XML 40 R28.htm IDEA: XBRL DOCUMENT v3.23.1
Mortgage-Backed Securities and Other Securities (Tables)
 3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Summary of Certain Information about the Company's Investment Portfolio
The following tables present certain information about the Company’s investment portfolio at March 31, 2023 and December 31, 2022 (dollars in thousands):
 March 31, 2023 
 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$62 $— $(6)$56 — %
Agency RMBS Interest-Only Strips, accounted for as derivatives(1)(2)
N/AN/AN/AN/AN/A781 0.5 %
Total Agency MBS— — 62 — (6)837 0.4 %
Non-Agency RMBS39,671 (14,386)25,285 1,046 (3,470)22,861 4.2 %
Non-Agency RMBS Interest- Only Strips(1)
N/A N/A 5,101 — (3,511)1,590 0.3 %
Subtotal Non-Agency RMBS39,671 (14,386)30,386 1,046 (6,981)24,451 1.2 %
Non-Agency CMBS88,990 (2,423)86,567 465 (24,350)62,682 7.6 %
Total Non-Agency MBS128,661 (16,809)116,953 1,511 (31,331)87,133 3.3 %
Other securities(3)
34,644 (8,345)27,508 509 (3,160)24,857 8.2 %
Total$163,305 $(25,154)$144,523 $2,020 $(34,497)$112,827 3.7 %

 December 31, 2022 
 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$58 $— $(5)$53 — %
Agency RMBS Interest-Only Strips, accounted for as derivatives(1)(2)
N/AN/AN/AN/AN/A714 0.1 %
Total Agency MBS— — 58 — (5)767 0.1 %
Non-Agency RMBS39,873 (14,423)25,450 928 (3,895)22,483 4.2 %
Non-Agency RMBS Interest-Only Strips(1)
N/AN/A5,204 — (4,000)1,204 0.3 %
Subtotal Non-Agency RMBS39,873 (14,423)30,654 928 (7,895)23,687 1.1 %
Non-Agency CMBS109,266 (2,763)106,503 636 (21,704)85,435 8.1 %
Total Non-Agency MBS149,139 (17,186)137,157 1,564 (29,599)109,122 3.8 %
Other securities(3)
34,691 (8,581)31,112 543 (4,393)27,262 7.2 %
Total$183,830 $(25,767)$168,327 $2,107 $(33,997)$137,151 3.9 %

(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 March 31, 2023, 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 $2.4 million, $140.3 million, and $12.7 million, respectively. At December 31, 2022, 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 $2.4 million, $143.2 million, and $13.1 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 $1.2 million and $5.0 million, as of March 31, 2023 and December 31, 2022, 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.
Schedule of the Fair Value and Contractual Maturities of the Company's Investment Securities
The following tables present the fair value and contractual maturities of the Company’s investment securities at March 31, 2023 and December 31, 2022 (dollars in thousands):
 
 March 31, 2023
 < 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$— $56 $— $— $56 
Agency RMBS Interest-Only Strips accounted for as derivatives
— 781 — — 781 
Subtotal Agency— 837 — — 837 
Non-Agency CMBS42,317 10,211 10,154 — 62,682 
Non-Agency RMBS— — 8,573 14,288 22,861 
Non-Agency RMBS Interest-Only Strips— — 227 1,363 1,590 
Subtotal Non-Agency42,317 10,211 18,954 15,651 87,133 
Other securities6,879 — 10,884 7,094 24,857 
Total$49,196 $11,048 $29,838 $22,745 $112,827 

 December 31, 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$— $53 $— $— $53 
Agency RMBS Interest-Only Strips accounted for as derivatives
— 714 — — 714 
Subtotal Agency— 767 — — 767 
Non-Agency CMBS64,484 10,469 10,482 — 85,435 
Non-Agency RMBS— — 8,667 13,816 22,483 
Non-Agency RMBS Interest-Only Strips— — 230 974 1,204 
Subtotal Non-Agency64,484 10,469 19,379 14,790 109,122 
Other securities6,735 — 13,020 7,507 27,262 
Total$71,219 $11,236 $32,399 $22,297 $137,151 
Schedule of 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
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 March 31, 2023 and December 31, 2022 (dollars in thousands):

 March 31, 2023
 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
Agency RMBS Interest-Only Strips$56 $(6)1 $— $— — $56 $(6)1 
Subtotal Agency56 (6)1 — — — 56 (6)1 
Non-Agency CMBS$— $— — $53,578 $(24,350)10 $53,578 $(24,350)10 
Non-Agency RMBS1,340 (234)1 8,952 (3,236)5 10,292 (3,470)6 
Non-Agency RMBS Interest-Only Strips— — — 1,590 (3,511)4 1,590 (3,511)4 
Subtotal Non-Agency1,340 (234)1 64,120 (31,097)19 65,460 (31,331)20 
Other securities13,386 (2,420)3 6,218 (740)2 19,604 (3,160)5 
Total$14,782 $(2,660)5 $70,338 $(31,837)21 $85,120 $(34,497)26 
 
 December 31, 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
Agency RMBS Interest-Only Strips$52 $(5)1 $— $— — $52 $(5)1 
Subtotal Agency52 (5)1 — — — 52 (5)1 
Non-Agency CMBS— — — 76,365 (21,704)11 76,365 (21,704)11 
Non-Agency RMBS19,054 (2,794)5 1,557 (1,101)2 20,611 (3,895)7 
Non-Agency RMBS Interest-Only Strips— — — 1,203 (4,000)4 1,203 (4,000)4 
Subtotal Non-Agency19,054 (2,794)5 79,125 (26,805)17 98,179 (29,599)22 
Other securities12,483 (2,425)3 9,468 (1,968)2 21,951 (4,393)5 
Total$31,589 $(5,224)9 $88,593 $(28,773)19 $120,182 $(33,997)28 
Summary of the Components of Interest Income on the Company's MBS and Other Securities The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2023 and March 31, 2022, respectively (dollars in thousands):
 Three months ended March 31, 2023Three months ended March 31, 2022
Coupon
Interest		Net (Premium Amortization/Amortization Basis) Discount AccretionInterest
Income		Coupon
Interest		Net (Premium Amortization/Amortization Basis) Discount AccretionInterest
Income
Agency RMBS$— $3 $3 $8 $(4)$4 
Non-Agency CMBS1,956 317 2,273 2,972 (402)2,570 
Non-Agency RMBS589 (155)434 545 (15)530 
Other securities840 (102)738 888 (234)654 
Total$3,385 $63 $3,448 $4,413 $(655)$3,758 
Schedule of Sales and Realized Gain (Loss) of the Company's MBS and Other Securities
The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three months ended March 31, 2023 and March 31, 2022, respectively (dollars in thousands):
 
 Three months ended March 31, 2023Three months ended March 31, 2022
 ProceedsGross GainsGross LossesNet Gain  (Loss)ProceedsGross GainsGross LossesNet Gain (Loss)
Non-Agency CMBS$— $— $(2)$(2)$— $— $— $— 
Other securities6,630 — (1,565)(1,565)— — — — 
Total$6,630 $— $(1,567)$(1,567)$— $— $— $—