Investment Securities Available for Sale, at Fair Value

3 Months Ended

Mar. 31, 2022

Investments, Debt and Equity Securities [Abstract]

Investment Securities Available for Sale, at Fair Value

The Company accounts for certain of its investment securities available for sale using the fair value election pursuant to ASC 825, Financial Instruments ("ASC 825"), where changes in fair value are recorded in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. The Company also has investment securities available for sale where the fair value option has not been elected, which we refer to as CECL Securities. CECL Securities are reported at fair value with unrealized gains and losses recorded in other comprehensive income (loss) on the Company's condensed consolidated statements of comprehensive income (loss). The Company's investment securities available for sale consisted of the following as of March 31, 2022 and December 31, 2021, respectively (dollar amounts in thousands):


	March 31, 2022								December 31, 2021
	Amortized Cost		Unrealized				Fair Value		Amortized Cost		Unrealized				Fair Value
			Gains		Losses						Gains		Losses
Fair Value Option



Non-Agency RMBS	$	55,151	$	1,275	$	(6,000)	$	50,426	$	100,186	$	949	$	(2,636)	$	98,499
CMBS	32,600		30		(1,054)		31,576		32,600		684		(138)		33,146
ABS	20,839		17,866		—		38,705		21,795		17,884		—		39,679
Total investment securities available for sale - fair value option	108,590		19,171		(7,054)		120,707		154,581		19,517		(2,774)		171,324

CECL Securities
Non-Agency RMBS	25,483		202		(612)		25,073		27,743		1,787		(10)		29,520

Total investment securities available for sale - CECL Securities	25,483		202		(612)		25,073		27,743		1,787		(10)		29,520
Total	$	134,073	$	19,373	$	(7,666)	$	145,780	$	182,324	$	21,304	$	(2,784)	$	200,844

Accrued interest receivable for investment securities available for sale in the amount of $0.4 million and $0.7 million as of March 31, 2022 and December 31, 2021, respectively, is included in other assets on the Company's condensed consolidated balance sheets.

Realized Gain and Loss Activity

The following tables summarize our investment securities sold during the three months ended March 31, 2022 and 2021, respectively (dollar amounts in thousands):


	Three Months Ended March 31, 2022
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)






Non-Agency RMBS	$	24,374	$	374	$	—	$	374

Total	$	24,374	$	374	$	—	$	374


	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

Weighted Average Life

Actual maturities of our investment securities available for sale are generally shorter than stated contractual maturities (with contractual maturities up to 37 years), as they are affected by periodic payments and prepayments of principal on the underlying mortgages. As of March 31, 2022 and December 31, 2021, based on management’s estimates, the weighted average life of the Company’s investment securities available for sale portfolio was approximately 5.7 years and 5.8 years, respectively.

The following table sets forth the weighted average lives of our investment securities available for sale as of March 31, 2022 and December 31, 2021, respectively (dollar amounts in thousands):


Weighted Average Life	March 31, 2022		December 31, 2021
0 to 5 years	$	94,224	$	144,266
Over 5 to 10 years	36,783		39,306
10+ years	14,773		17,272
Total	$	145,780	$	200,844

Unrealized Losses in Other Comprehensive Income (Loss)

The Company evaluated its CECL Securities that were in an unrealized loss position as of March 31, 2022 and December 31, 2021, respectively, and determined that no allowance for credit losses was necessary. The Company did not recognize credit losses for its CECL Securities through earnings for the three months ended March 31, 2022 and 2021.

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, 2022 and December 31, 2021, respectively (dollar amounts in thousands):


March 31, 2022	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	$	8,507	$	(606)	$	46	$	(6)	$	8,553	$	(612)
Total	$	8,507	$	(606)	$	46	$	(6)	$	8,553	$	(612)


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)

At March 31, 2022, the Company did not intend to sell any of its investment securities available for sale that were in an unrealized loss position, and it was “more likely than not” that the Company would not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity.

Credit risk associated with non-Agency RMBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. In performing its assessment, the Company considers past and expected future performance of the underlying collateral, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, current levels of subordination, volatility of the security's fair value, temporary declines in liquidity for the asset class and interest rate changes since purchase. Based upon the most recent evaluation, the Company does not believe that these unrealized losses are credit related but are rather a reflection of current market yields and/or marketplace bid-ask spreads.