Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

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 and liabilities measured at fair value as of June 30, 2022:

	Level 1		Level 2		Level 3		Total
Assets, at fair value	(in thousands)
Residential mortgage loans	$	—	$	1,274,520	$	4,821	$	1,279,341
Residential mortgage loans in securitization trust	—		975,680		6,899		982,579
Commercial mortgage loans	—		20,196		—		20,196
Investments in securities
Non-Agency RMBS (1)	—		74,655		—		74,655
Agency whole pool loan securities	—		848,204		—		848,204
AOMT CMBS (2)	—		8,982		—		8,982
Unrealized appreciation on futures contracts	594		—		—		594
Total assets at fair value	$	594	$	3,202,237	$	11,720	$	3,214,551
Liabilities, at fair value
Non-recourse securitization obligation, collateralized by residential mortgage loans (3)	$	—	$	444,289	$	—	$	444,289
Unrealized depreciation on TBAs	8,258		—		—		8,258
Total liabilities at fair value	$	8,258	$	444,289	$	—	$	452,547

(1) Non‑Agency RMBS held as of June 30, 2022 included both retained tranches of securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions.

(2) All AOMT CMBS held as of June 30, 2022 were comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(3) Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See below for the disclosure of the full debt at fair value.

The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2021:

	Level 1		Level 2		Level 3		Total
	(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 (2)	—		10,756		—		10,756
U.S. Treasury Bills	249,999		—		—		249,999
Unrealized appreciation on TBAs	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.

(2) All AOMT CMBS held as of December 31, 2021 were comprised of a small-balance commercial loan securitization issuance in which the Company participated.

Schedule of Significant Level 3 Inputs

The following table sets forth information regarding the Company’s significant Level 3 inputs as of June 30, 2022:

				Input Values
Asset	Fair Value		Unobservable Input	Range	Average
($ in thousands)
Residential mortgage loans, at fair value	$	4,821	Prepayment rate (annual CPR)	—% - 16.60%	7.16%
			Default rate	3.19% - 31.56%	15.18%
			Loss severity	(20.10)% - 12.54%	(0.01)%
			Expected remaining life	1.17 - 3.59 years	2.04 years
Residential mortgage loans in securitization trust, at fair value	$	6,899	Prepayment rate (annual CPR)	—% - 16.60%	7.16%
			Default rate	3.19% - 31.56%	15.18%
			Loss severity	(20.10)% - 12.54%	(0.01)%
			Expected remaining life	1.17 - 3.59 years	2.04 years

The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2021:

				Input Values
Asset	Fair Value		Unobservable Input	Range	Average
($ in thousands)
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