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Mortgage-Backed Securities and other securities
 6 Months Ended
Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities and other securities Mortgage-Backed Securities and other securities
 
The following tables present certain information about the Company’s investment portfolio at June 30, 2022 and December 31, 2021 (dollars in thousands):
 June 30, 2022 
 Principal
Balance		Unamortized
Premium
(Discount),
net		Amortized
Cost		Unrealized
Gain		Unrealized
Loss		Estimated
Fair Value		Net
Weighted
Average
Coupon 		 
Agency RMBS Interest-Only Strips (1) (2)
N/AN/A$53 $4 $— $57 0.5 %
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/A728 1.5 %
Total Agency MBS— — 53 4 — 785 1.4 %
Non-Agency RMBS45,844 (15,074)30,770 2,827 (2,580)31,017 4.2 %
Non-Agency RMBS Interest- Only Strips (1)
N/A N/A 5,402 — (4,221)1,181 0.2 %
Subtotal Non-Agency RMBS45,844 (15,074)36,172 2,827 (6,801)32,198 1.1 %
Non-Agency CMBS114,148 (3,378)110,770 982 (18,656)93,096 6.7 %
Total Non-Agency MBS159,992 (18,452)146,942 3,809 (25,457)125,294 3.1 %
Other securities (3)
46,517 (8,586)42,772 2,025 (4,263)40,534 6.1 %
Total$206,509 $(27,038)$189,767 $5,838 $(29,720)$166,613 3.4 %

 December 31, 2021 
 Principal
Balance		Unamortized
Premium
(Discount),
net		Amortized
Cost		Unrealized
Gain		Unrealized
Loss		Estimated
Fair Value
Net
Weighted
Average
Coupon(4)
 
Agency RMBS Interest-Only Strips (1)
N/AN/A$59 $55 $— $114 1.3 %
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/A1,058 1.3 %
Total Agency MBS— — 59 55 — 1,172 1.3 %
Non-Agency RMBS36,147 (13,936)22,211 3,476 (35)25,652 4.3 %
Non-Agency RMBS Interest- Only Strips (1)
N/AN/A5,608 — (3,491)2,117 0.3 %
Subtotal Non-Agency RMBS36,147 (13,936)27,819 3,476 (3,526)27,769 1.0 %
Non-Agency CMBS179,619 (13,088)166,531 1,543 (62,716)105,358 5.4 %
Total Non-Agency MBS215,766 (27,024)194,350 5,019 (66,242)133,127 3.0 %
Other securities (3)
51,159 (8,229)47,652 4,209 (213)51,648 5.6 %
Total$266,925 $(35,253)$242,061 $9,283 $(66,455)$185,947 3.2 %
(1)    IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At June 30, 2022, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.6 million, $153.5 million, and $14.6 million, respectively. At December 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.9 million, $181.0 million, and $16.8 million, respectively.
(2)     Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
(3)     Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $4.8 million and $4.7 million, as of June 30, 2022 and December 31, 2021, respectively.
(4)     The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts.

As of June 30, 2022 and December 31, 2021, the weighted average expected remaining term of the MBS and other securities investment portfolio was 7.0 years and 5.9 years, respectively.
The following tables present the fair value and contractual maturities of the Company’s investment securities at June 30, 2022 and December 31, 2021 (dollars in thousands):
 
 June 30, 2022
 < or equal to 10
years		> 10 years and < or
equal to 20 years		> 20 years and < or
equal to 30 years		> 30 yearsTotal
Agency RMBS Interest-Only Strips$— $— $57 $— $57 
Agency RMBS Interest-Only Strips accounted for as derivatives
— 728 — — 728 
Subtotal Agency— 728 57 — 785 
Non-Agency CMBS66,247 16,049 10,800 — 93,096 
Non-Agency RMBS— — 10,197 20,820 31,017 
Non-Agency RMBS Interest- Only Strips— — 217 964 1,181 
Subtotal Non-Agency66,247 16,049 21,214 21,784 125,294 
Other securities6,717 3,733 20,159 9,925 40,534 
Total$72,964 $20,510 $41,430 $31,709 $166,613 

 December 31, 2021
 < or equal to 10 
years		> 10 years and < or 
equal to 20 years		> 20 years and < or 
equal to 30 years		> 30 yearsTotal
Agency RMBS Interest-Only Strips$— $— $114 $— $114 
Agency RMBS Interest-Only Strips accounted for as derivatives
— 1,058 — — 1,058 
Subtotal Agency— 1,058 114 — 1,172 
Non-Agency CMBS66,384 17,644 21,171 159 105,358 
Non-Agency RMBS— — 10,282 15,370 25,652 
Non-Agency RMBS Interest- Only Strips— — 106 2,011 2,117 
Subtotal Non-Agency66,384 17,644 31,559 17,540 133,127 
Other securities9,255 4,266 25,653 12,474 51,648 
Total$75,639 $22,968 $57,326 $30,014 $185,947 
 
The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2022 and December 31, 2021 (dollars in thousands):

 June 30, 2022
 Less than 12 Months12 Months or MoreTotal
Fair ValueUnrealized
Losses		Number 
of
Securities		Fair ValueUnrealized
Losses		Number 
of
Securities		Fair ValueUnrealized
Losses		Number 
of
Securities
Non-Agency CMBS$— $— — $84,051 $(18,656)11 $84,051 $(18,656)11 
Non-Agency RMBS14,790 (2,526)6 175 (54)1 14,965 (2,580)7 
Non-Agency RMBS Interest-Only Strips— — — 1,180 (4,221)4 1,180 (4,221)4 
Subtotal Non-Agency14,790 (2,526)6 85,406 (22,931)16 100,196 (25,457)22 
Other securities26,398 (3,613)4 3,733 (650)2 30,131 (4,263)6 
Total$41,188 $(6,139)10 $89,139 $(23,581)18 $130,327 $(29,720)28 
 
 December 31, 2021
 Less than 12 Months12 Months or MoreTotal
Fair ValueUnrealized
Losses		Number 
of
Securities		Fair ValueUnrealized
Losses		Number 
of
Securities		Fair ValueUnrealized
Losses		Number 
of
Securities
Non-Agency CMBS$— $— — $96,080 $(62,716)16 $96,080 $(62,716)16 
Non-Agency RMBS— — — 201 (35)1 201 (35)1 
Non-Agency RMBS Interest-Only Strips— — — 2,117 (3,491)4 2,117 (3,491)4 
Subtotal Non-Agency— — — 98,398 (66,242)21 98,398 (66,242)21 
Other securities— — — 9,022 (213)4 9,022 (213)4 
Total$— $— — $107,420 $(66,455)25 $107,420 $(66,455)25 
 
The following tables present components of interest income on the Company’s MBS and other securities for the three and six months ended June 30, 2022 and June 30, 2021, respectively (dollars in thousands):
 
 Three months ended June 30, 2022Three months ended June 30, 2021
Coupon
Interest		Net (Premium Amortization/Amortization Basis) Discount AccretionInterest
Income		Coupon
Interest		Net (Premium Amortization/Amortization Basis) Discount AccretionInterest
Income
Agency RMBS$5 $(2)$3 $12 $(8)$4 
Non-Agency CMBS2,129 401 2,530 2,213 2,131 4,344 
Non-Agency RMBS813 (152)661 740 (406)334 
Other securities767 272 1,039 1,083 (175)908 
Total$3,714 $519 $4,233 $4,048 $1,542 $5,590 
 Six months ended June 30, 2022Six months ended June 30, 2021
Coupon
Interest		Net (Premium Amortization/Amortization Basis) Discount AccretionInterest
Income		Coupon
Interest		Net (Premium Amortization/Amortization Basis) Discount AccretionInterest
Income
Agency RMBS$13 $(6)$7 $27 $(19)$8 
Non-Agency CMBS5,101 (1)5,100 4,550 4,561 9,111 
Non-Agency RMBS1,358 (167)1,191 1,153 (464)689 
Other securities1,655 38 1,693 2,674 (944)1,730 
Total$8,127 $(136)$7,991 $8,404 $3,134 $11,538 

The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and six months ended June 30, 2022 and June 30, 2021, respectively (dollars in thousands):
 
 Three months ended June 30, 2022Three months ended June 30, 2021
 ProceedsGross GainsGross LossesNet Gain  (Loss)ProceedsGross GainsGross LossesNet Gain (Loss)
Non-Agency CMBS$10,152 $— $(43,934)$(43,934)$— $— $— $— 
Non-Agency RMBS27,729 255 (1,425)(1,170)— — — — 
Other securities4,406 — (478)(478)— — — — 
Total$42,287 $255 $(45,837)$(45,582)$— $— $— $— 

 Six months ended June 30, 2022Six months ended June 30, 2021
 ProceedsGross GainsGross LossesNet Gain  (Loss)ProceedsGross GainsGross LossesNet Gain (Loss)
Non-Agency CMBS(1)
$10,152 $— $(43,934)$(43,934)$— $— $(5,929)$(5,929)
Non-Agency RMBS27,729 255 (1,425)(1,170)— — — — 
Other securities4,406 — (478)(478)— — — — 
Total$42,287 $255 $(45,837)$(45,582)$— $— $(5,929)$(5,929)
(1)    The realized loss for the six months ended June 30, 2021 was attributable to a legacy Non-Agency CMBS bond that factored down to zero from a cash shortfall in the securitization.

Unconsolidated CMBS VIEs

The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts. The Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of both June 30, 2022 and December 31, 2021, the Company held two and five variable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of June 30, 2022 and December 31, 2021, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $16.9 million and $26.5 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of June 30, 2022 and December 31, 2021, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.