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Investment Securities Available for Sale, at Fair Value | 9 Months Ended
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Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Investment Securities Available for Sale, at Fair Value | 5. 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 September 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):
| September 30, 2022 |  | December 31, 2021
| Amortized Cost |  | Unrealized |  | Fair Value |  | Amortized Cost |  | Unrealized |  | Fair Value
|  | Gains |  | Losses |  |  |  | Gains |  | Losses |
Fair Value Option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS | $ | 49,566 |  |  | $ | 7,700 |  |  | $ | (9,553) |  |  | $ | 47,713 |  |  | $ | 100,186 |  |  | $ | 949 |  |  | $ | (2,636) |  |  | $ | 98,499 |
CMBS | 32,355 |  |  | — |  |  | (2,009) |  |  | 30,346 |  |  | 32,600 |  |  | 684 |  |  | (138) |  |  | 33,146 |
ABS | 970 |  |  | 141 |  |  | — |  |  | 1,111 |  |  | 21,795 |  |  | 17,884 |  |  | — |  |  | 39,679 |
Total investment securities available for sale - fair value option | 82,891 |  |  | 7,841 |  |  | (11,562) |  |  | 79,170 |  |  | 154,581 |  |  | 19,517 |  |  | (2,774) |  |  | 171,324 |
CECL Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS | 25,570 |  |  | — |  |  | (2,054) |  |  | 23,516 |  |  | 27,743 |  |  | 1,787 |  |  | (10) |  |  | 29,520 |
Total investment securities available for sale - CECL Securities | 25,570 |  |  | — |  |  | (2,054) |  |  | 23,516 |  |  | 27,743 |  |  | 1,787 |  |  | (10) |  |  | 29,520 |
Total | $ | 108,461 |  |  | $ | 7,841 |  |  | $ | (13,616) |  |  | $ | 102,686 |  |  | $ | 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 September 30, 2022 and December 31, 2021, respectively, is included in other assets on the Company's condensed consolidated balance sheets. For the three and nine months ended September 30, 2022, the Company recognized $17.4 million and $20.5 million in net unrealized losses on investment securities available for sale accounted for under the fair value option, respectively. Net unrealized losses on investment securities for the three and nine months ended September 30, 2022 included a reversal of previously recognized unrealized gains amounting to $15.9 million on ABS that were sold during the quarter. For the three and nine months ended September 30, 2021, the Company recognized $5.4 million and $11.5 million in net unrealized gains on investment securities available for sale accounted for under the fair value option, respectively. Realized Gain and Loss Activity The following tables summarize our investment securities sold during the three months ended September 30, 2022 and 2021, respectively (dollar amounts in thousands):
| Three Months Ended September 30, 2022
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
ABS | $ | 36,215 |  |  | $ | 18,001 |  |  | $ | — |  |  | $ | 18,001 |
Total | $ | 36,215 |  |  | $ | 18,001 |  |  | $ | — |  |  | $ | 18,001 |
| 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 |
The following tables summarize our investment securities sold during the nine months ended September 30, 2022 and 2021, respectively (dollar amounts in thousands):
| Nine Months Ended September 30, 2022
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS | $ | 24,374 |  |  | $ | 374 |  |  | $ | — |  |  | $ | 374 |
ABS | 36,215 |  |  | 18,001 |  | ` | — |  |  | 18,001 |
Total | $ | 60,589 |  |  | $ | 18,375 |  |  | $ | — |  |  | $ | 18,375 |
| Nine Months Ended September 30, 2021
| Sales Proceeds |  | Realized Gains |  | Realized Losses |  | Net Realized Gains (Losses)
Non-Agency RMBS | $ | 115,662 |  |  | $ | 4,853 |  |  | $ | (833) |  |  | $ | 4,020 |
CMBS | 132,796 |  |  | 11,083 |  |  | (452) |  |  | 10,631 |
Total | $ | 248,458 |  |  | $ | 15,936 |  |  | $ | (1,285) |  |  | $ | 14,651 |
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. 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 September 30, 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 6.5 years and 5.8 years, respectively. The following table sets forth the weighted average lives of our investment securities available for sale as of September 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):
Weighted Average Life | September 30, 2022 |  | December 31, 2021
0 to 5 years | $ | 31,850 |  |  | $ | 144,266 |
Over 5 to 10 years | 58,958 |  |  | 39,306 |
10+ years | 11,878 |  |  | 17,272 |
Total | $ | 102,686 |  |  | $ | 200,844 |
Unrealized Losses in Other Comprehensive Income (Loss) The Company evaluated its CECL Securities that were in an unrealized loss position as of September 30, 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 and nine months ended September 30, 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 September 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):
September 30, 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 | $ | 23,477 |  |  | $ | (2,049) |  |  | $ | 39 |  |  | $ | (5) |  |  | $ | 23,516 |  |  | $ | (2,054) |  |  |  |  |
Total | $ | 23,477 |  |  | $ | (2,049) |  |  | $ | 39 |  |  | $ | (5) |  |  | $ | 23,516 |  |  | $ | (2,054) |  |  |  |  |
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 September 30, 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.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI https://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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