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Mortgage-Backed Securities (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023.
March 31, 2024
(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$1,057,200 $16,024 $(575,728)$497,496 $(16,491)$664,282 $189,895 $(6,618)$183,277 
Subordinated610,429 3,583 (281,892)332,120 (3,416)314,254 17,469 (31,919)(14,450)
Interest-only2,819,698 157,077 — 157,077 — 81,327 14,386 (90,136)(75,750)
Agency RMBS       
Interest-only388,676 19,490 — 19,490 — 14,867 198 (4,821)(4,623)
Agency CMBS
Project loans48,651 622 — 49,273 — 43,706 — (5,567)(5,567)
Interest-only474,631 7,366 — 7,366 — 7,426 1,100 (1,040)60 
Total$5,399,285 $204,162 $(857,620)$1,062,822 $(19,907)$1,125,862 $223,048 $(140,101)$82,947 
December 31, 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$1,073,632 $14,641 $(582,640)$505,633 $(15,052)$676,128 $192,528 $(6,981)$185,547 
Subordinated583,049 3,609 (286,247)300,411 (3,508)276,903 16,548 (36,548)(20,000)
Interest-only2,874,680 157,871 — 157,871 — 90,775 14,394 (81,490)(67,096)
Agency RMBS        
Interest-only392,284 19,238 — 19,238 — 15,023 862 (5,077)(4,215)
Agency CMBS
Project loans86,572 1,248 — 87,820 — 79,179 — (8,641)(8,641)
Interest-only478,239 7,766 — 7,766 — 8,282 1,307 (791)516 
Total$5,488,456 $204,373 $(868,887)$1,078,739 $(18,560)$1,146,290 $225,639 $(139,528)$86,111 
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 March 31, 2024 and December 31, 2023. 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.

March 31, 2024
(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$46,803 $(283)13 $45,625 $(6,335)8 $92,429 $(6,618)21 
Subordinated25,720 (630)4 189,006 (31,289)35214,726 (31,919)39
Interest-only20,615 (6,983)3029,047 (83,153)10549,662 (90,136)135
Agency RMBS       
Interest-only1,278 (8)19,526 (4,813)8 10,803 (4,821)9
Agency CMBS
Project loans5,149 (1,065)3 38,557 (4,502)3243,706 (5,567)35
Interest-only4,284 (760)3 131 (280)2 4,415 (1,040)5
Total$103,849 $(9,729)54$311,892 $(130,372)190$415,741 $(140,101)244 
December 31, 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$51,476 $(281)13 $42,859 $(6,700)6 $94,335 $(6,981)19 
Subordinated19,382 (1,467)5 181,822 (35,081)33201,204 (36,548)38 
Interest-only19,263 (4,035)27 36,731 (77,455)10555,994 (81,490)132 
Agency RMBS         
Interest-only— — — 9,151 (5,077)8 9,151 (5,077)8 
Agency CMBS
Project loans43,827 (4,040)5 35,353 (4,601)3279,180 (8,641)37 
Interest-only2,601 (529)2 158 (262)22,759 (791)4 
Total$136,549 $(10,352)52$306,074 $(129,176)186$442,623 $(139,528)238 
Schedule of Summary of Credit Loss Allowance A summary of the credit losses allowance on available-for-sale securities for the quarters ended March 31, 2024 and 2023 is presented below.
For the Quarter Ended
March 31, 2024March 31, 2023
(dollars in thousands)
Beginning allowance for credit losses$18,560 $7,188 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded705 597 
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 period448 4,093 
Write-offs charged against the allowance(302)(1,631)
Recoveries of amounts previously written off496 4 
Ending allowance for credit losses$19,907 $10,251 
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 March 31, 2024 and December 31, 2023.
March 31, 2024
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior98,495 7.1%2.3%37.3%
Subordinated72,053 6.5%0.3%44.7%

December 31, 2023
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior98,394 6.2%2.3%35.3%
Subordinated75,005 6.2%0.7%38.9%
Summary of Unrealized Gains and Losses on MBS
The following tables present a summary of unrealized gains and losses at March 31, 2024 and December 31, 2023.
March 31, 2024
  (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$189,895 $— $189,895 $(5,231)$(1,388)$(6,618)
Subordinated10,826 6,643 17,469 (10,019)(21,900)(31,919)
Interest-only— 14,386 14,386 — (90,136)(90,136)
Agency RMBS    
Interest-only— 198 198 — (4,821)(4,821)
Agency CMBS
Project loans— — — (24)(5,543)(5,567)
Interest-only— 1,100 1,100 — (1,040)(1,040)
Total$200,721 $22,327 $223,048 $(15,274)$(124,827)$(140,101)

December 31, 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$192,528 $— $192,528 $(5,396)$(1,585)$(6,981)
Subordinated10,757 5,791 16,548 (12,198)(24,350)(36,548)
Interest-only— 14,394 14,394 — (81,490)(81,490)
Agency RMBS      
Interest-only— 862 862 — (5,077)(5,077)
Agency CMBS
Project loans— — — (23)(8,618)(8,641)
Interest-only— 1,307 1,307 — (791)(791)
Total$203,285 $22,354 $225,639 $(17,617)$(121,911)$(139,528)
Residential Mortgage Backed Securities Collateral Characteristics
The following tables provide a summary of the Company’s MBS portfolio at March 31, 2024 and December 31, 2023.
 March 31, 2024
 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$1,057,200 $45.50 62.83 5.7 %16.9 %
Subordinated610,429 53.85 51.49 3.8 %7.2 %
Interest-only2,819,698 5.57 2.88 0.5 %6.2 %
Agency RMBS     
Interest-only388,676 5.01 3.83 0.1 %6.6 %
Agency CMBS
Project loans48,651 101.28 89.84 3.7 %3.6 %
Interest-only474,631 1.55 1.56 0.5 %8.4 %
(1) Bond Equivalent Yield at period end.
 December 31, 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$1,073,632 $45.69 $62.98 5.7 %17.3 %
Subordinated583,049 50.92 47.49 3.3 %6.7 %
Interest-only2,874,680 5.49 3.16 0.5 %4.2 %
Agency RMBS     
Interest-only392,284 4.90 3.83 0.1 %5.7 %
Agency CMBS
Project loans86,572 101.44 91.46 4.0 %3.8 %
Interest-only478,239 1.62 1.73 0.5 %8.2 %
(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 March 31, 2024 and December 31, 2023 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.
March 31, 2024
 (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$11,478 $96,678 $290,509 $265,617 $664,282 
Subordinated3,327 29,143 115,456 166,328 314,254 
Interest-only374 24,035 54,143 2,775 81,327 
Agency RMBS     
Interest-only4,645 6,437 3,785 — 14,867 
Agency CMBS
Project loans7,721 — — 35,985 43,706 
Interest-only172 7,254 — — 7,426 
Total fair value$27,717 $163,547 $463,893 $470,705 $1,125,862 
Amortized cost     
Non-Agency RMBS     
Senior$4,175 $95,054 $202,382 $195,885 $497,496 
Subordinated2,286 25,550 117,777 186,507 332,120 
Interest-only15,986 46,031 89,067 5,993 157,077 
Agency RMBS     
Interest-only6,231 8,046 5,213 — 19,490 
Agency CMBS
Project loans7,745 — — 41,528 49,273 
Interest-only632 6,734 — — 7,366 
Total amortized cost$37,056 $181,415 $414,438 $429,913 $1,062,822 
December 31, 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$12,086 $100,330 $288,283 $275,429 $676,128 
Subordinated3,727 16,221 100,541 156,414 276,903 
Interest-only269 24,858 62,934 2,714 90,775 
Agency RMBS     
Interest-only15,023 — — — 15,023 
Agency CMBS
Project loans7,797 — — 71,382 79,179 
Interest-only614 7,668 — — 8,282 
Total fair value$39,516 $149,077 $451,758 $505,939 $1,146,290 
Amortized cost     
Non-Agency RMBS     
Senior$4,072 $95,442 $202,295 $203,824 $505,633 
Subordinated2,301 12,672 104,432 181,006 300,411 
Interest-only9,527 46,578 98,632 3,134 157,871 
Agency RMBS     
Interest-only19,238 — — — 19,238 
Agency CMBS
Project loans7,820 — — 80,000 87,820 
Interest-only775 6,991 — — 7,766 
Total amortized cost$43,733 $161,683 $405,359 $467,964 $1,078,739 
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 March 31, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
March 31, 202430 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.7 %1.5 %2.4 %1.3 %3.0 %0.6 %12.5 %

December 31, 202330 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.4 %1.4 %2.6 %1.3 %3.0 %0.5 %12.2 %
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 March 31, 2024 and December 31, 2023, respectively.

 30 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotalUnpaid Principal Balance
(dollars in thousands)
March 31, 2024$746,284$236,542$330,634$180,222$334,727$30,841$1,859,250$11,639,449
% of Unpaid Principal Balance6.4 %2.0 %2.8 %1.5 %2.9 %0.3 %15.9 %
December 31, 2023$763,581$235,169$337,928$181,410$346,396$29,416$1,893,900$11,876,358
% of Unpaid Principal Balance6.4 %2.0 %2.8 %1.5 %2.9 %0.2 %15.8 %
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 March 31, 2024 and December 31, 2023.
 March 31, 2024December 31, 2023
Weighted average maturity (years) 18.9 19.5
Weighted average amortized loan to value (1)
 56.5 % 57.1 %
Weighted average FICO (2)
 707 707
Weighted average loan balance (in thousands) $250  $252 
Weighted average percentage owner-occupied 84.1 % 84.5 %
Weighted average percentage single family residence 61.2 % 61.4 %
Weighted average current credit enhancement 1.2 % 1.3 %
Weighted average geographic concentration of top four statesCA32.9 %CA33.1 %
NY11.6 %NY11.6 %
FL7.6 %FL7.6 %
NJ4.6 %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 March 31, 2024 and December 31, 2023.
Origination YearMarch 31, 2024December 31, 2023
2003 and prior1.1 %1.2 %
20040.7 %0.8 %
20057.8 %8.2 %
200642.1 %43.3 %
200731.3 %32.5 %
2008 and later17.0 %14.0 %
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 ended March 31, 2024, and 2023 are as follows:
 For the Quarter Ended
 March 31, 2024March 31, 2023
 (dollars in thousands)
Proceeds from sales:
Non-Agency RMBS— — 
Agency RMBS— — 
Agency CMBS$34,672 $167,675 
Gross realized gains:
Non-Agency RMBS— — 
Agency RMBS— — 
Agency CMBS— — 
Gross realized losses:
Non-Agency RMBS— — 
Agency RMBS— — 
Agency CMBS(3,750)(5,264)
Net realized gain (loss)$(3,750)$(5,264)