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

6 Months Ended

Jun. 30, 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 June 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


	June 30, 2023								December 31, 2022
	Amortized Cost		Unrealized				Fair Value		Amortized Cost		Unrealized				Fair Value
			Gains		Losses						Gains		Losses
Fair Value Option



Agency RMBS	$	648,027	$	—	$	(7,894)	$	640,133	$	—	$	—	$	—	$	—
Non-Agency RMBS	43,808		8,847		(12,864)		39,791		48,958		9,436		(13,469)		44,925
CMBS	32,016		—		(1,619)		30,397		32,033		—		(1,900)		30,133
ABS	—		—		—		—		797		59		—		856
Total investment securities available for sale - fair value option	723,851		8,847		(22,377)		710,321		81,788		9,495		(15,369)		75,914

CECL Securities
Non-Agency RMBS	25,713		—		(1,762)		23,951		25,616		—		(1,971)		23,645

Total investment securities available for sale - CECL Securities	25,713		—		(1,762)		23,951		25,616		—		(1,971)		23,645
Total	$	749,564	$	8,847	$	(24,139)	$	734,272	$	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 June 30, 2023 and the six months ended June 30, 2023 and 2022, respectively (dollar amounts in thousands):


	Three Months Ended June 30, 2023
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)






ABS	$	595	$	—	$	(41)	$	(41)

Total	$	595	$	—	$	(41)	$	(41)


	Six Months Ended June 30, 2023
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)






ABS	$	595	$	—	$	(41)	$	(41)

Total	$	595	$	—	$	(41)	$	(41)


	Six Months Ended June 30, 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 June 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


Weighted Average Life	June 30, 2023		December 31, 2022
0 to 5 years	$	35,168	$	39,655
Over 5 to 10 years	684,837		46,558
10+ years	14,267		13,346
Total	$	734,272	$	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 June 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


June 30, 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	$	—	$	—	$	23,951	$	(1,762)	$	23,951	$	(1,762)
Total	$	—	$	—	$	23,951	$	(1,762)	$	23,951	$	(1,762)


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)