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Mortgage-Backed Securities (Tables)
 6 Months Ended
Jun. 30, 2023
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 the Company's MBS investments as of June 30, 2023 and December 31, 2022.
June 30, 2023
(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$1,109,831 $11,193 $(602,852)$518,172 $(9,847)$717,620 $216,269 $(6,974)$209,295 
Subordinated594,038 3,651 (297,522)300,167 (3,166)279,459 20,952 (38,494)(17,542)
Interest-only2,983,593 160,318 — 160,318 — 95,126 16,640 (81,832)(65,192)
Agency RMBS       
Interest-only401,285 18,955 — 18,955 — 12,924 — (6,031)(6,031)
Agency CMBS
Project loans123,579 1,872 — 125,451 — 114,210 — (11,241)(11,241)
Interest-only484,297 8,575 — 8,575 — 9,192 1,334 (717)617 
Total$5,696,623 $204,564 $(900,374)$1,131,638 $(13,013)$1,228,531 $255,195 $(145,289)$109,906 
December 31, 2022
(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$1,153,458 $7,377 $(624,803)$536,032 $(4,418)$761,808 $237,127 $(6,933)$230,194 
Subordinated611,206 3,872 (310,757)304,321 (2,770)286,909 22,035 (36,677)(14,642)
Interest-only3,114,930 162,820 — 162,820 — 98,764 15,968 (80,024)(64,056)
Agency RMBS        
Interest-only409,940 18,768 — 18,768 — 15,148 1,371 (4,991)(3,620)
Agency CMBS
Project loans302,685 5,805 (192)308,298 — 289,418 — (18,880)(18,880)
Interest-only2,669,396 139,738 — 139,738 — 126,378 1,654 (15,014)(13,360)
Total$8,261,615 $338,380 $(935,752)$1,469,977 $(7,188)$1,578,425 $278,155 $(162,519)$115,636 
Schedule of Investments in Unrealized Loss Position
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 June 30, 2023 and December 31, 2022. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.

June 30, 2023
(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$33,660 $(171)8 $41,449 $(6,803)5 $75,109 $(6,974)13 
Subordinated31,010 (4,583)6 159,744 (33,911)31190,754 (38,494)37
Interest-only17,721 (5,970)3336,119 (75,862)9553,840 (81,832)128
Agency RMBS       
Interest-only8,069 (1,050)64,855 (4,981)6 12,924 (6,031)12
Agency CMBS
Project loans83,375 (6,738)78 30,835 (4,503)31114,210 (11,241)109
Interest-only3,120 (446)2 175 (271)2 3,295 (717)4
Total$176,955 $(18,958)133$273,177 $(126,331)170$450,132 $(145,289)303 
December 31, 2022
(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$83,553 $(6,170)13 $7,577 $(763)1 $91,130 $(6,933)14 
Subordinated161,959 (27,120)28 37,025 (9,557)8198,984 (36,677)36 
Interest-only41,890 (24,411)79 15,213 (55,613)5057,103 (80,024)129 
Agency RMBS         
Interest-only6,062 (500)4 2,825 (4,491)4 8,887 (4,991)8 
Agency CMBS
Project loans281,307 (18,880)131 — — —281,307 (18,880)131 
Interest-only81,472 (10,503)5 35,234 (4,511)3116,706 (15,014)8 
Total$656,243 $(87,584)260$97,874 $(74,935)66$754,117 $(162,519)326 
Schedule of Summary of Credit Loss Allowance A summary of the credit losses allowance on available-for-sale securities for the quarters and six months ended June 30, 2023 and 2022 is presented below.
For the Quarter EndedFor the Six Months Ended
June 30, 2023June 30, 2022June 30, 2023June 30, 2022
(dollars in thousands)(dollars in thousands)
Beginning allowance for credit losses$10,251 $453 $7,188 $213 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded502 1,253 1,099 1,592 
Allowance on purchased financial assets with credit deterioration— — — — 
Reductions for the securities sold during the period — — — — 
Increase/(decrease) on securities with an allowance in the prior period3,459 3,062 7,551 3,021 
Write-offs charged against the allowance(1,228)(18)(2,858)(76)
Recoveries of amounts previously written off29 140 33 140 
Ending allowance for credit losses$13,013 $4,890 $13,013 $4,890 
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 June 30, 2023 and December 31, 2022.
June 30, 2023
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior72,218 6.5%2.1%38.2%
Subordinated72,979 7.0%0.4%42.5%

December 31, 2022
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior88,062 7.5%2.4%39.7%
Subordinated66,914 9.2%0.4%40.9%
Summary of Unrealized Gains and Losses on MBS The following tables present a summary of unrealized gains and losses at June 30, 2023 and December 31, 2022.
June 30, 2023
(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$216,269 $— $216,269 $(5,391)$(1,583)$(6,974)
Subordinated13,465 7,487 20,952 (13,649)(24,845)(38,494)
Interest-only— 16,640 16,640 — (81,832)(81,832)
Agency RMBS    
Interest-only— — — — (6,031)(6,031)
Agency CMBS
Project loans— — — (18)(11,223)(11,241)
Interest-only— 1,334 1,334 — (717)(717)
Total$229,734 $25,461 $255,195 $(19,058)$(126,231)$(145,289)

December 31, 2022
(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$237,127 $— $237,127 $(5,132)$(1,801)$(6,933)
Subordinated14,600 7,435 22,035 (14,418)(22,259)(36,677)
Interest-only— 15,968 15,968 — (80,024)(80,024)
Agency RMBS      
Interest-only— 1,371 1,371 — (4,991)(4,991)
Agency CMBS
Project loans— — — (2,832)(16,048)(18,880)
Interest-only— 1,654 1,654 — (15,014)(15,014)
Total$251,727 $26,428 $278,155 $(22,382)$(140,137)$(162,519)
Residential Mortgage Backed Securities Collateral Characteristics
The following tables provide a summary of the Company’s MBS portfolio at June 30, 2023 and December 31, 2022.
 June 30, 2023
 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$1,109,831 $45.80 64.66 5.5 %16.5 %
Subordinated594,038 50.00 47.04 3.8 %6.6 %
Interest-only2,983,593 5.37 3.19 0.5 %6.9 %
Agency RMBS     
Interest-only401,285 4.72 3.22 0.1 %6.8 %
Agency CMBS
Project loans123,579 101.51 92.42 4.1 %4.0 %
Interest-only484,297 1.77 1.90 0.6 %7.9 %
(1) Bond Equivalent Yield at period end.
 December 31, 2022
 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$1,153,458 $46.09 $66.05 5.3 %16.4 %
Subordinated611,206 49.79 46.94 3.1 %6.8 %
Interest-only3,114,930 5.14 3.17 0.7 %5.3 %
Agency RMBS     
Interest-only409,940 4.58 3.70 0.9 %5.0 %
Agency CMBS
Project loans302,685 101.85 95.62 4.3 %4.1 %
Interest-only2,669,396 5.23 4.73 0.7 %3.4 %
(1) Bond Equivalent Yield at period end.
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 June 30, 2023 and December 31, 2022 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.
June 30, 2023
(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$15,762 $123,866 $275,676 $302,316 $717,620 
Subordinated2,528 15,999 100,800 160,132 279,459 
Interest-only392 23,502 68,504 2,728 95,126 
Agency RMBS     
Interest-only— — 12,924 — 12,924 
Agency CMBS
Project loans7,950 — — 106,260 114,210 
Interest-only738 8,454 — — 9,192 
Total fair value$27,370 $171,821 $457,904 $571,436 $1,228,531 
Amortized cost     
Non-Agency RMBS     
Senior$6,719 $105,871 $198,732 $206,850 $518,172 
Subordinated335 12,163 105,536 182,133 300,167 
Interest-only7,331 48,517 96,150 8,320 160,318 
Agency RMBS     
Interest-only— — 18,955 — 18,955 
Agency CMBS
Project loans7,968 — — 117,483 125,451 
Interest-only1,063 7,512 — — 8,575 
Total amortized cost$23,416 $174,063 $419,373 $514,786 $1,131,638 
December 31, 2022
(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$6,727 $152,811 $308,351 $293,919 $761,808 
Subordinated3,957 6,829 113,903 162,220 286,909 
Interest-only205 30,780 65,038 2,741 98,764 
Agency RMBS     
Interest-only— — 15,148 — 15,148 
Agency CMBS
Project loans8,112 — — 281,306 289,418 
Interest-only139 126,239 — — 126,378 
Total fair value$19,140 $316,659 $502,440 $740,186 $1,578,425 
Amortized cost     
Non-Agency RMBS     
Senior$6,336 $122,916 $206,615 $200,165 $536,032 
Subordinated1,184 5,008 118,700 179,429 304,321 
Interest-only6,249 64,172 89,266 3,133 162,820 
Agency RMBS     
Interest-only— — 18,768 — 18,768 
Agency CMBS
Project loans8,112 — — 300,186 308,298 
Interest-only200 139,538 — — 139,738 
Total amortized cost$22,081 $331,634 $433,349 $682,913 $1,469,977 
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 June 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
June 30, 202330 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.2 %1.1 %2.8 %1.3 %3.0 %0.6 %12.0 %


December 31, 202230 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance2.9 %1.3 %3.3 %1.3 %3.0 %0.6 %12.4 %
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 June 30, 2023 and December 31, 2022, respectively.
 30 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotalUnpaid Principal Balance
(dollars in thousands)
June 30, 2023$731,633$219,106$389,020$168,162$334,893$29,358$1,872,172$12,570,243
% of Unpaid Principal Balance5.8 %1.7 %3.1 %1.3 %2.7 %0.2 %14.8 %
December 31, 2022$778,196$248,579$399,369$211,226$391,958$33,843$2,063,171$12,060,530
% of Unpaid Principal Balance6.5 %2.1 %3.3 %1.8 %3.2 %0.3 %17.1 %
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 June 30, 2023 and December 31, 2022.
 June 30, 2023December 31, 2022
Weighted average maturity (years) 20.8 21.4
Weighted average amortized loan to value (1)
 57.6 % 58.2 %
Weighted average FICO (2)
 713 713
Weighted average loan balance (in thousands) $255  $258 
Weighted average percentage owner-occupied 84.4 % 84.4 %
Weighted average percentage single family residence 61.5 % 61.4 %
Weighted average current credit enhancement 1.1 % 1.1 %
Weighted average geographic concentration of top four statesCA32.8 %CA32.7 %
NY11.4 %NY11.3 %
FL7.6 %FL7.6 %
NJ4.5 %NJ4.5 %
(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 June 30, 2023 and December 31, 2022.
Origination YearJune 30, 2023December 31, 2022
2003 and prior0.7 %0.7 %
20041.1 %1.1 %
20058.6 %9.0 %
200645.0 %45.0 %
200731.4 %30.8 %
2008 and later13.2 %13.4 %
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 six months ended June 30, 2023 and 2022 are as follows:
 For the Quarter EndedFor the Six Months Ended
 June 30, 2023June 30, 2022June 30, 2023June 30, 2022
 (dollars in thousands)(dollars in thousands)
Proceeds from sales:
Agency MBS$113,172 $— 280,848 — 
Gross realized gains:
Agency MBS— — — — 
Gross realized losses:
Agency MBS(21,758)— (27,022)— 
Net realized gain (loss)$(21,758)$— $(27,022)$—