XML 42 R33.htm IDEA: XBRL DOCUMENT

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

9 Months Ended

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


	September 30, 2023								December 31, 2022
	Amortized Cost		Unrealized				Fair Value		Amortized Cost		Unrealized				Fair Value
			Gains		Losses						Gains		Losses
Fair Value Option
Agency RMBS
Fixed rate
Fannie Mae	$	868,656	$	64	$	(18,193)	$	850,527	$	—	$	—	$	—	$	—
Freddie Mac	591,245		—		(18,977)		572,268		—		—		—		—
Total Fixed rate	1,459,901		64		(37,170)		1,422,795		—		—		—		—
Adjustable rate
Fannie Mae	43,377		—		(1,036)		42,341		—		—		—		—
Freddie Mac	28,803		—		(522)		28,281		—		—		—		—
Total Adjustable rate	72,180		—		(1,558)		70,622		—		—		—		—
Interest-only
Ginnie Mae	42,205		107		(725)		41,587		—		—		—		—
Total Interest-only	42,205		107		(725)		41,587		—		—		—		—
Total Agency RMBS	1,574,286		171		(39,453)		1,535,004		—		—		—		—
Non-Agency RMBS	42,059		8,729		(13,161)		37,627		48,958		9,436		(13,469)		44,925
CMBS	6,000		—		(352)		5,648		32,033		—		(1,900)		30,133
ABS	—		—		—		—		797		59		—		856
Total investment securities available for sale - fair value option	1,622,345		8,900		(52,966)		1,578,279		81,788		9,495		(15,369)		75,914

CECL Securities
Non-Agency RMBS	25,763		—		(1,827)		23,936		25,616		—		(1,971)		23,645

Total investment securities available for sale - CECL Securities	25,763		—		(1,827)		23,936		25,616		—		(1,971)		23,645
Total	$	1,648,108	$	8,900	$	(54,793)	$	1,602,215	$	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 September 30, 2023 and 2022, respectively (dollar amounts in thousands):


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






CMBS	$	24,772	$	—	$	(1,035)	$	(1,035)

Total	$	24,772	$	—	$	(1,035)	$	(1,035)


	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

The following table summarizes our investment securities sold during the nine months ended September 30, 2023 and 2022, respectively (dollar amounts in thousands):


	Nine Months Ended September 30, 2023
	Sales Proceeds		Realized Gains		Realized Losses		Net Realized Gains (Losses)






ABS	$	595	$	—	$	(41)	$	(41)

CMBS	24,772		—		(1,035)		(1,035)
Total	$	25,367	$	—	$	(1,076)	$	(1,076)


	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

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


Weighted Average Life	September 30, 2023		December 31, 2022
0 to 5 years	$	42,759	$	39,655
Over 5 to 10 years	1,546,244		46,558
10+ years	13,212		13,346
Total	$	1,602,215	$	99,559

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 September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


September 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	$	—	$	—	$	23,936	$	(1,827)	$	23,936	$	(1,827)
Total	$	—	$	—	$	23,936	$	(1,827)	$	23,936	$	(1,827)


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)