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

9 Months Ended

Sep. 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 September 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

			September 30, 2021																								December 31, 2020
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Fair Value Option
Agency RMBS			$	129,198					$	—					$	(3,609)					$	125,589					$	138,541					$	854					$	—					$	139,395
Non-Agency RMBS (1)			108,579						1,168						(3,064)						106,683						100,465						170						(10,786)						89,849
CMBS			32,600						1,139						—						33,739						139,019						5,685						(3,731)						140,973
ABS			24,343						17,142						—						41,485						34,139						9,086						—						43,225
Total investment securities available for sale - fair value option			294,720						19,449						(6,673)						307,496						412,164						15,795						(14,517)						413,442
CECL Securities
Non-Agency RMBS (2)			115,686						2,482						(75)						118,093						266,855						4,336						(5,374)						265,817
CMBS			22,869						—						(365)						22,504						43,435						2,032						—						45,467
Total investment securities available for sale - CECL Securities			138,555						2,482						(440)						140,597						310,290						6,368						(5,374)						311,284
Total			$	433,275					$	21,931					$	(7,113)					$	448,093					$	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 nine months ended September 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 non-Agency RMBS held in a securitization trust with a total fair value of $71.5 million as of December 31, 2020. During the nine months ended September 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 September 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

			September 30, 2021																								December 31, 2020
			Amortized Cost						Unrealized												Fair Value						Amortized Cost						Unrealized												Fair Value
									Gains						Losses																		Gains						Losses
Fair Value Option
Agency RMBS			$	129,198					$	—					$	(3,609)					$	125,589					$	138,541					$	854					$	—					$	139,395
Non-Agency RMBS (1)			108,579						1,168						(3,064)						106,683						100,465						170						(10,786)						89,849
CMBS			32,600						1,139						—						33,739						139,019						5,685						(3,731)						140,973
ABS			24,343						17,142						—						41,485						34,139						9,086						—						43,225
Total investment securities available for sale - fair value option			294,720						19,449						(6,673)						307,496						412,164						15,795						(14,517)						413,442
CECL Securities
Non-Agency RMBS (2)			115,686						2,482						(75)						118,093						266,855						4,336						(5,374)						265,817
CMBS			22,869						—						(365)						22,504						43,435						2,032						—						45,467
Total investment securities available for sale - CECL Securities			138,555						2,482						(440)						140,597						310,290						6,368						(5,374)						311,284
Total			$	433,275					$	21,931					$	(7,113)					$	448,093					$	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 nine months ended September 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 non-Agency RMBS held in a securitization trust with a total fair value of $71.5 million as of December 31, 2020. During the nine months ended September 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 September 30, 2021 and 2020, respectively (dollar amounts in thousands):

			Three Months Ended September 30, 2021
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Non-Agency RMBS			$	43,579					$	4,841					$	—					$	4,841
CMBS			89,481						5,496						(452)						5,044
Total			$	133,060					$	10,337					$	(452)					$	9,885

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

The following tables summarize our investment securities sold during the nine months ended September 30, 2021 and 2020, respectively (dollar amounts in thousands):

			Nine Months Ended September 30, 2021
			Sales Proceeds						Realized Gains						Realized Losses						Net Realized Gains (Losses)
Non-Agency RMBS (1)			$	115,662					$	4,853					$	(833)					$	4,020
CMBS			132,796						11,083						(452)						10,631
Total			$	248,458					$	15,936					$	(1,285)					$	14,651

			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			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 7).

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

The Company recognized a write-down of fair value option non-Agency RMBS IOs for a realized loss of $4.8 million for the three and nine months ended September 30, 2021.

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

Weighted Average Life			September 30, 2021						December 31, 2020
0 to 5 years			$	223,991					$	332,934
Over 5 to 10 years			206,360						320,361
10+ years			17,742						71,431
Total			$	448,093					$	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 September 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

September 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					$	(22)					$	36,739					$	(53)					$	72,271					$	(75)
CMBS			22,504						(365)						—						—						22,504						(365)
Total			$	58,036					$	(387)					$	36,739					$	(53)					$	94,775					$	(440)

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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