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Investment Securities Available for Sale, at Fair Value (Tables) | 6 Months Ended
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Jun. 30, 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 June 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
| June 30, 2021 |  | December 31, 2020
| Amortized Cost |  | Unrealized |  | Fair Value |  | Amortized Cost |  | Unrealized |  | Fair Value
|  | Gains |  | Losses |  |  |  | Gains |  | Losses |
Fair Value Option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | 134,461 |  |  | $ | — |  |  | $ | (3,162) |  |  | $ | 131,299 |  |  | $ | 138,541 |  |  | $ | 854 |  |  | $ | — |  |  | $ | 139,395 |
Non-Agency RMBS (1) | 100,379 |  |  | 674 |  |  | (8,560) |  |  | 92,493 |  |  | 100,465 |  |  | 170 |  |  | (10,786) |  |  | 89,849 |
CMBS (2) | 111,977 |  |  | 4,156 |  |  | (405) |  |  | 115,728 |  |  | 139,019 |  |  | 5,685 |  |  | (3,731) |  |  | 140,973 |
ABS | 27,917 |  |  | 14,703 |  |  | — |  |  | 42,620 |  |  | 34,139 |  |  | 9,086 |  |  | — |  |  | 43,225 |
Total investment securities available for sale - fair value option | 374,734 |  |  | 19,533 |  |  | (12,127) |  |  | 382,140 |  |  | 412,164 |  |  | 15,795 |  |  | (14,517) |  |  | 413,442 |
CECL Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS (3) | 189,398 |  |  | 6,742 |  |  | (645) |  |  | 195,495 |  |  | 266,855 |  |  | 4,336 |  |  | (5,374) |  |  | 265,817 |
CMBS | 28,420 |  |  | 1,734 |  |  | (382) |  |  | 29,772 |  |  | 43,435 |  |  | 2,032 |  |  | — |  |  | 45,467 |
Total investment securities available for sale - CECL Securities | 217,818 |  |  | 8,476 |  |  | (1,027) |  |  | 225,267 |  |  | 310,290 |  |  | 6,368 |  |  | (5,374) |  |  | 311,284 |
Total | $ | 592,552 |  |  | $ | 28,009 |  |  | $ | (13,154) |  |  | $ | 607,407 |  |  | $ | 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 six months ended June 30, 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 six months ended June 30, 2020, with a total fair value of $72.6 million and $97.6 million as of June 30, 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 six months ended June 30, 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 June 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
| June 30, 2021 |  | December 31, 2020
| Amortized Cost |  | Unrealized |  | Fair Value |  | Amortized Cost |  | Unrealized |  | Fair Value
|  | Gains |  | Losses |  |  |  | Gains |  | Losses |
Fair Value Option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | 134,461 |  |  | $ | — |  |  | $ | (3,162) |  |  | $ | 131,299 |  |  | $ | 138,541 |  |  | $ | 854 |  |  | $ | — |  |  | $ | 139,395 |
Non-Agency RMBS (1) | 100,379 |  |  | 674 |  |  | (8,560) |  |  | 92,493 |  |  | 100,465 |  |  | 170 |  |  | (10,786) |  |  | 89,849 |
CMBS (2) | 111,977 |  |  | 4,156 |  |  | (405) |  |  | 115,728 |  |  | 139,019 |  |  | 5,685 |  |  | (3,731) |  |  | 140,973 |
ABS | 27,917 |  |  | 14,703 |  |  | — |  |  | 42,620 |  |  | 34,139 |  |  | 9,086 |  |  | — |  |  | 43,225 |
Total investment securities available for sale - fair value option | 374,734 |  |  | 19,533 |  |  | (12,127) |  |  | 382,140 |  |  | 412,164 |  |  | 15,795 |  |  | (14,517) |  |  | 413,442 |
CECL Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS (3) | 189,398 |  |  | 6,742 |  |  | (645) |  |  | 195,495 |  |  | 266,855 |  |  | 4,336 |  |  | (5,374) |  |  | 265,817 |
CMBS | 28,420 |  |  | 1,734 |  |  | (382) |  |  | 29,772 |  |  | 43,435 |  |  | 2,032 |  |  | — |  |  | 45,467 |
Total investment securities available for sale - CECL Securities | 217,818 |  |  | 8,476 |  |  | (1,027) |  |  | 225,267 |  |  | 310,290 |  |  | 6,368 |  |  | (5,374) |  |  | 311,284 |
Total | $ | 592,552 |  |  | $ | 28,009 |  |  | $ | (13,154) |  |  | $ | 607,407 |  |  | $ | 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 six months ended June 30, 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 six months ended June 30, 2020, with a total fair value of $72.6 million and $97.6 million as of June 30, 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 six months ended June 30, 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 June 30, 2021 and 2020, respectively (dollar amounts in thousands):
| Three Months Ended June 30, 2021
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
CMBS | $ | 3,770 |  |  | $ | 392 |  |  | $ | — |  |  | $ | 392 |
Total | $ | 3,770 |  |  | $ | 392 |  |  | $ | — |  |  | $ | 392 |
| Three Months Ended June 30, 2020
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS | $ | 37,810 |  |  | $ | 294 |  |  | $ | (1,690) |  |  | $ | (1,396) |
CMBS | 24,022 |  |  | 1,327 |  |  | — |  |  | 1,327 |
Total | $ | 61,832 |  |  | $ | 1,621 |  |  | $ | (1,690) |  |  | $ | (69) |
The following tables summarize our investment securities sold during the six months ended June 30, 2021 and 2020, respectively (dollar amounts in thousands):
| Six Months Ended June 30, 2021
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS | $ | 72,083 |  |  | $ | 12 |  |  | $ | (833) |  |  | $ | (821) |
CMBS | 43,315 |  |  | 5,587 |  |  | — |  |  | 5,587 |
Total | $ | 115,398 |  |  | $ | 5,599 |  |  | $ | (833) |  |  | $ | 4,766 |
| Six Months Ended June 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 | 168,758 |  |  | 294 |  |  | (25,821) |  |  | (25,527) |
CMBS | 138,061 |  |  | 1,327 |  |  | (29,584) |  |  | (28,257) |
Total | $ | 1,445,196 |  |  | $ | 12,689 |  |  | $ | (71,468) |  |  | $ | (58,779) |
(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 June 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
Weighted Average Life | June 30, 2021 |  | December 31, 2020
0 to 5 years | $ | 248,347 |  |  | $ | 332,934 |
Over 5 to 10 years | 317,620 |  |  | 320,361 |
10+ years | 41,440 |  |  | 71,431 |
Total | $ | 607,407 |  |  | $ | 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 June 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
June 30, 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 | $ | 35,532 |  |  | $ | (25) |  |  | $ | 36,175 |  |  | $ | (620) |  |  | $ | 71,707 |  |  | $ | (645) |  |  |  |  |
CMBS | 22,488 |  |  | (382) |  |  | — |  |  | — |  |  | 22,488 |  |  | (382) |  |  |  |  |
Total | $ | 58,020 |  |  | $ | (407) |  |  | $ | 36,175 |  |  | $ | (620) |  |  | $ | 94,195 |  |  | $ | (1,027) |  |  |  |  |
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) |

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