RMBS			$	136,491					$	—					$	(4,866)					$	131,625					$	138,541					$	854					$	—					$	139,395
Non-Agency RMBS (1)			81,451						425						(10,043)						71,833						100,465						170						(10,786)						89,849
CMBS (2)			114,177						2,124						(676)						115,625						139,019						5,685						(3,731)						140,973
ABS			32,149						12,473						—						44,622						34,139						9,086						—						43,225
Total investment securities available for sale - fair value option			364,268						15,022						(15,585)						363,705						412,164						15,795						(14,517)						413,442
CECL Securities
Non-Agency RMBS (3)			196,933						3,708						(867)						199,774						266,855						4,336						(5,374)						265,817
CMBS			31,783						1,430						(397)						32,816						43,435						2,032						—						45,467
Total investment securities available for sale - CECL Securities			228,716						5,138						(1,264)						232,590						310,290						6,368						(5,374)						311,284
Total			$	592,984					$	20,160					$	(16,849)					$	596,295					$	722,454					$	22,163					$	(19,891)					$	724,726

(1)Includes non-Agency RMBS held in a securitization trust with a total fair value of $37.6 million as of December 31, 2020. During the three months ended March 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization, returning the non-Agency RMBS held by the re-securitization trust to the Company (see Note 7).

(2)Includes IO and mezzanine securities transferred from the Consolidated K-Series as a result of de-consolidation during the three months ended March 31, 2020, with a total fair value of $74.0 million and $97.6 million as of March 31, 2021 and December 31, 2020 respectively.

(3)Includes non-Agency RMBS held in a securitization trust with a total fair value of $71.5 million as of December 31, 2020. During the three months ended March 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization, returning the non-Agency RMBS held by the re-securitization trust to the Company (see Note 7).

Schedule of Investments Securities Sold

The following tables summarize our investment securities sold during the three months ended March 31, 2021 and 2020, respectively (dollar amounts in thousands):

			Three Months Ended March 31, 2021
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Non-Agency RMBS			$	72,083					$	12					$	(833)					$	(821)
CMBS			39,545						5,196						—						5,196
Total			$	111,628					$	5,208					$	(833)					$	4,375

			Three Months Ended March 31, 2020
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Agency RMBS:
Agency ARMs			$	49,893					$	44					$	(4,157)					$	(4,113)
Agency Fixed-Rate (1)			943,100						5,348						(11,713)						(6,365)
Total Agency RMBS			992,993						5,392						(15,870)						(10,478)
Agency CMBS (2)			145,411						5,666						(209)						5,457
Total Agency			1,138,404						11,058						(16,079)						(5,021)
Non-Agency RMBS			130,948						—						(24,132)						(24,132)
CMBS			114,038						—						(29,584)						(29,584)
Total			$	1,383,390					$	11,058					$	(69,795)					$	(58,737)

(1)Includes Agency RMBS securities issued by Consolidated SLST (see Note 7).

(2)Includes Agency CMBS securities transferred from the Consolidated K-Series (see Note 7).

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 March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

Weighted Average Life			March 31, 2021						December 31, 2020
0 to 5 years			$	234,583					$	332,934
Over 5 to 10 years			320,979						320,361
10+ years			40,733						71,431
Total			$	596,295					$	724,726

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 as of March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

March 31, 2021			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			$	—					$	—					$	48,588					$	(867)					$	48,588					$	(867)
CMBS			22,472						(397)						—						—						22,472						(397)
Total			$	22,472					$	(397)					$	48,588					$	(867)					$	71,060					$	(1,264)

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