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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of Financial Assets and Liabilities Measured at Fair Value
The following table sets forth information about the Company’s financial assets measured at fair value as of December 31, 2021:
Level 1Level 2Level 3Total
(in thousands)
Assets, at fair value
Residential mortgage loans$— $1,056,875 $5,037 $1,061,912 
Residential mortgage loans in securitization trusts— 665,802 1,563 667,365 
Commercial mortgage loans— 18,145 519 18,664 
Investments in securities
Non-Agency RMBS (1)
— 113,579 — 113,579 
Agency whole pool loan securities— 372,055 — 372,055 
AOMT CMBS (1)
— 10,756 — 10,756 
U.S. Treasury Bills249,999 — — 249,999 
Unrealized appreciation on TBAs (2)
2,428 — — 2,428 
Total assets$252,427 $2,237,212 $7,119 $2,496,758 
Liabilities, at fair value
Unrealized depreciation on futures contracts$728 $— $— $728 
Total liabilities$728 $— $— $728 
(1) Non‑Agency RMBS held as of December 31, 2021 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2021 was comprised of retained tranches of AOMT securitizations.

(2) “Unrealized appreciation on TBAs” is included in “other assets” on the consolidated balance sheet.
The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2020 (1):
Level 1Level 2Level 3Total
(in thousands)
Assets, at fair value
Residential mortgage loans$— $128,897 $13,133 $142,030 
Commercial mortgage loans— 6,859 607 7,466 
Investments in securities
Non-Agency RMBS (1)
— 149,936 — 149,936 
AOMT CMBS (1)
— 8,796 — 8,796 
U.S. Treasury Bills149,995 — — 149,995 
Total assets at fair value$149,995 $294,488 $13,740 $458,223 
Liabilities, at fair value
Unrealized depreciation on futures contracts$198 $— $— $198 
Total liabilities at fair value$198 $— $— $198 
(1) Non‑Agency RMBS held as of December 31, 2020 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2020 was comprised of retained tranches of AOMT securitizations.
All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans and futures contracts are recognized in net income for the periods presented.
Schedule of Significant Level 3 Inputs The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2021:
Input Values
AssetFair ValueUnobservable InputRangeAverage
Residential mortgage loans, at fair value$5,037 Prepayment rate (annual CPR)
—% - 20.85%
6.89%
Default rate
—% - 37.32%
13.05%
Loss severity
(20.31)% - 36.35%
0.89%
Expected remaining life
0.04 - 2.75 years
1.72 years
Residential mortgage loans in securitization trust, at fair value$1,563 Prepayment rate (annual CPR)
—% - 20.85%
6.89%
Default rate
—% - 37.32%
13.05%
Loss severity
(20.31)% - 36.35%
0.89%
Expected remaining life
0.04 - 2.75 years
1.72 years
Commercial mortgage loans, at fair value$519 Loss severity(25.00)%(25.00)%
Sale or Liquidation timeline
39 - 50 months
39 - 50 months
The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2020:
Input Values
AssetFair ValueUnobservable InputRangeAverage
Residential mortgage loans, at fair value$13,133 Prepayment rate (annual CPR)
—% - 15.77%
5.95%
Default rate
5.58% - 24.79%
16.80%
Loss severity
(13.21)% - 29.31%
3.29%
Expected remaining life
0.70 - 2.42 years
1.87 years
Commercial mortgage loans, at fair value $607 Loss severity(16.75%)(16.75%)
Sale or Liquidation timeline
15 - 23 months
15 - 23 months