XML 51 R37.htm IDEA: XBRL DOCUMENT v3.22.4
Investment Securities Available For Sale, at Fair Value (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2022 and 2021, respectively (dollar amounts in thousands):
December 31, 2022December 31, 2021
Amortized CostUnrealizedFair ValueAmortized CostUnrealizedFair Value
GainsLossesGainsLosses
Fair Value Option
Non-Agency RMBS$48,958 $9,436 $(13,469)$44,925 $100,186 $949 $(2,636)$98,499 
CMBS32,033 — (1,900)30,133 32,600 684 (138)33,146 
ABS797 59 — 856 21,795 17,884 — 39,679 
Total investment securities available for sale - fair value option81,788 9,495 (15,369)75,914 154,581 19,517 (2,774)171,324 
CECL Securities
Non-Agency RMBS 25,616 — (1,971)23,645 27,743 1,787 (10)29,520 
Total investment securities available for sale - CECL Securities25,616 — (1,971)23,645 27,743 1,787 (10)29,520 
Total$107,404 $9,495 $(17,340)$99,559 $182,324 $21,304 $(2,784)$200,844 
Schedule of Investments Securities Sold
The following tables summarize our investment securities sold during the years ended December 31, 2022, 2021, and 2020, respectively (dollar amounts in thousands):

Year Ended December 31, 2022
Sales ProceedsRealized GainsRealized LossesNet Realized Gains (Losses)
Non-Agency RMBS$24,374 $374 $— $374 
ABS36,215 18,001 — 18,001 
U.S. Treasury Securities24,848 — (31)(31)
Total$85,437 $18,375 $(31)$18,344 
Year Ended December 31, 2021
Sales Proceeds Realized GainsRealized LossesNet Realized Gains (Losses)
Agency RMBS$123,622 $— $(3,480)$(3,480)
Non-Agency RMBS176,166 4,923 (854)4,069 
CMBS132,797 11,083 `(452)10,631 
Total
$432,585 $16,006 $(4,786)$11,220 



Year Ended December 31, 2020
Sales Proceeds Realized GainsRealized LossesNet 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 RMBS992,966 5,402 (15,854)(10,452)
Agency CMBS (2)
145,411 5,666 (209)5,457 
Total Agency1,138,377 11,068 (16,063)(4,995)
Non-Agency RMBS433,076 435 (34,856)(34,421)
CMBS248,741 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).
Summary of 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, 2022 and 2021, respectively (dollar amounts in thousands):
Weighted Average LifeDecember 31, 2022December 31, 2021
0 to 5 years$39,655 $144,266 
Over 5 to 10 years46,558 39,306 
10+ years13,346 17,272 
Total$99,559 $200,844 
Schedule of 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, 2022 and 2021, respectively (dollar amounts in thousands):

December 31, 2022Less than 12 MonthsGreater than 12 monthsTotal
Carrying
Value		Gross
Unrealized
Losses		Carrying
Value		Gross
Unrealized
Losses		Carrying
Value		Gross
Unrealized
Losses
Non-Agency RMBS$23,609 $(1,966)$36 $(5)$23,645 $(1,971)
Total
$23,609 $(1,966)$36 $(5)$23,645 $(1,971)


December 31, 2021Less than 12 MonthsGreater than 12 monthsTotal
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)