XML 47 R33.htm IDEA: XBRL DOCUMENT

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

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


	March 31, 2023								December 31, 2022
	Amortized Cost		Unrealized				Fair Value		Amortized Cost		Unrealized				Fair Value
			Gains		Losses						Gains		Losses
Fair Value Option



Agency RMBS	$	106,116	$	1,084	$	—	$	107,200	$	—	$	—	$	—	$	—
Non-Agency RMBS	44,483		8,878		(13,434)		39,927		48,958		9,436		(13,469)		44,925
CMBS	32,025		—		(1,357)		30,668		32,033		—		(1,900)		30,133
ABS	683		—		(191)		492		797		59		—		856
Total investment securities available for sale - fair value option	183,307		9,962		(14,982)		178,287		81,788		9,495		(15,369)		75,914

CECL Securities
Non-Agency RMBS	25,663		—		(1,379)		24,284		25,616		—		(1,971)		23,645

Total investment securities available for sale - CECL Securities	25,663		—		(1,379)		24,284		25,616		—		(1,971)		23,645
Total	$	208,970	$	9,962	$	(16,361)	$	202,571	$	107,404	$	9,495	$	(17,340)	$	99,559

Schedule of Investments Securities Sold

The following table summarizes our investment securities sold during the three months ended March 31, 2022 (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

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 March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


Weighted Average Life	March 31, 2023		December 31, 2022
0 to 5 years	$	35,025	$	39,655
Over 5 to 10 years	152,858		46,558
10+ years	14,688		13,346
Total	$	202,571	$	99,559

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 March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


March 31, 2023	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	$	15,997	$	(533)	$	8,287	$	(846)	$	24,284	$	(1,379)
Total	$	15,997	$	(533)	$	8,287	$	(846)	$	24,284	$	(1,379)


December 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	$	23,609	$	(1,966)	$	36	$	(5)	$	23,645	$	(1,971)
Total	$	23,609	$	(1,966)	$	36	$	(5)	$	23,645	$	(1,971)