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

9 Months Ended

Sep. 30, 2022

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 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

Schedule of Investments Securities Sold

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

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, 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

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 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)