XML 51 R40.htm IDEA: XBRL DOCUMENT v3.24.3
Mortgage-Backed Securities - Unrealized Loss Positions (Details)
$ in Thousands
Sep. 30, 2024
USD ($)
security
Dec. 31, 2023
USD ($)
security
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 94,656 $ 136,549
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ (1,065) $ (10,352)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 27 52
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 304,522 $ 306,074
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (114,065) $ (129,176)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 201 186
Total, Estimated Fair Value $ 399,178 $ 442,623
Total, Unrealized Losses $ (115,130) $ (139,528)
Total, Number of Positions | security 228 238
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 32,959 $ 51,476
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ 0 $ (281)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 10 13
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 37,268 $ 42,859
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (4,545) $ (6,700)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 6 6
Total, Estimated Fair Value $ 70,228 $ 94,335
Total, Unrealized Losses $ (4,545) $ (6,981)
Total, Number of Positions | security 16 19
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 53,963 $ 19,382
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ (184) $ (1,467)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 5 5
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 174,548 $ 181,822
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (22,770) $ (35,081)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 30 33
Total, Estimated Fair Value $ 228,511 $ 201,204
Total, Unrealized Losses $ (22,954) $ (36,548)
Total, Number of Positions | security 35 38
Residential Mortgage-Backed Securities | Non-Agency RMBS - Interest-only    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 318 $ 19,263
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ (25) $ (4,035)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 5 27
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 51,342 $ 36,731
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (77,417) $ (77,455)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 124 105
Total, Estimated Fair Value $ 51,660 $ 55,994
Total, Unrealized Losses $ (77,442) $ (81,490)
Total, Number of Positions | security 129 132
Residential Mortgage-Backed Securities | Agency RMBS - CMO    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 0  
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ 0  
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 0  
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 0  
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ 0  
Unrealized Loss Position for 12 Months or More, Number of Positions | security 0  
Total, Estimated Fair Value $ 0  
Total, Unrealized Losses $ 0  
Total, Number of Positions | security 0  
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 0 $ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ 0 $ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 0 0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 8,533 $ 9,151
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (4,155) $ (5,077)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 7 8
Total, Estimated Fair Value $ 8,532 $ 9,151
Total, Unrealized Losses $ (4,155) $ (5,077)
Total, Number of Positions | security 7 8
Commercial Mortgage Backed Securities | Agency CMBS - Project loans    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 5,582 $ 43,827
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ (633) $ (4,040)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 5 5
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 30,720 $ 35,353
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (4,575) $ (4,601)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 31 32
Total, Estimated Fair Value $ 36,302 $ 79,180
Total, Unrealized Losses $ (5,208) $ (8,641)
Total, Number of Positions | security 36 37
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only    
Debt Securities, Available-for-sale [Line Items]    
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value $ 1,834 $ 2,601
Unrealized Loss Position for Less than 12 Months, Unrealized Losses $ (223) $ (529)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security 2 2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value $ 2,111 $ 158
Unrealized Loss Position for 12 Months or More, Unrealized Losses $ (603) $ (262)
Unrealized Loss Position for 12 Months or More, Number of Positions | security 3 2
Total, Estimated Fair Value $ 3,945 $ 2,759
Total, Unrealized Losses $ (826) $ (791)
Total, Number of Positions | security 5 4