Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023:


	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets, at fair value
Residential mortgage loans	$	—	$	539,879	$	4,557	$	544,436
Residential mortgage loans in securitization trusts	—		1,023,085		5,683		1,028,768
Commercial mortgage loans	—		9,460		—		9,460

Investments in securities
Non-Agency RMBS (1)	—		73,709		—		73,709
Whole Pool Agency RMBS	—		449,178		—		449,178
AOMT CMBS (1)	—		6,480		—		6,480
U.S Treasury Securities	399,632		—		—		399,632
Total assets, at fair value	$	399,632	$	2,101,791	$	10,240	$	2,511,663

Liabilities, at fair value
Unrealized depreciation on futures contracts	$	6,909	$	—	$	—	$	6,909
Unrealized depreciation on TBAs	1,508		—		—		1,508
Non-recourse securitization obligation, collateralized by residential mortgage loans (2)	—		550,540		—		550,540
Total liabilities, at fair value	$	8,417	$	550,540	$	—	$	558,957

(1) Non‑Agency RMBS held as of March 31, 2023 included both retained tranches of securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. All AOMT CMBS held as of March 31, 2023 were comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(2) 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, 2022:


	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets, at fair value
Residential mortgage loans	$	—	$	763,786	$	7,196	$	770,982
Residential mortgage loans in securitization trusts	—		1,018,686		8,756		1,027,442
Commercial mortgage loans	—		9,458		—		9,458
Investments in securities
Non-Agency RMBS (1)	—		61,960		—		61,960
Whole Pool Agency RMBS	—		993,378		—		993,378
AOMT CMBS (1)	—		6,111		—		6,111
Unrealized appreciation on futures contracts	2,211		—		—		2,211
Unrealized appreciation on TBAs	12,545		—		—		12,545
Total assets, at fair value	$	14,756	$	2,853,379	$	15,952	$	2,884,087

Liabilities, at fair value
Non-recourse securitization obligation, collateralized by residential mortgage loans (2)	$	—	$	530,560	$	—	$	530,560
Total liabilities, at fair value	$	—	$	530,560	$	—	$	530,560

(1) Non‑Agency RMBS held as of December 31, 2022 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, 2022 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(2) Only the portion subject to fair value measurement, as adjusted for fair value, is presented above.

Schedule of Significant Level 3 Inputs

The following table sets forth information regarding the Company’s significant Level 3 inputs as of March 31, 2023:


				Input Values
Asset	Fair Value		Unobservable Input	Range	Average
	($ in thousands)
Residential mortgage loans, at fair value	$	4,557	Prepayment rate (annual CPR)	5.82% - 27.05%	13.28%
			Default rate	0.10% - 3.99%	1.26%
			Loss severity	10.00% - 12.86%	10.51%
			Expected remaining life	2.16 - 6.35 years	4.78 years

Residential mortgage loans in securitization trust, at fair value	$	5,683	Prepayment rate (annual CPR)	3.29% - 14.24%	8.95%
			Default rate	0.93% - 36.37%	16.80%
			Loss severity	(0.08)% - 46.26%	10.25%
			Expected remaining life	1.42 - 4.08 years	2.46 years

The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2022:


				Input Values
Asset	Fair Value		Unobservable Input	Range	Average
	($ in thousands)
Residential mortgage loans, at fair value	$	7,196	Prepayment rate (annual CPR)	4.92% - 14.99%	9.39%
			Default rate	4.56% - 24.36%	11.43%
			Loss severity	(0.25)% - 12.54%	7.84%
			Expected remaining life	0.62 - 3.43 years	2.75 years

Residential mortgage loans in securitization trust, at fair value	$	8,756	Prepayment rate (annual CPR)	3.24% - 14.55%	7.84%
			Default rate	7.42% - 35.78%	19.07%
			Loss severity	—% - 10.00%	9.23%
			Expected remaining life	1.42 - 3.72 years	2.32 years