XML 38 R27.htm IDEA: XBRL DOCUMENT v3.21.2
Mortgage-Backed Securities (Tables)
 9 Months Ended
Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Schedule of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of September 30, 2021 and December 31, 2020.
September 30, 2021
(dollars in thousands)
Principal or Notional ValueTotal PremiumTotal DiscountAmortized CostAllowance for credit lossesFair ValueGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)
Non-Agency RMBS        
Senior$1,340,949 $3,907 $(691,120)$653,736 $(121)$1,054,227 $400,801 $(190)$400,611 
Subordinated849,256 5,794 (278,206)576,844 (1)648,585 93,326 (21,584)71,742 
Interest-only4,225,195 201,508 — 201,508 — 187,218 40,268 (54,558)(14,290)
Agency RMBS       
Interest-only1,067,557 106,477 — 106,477 — 65,889 106 (40,694)(40,588)
Agency CMBS
Project loans825,894 16,278 (812)841,360 — 926,306 84,946 — 84,946 
Interest-only2,351,641 131,734 — 131,734 — 135,825 4,241 (150)4,091 
Total$10,660,492 $465,698 $(970,138)$2,511,659 $(122)$3,018,050 $623,688 $(117,176)$506,512 
December 31, 2020
(dollars in thousands)
Principal or Notional ValueTotal PremiumTotal DiscountAmortized CostAllowance for credit lossesFair ValueGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)
Non-Agency RMBS        
Senior$1,560,135 $3,934 $(773,804)$790,265 $(180)$1,277,800 $487,963 $(248)$487,715 
Subordinated905,674 7,059 (347,056)565,677 — 610,655 83,007 (38,029)44,978 
Interest-only5,628,240 249,610 — 249,610 — 262,259 67,868 (55,219)12,649 
Agency RMBS        
Interest-only1,262,963 118,867 — 118,867 — 90,738 270 (28,399)(28,129)
Agency CMBS
Project loans1,527,621 28,559 (861)1,555,319 — 1,714,483 159,233 (69)159,164 
Interest-only1,326,665 23,572 — 23,572 — 25,885 2,659 (346)2,313 
Total$12,211,298 $431,601 $(1,121,721)$3,303,310 $(180)$3,981,820 $801,000 $(122,310)$678,690 
Schedule of Temporary Impairment Losses, Investments
The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2021 and December 31, 2020. All available for sale Non-Agency RMBS not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.
September 30, 2021
(dollars in thousands)
 Unrealized Loss Position for Less than 12 MonthsUnrealized Loss Position for 12 Months or MoreTotal
 Estimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of Positions
Non-Agency RMBS         
Senior$9,596 $(190)1 $— $— — $9,596 $(190)1 
Subordinated42,385 (478)7 21,600 (21,106)1063,985 (21,584)17
Interest-only25,352 (4,992)3424,475 (49,566)5149,827 (54,558)85
Agency RMBS       
Interest-only16,904 (5,980)547,141 (34,714)18 64,045 (40,694)23
Agency CMBS
Project loans— — — — — —— — —
Interest-only24,118 (150)3 — — — 24,118 (150)3
Total$118,355 $(11,790)50$93,216 $(105,386)79$211,571 $(117,176)129 
December 31, 2020
(dollars in thousands)
 Unrealized Loss Position for Less than 12 MonthsUnrealized Loss Position for 12 Months or MoreTotal
 Estimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of Positions
Non-Agency RMBS         
Senior$11,985 $(248)2 $— $— — $11,985 $(248)2 
Subordinated253,822 (8,711)5 34,697 (29,318)15288,519 (38,029)20 
Interest-only38,604 (8,682)34 22,761 (46,537)4361,365 (55,219)77 
Agency RMBS         
Interest-only31,059 (4,938)6 54,153 (23,461)16 85,212 (28,399)22 
Agency CMBS
Project loans— — — 8,581 (69)18,581 (69)1 
Interest-only4,052 (346)6 — — —4,052 (346)6 
Total$339,522 $(22,925)53$120,192 $(99,385)75$459,714 $(122,310)128 
Schedule of Summary of Credit Loss Allowance A summary of the credit losses allowance on available-for-sale securities for quarters and nine months ended September 30, 2021 and 2020 is presented below.
For the Quarter EndedFor the Nine Months Ended
September 30, 2021September 30, 2020September 30, 2021September 30, 2020
(dollars in thousands)(dollars in thousands)
Beginning allowance for credit losses$508 $1,817 $180 $— 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded7 22 475 6,582 
Allowance on purchased financial assets with credit deterioration— — — — 
Reductions for the securities sold during the period — — — (321)
Increase/(decrease) on securities with an allowance in the prior period(544)(1,074)(721)(3,778)
Write-offs charged against the allowance(23)(642)(86)(2,389)
Recoveries of amounts previously written off174 44 274 73 
Ending allowance for credit losses$122 $167 $122 $167 
Schedule of Significant Credit Quality Indicators
The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2021 and December 31, 2020.
September 30, 2021
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior32,143,4296.2%4.6%54.6%
Subordinated1,3526.0%0.3%30.0%

December 31, 2020
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior46,500,0009.2%3.5%58.3%
Summary of Unrealized Gains and Losses on MBS The following tables present a summary of unrealized gains and losses at September 30, 2021 and December 31, 2020.
September 30, 2021
(dollars in thousands) 
Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized Loss
Non-Agency RMBS      
Senior$400,801 $— $400,801 $(190)$— $(190)
Subordinated35,171 58,155 93,326 — (21,584)(21,584)
Interest-only— 40,268 40,268 — (54,558)(54,558)
Agency RMBS    
Interest-only— 106 106 — (40,694)(40,694)
Agency CMBS
Project loans3,133 81,813 84,946 — — — 
Interest-only— 4,241 4,241 — (150)(150)
Total$439,105 $184,583 $623,688 $(190)$(116,986)$(117,176)
December 31, 2020
(dollars in thousands)  
Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized Loss
Non-Agency RMBS      
Senior$487,963 $— $487,963 $(248)$— $(248)
Subordinated65,043 17,964 83,007 — (38,029)(38,029)
Interest-only— 67,868 67,868 — (55,219)(55,219)
Agency RMBS      
Interest-only— 270 270 — (28,399)(28,399)
Agency CMBS
Project loans5,407 153,826 159,233 (69)— (69)
Interest-only— 2,659 2,659 — (346)(346)
Total$558,413 $242,587 $801,000 $(317)$(121,993)$(122,310)
Residential Mortgage Backed Securities Collateral Characteristics
The following tables provide a summary of the Company’s MBS portfolio at September 30, 2021 and December 31, 2020.
 September 30, 2021
 Principal or Notional Value
at Period-End
(dollars in thousands)		Weighted Average Amortized
Cost Basis		Weighted Average Fair ValueWeighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS    
Senior
$1,340,949 $48.75 78.62 4.4 %17.6 %
Subordinated
849,256 67.92 76.37 3.8 %6.7 %
Interest-only
4,225,195 4.77 4.43 1.6 %12.8 %
Agency RMBS     
Interest-only1,067,557 9.97 6.17 1.3 %0.7 %
Agency CMBS
Project loans
825,894 101.87 112.16 4.3 %4.1 %
Interest-only
2,351,641 5.60 5.78 0.7 %5.3 %
(1) Bond Equivalent Yield at period end.
 December 31, 2020
 Principal or Notional Value at Period-End
(dollars in thousands)		Weighted Average Amortized
Cost Basis		Weighted Average Fair ValueWeighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS    
Senior
$1,560,135 $50.65 $81.90 4.5 %16.9 %
Subordinated
905,674 62.46 67.43 3.8 %6.3 %
Interest-only
5,628,240 4.43 4.66 1.5 %16.2 %
Agency RMBS     
Interest-only
1,262,963 9.41 7.18 1.7 %1.6 %
Agency CMBS
Project loans
1,527,621 101.81 112.23 4.1 %3.8 %
Interest-only
1,326,665 1.78 1.95 0.6 %8.4 %
(1) Bond Equivalent Yield at period end.
Credit Ratings of Residential MBS
The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2021 and December 31, 2020.
 September 30, 2021December 31, 2020
AAA0.2 %0.2 %
AA— %0.1 %
A2.2 %1.2 %
BBB2.4 %1.9 %
BB4.7 %4.3 %
B2.1 %2.0 %
Below B24.9 %31.9 %
Not Rated63.5 %58.4 %
Total100.0 %100.0 %
Schedule of MBS by Estimated Weighted Average Life Classification The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2021 and December 31, 2020 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
September 30, 2021
(dollars in thousands) 
 Weighted Average Life
Less than one yearGreater than one year and less
than five years		Greater than five years and less
than ten years		Greater than ten yearsTotal
Fair value     
Non-Agency RMBS     
Senior$7,744 $351,515 $303,819 $391,149 $1,054,227 
Subordinated2,885 155,226 244,959 245,515 648,585 
Interest-only3,821 155,664 27,732 1 187,218 
Agency RMBS     
Interest-only— — 65,889 — 65,889 
Agency CMBS
Project loans8,480 — — 917,826 926,306 
Interest-only2,387 129,921 3,517 — 135,825 
Total fair value$25,317 $792,326 $645,916 $1,554,491 $3,018,050 
Amortized cost     
Non-Agency RMBS     
Senior$5,978 $243,637 $167,673 $236,448 $653,736 
Subordinated— 132,268 223,810 220,766 576,844 
Interest-only30,408 149,352 21,690 58 201,508 
Agency RMBS     
Interest-only— — 106,477 — 106,477 
Agency CMBS
Project loans8,454 — — 832,906 841,360 
Interest-only1,840 126,622 3,272 — 131,734 
Total amortized cost$46,680 $651,879 $522,922 $1,290,178 $2,511,659 
December 31, 2020
(dollars in thousands)
 Weighted Average Life
Less than one yearGreater than one year and less
than five years		Greater than five years and less
than ten years		Greater than ten yearsTotal
Fair value     
Non-Agency RMBS     
Senior$7,850 $366,218 $467,336 $436,396 $1,277,800 
Subordinated5 105,272 102,805 402,573 610,655 
Interest-only5,780 143,631 110,468 2,380 262,259 
Agency RMBS     
Interest-only— 864 89,874 — 90,738 
Agency CMBS
Project loans8,581 — — 1,705,902 1,714,483 
Interest-only620 21,500 3,765 — 25,885 
Total fair value$22,836 $637,485 $774,248 $2,547,251 $3,981,820 
Amortized cost     
Non-Agency RMBS     
Senior$4,691 $256,935 $257,188 $271,451 $790,265 
Subordinated— 83,188 78,435 404,054 565,677 
Interest-only26,286 138,150 82,368 2,806 249,610 
Agency RMBS     
Interest-only— 1,898 116,969 — 118,867 
Agency CMBS
Project loans8,650 — — 1,546,669 1,555,319 
Interest-only788 19,273 3,511 — 23,572 
Total amortized cost$40,415 $499,444 $538,471 $2,224,980 $3,303,310 
Schedule of Various Characteristics of Residential Loan Portfolio The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans
securing the Company’s investments in Non-Agency RMBS at September 30, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses.

September 30, 202130 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.0 %1.2 %6.0 %1.5 %3.3 %0.4 %15.4 %


December 31, 202030 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.1 %1.4 %7.2 %1.3 %2.9 %0.4 %16.3 %
The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2021 and December 31, 2020, respectively.

 30 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotalUnpaid Principal Balance
(dollars in thousands)
September 30, 2021 (1)
$593,685$180,788$527,805$216,944$312,619$26,341$1,858,182$11,517,084
% of Unpaid Principal Balance5.2 %1.6 %4.6 %1.9 %2.7 %0.2 %16.2 %
December 31, 2020$727,012$289,966$729,713$277,098$297,509$29,852$2,351,15012,640,193
% of Unpaid Principal Balance5.8 %2.3 %5.8 %2.2 %2.4 %0.2 %18.6 %
(1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased         prior to that reporting date and settled subsequent to that reporting period.
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2021 and December 31, 2020.
 September 30, 2021December 31, 2020
Weighted average maturity (years) 21.6 22.2
Weighted average amortized loan to value (1)
 60.6 % 61.4 %
Weighted average FICO (2)
 708 714
Weighted average loan balance (in thousands) $263  $291 
Weighted average percentage owner-occupied 83.7 % 81.8 %
Weighted average percentage single family residence 61.8 % 61.7 %
Weighted average current credit enhancement 1.1 % 0.9 %
Weighted average geographic concentration of top four statesCA31.5 %CA33.8 %
NY10.0 %NY8.7 %
FL8.0 %FL7.9 %
NJ4.5 %NJ4.3 %
(1) Value represents appraised value of the collateral at the time of loan origination.
(2) FICO as determined at the time of loan origination.
Schedule of Percentage of Non-Agency RMBS by Year Originated
The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2021 and December 31, 2020.
Origination YearSeptember 30, 2021December 31, 2020
2003 and prior1.4 %1.7 %
20041.3 %1.4 %
20059.1 %10.3 %
200653.0 %52.1 %
200725.6 %27.2 %
2008 and later9.6 %7.3 %
Total100.0 %100.0 %
Schedule of Gains and Losses from Sales of Investments The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2021 and 2020 are as follows:
 For the Quarters EndedFor the Nine Months Ended
 September 30, 2021September 30, 2020September 30, 2021September 30, 2020
 (dollars in thousands)(dollars in thousands)
Proceeds from sales:
Non-Agency RMBS— 604 47,877 142,564 
Agency RMBS— — 626 5,710,134 
Agency CMBS— 734,320 201,037 1,060,987 
Gross realized gains:
Non-Agency RMBS— — 37,742 21,274 
Agency RMBS— — — 74,264 
Agency CMBS— 70,237 13,735 88,927 
Gross realized losses:
Non-Agency RMBS— (2,214)(4,955)(8,392)
Agency RMBS— — (1,209)(5,816)
Agency CMBS— (2,982)— (2,982)
Net realized gain (loss)$— $65,041 $45,313 $167,275