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

12 Months Ended

Dec. 31, 2021

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


	December 31, 2021								December 31, 2020
	Amortized Cost		Unrealized				Fair Value		Amortized Cost		Unrealized				Fair Value
			Gains		Losses						Gains		Losses
Fair Value Option

Agency RMBS	$	—	$	—	$	—	$	—	$	138,541	$	854	$	—	$	139,395



Non-Agency RMBS (1)	100,186		949		(2,636)		98,499		100,465		170		(10,786)		89,849
CMBS	32,600		684		(138)		33,146		139,019		5,685		(3,731)		140,973
ABS	21,795		17,884		—		39,679		34,139		9,086		—		43,225
Total investment securities available for sale - fair value option	154,581		19,517		(2,774)		171,324		412,164		15,795		(14,517)		413,442

CECL Securities






Non-Agency RMBS (2)	27,743		1,787		(10)		29,520		266,855		4,336		(5,374)		265,817
CMBS	—		—		—		—		43,435		2,032		—		45,467

Total investment securities available for sale - CECL Securities	27,743		1,787		(10)		29,520		310,290		6,368		(5,374)		311,284
Total	$	182,324	$	21,304	$	(2,784)	$	200,844	$	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 year ended December 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 non-Agency RMBS held in a securitization trust with a total fair value of $71.5 million as of December 31, 2020. During the year ended December 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 years ended December 31, 2021, 2020, and 2019, respectively (dollar amounts in thousands):


	Year Ended December 31, 2021
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)
Agency RMBS	$	123,622	$	—	$	(3,480)	$	(3,480)
Non-Agency RMBS	176,166		4,923		(854)		4,069
CMBS	132,797		11,083		(452)		10,631
Total	$	432,585	$	16,006	$	(4,786)	$	11,220


	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	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 7).

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


	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

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


Weighted Average Life	December 31, 2021		December 31, 2020
0 to 5 years	$	144,266	$	332,934
Over 5 to 10 years	39,306		320,361
10+ years	17,272		71,431
Total	$	200,844	$	724,726

Investment Securities Available-for-sale in an 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 December 31, 2021 and 2020, respectively (dollar amounts in thousands):


December 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	$	2,300	$	(3)	$	48	$	(7)	$	2,348	$	(10)

Total	$	2,300	$	(3)	$	48	$	(7)	$	2,348	$	(10)


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)