Western Asset Mortgage Capital (WMC) 10-Q 5 Nov 21 2021 Q3 Quarterly report Financial data

Cover

Cover - shares	9 Months Ended
	Sep. 30, 2021	Nov. 03, 2021
Cover [Abstract]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2021
Document Transition Report	false
Entity File Number	001-35543
Entity Registrant Name	Western Asset Mortgage Capital Corporation
Entity Incorporation, State or Country Code	DE
Entity Tax Identification Number	27-0298092
Entity Address, Address Line One	385 East Colorado Boulevard
Entity Address, City or Town	Pasadena
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	91101
City Area Code	626
Local Phone Number	844-9400
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	true
Entity Emerging Growth Company	false
Entity Shell Company	false
Title of 12(b) Security	Common Stock, $0.01 par value
Trading Symbol	WMC
Security Exchange Name	NYSE
Entity Common Stock, Shares Outstanding (in shares)		60,859,913
Entity Central Index Key	0001465885
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q3

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Assets:
Cash and cash equivalents		$ 63,916	$ 31,613
Restricted cash		260	76,132
Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively)		949,417	1,008,782
Residential Bridge Loans ($5,960 and $12,813 at fair value and $5,960 and $12,960 pledged as collateral, respectively)		5,960	13,916
Securitized commercial loans, at fair value		1,377,005	1,605,335
Commercial Loans, at fair value ($101,271 and $310,523 pledged as collateral, at fair value, respectively)		128,766	310,523
Investment related receivable		27,586	30,576
Interest receivable		10,726	13,568
Due from counterparties		2,842	2,327
Derivative assets, at fair value		94	161
Other assets		46,676	3,152
Total assets	[1]	2,829,344	3,336,009
Liabilities:
Repurchase agreements, net		483,268	356,923
Convertible senior unsecured notes, net		126,632	170,797
Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively)		1,970,513	2,446,012
Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively)		7,763	12,006
Due to counterparties		0	321
Derivative liability, at fair value		562	656
Accounts payable and accrued expenses		2,965	2,686
Payable to affiliate		3,133	3,171
Dividend payable		3,651	3,649
Other liabilities		8,804	84,674
Total liabilities	[2]	2,607,291	3,080,895
Commitments and contingencies
Stockholders’ Equity:
Common stock: $0.01 par value, 500,000,000 shares authorized, 60,859,913 and 60,812,701 outstanding, respectively		609	609
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding		0	0
Treasury stock, at cost, 100,000 and 100,000 shares held, respectively		(578)	(578)
Additional paid-in capital		917,963	915,458
Retained earnings (accumulated deficit)		(707,808)	(660,377)
Total Stockholders’ Equity		210,186	255,112
Non-controlling interest		11,867	2
Total Equity		222,053	255,114
Total Liabilities and Equity		2,829,344	3,336,009
Subtotal Agency MBS
Assets:
Securities, at fair value		1,342	1,708
Non-Agency MBS
Assets:
Securities, at fair value		162,661	189,462
Other securities
Assets:
Securities, at fair value		$ 52,093	$ 48,754
[1]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115
[2]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Fair value of residential whole-loans pledged as collateral		$ 949,417	$ 1,008,782
Residential bridge loan, at fair value		5,960	12,813
Assets Pledged		5,960	12,960
Commercial Loans, at fair value		101,271	310,523
Secured debt, held by affiliates		1,970,513	2,446,012
Interest payable		$ 7,763	$ 12,006
Common stock, par value (in dollars per share)		$ 0.01	$ 0.01
Common stock, shares authorized (in shares)		500,000,000	500,000,000
Common stock, shares outstanding (in shares)		60,859,913	60,812,701
Preferred stock, par value (in dollars per share)		$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)		100,000,000	100,000,000
Preferred stock, shares outstanding (in shares)		0	0
Treasury stock, shares held (in shares)		100,000	100,000,000
Cash and cash equivalents		$ 63,916	$ 31,613
Restricted cash		260	76,132
Securitized commercial loans, at fair value		1,377,005	1,605,335
Investment related receivable		27,586	30,576
Interest receivable		10,726	13,568
Other assets		46,676	3,152
Total assets	[1]	2,829,344	3,336,009
Accounts payable and accrued expenses		2,965	2,686
Other liabilities		8,804	84,674
Total liabilities	[2]	2,607,291	3,080,895
VIE
Fair value of residential whole-loans pledged as collateral		949,417	1,008,782
Residential bridge loan, at fair value		5,960	11,858
Assets Pledged		5,960	12,960
Commercial Loans, at fair value		14,362	68,466
Secured debt, held by affiliates		1,970,513	2,446,012
Interest payable		6,519	7,882
Cash and cash equivalents		9,245	0
Restricted cash		260	76,132
Securitized commercial loans, at fair value		1,377,005	1,605,335
Investment related receivable		24,224	27,987
Interest receivable		9,433	10,936
Other assets		80	80
Total assets		2,389,986	2,810,678
Accounts payable and accrued expenses		49	89
Other liabilities		260	76,132
Total liabilities		1,977,341	2,530,115
Affiliated Entity
Securitized debt, at fair value		1,365,494	1,553,722
Secured debt, held by affiliates		185,666	215,753
Interest payable		712	784
Subtotal Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral		1,342	1,708
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral		153,460	167,970
Other securities
Fair value of mortgage-backed securities and other securities pledged as collateral		$ 52,093	$ 48,754
[1]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115
[2]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Net Interest Income
Interest income	$ 40,141	$ 43,970	$ 127,353	$ 130,310
Interest expense (includes $3,564, $2,647, $10,919 and $5,203 on securitized debt held by affiliates, respectively)	32,978	33,853	104,352	94,376
Net Interest Income	7,163	10,117	23,001	35,934
Other Income (Loss)
Realized gain (loss), net	(1,526)	718	(7,367)	82,944
Unrealized gain (loss), net	(6,003)	54,690	(39,271)	(225,381)
Gain (loss) on derivative instruments, net	515	(88)	716	(197,922)
Other, net	277	(31)	449	385
Other Income (Loss)	(6,737)	55,289	(45,473)	(339,974)
Expenses
Management fee to affiliate	1,502	1,513	4,469	3,016
Financing fee	0	0	0	20,540
Other operating expenses	1,306	1,198	2,126	2,994
General and administrative expenses:
Compensation expense	626	716	1,985	2,070
Professional fees	947	827	2,864	3,848
Other general and administrative expenses	747	1,138	2,793	2,263
Total general and administrative expenses	2,320	2,681	7,642	8,181
Total Expenses	5,128	5,392	14,237	34,731
Income (loss) before income taxes	(4,702)	60,014	(36,709)	(338,771)
Income tax provision (benefit)	(218)	205	(19)	367
Net income (loss)	(4,484)	59,809	(36,690)	(339,138)
Net income (loss) attributable to non-controlling interest	(271)	2	(267)	6
Net income (loss) attributable to common stockholders and participating securities	$ (4,213)	$ 59,807	$ (36,423)	$ (339,144)
Net income (loss) per Common Share — Basic (in dollars per share)	$ (0.07)	$ 0.98	$ (0.60)	$ (6.02)
Net income (loss) per Common Share — Diluted (in dollars per share)	$ (0.07)	$ 0.98	$ (0.60)	$ (6.02)

Consolidated Statements of Op_2

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Interest expense	$ 32,978	$ 33,853	$ 104,352	$ 94,376
Affiliated Entity
Interest expense	$ 3,564	$ 2,647	$ 10,919	$ 5,203

Consolidated Statements of Chan

Consolidated Statements of Changes in Equity - USD ($) $ in Thousands	Total	Total Stockholders' Equity	Common Stock Outstanding	Additional  Paid-In Capital	Retained  Earnings  (Accumulated Deficit)	Treasury Stock	Non-Controlling Interest
Beginning balance (in shares) at Dec. 31, 2019			53,523,876
Beginning balance at Dec. 31, 2019	$ 564,461	$ 564,461	$ 535	$ 889,227	$ (325,301)	$ 0	$ 0
Increase (Decrease) in Stockholders' Equity
Exchange of convertible senior unsecured notes (in shares)			1,354,084
Exchange of convertible senior unsecured notes	3,588	3,588	$ 14	3,574
Proceeds from public offerings of common stock (in shares)			6,034,741
Proceeds from public offerings of common stock	22,357	22,357	$ 60	22,297
Offering costs	(371)	(371)		(371)
Vesting of restricted stock	517	517		517
Net income (loss)	(339,138)	(339,144)			(339,144)		6
Proceeds from non-controlling interest, net of offering costs	2						2
Treasury stock (in shares)			(100,000)
Treasury Stock	(578)	(578)				(578)
Dividends declared on non-controlling interest	(6)						(6)
Dividends declared on common stock	(3,041)	(3,041)		14	(3,055)
Ending balance (in shares) at Sep. 30, 2020			60,812,701
Ending balance at Sep. 30, 2020	247,791	247,789	$ 609	915,258	(667,500)	(578)	2
Beginning balance (in shares) at Jun. 30, 2020			59,458,617
Beginning balance at Jun. 30, 2020	187,255	187,253	$ 595	911,488	(724,252)	(578)	2
Increase (Decrease) in Stockholders' Equity
Exchange of convertible senior unsecured notes (in shares)			1,354,084
Exchange of convertible senior unsecured notes	3,588	3,588	$ 14	3,574
Vesting of restricted stock	182	182		182
Net income (loss)	59,809	59,807			59,807		2
Dividends declared on non-controlling interest	(2)						(2)
Dividends declared on common stock	(3,041)	(3,041)		14	(3,055)
Ending balance (in shares) at Sep. 30, 2020			60,812,701
Ending balance at Sep. 30, 2020	247,791	247,789	$ 609	915,258	(667,500)	(578)	2
Beginning balance (in shares) at Dec. 31, 2020			60,812,701
Beginning balance at Dec. 31, 2020	255,114	255,112	$ 609	915,458	(660,377)	(578)	2
Increase (Decrease) in Stockholders' Equity
Equity contributions	12,138						12,138
Equity component of convertible senior unsecured notes	2,060	2,060		2,060
Exchange of phantom stock to common stock (in shares)			47,212
Offering costs	(68)	(68)		(68)
Vesting of restricted stock	454	454		454
Net income (loss)	(36,690)	(36,423)			(36,423)		(267)
Dividends declared on non-controlling interest	(6)						(6)
Dividends declared on common stock	(10,949)	(10,949)		59	(11,008)
Ending balance (in shares) at Sep. 30, 2021			60,859,913
Ending balance at Sep. 30, 2021	222,053	210,186	$ 609	917,963	(707,808)	(578)	11,867
Beginning balance (in shares) at Jun. 30, 2021			60,812,701
Beginning balance at Jun. 30, 2021	215,895	215,893	$ 609	915,782	(699,920)	(578)	2
Increase (Decrease) in Stockholders' Equity
Equity contributions	12,138						12,138
Equity component of convertible senior unsecured notes	2,060	2,060		2,060
Exchange of phantom stock to common stock (in shares)			47,212
Offering costs	(68)	(68)		(68)
Vesting of restricted stock	165	165		165
Net income (loss)	(4,484)	(4,213)			(4,213)		(271)
Dividends declared on non-controlling interest	(2)						(2)
Dividends declared on common stock	(3,651)	(3,651)		24	(3,675)
Ending balance (in shares) at Sep. 30, 2021			60,859,913
Ending balance at Sep. 30, 2021	$ 222,053	$ 210,186	$ 609	$ 917,963	$ (707,808)	$ (578)	$ 11,867

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020
Cash flows from operating activities:
Net income (loss)	$ (36,690)	$ (339,138)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Premium amortization and (discount accretion), net	145	5,291
Interest income earned added to principal of investments	(310)	(647)
Amortization of deferred financing costs	3,935	2,165
Amortization of discount on convertible senior unsecured notes	712	830
Restricted stock amortization	453	517
Interest payments and basis recovered on MAC interest rate swaps	0	202
Premium on purchase of Residential Whole Loans	(10,281)	(3,858)
Unrealized loss, net	39,271	225,381
Realized (gain) loss on extinguishment of convertible senior notes	1,337	(1,258)
Realized (gain) loss on sale of real estate owned ("REO")	(54)	680
Unrealized loss on derivative instruments, net	97	4,122
Realized (gain) loss on investments, net	6,084	(82,366)
Loss on derivatives, net	0	13,133
Changes in operating assets and liabilities:
Interest receivable	2,496	5,312
Investment related receivable	(704)	0
Other assets	(973)	(1,933)
Interest payable	(4,243)	(6,161)
Accounts payable and accrued expenses	60	804
Payable to affiliate	(38)	1,107
Other liabilities	1	20,540
Net cash provided by (used in ) in operating activities	1,298	(155,277)
Cash flows from investing activities:
Purchase of securities	0	(320,996)
Proceeds from sale of securities	0	2,216,830
Proceeds from sale of REO	738	2,491
Principal repayments and basis recovered on securities	14,685	32,401
Purchase of Residential Whole Loans	(233,041)	(109,480)
Proceeds from sale of Residential Whole Loans	0	144,258
Principal repayments on Residential Whole Loans	313,661	210,097
Principal repayments on commercial loans	103,272	37,728
Principal repayments on securitized commercial loans	354,202	211,205
Principal repayments on Residential Bridge Loans	7,052	16,759
Premium for credit default swaps, net	0	(14,028)
Net settlements of TBAs	0	(2,430)
Interest payments and basis recovered on MAC interest rate swaps	0	(202)
Due from counterparties	50	2,160
Premium for interest rate swaptions, net	0	80
Net cash provided by investing activities	560,619	2,426,873
Cash flows from financing activities:
Proceeds from issuance of common stock	0	22,357
Payment of offering costs	(86)	(374)
Repurchase of common stock	0	(578)
Proceeds from issuance of convertible senior unsecured notes	86,250	0
Payments on extinguishment of convertible senior unsecured notes	(128,645)	0
Proceeds from offering to non-controlling interest, net of offering costs	0	2
Proceeds from repurchase agreement borrowings	2,527,530	9,149,204
Repayments of repurchase agreement borrowings	(2,403,068)	(11,615,203)
Proceeds from securitized debt	0	460,787
Repayments of securitized debt	(597,221)	(366,828)
Payments made for deferred financing costs	(2,536)	(3,145)
Due from counterparties, net	(565)	95,595
Due to counterparties, net	(321)	(692)
Increase (decrease) in other liabilities	(75,873)	42,634
Dividends paid on common stock	(10,947)	(16,592)
Dividends paid to non-controlling interest	(4)	(4)
Net cash used in financing activities	(605,486)	(2,232,837)
Net (decrease) increase in cash, cash equivalents and restricted cash	(43,569)	38,759
Cash, cash equivalents and restricted cash, beginning of period	107,745	84,279
Cash, cash equivalents and restricted cash, end of period	64,176	123,038
Supplemental disclosure of operating cash flow information:
Interest paid	87,658	90,885
Income taxes paid	192	810
Supplemental disclosure of non-cash financing/investing activities:
Underwriting and offering costs payable	6	0
Principal payments of securities, not settled	0	44
Assets of deconsolidated VIE	0	(150,804)
Liabilities of deconsolidated VIE	0	143,952
Mortgage-backed securities recorded upon deconsolidation	0	6,852
Assets of consolidated VIE	0	1,245,287
Liabilities of consolidated VIE	0	(1,231,549)
Mortgage-backed securities derecognized upon VIE consolidation	0	(13,737)
Dividends and distributions declared, not paid	3,651	3,041
Dividends to non-controlling interest, not paid	2	2
Principal payments of Residential Whole Loans, not settled	22,621	16,097
Principal payments of Residential Bridge Loans, not settled	1,715	2,720
Other assets - Transfer of Bridge Loans to REO	752	419
Other assets - Transfer of Commercial Loans to REO	30,345	0
Other assets - Contribution of REO from non-controlling interest	12,138	0
Financing fee payable	0	(20,540)
Exchange of convertible senior notes for common stock	0	3,588
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets:
Cash and cash equivalents	63,916	27,459
Restricted cash	260	95,579
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows	$ 64,176	$ 123,038

Organization

Organization	9 Months Ended
	Sep. 30, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, Whole Loans and other financial assets. The Company’s current portfolio is comprised of Non-Qualified Residential Whole Loans ("Non-QM"), Commercial Loans, Non-Agency CMBS and to a lesser extent Agency RMBS, Non-Agency RMBS, Residential Bridge Loans, GSE Risk Transfer Securities and asset-backed securities (“ABS”) secured by a portfolio of private student loans. The Company’s investment strategy is based on Western Asset Management Company, LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time. The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”). These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole Loans and other real estate related assets. The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”). The Manager is a wholly-owned subsidiary of Franklin Resources, Inc. (“Franklin”), which on July 31, 2020 acquired the Manager's previous parent Legg Mason Inc. The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012.

Basis of Presentation and Summa

Basis of Presentation and Summary of Significant Accounting Policies	9 Months Ended
	Sep. 30, 2021
Accounting Policies [Abstract]
Basis of Presentation and Summary of Significant Accounting Policies	Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2021, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2020, filed with the SEC on March 5, 2021. The consolidated financial statements include the accounts of the Company, its wholly-owned and majority-owned subsidiaries, and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. Impact of the COVID-19 Pandemic Beginning with the quarter ended March 31, 2020, the COVID-19 pandemic, created extensive disruptions to the global economy and the lives of individuals throughout the world. Governments and businesses have taken and are continuing to take unprecedented actions to contain the spread of COVID-19 and to mitigate its effects, including vaccination efforts, face covering mandates, quarantines, travel bans, shelter-in-place orders, closures of businesses and schools, fiscal stimulus, and legislation designed to deliver monetary aid and other relief. The pandemic and related efforts to contain the spread of COVID-19 have disrupted global economic activity, impacted interest rates, increased economic and market uncertainty, disrupted trade and supply chains, and created unprecedented financial market conditions and disruptions. This rapid disruption in the fixed income markets in early 2020 specifically in mortgage markets had an adverse impact on our book value, liquidity, results of operations, and financial position. Although market conditions have improved since the first quarter of 2020, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and consequently, on the Company's financial condition and results of operations for future periods remain uncertain. While the roll out of vaccines and booster vaccines offer a prospective timeline for recovery, our Manager's view is that it will take some time, if ever, for economic and social conditions to fully rebound. Our Manager's outlook is that (i) the near-term, ii) COVID-19 continues to impact global populations, but the worst of the delta variant is behind us, iii) U.S. and global grow is decelerating from high levels, iv) monetary accommodation will be reduced from crisis levels, v) the bar for the Federal Reserve tightening remains high and is unlikely to be met in 2022, vi) global fiscal stimulus will be sharply reduced, vii) inflation remains challenging but will ease meaningfully during 2022, and viii)rates should remain range-bound in an estimated band of 1.25%-1.75% for 10-year U.S. treasuries. Significant Accounting Policies There have been no significant changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2020, other than the significant accounting policy disclosed below. Real Estate Owned REO represents real estate property acquired by the Company through foreclosure and it is classified as held for sale. Upon completion of the foreclosure, the Company initially records the REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs and it is classified in "Other assets" in the Consolidated Balance Sheets. Gains/losses recognized on foreclosure as well as realized gains/losses on the disposition of REO are reported by the Company in "Realized gain (loss), net" in the Consolidated Statements of Operations. Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this update clarified the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. January 1, 2021 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2022. The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements due to the limited nature of such transactions. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this update provided optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The Company may elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 at any time after March 12, 2020 but not later than December 31, 2022. Currently, the Company's contracts that are referenced to LIBOR have not been affected by the amendments in these updates. The Company is in the process of evaluating the guidance and the other optional expedients, and the effect on the company's financial statements has not yet been determined

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2021
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments The following tables present the Company’s financial instruments carried at fair value as of September 30, 2021 and December 31, 2020, based upon the valuation hierarchy (dollars in thousands): September 30, 2021 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 134 $ 134 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,208 1,208 Subtotal Agency MBS — — 1,342 1,342 Non-Agency CMBS — 119,861 14,789 134,650 Non-Agency RMBS — 25,731 — 25,731 Non-Agency RMBS Interest-Only Strips — — 2,280 2,280 Subtotal Non-Agency MBS — 145,592 17,069 162,661 Other securities — 52,093 — 52,093 Total mortgage-backed securities and other securities — 197,685 18,411 216,096 Residential Whole Loans — — 949,417 949,417 Residential Bridge Loans — — 5,960 5,960 Securitized commercial loans — — 1,377,005 1,377,005 Commercial Loans — — 128,766 128,766 Derivative assets — 94 — 94 Total Assets $ — $ 197,779 $ 2,479,559 $ 2,677,338 Liabilities Derivative liabilities $ — $ 562 $ — $ 562 Securitized debt — 1,350,574 14,920 1,365,494 Total Liabilities $ — $ 1,351,136 $ 14,920 $ 1,366,056 December 31, 2020 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,565 1,565 Subtotal Agency MBS — — 1,708 1,708 Non-Agency CMBS — 155,093 8,988 164,081 Non-Agency RMBS — — 21,416 21,416 Non-Agency RMBS Interest-Only Strips — — 3,965 3,965 Subtotal Non-Agency MBS — 155,093 34,369 189,462 Other securities — 40,161 8,593 48,754 Total mortgage-backed securities and other securities — 195,254 44,670 239,924 Residential Whole Loans — — 1,008,782 1,008,782 Residential Bridge Loans — — 12,813 12,813 Securitized commercial loan — — 1,605,335 1,605,335 Commercial Loans — — 310,523 310,523 Derivative assets — 161 — 161 Total Assets $ — $ 195,415 $ 2,982,123 $ 3,177,538 Liabilities Derivative liabilities $ — $ 656 $ — $ 656 Securitized debt — 1,538,304 15,418 1,553,722 Total Liabilities $ — $ 1,538,960 $ 15,418 $ 1,554,378 When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services, and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing services or third party broker quotes, are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP and if the Company has elected the fair value option for the securitized debt, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable. Mortgage-backed securities and other securities In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III. Values for the Company’s securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group. Residential Whole Loans and Residential Bridge Loans Values for the Company's Non-QM Residential Whole Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, delinquencies and fair value of the collateral for collateral dependent loans. The assumptions made by the independent third party pricing service includes the market discount rate, default assumptions and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds. During the quarter ended September 30, 2021, the independent third party pricing service used a combination of recent loan trades and recent residential whole loans securitization transactions adjusted for deal cost and liquidity premium, to form their opinion on the appropriate discount rate. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Commercial Loans Values for the Company's Commercial Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption, loss severity, cash flows and probability weighted loss scenarios. The Company reviews the analysis provided by the pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III. Securitized commercial loans Values for the Company’s securitized commercial loans are based on the collateralized financing entity ("CFE") valuation methodology. Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of the securitized commercial loans' valuation, the Company classifies its securitized commercial loans as Level III. Securitized debt Values for the Company's securitized debt that the Company elected the fair value option are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined volume threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. Derivatives Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate derivatives and/or futures contracts for the periods ended September 30, 2021 and December 31, 2020. Third Party Pricing Data Review The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of September 30, 2021 and December 31, 2020 (dollars in thousands): Fair Value at Range September 30, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 949,417 Discounted Cash Flow Market Discount Rate 2.0 % 7.5 % 3.2 % Weighted Average Life 1.1 8.6 2.9 Residential Bridge Loans $ 5,960 Discounted Cash Flow Market Discount Rate 9.7 % 26.3 % (1) 16.8 % Weighted Average Life 0.3 3.3 2.2 Commercial Loans $ 128,766 Discounted Cash Flow Market Discount Rate 4.2 % 22.0 % 9.1 % Weighted Average Life 0.8 2.4 1.3 Fair Value at Range December 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 1,008,782 Discounted Cash Flow Market Discount Rate 2.1 % 7.5 % 4.1 % Weighted Average Life 1.5 8.4 2.9 Residential Bridge Loans $ 12,813 Discounted Cash Flow Market Discount Rate 8.0 % 35.2 % (1) 18.0 % Weighted Average Life 0.3 2.6 1.3 Commercial Loans $ 310,523 Discounted Cash Flow Market Discount Rate 6.3 % 18.4 % 10.5 % Weighted Average Life 0.5 1.9 0.7 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher discount rate or yield to maturity. The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2021 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,501 $ 11,803 $ 801,503 $ 7,471 $ 267,203 $ 1,595,077 $ 14,937 Transfers into Level III from Level II — 5,683 — — — — — Transfers from Level III into Level II — — — — — — — Purchases — — 232,993 — — — — Transfers to REO — — — (68) (30,000) — — Loan modifications / capitalized interest — — 34 — — — — Principal repayments — — (80,607) (1,575) (102,969) (214,545) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — (3) — — — Unrealized gains/(losses), net on assets (1) (93) (399) (3,074) 154 (5,495) (9,617) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 1,103 Premium and discount amortization, net (66) (18) (1,432) (19) 27 6,090 (1,120) Ending balance $ 1,342 $ 17,069 $ 949,417 $ 5,960 $ 128,766 $ 1,377,005 $ 14,920 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (93) $ (399) $ (1,055) $ 36 $ (5,479) $ (12,336) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (1,121) Three months ended September 30, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,975 $ 33,984 $ 8,695 $ 1,124,051 $ 24,171 $ 323,474 $ 465,694 $ 31 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — — — — — — — Sales and settlements — — — — — — — — Transfers to REO — — — — — — — — VIE consolidation — — — — — — 1,245,287 17,960 Loan modifications / capitalized interest — — — 607 — 33 — — Principal repayments — (97) — (74,818) (7,942) (91) (32,560) — Total net gains / losses included in net income 0 Realized gains/(losses), net on assets — — — — (288) — — — Unrealized gains/(losses), net on assets (1) 61 950 (188) 48,108 412 2,195 4,567 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 122 Premium and discount amortization, net (183) (91) 6 (951) (20) 40 4,557 (746) Ending balance $ 1,853 $ 34,746 $ 8,513 $ 1,096,997 $ 16,333 $ 325,651 $ 1,687,545 $ 17,367 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 61 $ 950 $ (188) $ 45,948 $ 29 $ 2,195 $ 4,567 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (122) Nine months ended September 30, 2021 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Transfers into Level III from Level II — 5,683 — — — — — — Transfers from Level III into Level II — (23,370) (10,306) — — — — — Purchases — — — 241,417 — — — — Transfers to REO — — — — (752) (30,000) — — Loan modifications / capitalized interest — — — 311 — — — — Principal repayments — (256) — (307,543) (6,542) (103,272) (354,202) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (155) — — — Unrealized gains/(losses), net on assets (1) (109) 868 1,657 13,160 617 (48,630) 107,423 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,810 Premium and discount amortization, net (257) (225) 56 (6,710) (21) 145 18,449 (3,308) Ending balance $ 1,342 $ 17,069 $ — $ 949,417 $ 5,960 $ 128,766 $ 1,377,005 $ 14,920 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (109) $ (1,434) $ — $ 13,702 $ (60) $ (48,630) $ 92,424 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,357) Nine months ended September 30, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 103,758 — — — — Sales and settlements (11,529) (12,658) — (144,259) — — — — Transfers to REO — — — — (419) — — — VIE consolidation — — — — — — 1,245,287 17,960 VIE deconsolidation — 6,852 — — — — (150,804) — Loan modifications / capitalized interest — — — 614 — 33 — — Principal repayments — (628) (154) (199,655) (15,821) (37,728) (211,204) — Total net gains / losses included in net income Realized gains/(losses), net on assets 1,528 (60) — (10,511) (346) — — — Unrealized gains/(losses), net on assets (1) (2,594) (3,633) (2,025) (25,766) (290) (7,218) (109,683) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (432) Premium and discount amortization, net (1,467) (941) (22) (3,044) (60) 351 4,909 (1,218) Ending balance $ 1,853 $ 34,746 $ 8,513 $ 1,096,997 $ 16,333 $ 325,651 $ 1,687,545 $ 17,367 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (601) $ (3,403) $ (675) $ (18,880) $ (618) $ (7,218) $ (50,517) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 432 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Transfers between hierarchy levels for the three and nine months ended September 30, 2021 and September 30, 2020 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements from Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and nine months ended September 30, 2021 and September 30, 2020. Other Fair Value Disclosures Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of September 30, 2021 and December 31, 2020 in the consolidated financial statements (dollars in thousands): September 30, 2021 December 31, 2020 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans N/A N/A $ 1,103 $ 1,095 Total $ — $ — $ 1,103 $ 1,095 Liabilities Borrowings under repurchase agreements $ 483,268 $ 481,009 $ 356,923 $ 359,799 Convertible senior unsecured notes 126,632 133,365 170,797 155,129 Securitized debt (1) 610,900 618,553 899,207 922,362 Total $ 1,220,800 $ 1,232,927 $ 1,426,927 $ 1,437,290 (1) Carrying value excludes $5.9 million and $6.9 million of deferred financing costs as of September 30, 2021 and December 31, 2020, respectively. "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. Residential Bridge Loans Values for the Company's Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Borrowings under repurchase agreements The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. This fair value measurement is based on observable inputs, and as such, are classified as Level II. Convertible senior unsecured notes The fair value of the convertible senior unsecured notes is based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I. Securitized debt Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Lev el III. At September 30, 2021, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III.

Mortgage-Backed Securities and

Mortgage-Backed Securities and other securities	9 Months Ended
	Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities and other securities	10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 134 $ — $ 134 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,208 — — 1,208 Subtotal Agency — 1,208 134 — 1,342 Non-Agency CMBS 80,460 17,856 36,110 224 134,650 Non-Agency RMBS — — 10,181 15,550 25,731 Non-Agency RMBS Interest- Only Strips — — 142 2,138 2,280 Subtotal Non-Agency 80,460 17,856 46,433 17,912 162,661 Other securities 9,394 4,271 25,935 12,493 52,093 Total $ 89,854 $ 23,335 $ 72,502 $ 30,405 $ 216,096 December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest- Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 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 September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ — $ — — $ 118,859 $ (64,730) 24 $ 118,859 $ (64,730) 24 Non-Agency RMBS — — — 216 (38) 1 216 (38) 1 Non-Agency RMBS Interest-Only Strips — — — 2,280 (3,462) 4 2,280 (3,462) 4 Subtotal Non-Agency — — — 121,355 (68,230) 29 121,355 (68,230) 29 Other securities — — — 11,080 (171) 5 11,080 (171) 5 Total $ — $ — — $ 132,435 $ (68,401) 34 $ 132,435 $ (68,401) 34 December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2021 and September 30, 2020, respectively (dollars in thousands): Three months ended September 30, 2021 Three months ended September 30, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency RMBS $ 11 $ (7) $ 4 $ 25 $ (17) $ 8 Non-Agency CMBS 2,621 1,669 4,290 3,500 1,686 5,186 Non-Agency RMBS 609 (240) 369 616 (154) 462 Other securities 1,043 (270) 773 1,723 (1,013) 710 Total $ 4,284 $ 1,152 $ 5,436 $ 5,864 $ 502 $ 6,366 Nine months ended September 30, 2021 Nine months ended September 30, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ — $ — $ — $ 11,336 $ (636) $ 10,700 Agency RMBS 38 (26) 12 2,954 (971) 1,983 Non-Agency CMBS 7,171 6,230 13,401 12,257 4,426 16,683 Non-Agency RMBS 1,762 (704) 1,058 2,349 (1,162) 1,187 Other securities 3,717 (1,214) 2,503 6,565 (3,810) 2,755 Total $ 12,688 $ 4,286 $ 16,974 $ 35,461 $ (2,153) $ 33,308 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities, excluding Interest-Only Strips accounted for as derivatives, for the three and nine months ended September 30, 2021 and September 30, 2020, respectively (dollars in thousands): Three months ended September 30, 2021 Three months ended September 30, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency RMBS $ — $ — $ — $ — $ (44) $ — $ (44) $ (44) Total $ — $ — $ — $ — $ (44) $ — $ (44) $ (44) Nine months ended September 30, 2021 Nine months ended September 30, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ — $ — $ — $ — $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS — — — — 400,948 12,552 (506) 12,046 Non-Agency CMBS (1) — — (5,929) (5,929) 94,586 1 (22,703) (22,702) Non-Agency RMBS — — — — 12,658 — (60) (60) Other securities — — — — 35,957 113 (6,223) (6,110) Total $ — $ — $ (5,929) $ (5,929) $ 2,212,298 $ 129,129 $ (35,978) $ 93,151 (1) Realized loss for the nine months ended September 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 September 30, 2021 and December 31, 2020, the Company held seven 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 September 30, 2021 and December 31, 2020, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $27.5 million and $48.9 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 September 30, 2021 and December 31, 2020, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company’s investment portfolio at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 63 $ 71 $ — $ 134 1.4 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,208 1.3 % Total Agency MBS — — 63 71 — 1,342 1.3 % Non-Agency RMBS 36,879 (14,437) 22,442 3,327 (38) 25,731 4.3 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,742 — (3,462) 2,280 0.3 % Subtotal Non-Agency RMBS 36,879 (14,437) 28,184 3,327 (3,500) 28,011 0.9 % Non-Agency CMBS 212,440 (15,474) 196,966 2,414 (64,730) 134,650 5.0 % Total Non-Agency MBS 249,319 (29,911) 225,150 5,741 (68,230) 162,661 2.9 % Other securities (3) 51,269 (8,046) 48,066 4,198 (171) 52,093 5.3 % Total $ 300,588 $ (37,957) $ 273,279 $ 10,010 $ (68,401) $ 216,096 3.0 % December 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 89 $ 54 $ — $ 143 2.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,565 2.6 % Total Agency MBS — — 89 54 — 1,708 2.5 % Non-Agency RMBS 38,112 (14,649) 23,463 451 (2,498) 21,416 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,271 — (2,306) 3,965 0.4 % Subtotal Non-Agency RMBS 38,112 (14,649) 29,734 451 (4,804) 25,381 0.6 % Non-Agency CMBS 235,497 (25,258) 210,239 2,850 (49,008) 164,081 5.0 % Total Non-Agency MBS 273,609 (39,907) 239,973 3,301 (53,812) 189,462 2.4 % Other securities (3) 51,537 (8,239) 49,420 1,152 (1,818) 48,754 4.4 % Total $ 325,146 $ (48,146) $ 289,482 $ 4,507 $ (55,630) $ 239,924 2.5 % (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 September 30, 2021, 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 $3.0 million, $200.1 million and $17.6 million, respectively. At December 31, 2020, 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 $3.7 million, $306.0 million and $21.6 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 asset-backed securities which have no principal balance and an amortized cost of approximately $4.8 million and $6.1 million, as of September 30, 2021 and December 31, 2020, 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 September 30, 2021 and December 31, 2020 the weighted average expected remaining term of the MBS and other securities investment portfolio was 5.6 years and 5.5 years, respectively. The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2021 and December 31, 2020 (dollars in thousands) : September 30, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 134 $ — $ 134 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,208 — — 1,208 Subtotal Agency — 1,208 134 — 1,342 Non-Agency CMBS 80,460 17,856 36,110 224 134,650 Non-Agency RMBS — — 10,181 15,550 25,731 Non-Agency RMBS Interest- Only Strips — — 142 2,138 2,280 Subtotal Non-Agency 80,460 17,856 46,433 17,912 162,661 Other securities 9,394 4,271 25,935 12,493 52,093 Total $ 89,854 $ 23,335 $ 72,502 $ 30,405 $ 216,096 December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest- Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 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 September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ — $ — — $ 118,859 $ (64,730) 24 $ 118,859 $ (64,730) 24 Non-Agency RMBS — — — 216 (38) 1 216 (38) 1 Non-Agency RMBS Interest-Only Strips — — — 2,280 (3,462) 4 2,280 (3,462) 4 Subtotal Non-Agency — — — 121,355 (68,230) 29 121,355 (68,230) 29 Other securities — — — 11,080 (171) 5 11,080 (171) 5 Total $ — $ — — $ 132,435 $ (68,401) 34 $ 132,435 $ (68,401) 34 December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2021 and September 30, 2020, respectively (dollars in thousands): Three months ended September 30, 2021 Three months ended September 30, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency RMBS $ 11 $ (7) $ 4 $ 25 $ (17) $ 8 Non-Agency CMBS 2,621 1,669 4,290 3,500 1,686 5,186 Non-Agency RMBS 609 (240) 369 616 (154) 462 Other securities 1,043 (270) 773 1,723 (1,013) 710 Total $ 4,284 $ 1,152 $ 5,436 $ 5,864 $ 502 $ 6,366 Nine months ended September 30, 2021 Nine months ended September 30, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ — $ — $ — $ 11,336 $ (636) $ 10,700 Agency RMBS 38 (26) 12 2,954 (971) 1,983 Non-Agency CMBS 7,171 6,230 13,401 12,257 4,426 16,683 Non-Agency RMBS 1,762 (704) 1,058 2,349 (1,162) 1,187 Other securities 3,717 (1,214) 2,503 6,565 (3,810) 2,755 Total $ 12,688 $ 4,286 $ 16,974 $ 35,461 $ (2,153) $ 33,308 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities, excluding Interest-Only Strips accounted for as derivatives, for the three and nine months ended September 30, 2021 and September 30, 2020, respectively (dollars in thousands): Three months ended September 30, 2021 Three months ended September 30, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency RMBS $ — $ — $ — $ — $ (44) $ — $ (44) $ (44) Total $ — $ — $ — $ — $ (44) $ — $ (44) $ (44) Nine months ended September 30, 2021 Nine months ended September 30, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ — $ — $ — $ — $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS — — — — 400,948 12,552 (506) 12,046 Non-Agency CMBS (1) — — (5,929) (5,929) 94,586 1 (22,703) (22,702) Non-Agency RMBS — — — — 12,658 — (60) (60) Other securities — — — — 35,957 113 (6,223) (6,110) Total $ — $ — $ (5,929) $ (5,929) $ 2,212,298 $ 129,129 $ (35,978) $ 93,151 (1) Realized loss for the nine months ended September 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 September 30, 2021 and December 31, 2020, the Company held seven 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 September 30, 2021 and December 31, 2020, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $27.5 million and $48.9 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 September 30, 2021 and December 31, 2020, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.

Residential Whole Loans and Bri

Residential Whole Loans and Bridge Loans	9 Months Ended
	Sep. 30, 2021
Variable Interest Entities
Residential Whole Loans and Bridge Loans	Residential Whole Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of September 30, 2021 and December 31, 2020, the Company financed the trust certificate with $236.8 million and $30.2 million, respectively, on long-term financing facility. The financing liability is held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire conforming residential whole loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. In May 2020, the conforming mortgages held by RCR Trust were sold and the trust was terminated. In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. In April 2020, the RNR Trust was terminated following the transfer of the Non-QM Residential Whole Loans it held to RMI 2015 Trust. In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 (the "Arroyo Trust 2019"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that the Arroyo Trust 2019 was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust 2019 that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. In November 2019, the Company formed Revolving Mortgage Investment Trust 2019-RBR ("RBR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RBR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. In April 2020, the RBR Trust was terminated following the transfer of the Non-QM Residential Whole Loans it held to RMI 2015 Trust. In June 2020, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust transferred $355.8 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"). The Company issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust 2020 was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust 2020 that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. Residential Bridge Loan Trust In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2021 and December 31, 2020, the Company financed the trust certificate with $7.5 million and $13.4 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated Residential Whole-Loan trusts collectively hold 2,187 Residential Whole Loans and the consolidated Bridge Loan Trust holds 12 Residential Bridge Loans and six Residential Whole Loans as of September 30, 2021. The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) $ 949,417 $ 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Investment related receivable 24,224 27,987 Interest receivable 4,314 4,688 Other assets 80 80 Total assets $ 983,995 $ 1,054,497 Securitized debt, net $ 605,019 $ 892,290 Interest payable 1,524 2,222 Accounts payable and accrued expenses 40 77 Total liabilities $ 606,583 $ 894,589 The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2021 and September 30, 2020. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of September 30, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Principal balance $ 908,512 $ 984,555 $ 6,654 $ 14,144 $ — $ 1,103 Unamortized premium 26,920 24,248 1 3 — — Unamortized discount (1,459) (1,799) — — — — Amortized cost 933,973 1,007,004 6,655 14,147 — 1,103 Gross unrealized gains 19,174 9,282 — 5 N/A N/A Gross unrealized losses (3,730) (7,504) (695) (1,339) N/A N/A Fair value $ 949,417 $ 1,008,782 $ 5,960 $ 12,813 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets. Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,187 Non-QM adjustable rate mortgages and six investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 14 $ 7,816 66.0 % 746 5.7 28.4 2.7 % 3.01% – 4.00% 332 163,681 62.6 % 751 3.2 27.3 3.7 % 4.01% – 5.00% 997 380,394 64.8 % 748 2.7 28.0 4.8 % 5.01% – 6.00% 820 346,778 64.6 % 739 2.9 27.2 5.4 % 6.01% – 7.00% 28 9,337 67.8 % 720 3.0 25.9 6.3 % 7.01% - 8.00% 2 506 73.2 % 753 4.5 26.9 7.1 % Total 2,193 $ 908,512 64.3 % 745 2.9 27.6 4.8 % (1) The original FICO score is not available for 215 loans with a principal balance of approximately $68.8 million at September 30, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Coupon 2.01% – 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01% – 4.00% 118 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01% – 5.00% 1,172 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01% – 6.00% 1,166 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01% – 7.00% 35 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01% - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at September 30, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): September 30, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 72.3 % $ 656,801 California 65.8 % $ 647,877 New York 14.3 % 129,931 New York 17.7 % 173,788 Georgia 2.7 % 24,300 Georgia 3.4 % 33,577 Florida 2.4 % 21,697 Florida 2.8 % 27,274 New Jersey 2.0 % 18,255 New Jersey 2.5 % 24,704 Other 6.3 % 57,528 Other 7.8 % 77,335 Total 100.0 % $ 908,512 Total 100.0 % $ 984,555 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term fixed rate loans secured by non-owner occupied single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 c Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 3 $ 2,946 70.4 % 0.0 8.8 % 9.01% – 11.00% 7 3,213 75.9 % 2.0 10.3 % 11.01% – 13.00% 2 495 69.7 % 2.0 11.4 % Total 12 $ 6,654 73.0 % 2.0 9.7 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01% – 11.00% 15 6,123 75.5 % 0.5 10.1 % 11.01% – 13.00% 3 705 69.8 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): September 30, 2021 December 31, 2020 State Concentration Principal Balance State Concentration Principal Balance New York 39.5 % $ 2,631 California 37.5 % $ 5,713 California 35.9 % 2,386 New York 17.3 % 2,632 Florida 16.9 % 1,125 Washington 16.1 % 2,461 New Jersey 5.0 % 335 Florida 12.9 % 1,969 Pennsylvania 1.6 % 105 Connecticut 5.7 % 872 Other 1.1 % 72 Other 10.5 % 1,600 Total 100.0 % $ 6,654 Total 100.0 % $ 15,247 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of September 30, 2021 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,156 $ 889,231 $ 930,286 1 $ 75 $ 75 1-30 days 15 7,448 7,746 1 105 105 31-60 days — — — — — — 61-90 days 3 1,238 1,259 — — — 90+ days 19 10,595 10,126 10 6,474 5,780 Total 2,193 $ 908,512 $ 949,417 12 $ 6,654 $ 5,960 (1) Includes one loan in forbearance with unpaid principal balance of $493 thousand. COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment in certain sectors. At the beginning of the COVID-19 pandemic, some of its Residential Whole Loan borrowers have experienced financial hardship, making it difficult to meet their payment obligations to the Company, leading to requests for forbearance and higher levels of delinquency and potentially defaults. The Company maintains a strong relationship with its servicers and was able to utilize these relationships to manage the impacts of COVID-19 pandemic on the Company's Non-QM loans. As of September 30, 2021, the Company had one Non-QM loan in forbearance and no Non-QM loans in the repayment phase following forbearance. Under the forbearance agreement, the borrower can generally elect to defer the principal and interest payments for 3 to 5 months. At the end of the forbearance period, the borrower can either repay the deferred principal and interest in full or over the next 9 months or capitalize the deferred principal and interest to the loan balance and calculate a new amortizatio n payment. Loans under a forbearance agreement are treated as "Current" in the above table. The loan in forbearance is carried at fair value and had an unpaid principal balance of $493 thousand, a fair value of $434 thousand, an original LTV of 64.7%, and represents approximately 0.1% of the total outstanding principal balance of the Company's Residential Whole Loans. As of September 30, 2021, there were 19 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $10.6 million and a fair value of $10.1 million. These nonperforming loans represent approximately 1.2% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.8%. As of December 31, 2020, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $15.3 million and a fair value of approximately $14.7 million. These nonperforming loans represent approximately 1.6% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.4%. These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net" in the Consolidated Statements of Operations. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of September 30, 2021, there were 10 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $6.5 million and a fair value of $5.8 million. These nonperforming loans represent approximately 97.3% of the total outstanding Bridge Loans principal balance of $6.7 million. These loans are collateral dependent with a weighted average original LTV of 73.1%. As of December 31, 2020, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $123.8 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $9.9 million and a fair value of $8.9 million. These nonperforming loans represent approximately 66.0% of the total outstanding Bridge Loans principal balance of $15.2 million. These loans are collateral dependent with a weighted average original LTV of 73.0%. The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of December 31, 2020 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. For loans carried at fair value, no allowance for credit losses was recorded as of September 30, 2021 and December 31, 2020 since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. As of September 30, 2021 and December 31, 2020, the Company had four and three REO properties with an aggregate carrying value of $1.1 million and $1.1 million, respectively, related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other assets" in the Consolidated Balance Sheets.

Commercial Loans

Commercial Loans	9 Months Ended
	Sep. 30, 2021
Noncontrolling Interest [Abstract]
Commercial Loans	Commercial Loans Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At September 30, 2021, the Company had a variable interest in one third party sponsored CMBS VIE, CSMC Trust 2014-USA, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by this VIE can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CSMC Trust 2015 - Longhouse MZ In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CSMC Trust 2015 - Longhouse MZ (“CSMC Trust”). The Company determined that CSMC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. As the primary beneficiary, the Company was required to consolidate CSMC Trust and accordingly its investment in CSMC Trust was eliminated in consolidation. The CSMC Trust holds a mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the trust certificates. In June 2020, the variable interest the Company acquired was paid off and, accordingly, the CSMC Trust is no longer consolidated. RETL 2019-RVP RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust was eliminated in consolidation. The RETL 2019 Trust held a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. MRCD 2019-PRKC Mortgage Trust In December 2019, the Company acquired a $161.4 million interest in the trust certificates issued by the MRCD 2019-PRKC Mortgage Trust ("MRCD Trust"), including $10.5 million which represents the initial controlling class (HRR class). The Company determined that MRCD Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company owns the controlling class. As the primary beneficiary, the Company consolidated MRCD Trust and its investment in the trust certificates (HRR class and a portion of the A class) of MRCD Trust were eliminated in the consolidation. On March 24, 2020, the Company sold its investments in the A Class certificates of the MRCD Trust. Shortly after the sale, the Company entered into an agreement to irrevocably assign the controlling rights and appointed one of the buyers as the new Directing Holder. As a result, the assets and liabilities of the MRCD Trust were deconsolidated, since the Company no longer has the power to direct the activities that significantly impact the economic performance of the MRCD Trust. MRCD qualified as a CFE under GAAP and the Company measured both the financial assets and financial liabilities using the fair value of the financial liabilities, since it was more observable. The Company recognized an unrealized loss of $43.7 million in earnings, related to the periodic change in fair value of MRCD's assets and liabilities in March 2020, prior to deconsolidation. Also, the Company retained the HRR certificates, which were measured at fair value at the date of deconsolidation and is included in the "Non-Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. CSMC Trust 2014-USA The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of September 30, 2021, the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule, which requires the evaluation of the following considerations: (1) the principal-agency relationship between parties; (2) relationship and significance of the VIE's activities to the variable interest holders; (3) variable interest holder's exposure to VIE's expected losses and (4) the design of the VIE. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of September 30, 2021. The loan's stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification, a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower that required both increased reporting requirements and monthly net cash remittance. Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company was formed for the purpose of acquiring commercial loans. The following table presents the commercial loans held by CRE LLC as of September 30, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 3 August 2019 Interest-Only Mezzanine loan $ 90,000 $ 27,495 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two One Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 38,367 38,294 63% 1-Month LIBOR plus 3.02% 8/6/2022 Two One Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,085 62% 1-Month LIBOR plus 3.75% 11/6/2022 Three One Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,964 62% 1-Month LIBOR plus 3.75% 11/6/2022 Three One Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,126 62% 1-Month LIBOR plus 3.75% 11/6/2022 Three One Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,442 4,440 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living Facilities $ 177,810 $ 114,404 Commercial Loan Payoffs On September 7, 2021, CRE 2, with an outstanding principal balance of $46.8 million collateralized by nursing facilities, was paid off in full. Commercial Loan Trust In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2021, the Company financed the trust certificate with $10.6 million of repurchase agreements, which is a liability held outside the trust. The following table presents the commercial real estate loan held by RSBC Trust as of September 30, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% 1-Month LIBOR plus 4.10% 7/6/2022 None Nursing Facilities $ 14,362 $ 14,362 RSBC Trust Loan Payoffs On July 7, 2021, SBC 1, with an outstanding principal balance of $45.2 million collateralized by nursing facilities, was paid off in full. On September 24, 2021, SBC 2 with an outstanding principal balance of $9.2 million collateralized by an apartment complex was paid off in full. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assess ment. As of September 30, 2021, the Company had two consolidated trusts, CSMC USA and RSBC Trust, that collectively hold two commercial loans. The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Cash $ 9,245 $ — Restricted cash 260 76,132 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,119 6,248 Total assets $ 1,405,991 $ 1,756,181 Securitized debt, at fair value $ 1,365,494 $ 1,553,722 Interest payable 4,995 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,370,758 $ 1,635,526 The Company’s risk with respect to its investment in each securitized commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated securitized commercial loan trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated securitized commercial loan trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the securitized commercial loan trusts for the three and nine months ended September 30, 2021 and September 30, 2020. The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of September 30, 2021 and December 31, 2020 (dollars in thousands): RETL Trust Securitized Commercial Loan, at Fair Value (1) CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Principal balance $ — $ 354,202 $ 1,385,591 $ 1,385,591 $ 14,362 $ 68,750 $ 177,810 $ 256,694 Unamortized premium — 180 — — — — — — Unamortized discount — — (117,024) (135,653) — (94) (2) (53) Amortized cost — 354,382 1,268,567 1,249,938 14,362 68,656 177,808 256,641 Gross unrealized gains — — 108,438 16,013 — — — 1 Gross unrealized losses — (14,998) — — — (190) (63,404) (14,585) Fair value $ — $ 339,384 $ 1,377,005 $ 1,265,951 $ 14,362 $ 68,466 $ 114,404 $ 242,057 (1) On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated. Non-Performing Commercial Loans The following table presents the aging of the Commercial Loans as of September 30, 2021 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,172 $ 101,271 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 27,495 Total 7 $ 192,172 $ 128,766 The COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail assets. The low average original LTV of the Company's commercial loan portfolio of 59.7%, reflecting significant equity value that the sponsors are motivated to protect, is a mitigating factor of these risks. Still there is no guarantee that losses will not occur. CRE 1 Loan In October 2020, the Company commenced foreclosure proceedings for its non-performing commercial loan with an outstanding principal balance of $30.0 million.secured by a hotel. However, on February 24, 2021, the borrower filed for bankruptcy protection halting the foreclosure process. In August 2021, the bankruptcy case was dismissed by the bankruptcy court and the Company and the other holders of the loan foreclosed on the property through a special purpose entity ("SPE") formed for the purpose of holding the property. The process of marketing the property began following the foreclosure but the borrower has continued to file legal challenges to the sale process. While the Company believes these legal challenges have no merit, they have delayed moving forward with the sale of the property. Based on preliminary bids, the Company believes there is a reasonable likelihood that its investment along with the other members' interest will be recovered, although there is no assurance of full recovery The SPE is consolidated by the Company and the property is recorded at the lower of cost or fair value less cost to sell. As of September 30, 2021, the REO is recorded at $42.5 million and classified in "Other assets" in the Consolidated Balance Sheets and the other members' interests in the SPE of approximately $11.9 million are recorded as "Non-controlling interest" in the consolidated financial statements. CRE 3 Loan As of September 30, 2021, the CRE 3 junior mezzanine loan which has an outstanding principal balance of $90.0 million secured by a class A retail and entertainment complex located in the North East U.S. (the “Property”) was in default. The Property, which was originally scheduled to open in March 2020, was severely impacted by COVID-19 related shutdowns and restrictions and continues to face the challenging conditions impacting large portions of the retail sector. The Company was receiving interest payments on this loan from a reserve that was exhausted in May 2021 and the loan became non-performing. Additionally, on May 10, 2021, the administrative agent for the senior mortgage loan on the Property (the “Administrative Agent”) notified us, as administrative agent for the junior mezzanine loan, of the Administrative Agent’s intent to accept an assignment in lieu of foreclosure with respect to the Property if the junior mezzanine lenders did not elect to purchase the senior mortgage loan within 30 days pursuant to the terms set forth in an intercreditor agreement among the Administrative Agent, the Company and the senior mezzanine lender. The senior mezzanine lender was provided with a similar notice on May 10, 2021. Since the original notice provided by the Administrative Agent on May 10, 2021, the Administrative Agent has extended the deadline for the junior mezzanine lenders and the senior mezzanine lender to exercise their purchase right with respect to the senior mortgage loan a total of three times, with the most recent extension expired on July 14, 2021, and neither the junior mezzanine lenders nor the senior mezzanine lender offered to purchase the senior mortgage loan. The Company is currently in discussions with the borrower and certain other lenders regarding alternatives to address the situation which might include modifications of loan terms, deferral of payments and the funding of new advances. There can be no assurance that these discussions will result in an outcome in which the Company would be repaid any amount of the loan and the Company may suffer further declines in fair value with respect to this mezzanine investment. For the three months ended September 30, 2021, the Company recorded a further decline of $5.2 million in the fair value of this investment. T

Financings

Financings	9 Months Ended
	Sep. 30, 2021
Debt Disclosure [Abstract]
Financings	Financings Repurchase Agreements The Company has primarily financed its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and historically had terms ranging from one month to 18 months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under these repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets normally requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. The market disruptions surrounding COVID-19 resulted in the decline of the Company's asset values making it challenging to obtain repurchase agreement financing with favorable terms or at all. The Company's repurchase agreement counterparties have increased borrowing rates and increased haircuts. I n order to manage the severe market conditions and the resulting large margin demands from lenders and pressure on the Company’s liquidity, the Company entered into three longer term financing arrangements to reduce its exposure to short-term financings with daily mark to market exposure. Below is a summary of each of these financing arrangements. Residential Whole Loan Facility On April 21, 2020, the Company entered into amendments with respect to certain of its loan warehouse facilities. These amendments mainly served to convert an existing residential whole loan facility into a term facility by removing any mark to market margin requirements, and to consolidate the Company’s Non-Qualified Mortgage loans, which were previously financed by three separate, unaffiliated counterparties, into a single facility. The target advance rate under the amended and restated facility was approximately 84% of the aggregate unpaid principal balance of the loans. The facility had an original maturity of October 20, 2021. All principal payments and income generated by the loans during the term of the facility were used to pay principal and interest on the facility. Upon the securitization or sale by the Company of any whole loan subject to this amended and restated facility, the counterparty was entitled to receive a recapture premium fee of 30% of all realized value on any whole loans above such counterparty’s amortized basis as well as an exit fee of 0.50% of the loan amount in circumstances where the counterparty was not involved in the disposition of the loans. The financing cost of this facility was reflective of the challenging market conditions, at such time, when the Company entered into the agreement. On June 29, 2020, the Company securitized approximately $355.8 million of the Residential Whole Loans and paid down the facility by approximately $339.4 million (see "—Securitized Debt" below for additional details). As part of the financing arrangements noted above, the Company agreed to pay the lender a fee of 30% of all realized value on the Residential Whole Loans above the counterparty's amortized basis upon securitization or sale. As a result of refinancing the Residential Whole Loans through a securitization, the Company accrued a premium recapture fee of approximately $20.5 million, which was payable at the maturity of the facility, and was recorded in "Financing fees" in the Consolidated Statements of Operations. On October 6, 2020, the Company entered into an amendment with respect to this residential loan warehouse facility. The amendment served to convert the existing residential loan facility to a limited mark to market margin facility that bears an interest rate of LIBOR plus 2.75%, with a LIBOR floor of 0.25%. The target advance rate under the amended facility is 85% and the facility matures on October 5, 2021. I n connection with the amendment to the facility, the Company paid $12.0 million of the premium recapture fee. The balance of $8.5 million is payable at October 5, 2021 when the amended facility matures. T he premium recapture fee was eliminated for new and remaining investments financed under the amended facility. Under the residential whole loan facility, as of September 30, 2021, the Company had approximately $236.8 million in borrowings with an interest rate of one month LIBOR plus 2.75%. T he borrowing is secured by Non-QM loans with an estimated fair market value of $287.1 million. The Company further amended its residential whole loan facility on November 5, 2021. Refer to Note 16 - "Subsequent Events" for details. Non-Agency CMBS and Non-Agency RMBS Facility On May 4, 2020, the Company supplemented one of its existing securities repurchase facilities to consolidate most of its CMBS and RMBS assets, which were financed by multiple counterparties, into a single term facility with limited mark to market margin requirements. Pursuant to the agreement, a margin deficit will not occur until such time as the loan to value ratio surpasses a certain threshold (the “LTV Trigger”), on a weighted average basis per asset type, calculated on a portfolio level. If this threshold was reached, the Company may elect to provide cash margin or sell certain assets to the extent necessary to lower the ratio. The term of this facility was 12 months, subject to a 12 month extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility was paid to the Company no less often than monthly. Interest on the facility was due from the Company at a rate of three-month LIBOR plus 5.00% payable quarterly in arrears. Half of all principal repayments on the underlying assets was applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all principal payments will be applied to repay the obligations. On May 5, 2021, the Company amended its Non-Agency CMBS and Non-Agency RMBS financing facility to, among other things, extend the facility for an additional 12 months and reduce the interest rate. The amended facility has improved advance rates and bears interest at a rate of three-month LIBOR plus 2.00%. As of September 30, 2021, the outstanding balance under this facility was $111.5 million. The borrowing is secured by investments with an estimated fair market value of $196.7 million as of September 30, 2021. Commercial Whole Loan Facility On May 5, 2021, the Company amended its Commercial Whole Loan Facility to, among other things, convert the term to a 12-month facility with up to a 12-month extension option, subject to the lender's consent. As of September 30, 2021, the Company had approximately $63.7 million in borrowings, with a weighted average interest rate of 2.27% under its commercial whole loan facility. The borrowing is secured by loans with an estimated fair market value of $86.9 million as of September 30, 2021. The facility was subject to automatic monthly rolling until such time that it is terminated pursuant to the terms of the agreement by either the borrower or lender or until certain conditions of default. Financial Metrics Certain of the Company’s financing arrangements provide the counterparty with the right to terminate the agreement and accelerate amounts due under the associated agreement if the Company does not maintain financial metrics. Although specific to each financing arrangement, typical financial metrics include minimum equity and liquidity requirements, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross-default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. The Company was in compliance with the terms of such financial tests as of September 30, 2021. Outstanding Borrowings As of September 30, 2021, the Company had borrowings under five of its master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-Term Borrowings: Agency RMBS $ 1,048 1.05 % 59 $ 1,418 1.34 % 59 Non-Agency CMBS 10,314 1.75 % 12 10,313 2.25 % 14 Residential Whole Loans (1) 41,013 2.66 % 4 29,800 3.71 % 15 Residential Bridge Loans (1) 5,817 2.60 % 4 11,254 2.73 % 36 Commercial Loans (1) 10,603 3.18 % 4 34,375 3.32 % 75 Membership Interest — — % 0 18,844 2.90 % 29 Other Securities 2,587 3.52 % 19 2,594 4.51 % 19 Subtotal 71,382 2.60 % 7 108,598 3.19 % 39 Long-Term Borrowings: Non-Agency CMBS (2) 68,352 2.12 % 193 66,767 5.23 % 126 Non-Agency RMBS 15,632 2.12 % 217 14,643 5.23 % 126 Residential Whole Loans (1)(3) 236,767 3.00 % 36 30,224 3.00 % 278 Commercial Loans 63,669 2.27 % 360 124,937 2.17 % 287 Other Securities 27,506 2.12 % 217 13,677 5.24 % 126 Subtotal 411,926 2.65 % 113 250,248 3.74 % 225 Repurchase Agreements Borrowings $ 483,308 2.64 % 98 $ 358,846 3.57 % 169 Less Unamortized Debt Issuance Costs 40 N/A N/A 1,923 N/A N/A Repurchase Agreements Borrowings, net $ 483,268 2.64 % 98 $ 356,923 3.57 % 169 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. This includes $39.3 million borrowings on the trust certificates would have been classified as Non-Agency RMBS. (2) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (3) The Residential Whole Loan facility's maturity was extended one month in October 2021.The weighted average remaining maturity reflects the one month extension. At September 30, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2021 December 31, 2020 1 to 29 days $ 307,487 $ 59,856 30 to 59 days — 13,421 60 to 89 days 12,181 35,321 Greater than or equal to 90 days 163,640 250,248 Total $ 483,308 $ 358,846 At September 30, 2021, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2021 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Citigroup Global Markets Inc. $ 85,627 202 40.7 % Credit Suisse AG, Cayman Islands Branch 76,778 71 36.5 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 1,342 $ 20 $ 1,362 $ 1,708 $ 49 $ 1,757 Non-Agency CMBS, at fair value (1) 136,968 564 137,532 152,275 649 152,924 Non-Agency RMBS, at fair value 28,003 182 28,185 25,382 160 25,542 Residential Whole Loans, at fair value (2) 328,811 1,494 330,305 97,566 543 98,109 Residential Bridge Loans (2) 5,960 78 6,038 12,960 180 13,140 Commercial Loans, at fair value (2) 101,271 346 101,617 310,523 1,850 312,373 Membership interest (3) — n/a — 33,690 — 33,690 Other securities, at fair value 52,093 82 52,175 48,754 44 48,798 Cash (4) 1,428 — 1,428 1,817 — 1,817 Total $ 655,876 $ 2,766 $ 658,642 $ 684,675 $ 3,475 $ 688,150 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) The pledged amount relates to the Company's non-controlling membership interest in its wholly-owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation. (4) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At September 30, 2021 and December 31, 2020, investments held by counterparties as security for repurchase agreements totaled approximately $654.4 million and $682.9 million, respectively. Cash collateral held by counterparties at September 30, 2021 and December 31, 2020 was approximately $1.4 million and $1.8 million, respectively. Cash posted by repurchase agreement counterparties at September 30, 2021 and December 31, 2020, was $0 and $320 thousand, respectively. Convertible Senior Unsecured Notes 6.75% Convertible Senior Unsecured Notes due 2024 (the "2024 Notes") In September 2021, the Company issued $86.3 million aggregate principal amount of the 2024 Notes for net proceeds of $83.4 million. Interest on the 2024 Notes is paid semiannually. The 2024 Notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the 2024 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2024 Notes. The initial conversion rate was 337.9520 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $2.96 per share of common stock. The 2024 Notes mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity. 6.75% Convertible Senior Unsecured Notes due 2022 (the "2022 Notes") At September 30, 2021 and December 31, 2020, the Company had $45.7 million and $175.0 million aggregate principal amount, respectively, of the 2022 Notes outstanding through three issuances. Interest on the 2022 Notes is paid semiannually. The 2022 Notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the 2022 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2022 Notes. The initial and current conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock. The 2022 Notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity. The 2022 Notes Exchanges and Repurchases On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock, par value $0.01 per share (the “Common Stock”), in exchange for $5.0 million aggregate principal amount of the 2022 Notes pursuant to separate privately negotiated exchange agreements entered into on July 1, 2020 (collectively, the “Exchange Agreement”) between the Company and certain holders of the 2022 Notes. The Company did not receive any cash proceeds as a result of the Exchange Agreement, and the Notes exchanged pursuant to the Exchange Agreement were retired and cancelled. The common stock was issued in reliance upon the exemption set forth in Section 3(a)(9) of the Securities Act of 1933 for securities exchanged by the Company and an existing security holder where no commission or other remuneration is paid or given directly or indirectly by the Company for soliciting such exchange. During the quarter ended December 31, 2020, the Company repurchased $25.0 million aggregate principal amount of the 2022 Notes at an approximate 13% discount to par value, plus accrued and unpaid interest. During the quarter ended March 31, 2021, the Company repurchased $6.7 million aggregate principal amount of the 2022 Notes at an approximate 6.3% discount to par value, plus accrued and unpaid interest. During August 2021, the Company repurchased $22.3 million aggregate principal amount of the 2022 Notes at an approximate 2.8% discount to par value, plus accrued and unpaid interest. In addition, in September 2021, the Company used the net proceeds from the issuance of the 2024 Notes and $20.2 million in cash on hand to repurchase $100.3 million of the 2022 Notes at par, plus accrued and unpaid interest. Securitized Debt Commercial Mortgage-Backed Notes CSMC 2014 USA The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at September 30, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 126,264 9/11/2025 Class A-2 531,700 4.0 % 570,167 9/11/2025 Class B 136,400 4.2 % 138,562 9/11/2025 Class C 94,500 4.3 % 92,630 9/11/2025 Class D 153,950 4.4 % 142,388 9/11/2025 Class E 180,150 4.4 % 161,900 9/11/2025 Class F 153,600 4.4 % 118,664 9/11/2025 Class X-1 (1) N/A 0.5 % 12,347 9/11/2025 Class X-2 (1) N/A 0.03 % 2,572 9/11/2025 $ 1,370,691 $ 1,365,494 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of September 30, 2021, respectively. At September 30, 2021, the Company owned a portion of the class F certificates with an outstanding principal balance of $14.9 million, which is eliminated in consolidation. The remaining CSMC USA debt for which the Company elected the fair value option had a fair value of $1.4 billion at September 30, 2021, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of approximately $1.4 billion, approximately $201.6 million is owned by related parties and approximately $1.2 billion is owned by third parties. The securitized debt of the CSMC USA can only be settled with the commercial loan with an outstanding principal balance of approximately $1.4 billion at September 30, 2021, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." Residential Mortgage-Backed Notes Arroyo Trust 2019 In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2019's residential mortgage pass-through certificates at September 30, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 330,944 3.3% $ 330,944 4/25/2049 Class A-2 17,740 3.5% 17,740 4/25/2049 Class A-3 28,106 3.8% 28,106 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 401,845 $ 401,845 Less: Unamortized Deferred Financing Costs N/A 3,727 Total $ 401,845 $ 398,118 The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2019 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2021, Residential Whole Loans, with an outstanding principal balance of approximately $414.0 million, serve as collateral for the Arroyo Trust 2019's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest. Arroyo Trust 2020 In June 2020, the Company completed a residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans, issuing $341.7 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2020's residential mortgage pass-through certificates at September 30, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 148,244 1.7% $ 148,244 3/25/2055 Class A-1B 17,591 2.1% 17,591 3/25/2055 Class A-2 13,518 2.9% 13,518 3/25/2055 Class A-3 17,963 3.3% 17,963 3/25/2055 Class M-1 11,739 4.3% 11,739 3/25/2055 Subtotal $ 209,055 $ 209,055 Less: Unamortized Deferred Financing Costs N/A 2,154 Total $ 209,055 $ 206,901 The Company retained the non-offered securities in the securitization, which include the Class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2020 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2021

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments The Company’s derivatives may include interest rate swaps, swaptions, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps. The following table summarizes the Company’s derivative instruments at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Credit default swaps, asset Non-Hedge Derivative assets, at fair value 2,030 $ 94 2,030 $ 161 Total derivative instruments, assets 94 161 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 22,000 (25) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (537) 4,140 (656) Total derivative instruments, liabilities (562) (656) Total derivative instruments, net $ (468) $ (495) The following table summarizes the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2021 and September 30, 2020 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2021 Interest rate swaps $ — $ 485 $ — $ (71) $ 96 $ 510 Interest-Only Strips— accounted for as derivatives — — (59) (90) 82 (67) Credit default swaps 16 — — 56 — 72 Total $ 16 $ 485 $ (59) $ (105) $ 178 $ 515 Three months ended September 30, 2020 Interest-Only Strips— accounted for as derivatives $ — $ — $ (166) $ 71 $ 200 $ 105 Credit default swap 166 — — (359) — (193) Total $ 166 $ — $ (166) $ (288) $ 200 $ (88) Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Nine months ended September 30, 2021 Interest rate swaps $ — $ 520 $ — $ (25) $ 172 $ 667 Interest-Only Strips— accounted for as derivatives — — (232) (124) 305 (51) Credit default swaps 48 — — 52 — 100 Total $ 48 $ 520 $ (232) $ (97) $ 477 $ 716 Nine months ended September 30, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips— accounted for as derivatives (940) — (982) (512) 1,176 (1,258) Credit default swap (9,550) — — (2,023) — (11,573) TBAs (2,430) — — 928 — (1,502) Total $ (13,102) $ (179,759) $ (720) $ (4,122) $ (219) $ (197,922) At September 30, 2021 and December 31, 2020, the Company had cash pledged as collateral for derivatives of approximately $1.4 million and $510 thousand, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Interest rate swaps The Company uses interest rate swaps to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements. The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps From time to time, the Company may enter into interest rate swaps. During the nine months ended September 30, 2021, the Company entered into a fixed-pay interest rate swap and a variable-pay interest rate swap with notional amounts of $22.0 million and $56.5 million, respectively. The Company terminated the variable-pay interest rate swap during the three months ended September 30, 2021. In March 2020, the Company terminated fixed-pay interest rate swaps with a notional value of approximately $3.1 billion and variable-pay interest rate swaps with a notional value of approximately $1.9 billion to reduce hedging costs and associated margin volatility. As of December 31, 2020, the Company did not have any interest rate swaps in its derivative holdings. The following table provides additional information on the Company's fixed-pay interest rate swap as of September 30, 2021 (dollars in thousands): September 30, 2021 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 5 years $ 22,000 1.2 % 0.1 % 10 Total $ 22,000 1.2 % 0.1 % 10 Interest-Only Strips The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as an MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Credit Default Swaps

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	9 Months Ended
	Sep. 30, 2021
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,208 $ — $ 1,208 $ (1,208) $ — $ — Derivative asset, at fair value 94 — 94 (94) — — Total assets $ 1,302 $ — $ 1,302 $ (1,302) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 562 $ — $ 562 $ (94) $ (468) $ — Repurchase Agreements (3) 483,268 — 483,268 (483,268) — — Total liabilities $ 483,830 $ — $ 483,830 $ (483,362) $ (468) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of September 30, 2021. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $654.4 million as of September 30, 2021. December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total derivative liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $682.9 million as of December 31, 2020. Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.

Related Party Transactions

Related Party Transactions	9 Months Ended
	Sep. 30, 2021
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Management Agreement In connection with the Company’s initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (excluding other than temporary impairment) that have impacted stockholders' equity as reported in the Company’s consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. However, if the Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s chief financial officer, controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company’s reimbursement obligation is not subject to any dollar limitation. Because the Manager’s personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm’s-length basis. The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2022. It is automatically renewed for one-year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24- month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. For the three months ended September 30, 2021 and September 30, 2020, the Company incurred approximately $1.5 million and approximately $1.5 million in management fees, respectively. For the nine months ended September 30, 2021 and September 30, 2020, the Company incurred approximately $4.5 million and approximately $3.0 million in management fees, respectively. The Manager waived the management fee for three months from March 2020 through May 2020 because of the unprecedented market disruption and dislocation across fixed income markets surrounding the uncertainty related to the COVID-19 pandemic. Future waivers, if any, will be at the Manager's discretion.

Share-Based Payments

Share-Based Payments	9 Months Ended
	Sep. 30, 2021
Share-based Payment Arrangement, Noncash Expense [Abstract]
Share-Based Payments	Share-Based Payments In conjunction with the Company’s IPO and concurrent private placement, the Company’s Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the “Equity Plan”) and the Western Asset Manager Equity Plan (the “Manager Equity Plan” and collectively the “Equity Incentive Plans”). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company’s directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company’s Equity Incentive Plans) under these Equity Incentive Plans. Upon the completion of the Company's most recent secondary public offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,804,258. Approximately 1,140,653 shares have been issued under the Equity Plans with 663,605 shares available for issuance, as of September 30, 2021. On June 25, 2021, the Company granted a total of 81,160 shares (20,290 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 25, 2022, the first anniversary of the grant date. Each of the independent directors has elected to defer the issuance of the shares granted under the Director Deferred Fee Plan. On June 19, 2020, the Company granted a total of 127,275 shares (25,455 each) of restricted common stock under the Equity Plan to the Company’s then five independent directors. Each of the independent directors elected to defer the issuance of the shares granted under the Director Deferred Fee Plan. In May 2021, one of the independent directors retired. As a result, 25,455 shares of the unvested restricted stock were forfeited during the nine months ended September 30, 2021. The remaining restricted shares in this grant vested in full on June 19, 2021, the first anniversary of the grant date. The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. During the nine months ended September 30, 2021 and September 30, 2020, 137,820 and 67,480 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $165 thousand and approximately $182 thousand for the three months ended September 30, 2021 and September 30, 2020, respectively. The Company recognized stock-based compensation expense of approximately $453 thousand and approximately $517 thousand for the nine months ended September 30, 2021 and September 30, 2020, respectively. In addition, the Company had unamortized compensation expense of $376 thousand and $619 thousand for equity awards at September 30, 2021 and December 31, 2020, respectively. All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Director Deferred Fee Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted common stock vesting dates as of September 30, 2021 and December 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2021 December 31, 2020 Vesting Date Shares Vesting Shares Vesting March 2021 — 36,000 June 2021 — 130,365 March 2022 36,000 36,000 June 2022 81,160 — 117,160 202,365 The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the nine months ended September 30, 2021 and September 30, 2020, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2021 September 30, 2020 Shares Issued Under the Equity Incentive Plans Weighted Average Grant Date Fair Value (1) Shares Issued Under the Equity Incentive Plans Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 1,025,542 $ 14.10 894,289 $ 15.76 Granted (2) 140,566 5.21 128,163 2.80 Cancelled/forfeited (25,455) 2.75 — — Outstanding at end of period 1,140,653 13.26 1,022,452 14.13 Unvested at end of period 117,160 $ 5.62 199,275 $ 5.55 (1) The grant date fair value of the awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 59,406 and 888 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the nine months ended September 30, 2021 and September 30, 2020, respectively.

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 30, 2021
Stockholders' Equity Note [Abstract]
Stockholders' Equity	Stockholders’ Equity At-The-Market Program In March 2017, the Company entered into an equity distribution agreement with JMP Securities LLC, which was amended on June 5, 2020, under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. During the year ended December 31, 2020, the Company sold 6,034,741 shares under this amended agreement with an average price of $3.70 per share for a total net proceeds of $22.0 million. During the nine months ended September 30, 2021, the Company did not sell any shares under the amended agreement. Stock Repurchase Program On December 19, 2019, the Board of Directors of the Company reauthorized its repurchase program of up to 2,700,000 shares of its common stock through December 31, 2021. The previous reauthorization announced on December 21, 2017 of the Company's repurchase program of up to 2,100,000 shares of its common stock expired on December 31, 2019. Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company’s discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. In March 2020, the Company repurchased 100,000 shares of common stock with a weighted average price of $5.78. The repurchased stock was not retired and is accounted for as treasury stock. Convertible Notes Exchange On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock in exchange for $5.0 million aggregate principal amount of its 2022 Notes. See Note 7 - "Financings" for information related to the convertible notes agreement. Dividends To preserve liquidity, the Company suspended its first and second quarter common stock dividends in 2020 given extraordinary market volatility driven by uncertainty surrounding the COVID-19 pandemic. Starting in the quarter ended September 30, 2020, the Company resumed payment of the quarterly dividend after making progress strengthening its balance sheet and improving liquidity and earnings power of its investment portfolio. The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2021 September 23, 2021 October 4, 2021 October 26, 2021 $ 0.06 Not yet determined June 22, 2021 July 2, 2021 July 26, 2021 $ 0.06 Not yet determined March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Not yet determined 2020 December 17, 2020 December 28, 2020 January 26, 2021 $ 0.06 Not yet determined (1) September 22, 2020 October 2, 2020 October 26, 2020 $ 0.05 Return of capital (1) The cash distributions made on January 26, 2021, with a record date of December 28, 2020, are treated as received by stockholders on January 26, 2021 and taxable in calendar year 2021. The tax characterization of these distributions will be determined in January 2022.

Net Income (loss) per Common Sh

Net Income (loss) per Common Share	9 Months Ended
	Sep. 30, 2021
Earnings Per Share [Abstract]
Net Income (loss) per Common Share	Net Income (loss) per Common Share The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the three and nine months ended September 30, 2021 and September 30, 2020 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2021 For the three months ended September 30, 2020 For the nine months ended September 30, 2021 For the nine months ended September 30, 2020 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (4,213) $ 59,807 $ (36,423) $ (339,144) Less: Dividends and undistributed earnings allocated to participating securities 24 353 65 16 Net income (loss) allocable to common stockholders — basic and diluted $ (4,237) $ 59,454 $ (36,488) $ (339,160) Denominator : Weighted average common shares outstanding for basic earnings per share 60,795,688 60,740,701 60,771,759 56,293,512 Weighted average common shares outstanding for diluted earnings per share 60,795,688 60,740,701 60,771,759 56,293,512 Basic earnings (loss) per common share $ (0.07) $ 0.98 $ (0.60) $ (6.02) Diluted earnings (loss) per common share $ (0.07) $ 0.98 $ (0.60) $ (6.02)

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2021
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of September 30, 2021. The Company files U.S. federal and state income tax returns. As of September 30, 2021, U.S. federal tax retur ns filed by the Company for 2019, 2018 and 2017 and state tax returns filed for 2019, 2018, 2017, 2016 and 2015 are open for examination pursuant to r elevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes. Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended September 30, 2021 and September 30, 2020, the Company recorded a federal and state tax benefit of $218 thousand and tax provision of $205 thousand, respectively, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. During the nine months ended September 30, 2021 and September 30, 2020, the Company recorded a federal and state tax benefit of $19 thousand and tax provision of $367 thousand, respectively. Deferred Tax Asset As of September 30, 2021 and December 31, 2020, the Company recorded a deferred tax asset of approximately $20.6 million and $21.0 million, respectively, relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS' ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a full valuation allowance of $20.6 million and $21.0 million as of September 30, 2021 and December 31, 2020, respectively. In addition, the REIT generated net operating losses ("NOLs") during the nine months ended September 30, 2021 related to ordinary losses on its MBS portfolio and it generated NOLs for the years ended December 31, 2020 and December 31, 2017 , related to its interest rate swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred tax asset relating to the NOLs of $18.8 million and $19.3 million in the REIT and $2.1 million and $2.1 million in the TRS as of September 30, 2021 and December 31, 2020, respectively. The TRS can carryback the NOLs generated during the years ended December 31, 2020 and December 31, 2017 to each of the two preceding years to request a refund for taxes paid. As of September 30, 2021 and December 31, 2020, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized, with the exception of the TRS carryback to 2015, and it has recorded a combined valuation allowance of $20.9 million and $21.4 million, respectively. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a).

Contingencies

Contingencies	9 Months Ended
	Sep. 30, 2021
Commitments and Contingencies Disclosure [Abstract]
Contingencies	Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at September 30, 2021.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2021
Subsequent Events [Abstract]
Subsequent Events	Subsequent EventsOn November 5, 2021, the Company entered into an amendment of its Residential Whole Loan Facility. The amendment facility bears an interest rate to LIBOR plus 2.00%, with a LIBOR floor of 0.25%. The facility is available to finance five types of residential mortgages: Non-Agency mortgage loans, Non-QM loans, investor loans, re-performing and non-performing loans. The advance rates differ by type of loan, but for performing Non-QM loans the advance rate is 90%. The facility matures on November 4, 2022. The facility is a mark to market margin facility once the collateral value declines below par and has a stated capacity of $500 million.

Basis of Presentation and Sum_2

Basis of Presentation and Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2021
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2021, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2020, filed with the SEC on March 5, 2021. The consolidated financial statements include the accounts of the Company, its wholly-owned and majority-owned subsidiaries, and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.
Variable Interest Entities	Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.
Use of Estimates	Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates.
Recently Adopted and Issued Accounting Pronouncements	Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this update clarified the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. January 1, 2021 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2022. The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements due to the limited nature of such transactions. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this update provided optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The Company may elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 at any time after March 12, 2020 but not later than December 31, 2022. Currently, the Company's contracts that are referenced to LIBOR have not been affected by the amendments in these updates. The Company is in the process of evaluating the guidance and the other optional expedients, and the effect on the company's financial statements has not yet been determined

Basis of Presentation and Sum_3

Basis of Presentation and Summary of Significant Accounting Policies (Tables)	9 Months Ended
	Sep. 30, 2021
Accounting Policies [Abstract]
Schedule of new accounting pronouncements and changes in accounting principles	Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this update clarified the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. January 1, 2021 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2022. The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements due to the limited nature of such transactions. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this update provided optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The Company may elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 at any time after March 12, 2020 but not later than December 31, 2022. Currently, the Company's contracts that are referenced to LIBOR have not been affected by the amendments in these updates. The Company is in the process of evaluating the guidance and the other optional expedients, and the effect on the company's financial statements has not yet been determined

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 2021
Fair Value Disclosures [Abstract]
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy	The following tables present the Company’s financial instruments carried at fair value as of September 30, 2021 and December 31, 2020, based upon the valuation hierarchy (dollars in thousands): September 30, 2021 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 134 $ 134 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,208 1,208 Subtotal Agency MBS — — 1,342 1,342 Non-Agency CMBS — 119,861 14,789 134,650 Non-Agency RMBS — 25,731 — 25,731 Non-Agency RMBS Interest-Only Strips — — 2,280 2,280 Subtotal Non-Agency MBS — 145,592 17,069 162,661 Other securities — 52,093 — 52,093 Total mortgage-backed securities and other securities — 197,685 18,411 216,096 Residential Whole Loans — — 949,417 949,417 Residential Bridge Loans — — 5,960 5,960 Securitized commercial loans — — 1,377,005 1,377,005 Commercial Loans — — 128,766 128,766 Derivative assets — 94 — 94 Total Assets $ — $ 197,779 $ 2,479,559 $ 2,677,338 Liabilities Derivative liabilities $ — $ 562 $ — $ 562 Securitized debt — 1,350,574 14,920 1,365,494 Total Liabilities $ — $ 1,351,136 $ 14,920 $ 1,366,056 December 31, 2020 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,565 1,565 Subtotal Agency MBS — — 1,708 1,708 Non-Agency CMBS — 155,093 8,988 164,081 Non-Agency RMBS — — 21,416 21,416 Non-Agency RMBS Interest-Only Strips — — 3,965 3,965 Subtotal Non-Agency MBS — 155,093 34,369 189,462 Other securities — 40,161 8,593 48,754 Total mortgage-backed securities and other securities — 195,254 44,670 239,924 Residential Whole Loans — — 1,008,782 1,008,782 Residential Bridge Loans — — 12,813 12,813 Securitized commercial loan — — 1,605,335 1,605,335 Commercial Loans — — 310,523 310,523 Derivative assets — 161 — 161 Total Assets $ — $ 195,415 $ 2,982,123 $ 3,177,538 Liabilities Derivative liabilities $ — $ 656 $ — $ 656 Securitized debt — 1,538,304 15,418 1,553,722 Total Liabilities $ — $ 1,538,960 $ 15,418 $ 1,554,378
Summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments	The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of September 30, 2021 and December 31, 2020 (dollars in thousands): Fair Value at Range September 30, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 949,417 Discounted Cash Flow Market Discount Rate 2.0 % 7.5 % 3.2 % Weighted Average Life 1.1 8.6 2.9 Residential Bridge Loans $ 5,960 Discounted Cash Flow Market Discount Rate 9.7 % 26.3 % (1) 16.8 % Weighted Average Life 0.3 3.3 2.2 Commercial Loans $ 128,766 Discounted Cash Flow Market Discount Rate 4.2 % 22.0 % 9.1 % Weighted Average Life 0.8 2.4 1.3 Fair Value at Range December 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 1,008,782 Discounted Cash Flow Market Discount Rate 2.1 % 7.5 % 4.1 % Weighted Average Life 1.5 8.4 2.9 Residential Bridge Loans $ 12,813 Discounted Cash Flow Market Discount Rate 8.0 % 35.2 % (1) 18.0 % Weighted Average Life 0.3 2.6 1.3 Commercial Loans $ 310,523 Discounted Cash Flow Market Discount Rate 6.3 % 18.4 % 10.5 % Weighted Average Life 0.5 1.9 0.7 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher discount rate or yield to maturity.
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized level 3 inputs to determine fair value	The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2021 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,501 $ 11,803 $ 801,503 $ 7,471 $ 267,203 $ 1,595,077 $ 14,937 Transfers into Level III from Level II — 5,683 — — — — — Transfers from Level III into Level II — — — — — — — Purchases — — 232,993 — — — — Transfers to REO — — — (68) (30,000) — — Loan modifications / capitalized interest — — 34 — — — — Principal repayments — — (80,607) (1,575) (102,969) (214,545) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — (3) — — — Unrealized gains/(losses), net on assets (1) (93) (399) (3,074) 154 (5,495) (9,617) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 1,103 Premium and discount amortization, net (66) (18) (1,432) (19) 27 6,090 (1,120) Ending balance $ 1,342 $ 17,069 $ 949,417 $ 5,960 $ 128,766 $ 1,377,005 $ 14,920 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (93) $ (399) $ (1,055) $ 36 $ (5,479) $ (12,336) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (1,121) Three months ended September 30, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,975 $ 33,984 $ 8,695 $ 1,124,051 $ 24,171 $ 323,474 $ 465,694 $ 31 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — — — — — — — Sales and settlements — — — — — — — — Transfers to REO — — — — — — — — VIE consolidation — — — — — — 1,245,287 17,960 Loan modifications / capitalized interest — — — 607 — 33 — — Principal repayments — (97) — (74,818) (7,942) (91) (32,560) — Total net gains / losses included in net income 0 Realized gains/(losses), net on assets — — — — (288) — — — Unrealized gains/(losses), net on assets (1) 61 950 (188) 48,108 412 2,195 4,567 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 122 Premium and discount amortization, net (183) (91) 6 (951) (20) 40 4,557 (746) Ending balance $ 1,853 $ 34,746 $ 8,513 $ 1,096,997 $ 16,333 $ 325,651 $ 1,687,545 $ 17,367 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 61 $ 950 $ (188) $ 45,948 $ 29 $ 2,195 $ 4,567 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (122) Nine months ended September 30, 2021 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Transfers into Level III from Level II — 5,683 — — — — — — Transfers from Level III into Level II — (23,370) (10,306) — — — — — Purchases — — — 241,417 — — — — Transfers to REO — — — — (752) (30,000) — — Loan modifications / capitalized interest — — — 311 — — — — Principal repayments — (256) — (307,543) (6,542) (103,272) (354,202) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (155) — — — Unrealized gains/(losses), net on assets (1) (109) 868 1,657 13,160 617 (48,630) 107,423 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 2,810 Premium and discount amortization, net (257) (225) 56 (6,710) (21) 145 18,449 (3,308) Ending balance $ 1,342 $ 17,069 $ — $ 949,417 $ 5,960 $ 128,766 $ 1,377,005 $ 14,920 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (109) $ (1,434) $ — $ 13,702 $ (60) $ (48,630) $ 92,424 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (2,357) Nine months ended September 30, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 103,758 — — — — Sales and settlements (11,529) (12,658) — (144,259) — — — — Transfers to REO — — — — (419) — — — VIE consolidation — — — — — — 1,245,287 17,960 VIE deconsolidation — 6,852 — — — — (150,804) — Loan modifications / capitalized interest — — — 614 — 33 — — Principal repayments — (628) (154) (199,655) (15,821) (37,728) (211,204) — Total net gains / losses included in net income Realized gains/(losses), net on assets 1,528 (60) — (10,511) (346) — — — Unrealized gains/(losses), net on assets (1) (2,594) (3,633) (2,025) (25,766) (290) (7,218) (109,683) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (432) Premium and discount amortization, net (1,467) (941) (22) (3,044) (60) 351 4,909 (1,218) Ending balance $ 1,853 $ 34,746 $ 8,513 $ 1,096,997 $ 16,333 $ 325,651 $ 1,687,545 $ 17,367 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (601) $ (3,403) $ (675) $ (18,880) $ (618) $ (7,218) $ (50,517) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 432 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
Schedule of fair value, by balance sheet grouping	The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of September 30, 2021 and December 31, 2020 in the consolidated financial statements (dollars in thousands): September 30, 2021 December 31, 2020 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans N/A N/A $ 1,103 $ 1,095 Total $ — $ — $ 1,103 $ 1,095 Liabilities Borrowings under repurchase agreements $ 483,268 $ 481,009 $ 356,923 $ 359,799 Convertible senior unsecured notes 126,632 133,365 170,797 155,129 Securitized debt (1) 610,900 618,553 899,207 922,362 Total $ 1,220,800 $ 1,232,927 $ 1,426,927 $ 1,437,290 (1) Carrying value excludes $5.9 million and $6.9 million of deferred financing costs as of September 30, 2021 and December 31, 2020, respectively.

Mortgage-Backed Securities an_2

Mortgage-Backed Securities and other securities (Tables)	9 Months Ended
	Sep. 30, 2021
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 September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 63 $ 71 $ — $ 134 1.4 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,208 1.3 % Total Agency MBS — — 63 71 — 1,342 1.3 % Non-Agency RMBS 36,879 (14,437) 22,442 3,327 (38) 25,731 4.3 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,742 — (3,462) 2,280 0.3 % Subtotal Non-Agency RMBS 36,879 (14,437) 28,184 3,327 (3,500) 28,011 0.9 % Non-Agency CMBS 212,440 (15,474) 196,966 2,414 (64,730) 134,650 5.0 % Total Non-Agency MBS 249,319 (29,911) 225,150 5,741 (68,230) 162,661 2.9 % Other securities (3) 51,269 (8,046) 48,066 4,198 (171) 52,093 5.3 % Total $ 300,588 $ (37,957) $ 273,279 $ 10,010 $ (68,401) $ 216,096 3.0 % December 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 89 $ 54 $ — $ 143 2.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,565 2.6 % Total Agency MBS — — 89 54 — 1,708 2.5 % Non-Agency RMBS 38,112 (14,649) 23,463 451 (2,498) 21,416 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,271 — (2,306) 3,965 0.4 % Subtotal Non-Agency RMBS 38,112 (14,649) 29,734 451 (4,804) 25,381 0.6 % Non-Agency CMBS 235,497 (25,258) 210,239 2,850 (49,008) 164,081 5.0 % Total Non-Agency MBS 273,609 (39,907) 239,973 3,301 (53,812) 189,462 2.4 % Other securities (3) 51,537 (8,239) 49,420 1,152 (1,818) 48,754 4.4 % Total $ 325,146 $ (48,146) $ 289,482 $ 4,507 $ (55,630) $ 239,924 2.5 % (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 September 30, 2021, 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 $3.0 million, $200.1 million and $17.6 million, respectively. At December 31, 2020, 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 $3.7 million, $306.0 million and $21.6 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 asset-backed securities which have no principal balance and an amortized cost of approximately $4.8 million and $6.1 million, as of September 30, 2021 and December 31, 2020, 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 September 30, 2021 and December 31, 2020 (dollars in thousands) : September 30, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 134 $ — $ 134 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,208 — — 1,208 Subtotal Agency — 1,208 134 — 1,342 Non-Agency CMBS 80,460 17,856 36,110 224 134,650 Non-Agency RMBS — — 10,181 15,550 25,731 Non-Agency RMBS Interest- Only Strips — — 142 2,138 2,280 Subtotal Non-Agency 80,460 17,856 46,433 17,912 162,661 Other securities 9,394 4,271 25,935 12,493 52,093 Total $ 89,854 $ 23,335 $ 72,502 $ 30,405 $ 216,096 December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest- Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924
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 September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ — $ — — $ 118,859 $ (64,730) 24 $ 118,859 $ (64,730) 24 Non-Agency RMBS — — — 216 (38) 1 216 (38) 1 Non-Agency RMBS Interest-Only Strips — — — 2,280 (3,462) 4 2,280 (3,462) 4 Subtotal Non-Agency — — — 121,355 (68,230) 29 121,355 (68,230) 29 Other securities — — — 11,080 (171) 5 11,080 (171) 5 Total $ — $ — — $ 132,435 $ (68,401) 34 $ 132,435 $ (68,401) 34 December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45
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 and nine months ended September 30, 2021 and September 30, 2020, respectively (dollars in thousands): Three months ended September 30, 2021 Three months ended September 30, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency RMBS $ 11 $ (7) $ 4 $ 25 $ (17) $ 8 Non-Agency CMBS 2,621 1,669 4,290 3,500 1,686 5,186 Non-Agency RMBS 609 (240) 369 616 (154) 462 Other securities 1,043 (270) 773 1,723 (1,013) 710 Total $ 4,284 $ 1,152 $ 5,436 $ 5,864 $ 502 $ 6,366 Nine months ended September 30, 2021 Nine months ended September 30, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ — $ — $ — $ 11,336 $ (636) $ 10,700 Agency RMBS 38 (26) 12 2,954 (971) 1,983 Non-Agency CMBS 7,171 6,230 13,401 12,257 4,426 16,683 Non-Agency RMBS 1,762 (704) 1,058 2,349 (1,162) 1,187 Other securities 3,717 (1,214) 2,503 6,565 (3,810) 2,755 Total $ 12,688 $ 4,286 $ 16,974 $ 35,461 $ (2,153) $ 33,308
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, excluding Interest-Only Strips accounted for as derivatives, for the three and nine months ended September 30, 2021 and September 30, 2020, respectively (dollars in thousands): Three months ended September 30, 2021 Three months ended September 30, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency RMBS $ — $ — $ — $ — $ (44) $ — $ (44) $ (44) Total $ — $ — $ — $ — $ (44) $ — $ (44) $ (44) Nine months ended September 30, 2021 Nine months ended September 30, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ — $ — $ — $ — $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS — — — — 400,948 12,552 (506) 12,046 Non-Agency CMBS (1) — — (5,929) (5,929) 94,586 1 (22,703) (22,702) Non-Agency RMBS — — — — 12,658 — (60) (60) Other securities — — — — 35,957 113 (6,223) (6,110) Total $ — $ — $ (5,929) $ (5,929) $ 2,212,298 $ 129,129 $ (35,978) $ 93,151 (1) Realized loss for the nine months ended September 30, 2021 was attributable to a legacy Non-agency CMBS bond that factored down to zero from a cash shortfall in the securitization.

Residential Whole Loans and B_2

Residential Whole Loans and Bridge Loans - (Tables)	9 Months Ended
	Sep. 30, 2021
Variable Interest Entities
Schedule of the assets and liabilities of the VIE included in the consolidated balance sheets	The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) $ 949,417 $ 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Investment related receivable 24,224 27,987 Interest receivable 4,314 4,688 Other assets 80 80 Total assets $ 983,995 $ 1,054,497 Securitized debt, net $ 605,019 $ 892,290 Interest payable 1,524 2,222 Accounts payable and accrued expenses 40 77 Total liabilities $ 606,583 $ 894,589 The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Cash $ 9,245 $ — Restricted cash 260 76,132 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,119 6,248 Total assets $ 1,405,991 $ 1,756,181 Securitized debt, at fair value $ 1,365,494 $ 1,553,722 Interest payable 4,995 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,370,758 $ 1,635,526
Schedule of components of the carrying value of residential whole-loans and securitized commercial loan	The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of September 30, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Principal balance $ 908,512 $ 984,555 $ 6,654 $ 14,144 $ — $ 1,103 Unamortized premium 26,920 24,248 1 3 — — Unamortized discount (1,459) (1,799) — — — — Amortized cost 933,973 1,007,004 6,655 14,147 — 1,103 Gross unrealized gains 19,174 9,282 — 5 N/A N/A Gross unrealized losses (3,730) (7,504) (695) (1,339) N/A N/A Fair value $ 949,417 $ 1,008,782 $ 5,960 $ 12,813 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets.
Schedule of certain information about the residential whole loans investment portfolio	The Residential Whole Loans have low LTV's and are comprised of 2,187 Non-QM adjustable rate mortgages and six investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 14 $ 7,816 66.0 % 746 5.7 28.4 2.7 % 3.01% – 4.00% 332 163,681 62.6 % 751 3.2 27.3 3.7 % 4.01% – 5.00% 997 380,394 64.8 % 748 2.7 28.0 4.8 % 5.01% – 6.00% 820 346,778 64.6 % 739 2.9 27.2 5.4 % 6.01% – 7.00% 28 9,337 67.8 % 720 3.0 25.9 6.3 % 7.01% - 8.00% 2 506 73.2 % 753 4.5 26.9 7.1 % Total 2,193 $ 908,512 64.3 % 745 2.9 27.6 4.8 % (1) The original FICO score is not available for 215 loans with a principal balance of approximately $68.8 million at September 30, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) Contractual Coupon 2.01% – 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01% – 4.00% 118 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01% – 5.00% 1,172 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01% – 6.00% 1,166 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01% – 7.00% 35 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01% - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations.
Schedule of the U.S. states concentration and principal balance of collateral securing residential whole loans	The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at September 30, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): September 30, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 72.3 % $ 656,801 California 65.8 % $ 647,877 New York 14.3 % 129,931 New York 17.7 % 173,788 Georgia 2.7 % 24,300 Georgia 3.4 % 33,577 Florida 2.4 % 21,697 Florida 2.8 % 27,274 New Jersey 2.0 % 18,255 New Jersey 2.5 % 24,704 Other 6.3 % 57,528 Other 7.8 % 77,335 Total 100.0 % $ 908,512 Total 100.0 % $ 984,555
Schedule of residential bridge loans	The Residential Bridge Loans are comprised of short-term fixed rate loans secured by non-owner occupied single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 c Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 3 $ 2,946 70.4 % 0.0 8.8 % 9.01% – 11.00% 7 3,213 75.9 % 2.0 10.3 % 11.01% – 13.00% 2 495 69.7 % 2.0 11.4 % Total 12 $ 6,654 73.0 % 2.0 9.7 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01% – 11.00% 15 6,123 75.5 % 0.5 10.1 % 11.01% – 13.00% 3 705 69.8 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero.
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans	The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): September 30, 2021 December 31, 2020 State Concentration Principal Balance State Concentration Principal Balance New York 39.5 % $ 2,631 California 37.5 % $ 5,713 California 35.9 % 2,386 New York 17.3 % 2,632 Florida 16.9 % 1,125 Washington 16.1 % 2,461 New Jersey 5.0 % 335 Florida 12.9 % 1,969 Pennsylvania 1.6 % 105 Connecticut 5.7 % 872 Other 1.1 % 72 Other 10.5 % 1,600 Total 100.0 % $ 6,654 Total 100.0 % $ 15,247
Financing receivable, past due	The following table presents the aging of the Residential Whole Loans and Bridge Loans as of September 30, 2021 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,156 $ 889,231 $ 930,286 1 $ 75 $ 75 1-30 days 15 7,448 7,746 1 105 105 31-60 days — — — — — — 61-90 days 3 1,238 1,259 — — — 90+ days 19 10,595 10,126 10 6,474 5,780 Total 2,193 $ 908,512 $ 949,417 12 $ 6,654 $ 5,960 (1) Includes one loan in forbearance with unpaid principal balance of $493 thousand. Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,172 $ 101,271 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 27,495 Total 7 $ 192,172 $ 128,766

Commercial Loans (Tables)

Commercial Loans (Tables)	9 Months Ended
	Sep. 30, 2021
Noncontrolling Interest [Abstract]
Schedule of commercial real estate loans held	he following table presents the commercial loans held by CRE LLC as of September 30, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 3 August 2019 Interest-Only Mezzanine loan $ 90,000 $ 27,495 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two One Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 38,367 38,294 63% 1-Month LIBOR plus 3.02% 8/6/2022 Two One Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,085 62% 1-Month LIBOR plus 3.75% 11/6/2022 Three One Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,964 62% 1-Month LIBOR plus 3.75% 11/6/2022 Three One Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,126 62% 1-Month LIBOR plus 3.75% 11/6/2022 Three One Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,442 4,440 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living Facilities $ 177,810 $ 114,404 Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% 1-Month LIBOR plus 4.10% 7/6/2022 None Nursing Facilities $ 14,362 $ 14,362 RSBC Trust Loan Payoffs
Schedule of the assets and liabilities of the VIE included in the consolidated balance sheets	The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) $ 949,417 $ 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Investment related receivable 24,224 27,987 Interest receivable 4,314 4,688 Other assets 80 80 Total assets $ 983,995 $ 1,054,497 Securitized debt, net $ 605,019 $ 892,290 Interest payable 1,524 2,222 Accounts payable and accrued expenses 40 77 Total liabilities $ 606,583 $ 894,589 The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Cash $ 9,245 $ — Restricted cash 260 76,132 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value 14,362 68,466 Interest receivable 5,119 6,248 Total assets $ 1,405,991 $ 1,756,181 Securitized debt, at fair value $ 1,365,494 $ 1,553,722 Interest payable 4,995 5,660 Accounts payable and accrued expenses 9 12 Other liabilities 260 76,132 Total liabilities $ 1,370,758 $ 1,635,526
Schedule of carrying value of the commercial real estate loans	The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of September 30, 2021 and December 31, 2020 (dollars in thousands): RETL Trust Securitized Commercial Loan, at Fair Value (1) CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Principal balance $ — $ 354,202 $ 1,385,591 $ 1,385,591 $ 14,362 $ 68,750 $ 177,810 $ 256,694 Unamortized premium — 180 — — — — — — Unamortized discount — — (117,024) (135,653) — (94) (2) (53) Amortized cost — 354,382 1,268,567 1,249,938 14,362 68,656 177,808 256,641 Gross unrealized gains — — 108,438 16,013 — — — 1 Gross unrealized losses — (14,998) — — — (190) (63,404) (14,585) Fair value $ — $ 339,384 $ 1,377,005 $ 1,265,951 $ 14,362 $ 68,466 $ 114,404 $ 242,057
Financing receivable, past due	The following table presents the aging of the Residential Whole Loans and Bridge Loans as of September 30, 2021 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,156 $ 889,231 $ 930,286 1 $ 75 $ 75 1-30 days 15 7,448 7,746 1 105 105 31-60 days — — — — — — 61-90 days 3 1,238 1,259 — — — 90+ days 19 10,595 10,126 10 6,474 5,780 Total 2,193 $ 908,512 $ 949,417 12 $ 6,654 $ 5,960 (1) Includes one loan in forbearance with unpaid principal balance of $493 thousand. Commercial Loans No of Loans Principal Fair Value Current 6 $ 102,172 $ 101,271 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 27,495 Total 7 $ 192,172 $ 128,766

Financings (Tables)

Financings (Tables)	9 Months Ended
	Sep. 30, 2021
Debt Disclosure [Abstract]
Summary of certain characteristics of the Company's repurchase agreements	The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-Term Borrowings: Agency RMBS $ 1,048 1.05 % 59 $ 1,418 1.34 % 59 Non-Agency CMBS 10,314 1.75 % 12 10,313 2.25 % 14 Residential Whole Loans (1) 41,013 2.66 % 4 29,800 3.71 % 15 Residential Bridge Loans (1) 5,817 2.60 % 4 11,254 2.73 % 36 Commercial Loans (1) 10,603 3.18 % 4 34,375 3.32 % 75 Membership Interest — — % 0 18,844 2.90 % 29 Other Securities 2,587 3.52 % 19 2,594 4.51 % 19 Subtotal 71,382 2.60 % 7 108,598 3.19 % 39 Long-Term Borrowings: Non-Agency CMBS (2) 68,352 2.12 % 193 66,767 5.23 % 126 Non-Agency RMBS 15,632 2.12 % 217 14,643 5.23 % 126 Residential Whole Loans (1)(3) 236,767 3.00 % 36 30,224 3.00 % 278 Commercial Loans 63,669 2.27 % 360 124,937 2.17 % 287 Other Securities 27,506 2.12 % 217 13,677 5.24 % 126 Subtotal 411,926 2.65 % 113 250,248 3.74 % 225 Repurchase Agreements Borrowings $ 483,308 2.64 % 98 $ 358,846 3.57 % 169 Less Unamortized Debt Issuance Costs 40 N/A N/A 1,923 N/A N/A Repurchase Agreements Borrowings, net $ 483,268 2.64 % 98 $ 356,923 3.57 % 169 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. This includes $39.3 million borrowings on the trust certificates would have been classified as Non-Agency RMBS. (2) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (3) The Residential Whole Loan facility's maturity was extended one month in October 2021.The weighted average remaining maturity reflects the one month extension.
Schedule of repurchase agreements collateralized by investments	At September 30, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2021 December 31, 2020 1 to 29 days $ 307,487 $ 59,856 30 to 59 days — 13,421 60 to 89 days 12,181 35,321 Greater than or equal to 90 days 163,640 250,248 Total $ 483,308 $ 358,846
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the company's equity with any counterparty	At September 30, 2021, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2021 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Citigroup Global Markets Inc. $ 85,627 202 40.7 % Credit Suisse AG, Cayman Islands Branch 76,778 71 36.5 %
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account	The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 1,342 $ 20 $ 1,362 $ 1,708 $ 49 $ 1,757 Non-Agency CMBS, at fair value (1) 136,968 564 137,532 152,275 649 152,924 Non-Agency RMBS, at fair value 28,003 182 28,185 25,382 160 25,542 Residential Whole Loans, at fair value (2) 328,811 1,494 330,305 97,566 543 98,109 Residential Bridge Loans (2) 5,960 78 6,038 12,960 180 13,140 Commercial Loans, at fair value (2) 101,271 346 101,617 310,523 1,850 312,373 Membership interest (3) — n/a — 33,690 — 33,690 Other securities, at fair value 52,093 82 52,175 48,754 44 48,798 Cash (4) 1,428 — 1,428 1,817 — 1,817 Total $ 655,876 $ 2,766 $ 658,642 $ 684,675 $ 3,475 $ 688,150 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) The pledged amount relates to the Company's non-controlling membership interest in its wholly-owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation. (4) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.
Schedule of commercial mortgage pass-through certificates	The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at September 30, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 126,264 9/11/2025 Class A-2 531,700 4.0 % 570,167 9/11/2025 Class B 136,400 4.2 % 138,562 9/11/2025 Class C 94,500 4.3 % 92,630 9/11/2025 Class D 153,950 4.4 % 142,388 9/11/2025 Class E 180,150 4.4 % 161,900 9/11/2025 Class F 153,600 4.4 % 118,664 9/11/2025 Class X-1 (1) N/A 0.5 % 12,347 9/11/2025 Class X-2 (1) N/A 0.03 % 2,572 9/11/2025 $ 1,370,691 $ 1,365,494 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of September 30, 2021, respectively. Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 330,944 3.3% $ 330,944 4/25/2049 Class A-2 17,740 3.5% 17,740 4/25/2049 Class A-3 28,106 3.8% 28,106 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 401,845 $ 401,845 Less: Unamortized Deferred Financing Costs N/A 3,727 Total $ 401,845 $ 398,118 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 148,244 1.7% $ 148,244 3/25/2055 Class A-1B 17,591 2.1% 17,591 3/25/2055 Class A-2 13,518 2.9% 13,518 3/25/2055 Class A-3 17,963 3.3% 17,963 3/25/2055 Class M-1 11,739 4.3% 11,739 3/25/2055 Subtotal $ 209,055 $ 209,055 Less: Unamortized Deferred Financing Costs N/A 2,154 Total $ 209,055 $ 206,901

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Summary of the entity's derivative instruments	The following table summarizes the Company’s derivative instruments at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 December 31, 2020 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Credit default swaps, asset Non-Hedge Derivative assets, at fair value 2,030 $ 94 2,030 $ 161 Total derivative instruments, assets 94 161 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 22,000 (25) — — Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (537) 4,140 (656) Total derivative instruments, liabilities (562) (656) Total derivative instruments, net $ (468) $ (495)
Summary of the effect of entity's derivative instruments reported in gain (loss) on derivative instruments, net on the statements of operations	The following table summarizes the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2021 and September 30, 2020 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2021 Interest rate swaps $ — $ 485 $ — $ (71) $ 96 $ 510 Interest-Only Strips— accounted for as derivatives — — (59) (90) 82 (67) Credit default swaps 16 — — 56 — 72 Total $ 16 $ 485 $ (59) $ (105) $ 178 $ 515 Three months ended September 30, 2020 Interest-Only Strips— accounted for as derivatives $ — $ — $ (166) $ 71 $ 200 $ 105 Credit default swap 166 — — (359) — (193) Total $ 166 $ — $ (166) $ (288) $ 200 $ (88) Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Nine months ended September 30, 2021 Interest rate swaps $ — $ 520 $ — $ (25) $ 172 $ 667 Interest-Only Strips— accounted for as derivatives — — (232) (124) 305 (51) Credit default swaps 48 — — 52 — 100 Total $ 48 $ 520 $ (232) $ (97) $ 477 $ 716 Nine months ended September 30, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips— accounted for as derivatives (940) — (982) (512) 1,176 (1,258) Credit default swap (9,550) — — (2,023) — (11,573) TBAs (2,430) — — 928 — (1,502) Total $ (13,102) $ (179,759) $ (720) $ (4,122) $ (219) $ (197,922)
Summary of interest rate swaps or interest rate swaptions	The following table provides additional information on the Company's fixed-pay interest rate swap as of September 30, 2021 (dollars in thousands): September 30, 2021 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 5 years $ 22,000 1.2 % 0.1 % 10 Total $ 22,000 1.2 % 0.1 % 10

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	9 Months Ended
	Sep. 30, 2021
Offsetting [Abstract]
Schedule of gross and net information about the company's assets subject to master netting arrangements	The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,208 $ — $ 1,208 $ (1,208) $ — $ — Derivative asset, at fair value 94 — 94 (94) — — Total assets $ 1,302 $ — $ 1,302 $ (1,302) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 562 $ — $ 562 $ (94) $ (468) $ — Repurchase Agreements (3) 483,268 — 483,268 (483,268) — — Total liabilities $ 483,830 $ — $ 483,830 $ (483,362) $ (468) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of September 30, 2021. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $654.4 million as of September 30, 2021. December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total derivative liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $682.9 million as of December 31, 2020.
Schedule of gross and net information about the company's liabilities subject to master netting arrangements	The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2021 and December 31, 2020 (dollars in thousands): September 30, 2021 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,208 $ — $ 1,208 $ (1,208) $ — $ — Derivative asset, at fair value 94 — 94 (94) — — Total assets $ 1,302 $ — $ 1,302 $ (1,302) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 562 $ — $ 562 $ (94) $ (468) $ — Repurchase Agreements (3) 483,268 — 483,268 (483,268) — — Total liabilities $ 483,830 $ — $ 483,830 $ (483,362) $ (468) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of September 30, 2021. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $654.4 million as of September 30, 2021. December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total derivative liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $682.9 million as of December 31, 2020.

Share-Based Payments (Tables)

Share-Based Payments (Tables)	9 Months Ended
	Sep. 30, 2021
Share-based Payment Arrangement, Noncash Expense [Abstract]
Summary of restricted common stock vesting dates	The following is a summary of restricted common stock vesting dates as of September 30, 2021 and December 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2021 December 31, 2020 Vesting Date Shares Vesting Shares Vesting March 2021 — 36,000 June 2021 — 130,365 March 2022 36,000 36,000 June 2022 81,160 — 117,160 202,365
Schedule of shares issued under the company’s equity incentive plans	The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the nine months ended September 30, 2021 and September 30, 2020, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2021 September 30, 2020 Shares Issued Under the Equity Incentive Plans Weighted Average Grant Date Fair Value (1) Shares Issued Under the Equity Incentive Plans Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 1,025,542 $ 14.10 894,289 $ 15.76 Granted (2) 140,566 5.21 128,163 2.80 Cancelled/forfeited (25,455) 2.75 — — Outstanding at end of period 1,140,653 13.26 1,022,452 14.13 Unvested at end of period 117,160 $ 5.62 199,275 $ 5.55 (1) The grant date fair value of the awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 59,406 and 888 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the nine months ended September 30, 2021 and September 30, 2020, respectively.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2021
Stockholders' Equity Note [Abstract]
Schedule of cash dividends declared and paid on common stock	The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2021 September 23, 2021 October 4, 2021 October 26, 2021 $ 0.06 Not yet determined June 22, 2021 July 2, 2021 July 26, 2021 $ 0.06 Not yet determined March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Not yet determined 2020 December 17, 2020 December 28, 2020 January 26, 2021 $ 0.06 Not yet determined (1) September 22, 2020 October 2, 2020 October 26, 2020 $ 0.05 Return of capital (1) The cash distributions made on January 26, 2021, with a record date of December 28, 2020, are treated as received by stockholders on January 26, 2021 and taxable in calendar year 2021. The tax characterization of these distributions will be determined in January 2022.

Net Income (loss) per Common _2

Net Income (loss) per Common Share (Tables)	9 Months Ended
	Sep. 30, 2021
Earnings Per Share [Abstract]
Schedule of basic and diluted net income (loss) per share of common stock	The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the three and nine months ended September 30, 2021 and September 30, 2020 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2021 For the three months ended September 30, 2020 For the nine months ended September 30, 2021 For the nine months ended September 30, 2020 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ (4,213) $ 59,807 $ (36,423) $ (339,144) Less: Dividends and undistributed earnings allocated to participating securities 24 353 65 16 Net income (loss) allocable to common stockholders — basic and diluted $ (4,237) $ 59,454 $ (36,488) $ (339,160) Denominator : Weighted average common shares outstanding for basic earnings per share 60,795,688 60,740,701 60,771,759 56,293,512 Weighted average common shares outstanding for diluted earnings per share 60,795,688 60,740,701 60,771,759 56,293,512 Basic earnings (loss) per common share $ (0.07) $ 0.98 $ (0.60) $ (6.02) Diluted earnings (loss) per common share $ (0.07) $ 0.98 $ (0.60) $ (6.02)

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Assets
Derivative assets	$ 1,302	$ 1,726
Liabilities
Derivative liabilities	562	656
Fair Value, Measurements, Recurring
Assets
Derivative assets	94	161
Total Assets	2,677,338	3,177,538
Liabilities
Derivative liabilities	562	656
Securitized debt	1,365,494	1,553,722
Total Liabilities	1,366,056	1,554,378
Residential  Whole Loans
Assets
Fair value	949,417	1,008,782
Residential  Whole Loans | Fair Value, Measurements, Recurring
Assets
Fair value	949,417	1,008,782
Residential Bridge Loans | Fair Value, Measurements, Recurring
Assets
Fair value	5,960	12,813
Securitized commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	1,377,005	1,605,335
Commercial Loans
Assets
Fair value	128,766
Commercial Loans | Fair Value, Measurements, Recurring
Assets
Fair value	128,766	310,523
Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	134	143
Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	134	143
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	1,208	1,565
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,208	1,565
Subtotal Agency MBS
Assets
Estimated Fair Value	1,342	1,708
Subtotal Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,342	1,708
Non-Agency CMBS
Assets
Estimated Fair Value	134,650	164,081
Non-Agency CMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	134,650	164,081
Non-Agency RMBS
Assets
Estimated Fair Value	25,731	21,416
Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	25,731	21,416
Non-Agency RMBS Interest-Only Strips
Assets
Estimated Fair Value	2,280	3,965
Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	2,280	3,965
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	162,661	189,462
Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	162,661	189,462
Other securities
Assets
Estimated Fair Value	52,093	48,754
Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	52,093	48,754
Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	216,096	239,924
Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	216,096	239,924
Level I | Fair Value, Measurements, Recurring
Assets
Derivative assets	0	0
Total Assets	0	0
Liabilities
Derivative liabilities	0	0
Securitized debt	0	0
Total Liabilities	0	0
Level I | Residential  Whole Loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level I | Residential Bridge Loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level I | Securitized commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level I | Commercial Loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level I | Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Subtotal Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Non-Agency CMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level I | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level II | Fair Value, Measurements, Recurring
Assets
Derivative assets	94	161
Total Assets	197,779	195,415
Liabilities
Derivative liabilities	562	656
Securitized debt	1,350,574	1,538,304
Total Liabilities	1,351,136	1,538,960
Level II | Residential  Whole Loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level II | Residential Bridge Loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level II | Securitized commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level II | Commercial Loans | Fair Value, Measurements, Recurring
Assets
Fair value	0	0
Level II | Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level II | Subtotal Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level II | Non-Agency CMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	119,861	155,093
Level II | Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	25,731	0
Level II | Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level II | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	145,592	155,093
Level II | Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	52,093	40,161
Level II | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	197,685	195,254
Level III | Fair Value, Measurements, Recurring
Assets
Derivative assets	0	0
Total Assets	2,479,559	2,982,123
Liabilities
Derivative liabilities	0	0
Securitized debt	14,920	15,418
Total Liabilities	14,920	15,418
Level III | Residential  Whole Loans | Fair Value, Measurements, Recurring
Assets
Fair value	949,417	1,008,782
Level III | Residential Bridge Loans | Fair Value, Measurements, Recurring
Assets
Fair value	5,960	12,813
Level III | Securitized commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	1,377,005	1,605,335
Level III | Commercial Loans | Fair Value, Measurements, Recurring
Assets
Fair value	128,766	310,523
Level III | Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	134	143
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,208	1,565
Level III | Subtotal Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,342	1,708
Level III | Non-Agency CMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	14,789	8,988
Level III | Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	21,416
Level III | Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	2,280	3,965
Level III | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	17,069	34,369
Level III | Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	8,593
Level III | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	$ 18,411	$ 44,670

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Narrative (Details) - USD ($)	Sep. 30, 2021	Dec. 31, 2020
Fair Value Disclosures [Abstract]
Derivative credit risk valuation adjustment, derivative assets	$ 0	$ 0

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Summary of Quantitative Information (Details) $ in Thousands	Sep. 30, 2021USD ($)	Dec. 31, 2020USD ($)
Residential  Whole Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 949,417	$ 1,008,782
Residential  Whole Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 949,417	$ 1,008,782
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.020	0.021
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 1 month 6 days	1 year 6 months
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.075	0.075
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	8 years 7 months 6 days	8 years 4 months 24 days
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.032	0.041
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 10 months 24 days	2 years 10 months 24 days
Residential Bridge Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 5,960	$ 12,813
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.097	0.080
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	3 months 18 days	3 months 18 days
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.263	0.352
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	3 years 3 months 18 days	2 years 7 months 6 days
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.168	0.180
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 2 months 12 days	1 year 3 months 18 days
Commercial Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 128,766
Commercial Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 128,766	$ 310,523
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.042	0.063
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	9 months 18 days	6 months
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.220	0.184
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 4 months 24 days	1 year 10 months 24 days
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.091	0.105
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 3 months 18 days	8 months 12 days

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net			$ (145)	$ (5,291)
Other securities
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net	$ (270)	$ (1,013)	(1,214)	(3,810)
Level III | Fair Value, Measurements, Recurring | Securitized debt
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	14,937	31	15,418	1,057
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Purchases	0		0	0
Sales and settlements		0		0
Transfers to REO	0	0	0	0
VIE deconsolidation		17,960		0
VIE consolidation				17,960
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	0	0	0	0
Realized gains/(losses), net on assets	0	0	0	0
Unrealized gains/(losses), net on assets	0	0	0	0
Unrealized (gains)/losses, net on liabilities	1,103	122	2,810	(432)
Premium and discount amortization, net	(1,120)	(746)	(3,308)	(1,218)
Ending balance	14,920	17,367	14,920	17,367
Unrealized gain (loss)	(1,121)	(122)	(2,357)	432
Level III | Fair Value, Measurements, Recurring | Securitized debt | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Residential  Whole Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	801,503	1,124,051	1,008,782	1,375,860
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Purchases	232,993		241,417	103,758
Sales and settlements		0		(144,259)
Transfers to REO	0	0	0	0
VIE deconsolidation		0		0
VIE consolidation				0
Loan modifications / capitalized interest	34	607	311	614
Principal repayments	(80,607)	(74,818)	(307,543)	(199,655)
Realized gains/(losses), net on assets	0	0	0	(10,511)
Unrealized gains/(losses), net on assets	(3,074)	48,108	13,160	(25,766)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(1,432)	(951)	(6,710)	(3,044)
Ending balance	949,417	1,096,997	949,417	1,096,997
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Residential  Whole Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(1,055)	45,948	13,702	(18,880)
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	7,471	24,171	12,813	33,269
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Purchases	0		0	0
Sales and settlements		0		0
Transfers to REO	(68)	0	(752)	(419)
VIE deconsolidation		0		0
VIE consolidation				0
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	(1,575)	(7,942)	(6,542)	(15,821)
Realized gains/(losses), net on assets	(3)	(288)	(155)	(346)
Unrealized gains/(losses), net on assets	154	412	617	(290)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(19)	(20)	(21)	(60)
Ending balance	5,960	16,333	5,960	16,333
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	36	29	(60)	(618)
Level III | Fair Value, Measurements, Recurring | Commercial Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	267,203	323,474	310,523	370,213
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Purchases	0		0	0
Sales and settlements		0		0
Transfers to REO	(30,000)	0	(30,000)	0
VIE deconsolidation		0		0
VIE consolidation				0
Loan modifications / capitalized interest	0	33	0	33
Principal repayments	(102,969)	(91)	(103,272)	(37,728)
Realized gains/(losses), net on assets	0	0	0	0
Unrealized gains/(losses), net on assets	(5,495)	2,195	(48,630)	(7,218)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	27	40	145	351
Ending balance	128,766	325,651	128,766	325,651
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Commercial Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(5,479)	2,195	(48,630)	(7,218)
Level III | Fair Value, Measurements, Recurring | Securitized commercial loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,595,077	465,694	1,605,335	909,040
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Purchases	0		0	0
Sales and settlements		0		0
Transfers to REO	0	0	0	0
VIE deconsolidation		1,245,287		(150,804)
VIE consolidation				1,245,287
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	(214,545)	(32,560)	(354,202)	(211,204)
Realized gains/(losses), net on assets	0	0	0	0
Unrealized gains/(losses), net on assets	(9,617)	4,567	107,423	(109,683)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	6,090	4,557	18,449	4,909
Ending balance	1,377,005	1,687,545	1,377,005	1,687,545
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Securitized commercial loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(12,336)	4,567	92,424	(50,517)
Level III | Fair Value, Measurements, Recurring | Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,501	1,975	1,708	15,915
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Purchases	0		0	0
Sales and settlements		0		(11,529)
Transfers to REO	0	0	0	0
VIE deconsolidation		0		0
VIE consolidation				0
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	0	0	0	0
Realized gains/(losses), net on assets	0	0	0	1,528
Unrealized gains/(losses), net on assets	(93)	61	(109)	(2,594)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(66)	(183)	(257)	(1,467)
Ending balance	1,342	1,853	1,342	1,853
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Agency MBS | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(93)	61	(109)	(601)
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	11,803	33,984	34,369	45,814
Transfers into Level III from Level II	5,683	0	5,683	0
Transfers from Level III into Level II	0	0	(23,370)	0
Purchases	0		0	0
Sales and settlements		0		(12,658)
Transfers to REO	0	0	0	0
VIE deconsolidation		0		6,852
VIE consolidation				0
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	0	(97)	(256)	(628)
Realized gains/(losses), net on assets	0	0	0	(60)
Unrealized gains/(losses), net on assets	(399)	950	868	(3,633)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(18)	(91)	(225)	(941)
Ending balance	17,069	34,746	17,069	34,746
Unrealized gain (loss)	0	0	0	0
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(399)	950	(1,434)	(3,403)
Level III | Fair Value, Measurements, Recurring | Other securities
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		8,695	8,593	17,196
Transfers into Level III from Level II		0	0	0
Transfers from Level III into Level II		0	(10,306)	(6,482)
Purchases			0	0
Sales and settlements		0		0
Transfers to REO		0	0	0
VIE deconsolidation		0		0
VIE consolidation				0
Loan modifications / capitalized interest		0	0	0
Principal repayments		0	0	(154)
Realized gains/(losses), net on assets		0	0	0
Unrealized gains/(losses), net on assets		(188)	1,657	(2,025)
Unrealized (gains)/losses, net on liabilities		0	0	0
Premium and discount amortization, net		6	56	(22)
Ending balance	$ 0	8,513	0	8,513
Unrealized gain (loss)		0	0	0
Level III | Fair Value, Measurements, Recurring | Other securities | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)		$ (188)	$ 0	$ (675)

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt	$ 1,365,494	$ 1,553,722
Total Liabilities	1,366,056	1,554,378
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages	0	1,103
Borrowings under repurchase agreements	483,268	356,923
Convertible senior unsecured notes	126,632	170,797
Securitized debt	610,900	899,207
Total Liabilities	1,220,800	1,426,927
Debt issuance costs	5,900	6,900
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages	0	1,095
Borrowings under repurchase agreements	481,009	359,799
Convertible senior unsecured notes	133,365	155,129
Securitized debt	618,553	922,362
Total Liabilities	$ 1,232,927	1,437,290
Residential Bridge Loans | Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages		1,103
Residential Bridge Loans | Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans on real estate, carrying amount of mortgages		$ 1,095

Mortgage-Backed Securities an_3

Mortgage-Backed Securities and other securities - Company's Investment Portfolio (Details) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2021	Dec. 31, 2020
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 63,000	$ 89,000
Unrealized Gain	71,000	54,000
Unrealized Loss	0	0
Estimated Fair Value	$ 134,000	$ 143,000
Net Weighted Average Coupon	1.40%	2.10%
Notional balance	$ 3,000,000	$ 3,700,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 1,208,000	$ 1,565,000
Net Weighted Average Coupon	1.30%	2.60%
Notional balance	$ 17,600,000	$ 21,600,000
Total Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	0	0
Unamortized Premium (Discount), net	0	0
Amortized Cost	63,000	89,000
Unrealized Gain	71,000	54,000
Unrealized Loss	0	0
Estimated Fair Value	$ 1,342,000	$ 1,708,000
Net Weighted Average Coupon	1.30%	2.50%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 36,879,000	$ 38,112,000
Unamortized Premium (Discount), net	(14,437,000)	(14,649,000)
Amortized Cost	22,442,000	23,463,000
Unrealized Gain	3,327,000	451,000
Unrealized Loss	(38,000)	(2,498,000)
Estimated Fair Value	$ 25,731,000	$ 21,416,000
Net Weighted Average Coupon	4.30%	1.60%
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 5,742,000	$ 6,271,000
Unrealized Gain	0	0
Unrealized Loss	(3,462,000)	(2,306,000)
Estimated Fair Value	$ 2,280,000	$ 3,965,000
Net Weighted Average Coupon	0.30%	0.40%
Notional balance	$ 200,100,000	$ 306,000,000
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	36,879,000	38,112,000
Unamortized Premium (Discount), net	(14,437,000)	(14,649,000)
Amortized Cost	28,184,000	29,734,000
Unrealized Gain	3,327,000	451,000
Unrealized Loss	(3,500,000)	(4,804,000)
Estimated Fair Value	$ 28,011,000	$ 25,381,000
Net Weighted Average Coupon	0.90%	0.60%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 212,440,000	$ 235,497,000
Unamortized Premium (Discount), net	(15,474,000)	(25,258,000)
Amortized Cost	196,966,000	210,239,000
Unrealized Gain	2,414,000	2,850,000
Unrealized Loss	(64,730,000)	(49,008,000)
Estimated Fair Value	$ 134,650,000	$ 164,081,000
Net Weighted Average Coupon	5.00%	5.00%
Total Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 249,319,000	$ 273,609,000
Unamortized Premium (Discount), net	(29,911,000)	(39,907,000)
Amortized Cost	225,150,000	239,973,000
Unrealized Gain	5,741,000	3,301,000
Unrealized Loss	(68,230,000)	(53,812,000)
Estimated Fair Value	$ 162,661,000	$ 189,462,000
Net Weighted Average Coupon	2.90%	2.40%
Other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 51,269,000	$ 51,537,000
Unamortized Premium (Discount), net	(8,046,000)	(8,239,000)
Amortized Cost	48,066,000	49,420,000
Unrealized Gain	4,198,000	1,152,000
Unrealized Loss	(171,000)	(1,818,000)
Estimated Fair Value	$ 52,093,000	$ 48,754,000
Net Weighted Average Coupon	5.30%	4.40%
Total
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 300,588,000	$ 325,146,000
Unamortized Premium (Discount), net	(37,957,000)	(48,146,000)
Amortized Cost	273,279,000	289,482,000
Unrealized Gain	10,010,000	4,507,000
Unrealized Loss	(68,401,000)	(55,630,000)
Estimated Fair Value	$ 216,096,000	$ 239,924,000
Net Weighted Average Coupon	3.00%	2.50%
Weighted average expected remaining term to the expected maturity of investment portfolio	5 years 7 months 6 days	5 years 6 months
Residual interests in asset-backed securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 0	$ 0
Amortized Cost	$ 4,800,000	$ 6,100,000

Mortgage-Backed Securities an_4

Mortgage-Backed Securities and other securities - Type of Security (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 134	$ 143
Agency RMBS Interest-Only Strips | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	134	143
Agency RMBS Interest-Only Strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,208	1,565
Agency RMBS Interest-Only Strips accounted for as derivatives | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,208	1,565
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Subtotal Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,342	1,708
Subtotal Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Subtotal Agency MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,208	1,565
Subtotal Agency MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	134	143
Subtotal Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	134,650	164,081
Non-Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	80,460	59,724
Non-Agency CMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	17,856	50,408
Non-Agency CMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	36,110	53,269
Non-Agency CMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	224	680
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	25,731	21,416
Non-Agency RMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	10,181	7,958
Non-Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	15,550	13,458
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,280	3,965
Non-Agency RMBS Interest-Only Strips | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	142	472
Non-Agency RMBS Interest-Only Strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	2,138	3,493
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	162,661	189,462
Subtotal Non-Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	80,460	59,724
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	17,856	50,408
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	46,433	61,699
Subtotal Non-Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	17,912	17,631
Other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	52,093	48,754
Other securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	9,394	7,247
Other securities | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	4,271	6,203
Other securities | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	25,935	24,610
Other securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	12,493	10,694
Total
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	216,096	239,924
Total | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	89,854	66,971
Total | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	23,335	58,176
Total | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	72,502	86,452
Total | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 30,405	$ 28,325

Mortgage-Backed Securities an_5

Mortgage-Backed Securities and other securities - FV and Unrealized Loss (Details) $ in Thousands	Sep. 30, 2021USD ($)security	Dec. 31, 2020USD ($)security
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 151,034
Fair value, 12 months or more	132,435	51,359
Fair Value	132,435	202,393
Unrealized Losses
Unrealized losses, less than 12 Months	0	(38,708)
Unrealized losses, 12 months or more	(68,401)	(16,922)
Unrealized Losses	$ (68,401)	$ (55,630)
Number  of Securities
Number of securities, less than 12 months | security	0	29
Number of securities, 12 months or more | security	34	16
Number  of Securities | security	34	45
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 102,935
Fair value, 12 months or more	118,859	50,887
Fair Value	118,859	153,822
Unrealized Losses
Unrealized losses, less than 12 Months	0	(33,602)
Unrealized losses, 12 months or more	(64,730)	(15,406)
Unrealized Losses	$ (64,730)	$ (49,008)
Number  of Securities
Number of securities, less than 12 months | security	0	16
Number of securities, 12 months or more | security	24	15
Number  of Securities | security	24	31
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 18,242
Fair value, 12 months or more	216	0
Fair Value	216	18,242
Unrealized Losses
Unrealized losses, less than 12 Months	0	(2,498)
Unrealized losses, 12 months or more	(38)	0
Unrealized Losses	$ (38)	$ (2,498)
Number  of Securities
Number of securities, less than 12 months | security	0	4
Number of securities, 12 months or more | security	1	0
Number  of Securities | security	1	4
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 3,492
Fair value, 12 months or more	2,280	472
Fair Value	2,280	3,964
Unrealized Losses
Unrealized losses, less than 12 Months	0	(790)
Unrealized losses, 12 months or more	(3,462)	(1,516)
Unrealized Losses	$ (3,462)	$ (2,306)
Number  of Securities
Number of securities, less than 12 months | security	0	3
Number of securities, 12 months or more | security	4	1
Number  of Securities | security	4	4
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 124,669
Fair value, 12 months or more	121,355	51,359
Fair Value	121,355	176,028
Unrealized Losses
Unrealized losses, less than 12 Months	0	(36,890)
Unrealized losses, 12 months or more	(68,230)	(16,922)
Unrealized Losses	$ (68,230)	$ (53,812)
Number  of Securities
Number of securities, less than 12 months | security	0	23
Number of securities, 12 months or more | security	29	16
Number  of Securities | security	29	39
Other securities
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 26,365
Fair value, 12 months or more	11,080	0
Fair Value	11,080	26,365
Unrealized Losses
Unrealized losses, less than 12 Months	0	(1,818)
Unrealized losses, 12 months or more	(171)	0
Unrealized Losses	$ (171)	$ (1,818)
Number  of Securities
Number of securities, less than 12 months | security	0	6
Number of securities, 12 months or more | security	5	0
Number  of Securities | security	5	6

Mortgage-Backed Securities an_6

Mortgage-Backed Securities and other securities - Financing Receivables (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Amortization			$ (145)	$ (5,291)
Interest Income	$ 40,141	$ 43,970	127,353	130,310
Agency CMBS
Components of interest income
Coupon Interest			0	11,336
Net (Premium Amortization/Amortization Basis) Discount Amortization			0	(636)
Interest Income			0	10,700
Subtotal Agency
Components of interest income
Coupon Interest	11	25	38	2,954
Net (Premium Amortization/Amortization Basis) Discount Amortization	(7)	(17)	(26)	(971)
Interest Income	4	8	12	1,983
Non-Agency CMBS
Components of interest income
Coupon Interest	2,621	3,500	7,171	12,257
Net (Premium Amortization/Amortization Basis) Discount Amortization	1,669	1,686	6,230	4,426
Interest Income	4,290	5,186	13,401	16,683
Non-Agency RMBS
Components of interest income
Coupon Interest	609	616	1,762	2,349
Net (Premium Amortization/Amortization Basis) Discount Amortization	(240)	(154)	(704)	(1,162)
Interest Income	369	462	1,058	1,187
Other securities
Components of interest income
Coupon Interest	1,043	1,723	3,717	6,565
Net (Premium Amortization/Amortization Basis) Discount Amortization	(270)	(1,013)	(1,214)	(3,810)
Interest Income	773	710	2,503	2,755
Total
Components of interest income
Coupon Interest	4,284	5,864	12,688	35,461
Net (Premium Amortization/Amortization Basis) Discount Amortization	1,152	502	4,286	(2,153)
Interest Income	$ 5,436	$ 6,366	$ 16,974	$ 33,308

Mortgage-Backed Securities an_7

Mortgage-Backed Securities and other securities - Gross Gains and Losses (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Net Gain  (Loss)	$ (1,526)	$ 718	$ (7,367)	$ 82,944
Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			0	1,668,149
Gross Gains			0	116,463
Gross Losses			0	(6,486)
Net Gain  (Loss)			0	109,977
Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			0	400,948
Gross Gains			0	12,552
Gross Losses			0	(506)
Net Gain  (Loss)			0	12,046
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			0	94,586
Gross Gains			0	1
Gross Losses			(5,929)	(22,703)
Net Gain  (Loss)			(5,929)	(22,702)
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	(44)	0	12,658
Gross Gains	0	0	0	0
Gross Losses	0	(44)	0	(60)
Net Gain  (Loss)	0	(44)	0	(60)
Other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			0	35,957
Gross Gains			0	113
Gross Losses			0	(6,223)
Net Gain  (Loss)			0	(6,110)
Total
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	(44)	0	2,212,298
Gross Gains	0	0	0	129,129
Gross Losses	0	(44)	(5,929)	(35,978)
Net Gain  (Loss)	$ 0	$ (44)	$ (5,929)	$ 93,151

Mortgage-Backed Securities an_8

Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2021USD ($)loan	Dec. 31, 2020USD ($)loan
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 27.5	$ 48.9
VIE, Non Primary
Variable Interest Entity [Line Items]
Number of commercial loans trusts | loan	7	7

Residential Whole Loans and B_3

Residential Whole Loans and Bridge Loans - Narrative (Details)	1 Months Ended	9 Months Ended	12 Months Ended
	May 31, 2019USD ($)	Sep. 30, 2021USD ($)propertyloantrust	Dec. 31, 2020USD ($)loanproperty	Jun. 30, 2020USD ($)	Jun. 29, 2020USD ($)
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 483,268,000	$ 356,923,000
Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of loans | loan		2,193	2,497
Fair value		$ 949,417,000	$ 1,008,782,000
Principal  Balance		$ 908,512,000	$ 984,555,000
Residential  Whole Loans | Non-Qualifying Adjustable Rate Mortgage Loan
Variable Interest Entity [Line Items]
Number of loans | loan		2,187
Residential  Whole Loans | Investor Fixed Rate Mortgage Loan
Variable Interest Entity [Line Items]
Number of loans | loan		6
Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of real estate properties owned | property		4	3
Non-QM Loans
Variable Interest Entity [Line Items]
Number of loans in forbearance | loan		1
Number of loans previously in forbearance | loan		0
VIE | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 236,800,000	$ 30,200,000
Number of trusts | trust		3
Number of loans | loan		2,187
Mortgage loans on real estate, principal amount of delinquent loans		$ 10,600,000	$ 15,300,000
Original LTV, collateral dependent		60.80%	60.40%
Mortgage loans on real estate, number of loans, nonperforming, percentage		1.20%	1.60%
Mortgage loans on real estate, number of loans | loan		19	26
VIE | Residential  Whole Loans | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair value		$ 10,100,000	$ 14,700,000
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 7,500,000	$ 13,400,000
Number of loans | loan		12	29
Mortgage loans on real estate, principal amount of delinquent loans			$ 123,800
Original LTV, collateral dependent		73.10%	73.00%
Mortgage loans on real estate, number of loans, nonperforming, percentage		97.30%	66.00%
Mortgage loans on real estate, number of loans | loan			1
Principal  Balance		$ 6,654,000	$ 15,247,000
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan			9,900,000
Foreclosed other real estate owned		1,100,000	1,100,000
VIE | Residential Bridge Loans | Estimated Fair Value
Variable Interest Entity [Line Items]
Mortgage loans on real estate, principal amount of delinquent loans		6,500,000
Fair value		$ 5,800,000	$ 8,900,000
Mortgage loans on real estate, number of loans | loan		10	20
VIE | Non-QM Loans
Variable Interest Entity [Line Items]
Original LTV, collateral dependent		64.70%
Mortgage loans on real estate, number of loans, nonperforming, percentage		0.10%
VIE | Non-QM Loans | Estimated Fair Value
Variable Interest Entity [Line Items]
Mortgage loans on real estate, principal amount of delinquent loans		$ 493,000
Fair value		$ 434,000
VIE | Non-QM Loans | Minimum
Variable Interest Entity [Line Items]
Interest payment term		3 months
VIE | Non-QM Loans | Maximum
Variable Interest Entity [Line Items]
Interest payment term		5 months
Arroyo Trust 2019 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net	$ 919,000,000	$ 919,000,000
Arroyo Trust 2019 | Residential  Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Transferred of non-qm residential whole loans	$ 945,500,000
Arroyo Mortgage Trust 2020 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net				$ 341,700,000
Arroyo Mortgage Trust 2020 | Residential  Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Line of credit facility, maximum borrowing capacity					$ 355,800,000
VIE, Non Primary | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of loans | loan		6
VIE, Non Primary | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan		12

Residential Whole Loans and B_4

Residential Whole Loans and Bridge Loans - Summary of the Assets and Liabilities of the Residential and Commercial Loan Trusts (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively)		$ 949,417	$ 1,008,782
Residential bridge loan, at fair value		5,960	12,813
Assets Pledged		5,960	12,960
Investment related receivable		27,586	30,576
Interest receivable		10,726	13,568
Other assets		46,676	3,152
Total assets	[1]	2,829,344	3,336,009
Securitized debt, net		1,970,513	2,446,012
Interest payable		7,763	12,006
Accounts payable and accrued expenses		2,965	2,686
Total liabilities	[2]	2,607,291	3,080,895
VIE
Variable Interest Entity [Line Items]
Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively)		949,417	1,008,782
Residential bridge loan, at fair value		5,960	11,858
Assets Pledged		5,960	12,960
Investment related receivable		24,224	27,987
Interest receivable		9,433	10,936
Other assets		80	80
Total assets		2,389,986	2,810,678
Securitized debt, net		1,970,513	2,446,012
Interest payable		6,519	7,882
Accounts payable and accrued expenses		49	89
Total liabilities		1,977,341	2,530,115
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively)		949,417	1,008,782
Assets Pledged		5,960	12,960
Investment related receivable		24,224	27,987
Interest receivable		4,314	4,688
Other assets		80	80
Total assets		983,995	1,054,497
Securitized debt, net		605,019	892,290
Interest payable		1,524	2,222
Accounts payable and accrued expenses		40	77
Total liabilities		$ 606,583	$ 894,589
[1]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115
[2]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115

Residential Whole Loans and B_5

Residential Whole Loans and Bridge Loans - Components of the Fair Value of Residential Whole Loans (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Residential Whole Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	$ 908,512	$ 984,555
Unamortized premium	26,920	24,248
Unamortized discount	(1,459)	(1,799)
Amortized cost	933,973	1,007,004
Gross unrealized gains	19,174	9,282
Gross unrealized losses	(3,730)	(7,504)
Fair value	949,417	1,008,782
Residential Bridge Loans, At Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	6,654	14,144
Unamortized premium	1	3
Unamortized discount	0	0
Amortized cost	6,655	14,147
Gross unrealized gains	0	5
Gross unrealized losses	(695)	(1,339)
Fair value	5,960	12,813
Residential Bridge Loans, At Amortized Cost
Variable Interest Entity [Line Items]
Principal  Balance	0	1,103
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	$ 0	$ 1,103

Residential Whole Loans and B_6

Residential Whole Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2021USD ($)loan	Dec. 31, 2020USD ($)loan
2.01% – 3.00%
Variable Interest Entity [Line Items]
Coupon  Rate	2.70%	2.70%
Number of Loans	14	4
Principal  Balance | $	$ 7,816	$ 3,239
Original LTV	66.00%	66.70%
Original FICO score	746	733
Expected  Life (years)	5 years 8 months 12 days	5 years 10 months 24 days
Contractual  Maturity  (years)	28 years 4 months 24 days	28 years
2.01% – 3.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	2.01%	2.01%
2.01% – 3.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	3.00%	3.00%
3.01% – 4.00%
Variable Interest Entity [Line Items]
Coupon  Rate	3.70%	3.70%
Number of Loans	332	118
Principal  Balance | $	$ 163,681	$ 41,489
Original LTV	62.60%	55.80%
Original FICO score	751	709
Expected  Life (years)	3 years 2 months 12 days	3 years 9 months 18 days
Contractual  Maturity  (years)	27 years 3 months 18 days	23 years 3 months 18 days
3.01% – 4.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	3.01%	3.01%
3.01% – 4.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	4.00%	400.00%
4.01% – 5.00%
Variable Interest Entity [Line Items]
Coupon  Rate	4.80%	4.90%
Number of Loans	997	1,172
Principal  Balance | $	$ 380,394	$ 403,398
Original LTV	64.80%	61.80%
Original FICO score	748	751
Expected  Life (years)	2 years 8 months 12 days	2 years 8 months 12 days
Contractual  Maturity  (years)	28 years	27 years 8 months 12 days
4.01% – 5.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	4.01%	4.01%
4.01% – 5.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	5.00%	5.00%
5.01% – 6.00%
Variable Interest Entity [Line Items]
Coupon  Rate	5.40%	5.40%
Number of Loans	820	1,166
Principal  Balance | $	$ 346,778	$ 523,105
Original LTV	64.60%	64.20%
Original FICO score	739	740
Expected  Life (years)	2 years 10 months 24 days	2 years 10 months 24 days
Contractual  Maturity  (years)	27 years 2 months 12 days	27 years 8 months 12 days
5.01% – 6.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	5.01%	5.01%
5.01% – 6.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	6.00%	6.00%
6.01% – 7.00%
Variable Interest Entity [Line Items]
Coupon  Rate	6.30%	6.30%
Number of Loans	28	35
Principal  Balance | $	$ 9,337	$ 12,813
Original LTV	67.80%	67.50%
Original FICO score	720	720
Expected  Life (years)	3 years	3 years 2 months 12 days
Contractual  Maturity  (years)	25 years 10 months 24 days	27 years
6.01% – 7.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	6.01%	6.01%
6.01% – 7.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	7.00%	7.00%
7.01% - 8.00%
Variable Interest Entity [Line Items]
Coupon  Rate	7.10%	7.10%
Number of Loans	2	2
Principal  Balance | $	$ 506	$ 511
Original LTV	73.20%	73.20%
Original FICO score	753	753
Expected  Life (years)	4 years 6 months	4 years 1 month 6 days
Contractual  Maturity  (years)	26 years 10 months 24 days	27 years 7 months 6 days
7.01% - 8.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	7.01%	7.01%
7.01% - 8.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	8.00%	8.00%
Residential  Whole Loans
Variable Interest Entity [Line Items]
Coupon  Rate	4.80%	5.10%
Number of Loans	2,193	2,497
Principal  Balance | $	$ 908,512	$ 984,555
Original LTV	64.30%	62.90%
Original FICO score	745	744
Expected  Life (years)	2 years 10 months 24 days	2 years 10 months 24 days
Contractual  Maturity  (years)	27 years 7 months 6 days	27 years 6 months
Residential  Whole Loans | VIE
Variable Interest Entity [Line Items]
Number of Loans	2,187
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans	215	236
Principal  Balance | $	$ 68,800	$ 75,200
7.01% – 9.00%
Variable Interest Entity [Line Items]
Coupon  Rate	8.80%	8.70%
Number of Loans	3	10
Principal  Balance | $	$ 2,946	$ 8,295
Original LTV	70.40%	69.60%
Contractual  Maturity  (years)	0 years	1 year 4 months 24 days
7.01% – 9.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	7.01%	7.01%
7.01% – 9.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	9.00%	9.00%
9.01% – 11.00%
Variable Interest Entity [Line Items]
Coupon  Rate	10.30%	10.10%
Number of Loans	7	15
Principal  Balance | $	$ 3,213	$ 6,123
Original LTV	75.90%	75.50%
Contractual  Maturity  (years)	2 years	6 months
9.01% – 11.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	9.01%	9.01%
9.01% – 11.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	11.00%	11.00%
11.01% – 13.00%
Variable Interest Entity [Line Items]
Coupon  Rate	11.40%	11.40%
Number of Loans	2	3
Principal  Balance | $	$ 495	$ 705
Original LTV	69.70%	69.80%
Contractual  Maturity  (years)	2 years	0 years
11.01% – 13.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	11.01%	11.01%
11.01% – 13.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	13.00%	13.00%
17.01% – 19.00%
Variable Interest Entity [Line Items]
Coupon  Rate		18.00%
Number of Loans		1
Principal  Balance | $		$ 124
Original LTV		75.00%
Contractual  Maturity  (years)		0 years
17.01% – 19.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate		17.01%
17.01% – 19.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate		19.00%
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Coupon  Rate	9.70%	9.40%
Number of Loans	12	29
Principal  Balance | $	$ 6,654	$ 15,247
Original LTV	73.00%	72.00%
Contractual  Maturity  (years)	2 years	9 months 18 days

Residential Whole Loans and B_7

Residential Whole Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2021	Dec. 31, 2020
Residential  Whole Loans
Variable Interest Entity [Line Items]
Principal  Balance	$ 908,512	$ 984,555
Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	100.00%	100.00%
Principal  Balance	$ 908,512	$ 984,555
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	100.00%	100.00%
Principal  Balance	$ 6,654	$ 15,247
New York | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	14.30%	17.70%
Principal  Balance	$ 129,931	$ 173,788
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	39.50%	17.30%
Principal  Balance	$ 2,631	$ 2,632
California | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	72.30%	65.80%
Principal  Balance	$ 656,801	$ 647,877
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	35.90%	37.50%
Principal  Balance	$ 2,386	$ 5,713
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	2.70%	3.40%
Principal  Balance	$ 24,300	$ 33,577
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	2.40%	2.80%
Principal  Balance	$ 21,697	$ 27,274
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	16.90%	12.90%
Principal  Balance	$ 1,125	$ 1,969
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration		16.10%
Principal  Balance		$ 2,461
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	2.00%	2.50%
Principal  Balance	$ 18,255	$ 24,704
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	5.00%
Principal  Balance	$ 335
Pennsylvania | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	1.60%
Principal  Balance	$ 105
Connecticut | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration		5.70%
Principal  Balance		$ 872
Other | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	6.30%	7.80%
Principal  Balance	$ 57,528	$ 77,335
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	1.10%	10.50%
Principal  Balance	$ 72	$ 1,600

Residential Whole Loans and B_8

Residential Whole Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2021USD ($)loan
Residential Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan	2,193
Principal	$ 908,512
Fair value	$ 949,417
Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	12
Principal	$ 6,654
Fair value	$ 5,960
Non-QM Loans
Variable Interest Entity [Line Items]
Number of loans in forbearance | loan	1
Non-QM Loans | VIE | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair value	$ 434
Mortgage loans on real estate, principal amount of delinquent loans	$ 493
Current | Residential Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan	2,156
Principal	$ 889,231
Fair value	$ 930,286
Current | Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	1
Principal	$ 75
Fair value	$ 75
1-30 days | Residential Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan	15
Principal	$ 7,448
Fair value	$ 7,746
1-30 days | Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	1
Principal	$ 105
Fair value	$ 105
31-60 days | Residential Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
31-60 days | Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
61-90 days | Residential Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan	3
Principal	$ 1,238
Fair value	$ 1,259
61-90 days | Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
90+ days | Residential Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan	19
Principal	$ 10,595
Fair value	$ 10,126
90+ days | Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	10
Principal	$ 6,474
Fair value	$ 5,780

Commercial Loans - Narrative (D

Commercial Loans - Narrative (Details) $ in Thousands	Sep. 15, 2021USD ($)	Dec. 31, 2019USD ($)	Mar. 31, 2019USD ($)	Nov. 30, 2015USD ($)	Sep. 30, 2021USD ($)loan	Sep. 30, 2021USD ($)loantrustentity	Sep. 24, 2021USD ($)	Mar. 31, 2021USD ($)	Feb. 24, 2021USD ($)	Dec. 31, 2020USD ($)
Variable Interest Entity [Line Items]
Variable interest entity, number of entity | entity						1
Repurchased borrowings					$ 10,600	$ 10,600
Number of trusts | trust						2
No of Loans | loan					2	2
RETL Trust
Variable Interest Entity [Line Items]
Financing receivable, before allowance for credit loss					$ 0	$ 0				$ 354,202
Unrealized loss in earnings					0	0				(14,998)
CSMC Trust
Variable Interest Entity [Line Items]
Financing receivable, before allowance for credit loss					1,385,591	1,385,591				1,385,591
Unrealized loss in earnings					0	0				$ 0
CSMC Trust | Class F | Secured Debt
Variable Interest Entity [Line Items]
Debt instrument, debt default, amount					$ 14,900	$ 14,900
SBC 2
Variable Interest Entity [Line Items]
Outstanding principal							$ 9,200
CSMC Trust
Variable Interest Entity [Line Items]
Debt instrument, basis spread on variable rate						4.38%
Variable interest entity, amount acquired, interest rate					8.80%	8.80%
Securitized commercial loans
Variable Interest Entity [Line Items]
LTV rate						59.70%
COVID response, borrowers requesting forbearance, principal balance									$ 30,000
Securitized commercial loans | RETL Trust
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation			$ 65,300
Variable interest entity, amount acquired, eligible risk retention	$ 45,300
Eligible risk retention percentage			5.00%
Securitized commercial loans | MRCD Trust
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation		$ 161,400
Securitized commercial loans | MRCD Trust | Commercial Mortgage Pass-Through Certificate, Class HRR
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation		$ 10,500
Unrealized loss in earnings								$ (43,700)
Securitized commercial loans | CSMC Trust
Variable Interest Entity [Line Items]
Financing receivable, before allowance for credit loss					$ 1,400,000	$ 1,400,000
Securitized commercial loans | CMSC Trust
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation				$ 14,000
Commercial Loans
Variable Interest Entity [Line Items]
Financing receivable, before allowance for credit loss					$ 192,172	$ 192,172
No of Loans | loan					7	7
Commercial Loans | CRE 3 | Retail
Variable Interest Entity [Line Items]
Financing receivable, before allowance for credit loss					$ 90,000	$ 90,000
Reduction of fair value					5,200
Loss on investment					$ 27,500	$ 27,500

Commercial Loans - Commercial L

Commercial Loans - Commercial Loans Held (Details) - Securitized commercial loans $ in Thousands	9 Months Ended
	Sep. 30, 2021USD ($)extension	Sep. 07, 2021USD ($)	Jul. 07, 2021USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	59.70%
CRE LLC And CRE Mezz
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 177,810
Fair Value	114,404
CRE LLC And CRE Mezz | CRE 2
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance		$ 46,800
RSBC Trust
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	14,362
Fair Value	14,362
RSBC Trust | SBC 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance			$ 45,200
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 5
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	24,535
Fair Value	$ 24,085
Coupon  Rate	62.00%
Number of extension option | extension	3
Option to extend term	1 year
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 6
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 13,207
Fair Value	$ 12,964
Coupon  Rate	62.00%
Number of extension option | extension	3
Option to extend term	1 year
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 7
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 7,259
Fair Value	$ 7,126
Coupon  Rate	62.00%
Number of extension option | extension	3
Option to extend term	1 year
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | CRE 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 90,000
Fair Value	$ 27,495
Coupon  Rate	58.00%
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | CRE 3 | Maximum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Option to extend term	2 years
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | CRE 3 | Minimum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Option to extend term	1 year
Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 4
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 38,367
Fair Value	$ 38,294
Coupon  Rate	63.00%
Number of extension option | extension	2
Option to extend term	1 year
Assisted Living Facilities | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 8
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 4,442
Fair Value	$ 4,440
Coupon  Rate	79.00%
Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 14,362
Fair Value	$ 14,362
Coupon  Rate	49.00%
LIBOR | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 5
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	3.75%
LIBOR | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 6
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	3.75%
LIBOR | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 7
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	3.75%
LIBOR | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine loan | CRE 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	9.25%
LIBOR | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 4
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	3.02%
LIBOR | Assisted Living Facilities | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 8
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	4.85%
LIBOR | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate	4.10%

Commercial Loans - Consolidated

Commercial Loans - Consolidated Commercial Loan Trusts Included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands		Sep. 30, 2021	Dec. 31, 2020	Sep. 30, 2020
Noncontrolling Interest [Line Items]
Cash and cash equivalents		$ 63,916	$ 31,613	$ 27,459
Restricted cash		260	76,132	$ 95,579
Securitized commercial loans, at fair value		1,377,005	1,605,335
Commercial Loans, at fair value		101,271	310,523
Interest receivable		10,726	13,568
Total assets	[1]	2,829,344	3,336,009
Interest payable		7,763	12,006
Accounts payable and accrued expenses		2,965	2,686
Other liabilities		8,804	84,674
Total liabilities	[2]	2,607,291	3,080,895
VIE
Noncontrolling Interest [Line Items]
Cash and cash equivalents		9,245	0
Restricted cash		260	76,132
Securitized commercial loans, at fair value		1,377,005	1,605,335
Commercial Loans, at fair value		14,362	68,466
Interest receivable		9,433	10,936
Total assets		2,389,986	2,810,678
Interest payable		6,519	7,882
Accounts payable and accrued expenses		49	89
Other liabilities		260	76,132
Total liabilities		1,977,341	2,530,115
Securitized commercial loans | VIE
Noncontrolling Interest [Line Items]
Cash and cash equivalents		9,245	0
Restricted cash		260	76,132
Securitized commercial loans, at fair value		1,377,005	1,605,335
Commercial Loans, at fair value		14,362	68,466
Interest receivable		5,119	6,248
Total assets		1,405,991	1,756,181
Securitized debt, at fair value		1,365,494	1,553,722
Interest payable		4,995	5,660
Accounts payable and accrued expenses		9	12
Other liabilities		260	76,132
Total liabilities		$ 1,370,758	$ 1,635,526
[1]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115
[2]	September 30, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 9,245 $ — Restricted cash 260 76,132 Residential Whole Loans, at fair value ($949,417 and $1,008,782 pledged as collateral, at fair value, respectively) 949,417 1,008,782 Residential Bridge Loans ($5,960 and $11,858 at fair value and $5,960 and $12,960 pledged as collateral, respectively) 5,960 12,960 Securitized commercial loans, at fair value 1,377,005 1,605,335 Commercial Loans, at fair value ($14,362 and $68,466 pledged as collateral, at fair value, respectively) 14,362 68,466 Investment related receivable 24,224 27,987 Interest receivable 9,433 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,389,986 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,365,494 and $1,553,722 at fair value and $185,666 and $215,753 held by affiliates, respectively) $ 1,970,513 $ 2,446,012 Interest payable (includes $712 and $784 on securitized debt held by affiliates, respectively) 6,519 7,882 Accounts payable and accrued expenses 49 89 Other liabilities 260 76,132 Total liabilities of consolidated VIEs $ 1,977,341 $ 2,530,115

Commercial Loans - Components o

Commercial Loans - Components of the Carrying Value of Commercial Real Estate Loans (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal	$ 177,810	$ 256,694
Unamortized premium	0	0
Unamortized discount	(2)	(53)
Amortized cost	177,808	256,641
Gross unrealized gains	0	1
Gross unrealized losses	(63,404)	(14,585)
Fair value	114,404	242,057
RETL Trust Securitized Commercial Loan, at Fair Value(1)
Variable Interest Entity [Line Items]
Principal	0	354,202
Unamortized premium	0	180
Unamortized discount	0	0
Amortized cost	0	354,382
Gross unrealized gains	0	0
Gross unrealized losses	0	(14,998)
Fair value	0	339,384
CSMC USA Trust Securitized Commercial Loan, at Fair Value
Variable Interest Entity [Line Items]
Principal	1,385,591	1,385,591
Unamortized premium	0	0
Unamortized discount	(117,024)	(135,653)
Amortized cost	1,268,567	1,249,938
Gross unrealized gains	108,438	16,013
Gross unrealized losses	0	0
Fair value	1,377,005	1,265,951
RSBC Trust Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal	14,362	68,750
Unamortized premium	0	0
Unamortized discount	0	(94)
Amortized cost	14,362	68,656
Gross unrealized gains	0	0
Gross unrealized losses	0	(190)
Fair value	$ 14,362	$ 68,466

Commercial Loans - Schedule of

Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) $ in Thousands	Sep. 30, 2021USD ($)loan
Noncontrolling Interest [Line Items]
No of Loans | loan	2
Commercial Loans
Noncontrolling Interest [Line Items]
No of Loans | loan	7
Principal	$ 192,172
Fair value	$ 128,766
Commercial Loans | Current
Noncontrolling Interest [Line Items]
No of Loans | loan	6
Principal	$ 102,172
Fair value	$ 101,271
Commercial Loans | 1-30 days
Noncontrolling Interest [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
Commercial Loans | 31-60 days
Noncontrolling Interest [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
Commercial Loans | 61-90 days
Noncontrolling Interest [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
Commercial Loans | 90+ days
Noncontrolling Interest [Line Items]
No of Loans | loan	1
Principal	$ 90,000
Fair value	$ 27,495

Financings - Narrative (Details

Financings - Narrative (Details)	May 05, 2021	Oct. 06, 2020USD ($)	Jul. 01, 2020USD ($)$ / sharesshares	Jun. 29, 2020USD ($)	May 04, 2020	Apr. 21, 2020counterparty	Sep. 30, 2021USD ($)agreementitemissuance$ / shares	May 31, 2019USD ($)	Sep. 30, 2021USD ($)agreementitemissuance$ / shares	Sep. 30, 2020USD ($)	Aug. 31, 2021USD ($)	Mar. 31, 2021USD ($)	Dec. 31, 2020USD ($)$ / shares	Jun. 30, 2020USD ($)
Short-term Debt [Line Items]
Number of longer term financial arrangements company entered to reduce its exposure to short term financings | agreement							3		3
Number of counterparties from whom entity borrowed under repurchase agreement | item							5		5
Payments made for deferred financing costs		$ (12,000,000)							$ (2,536,000)	$ (3,145,000)
Financing fee payable		$ 8,500,000							0	$ 20,540,000
Assets Pledged							$ 5,960,000		5,960,000				$ 12,960,000
Securities loaned, collateral, right to reclaim cash							1,400,000		1,400,000				1,800,000
Cash posted by counterparties							$ 0		$ 0				$ 320,000
Redeemable period							3 months
Common stock, par value (in dollars per share) | $ / shares							$ 0.01		$ 0.01				$ 0.01
Repurchased borrowings							$ 10,600,000		$ 10,600,000
Repurchase agreements, net							483,268,000		483,268,000				$ 356,923,000
Repurchase agreements
Short-term Debt [Line Items]
Assets Pledged							$ 654,400,000		$ 654,400,000				$ 682,900,000
Repurchase agreements
Short-term Debt [Line Items]
Weighted average interest rate							2.65%		2.65%				3.74%
Commercial Loans | Repurchase agreements
Short-term Debt [Line Items]
Assets Pledged							$ 101,271,000		$ 101,271,000				$ 310,523,000
Commercial Loans | Repurchase agreements
Short-term Debt [Line Items]
Weighted average interest rate							2.27%		2.27%				2.17%
Arroyo Mortgage Trust 2020 | Secured Debt
Short-term Debt [Line Items]
Principal Balance							$ 209,055,000		$ 209,055,000
Fair value							206,901,000		206,901,000
Arroyo Mortgage Trust 2020 | Non-QM Loans | Arroyo Trust
Short-term Debt [Line Items]
Number of counterparties from whom entity borrowed under repurchase agreement | counterparty						3
Line of credit facility, target advance rate						84.00%
Line of credit facility, commitment fee percentage						30.00%
Line of credit facility, exit fee percentage						0.50%
Line of credit facility, remaining borrowing capacity							287,100,000		287,100,000
Arroyo Mortgage Trust 2020 | Residential  Whole Loans
Short-term Debt [Line Items]
Repurchase agreements, net														$ 341,700,000
Arroyo Mortgage Trust 2020 | Residential  Whole Loans | Secured Debt
Short-term Debt [Line Items]
Fair value							$ 216,400,000		$ 216,400,000
Redemption of offering notes period									3 years
Maximum aggregate collateral balance over original principal balance percentage							30.00%		30.00%
Arroyo Mortgage Trust 2020 | Residential  Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Line of credit facility, commitment fee percentage				30.00%
Line of credit facility, maximum borrowing capacity				$ 355,800,000
Repayments of lines of credit				$ 339,400,000
Debt instrument, fee				20.5 million
Arroyo Trust | Secured Debt
Short-term Debt [Line Items]
Principal Balance							$ 401,845,000		$ 401,845,000
Fair value							398,118,000		398,118,000
Arroyo Trust | Non-QM Loans
Short-term Debt [Line Items]
Borrowing amount							236,800,000		236,800,000
Arroyo Trust | Residential  Whole Loans | Secured Debt
Short-term Debt [Line Items]
Fair value							$ 414,000,000		$ 414,000,000
Redemption of offering notes period									3 years
Maximum aggregate collateral balance over original principal balance percentage							20.00%		20.00%
CSMC Trust
Short-term Debt [Line Items]
Trust certificates issued							$ 1,400,000,000		$ 1,400,000,000
Financing receivable, before allowance for credit loss							1,385,591,000		1,385,591,000				$ 1,385,591,000
CSMC Trust | Affiliated entities
Short-term Debt [Line Items]
Trust certificates issued							201,600,000		201,600,000
CSMC Trust | Third parties
Short-term Debt [Line Items]
Trust certificates issued							1,200,000,000		1,200,000,000
CSMC Trust | Secured Debt
Short-term Debt [Line Items]
Principal Balance							1,370,691,000		1,370,691,000
Securitized debt, at fair value							1,365,494,000		1,365,494,000
CSMC Trust | Securitized commercial loans
Short-term Debt [Line Items]
Financing receivable, before allowance for credit loss							1,400,000,000		1,400,000,000
Arroyo Trust 2019 | Residential  Whole Loans
Short-term Debt [Line Items]
Repurchase agreements, net							919,000,000	$ 919,000,000	919,000,000
Arroyo Trust 2019 | Residential  Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Transferred of non-qm residential whole loans								$ 945,500,000
Residential Loan Warehouse Facility
Short-term Debt [Line Items]
Line of credit facility, target advance rate		85.00%
Residential Loan Warehouse Facility | LIBOR
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate		2.75%
Non-Agency CMBS and Non-Agency RMBS Facility
Short-term Debt [Line Items]
Debt instrument, term	12 months				12 months
Line of credit facility, remaining borrowing capacity							111,500,000		111,500,000
Debt instrument extensions option term					12 months
Borrowings, fair value							196,700,000		196,700,000
Non-Agency CMBS and Non-Agency RMBS Facility | LIBOR
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate	2.00%				5.00%
Commercial Whole Loan Facility | Estimated Fair Value
Short-term Debt [Line Items]
Borrowings, fair value							86,900,000		86,900,000
Commercial Whole Loan Facility | Repurchase agreements
Short-term Debt [Line Items]
Debt instrument, term	12 months
Debt instrument extensions option term	12 months
Fair value							$ 63,700,000		$ 63,700,000
6.75% Convertible Senior Unsecured Notes
Short-term Debt [Line Items]
Repurchased borrowings											$ 22,300,000	$ 6,700,000	$ 25,000,000
Debt instrument interest rate, effective percentage											2.80%	6.30%	13.00%
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2024
Short-term Debt [Line Items]
Interest rate stated percentage							6.75%		6.75%
Principal Balance							$ 86,300,000		$ 86,300,000
Proceeds from notes payable							$ 83,400,000
Redemption price, percentage							100.00%
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares							$ 2.96		$ 2.96
Payment to repurchase the debt							$ 20,200,000		$ 20,200,000
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2022
Short-term Debt [Line Items]
Interest rate stated percentage							6.75%		6.75%
Redemption price, percentage									100.00%
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares							$ 12.02		$ 12.02
Number of issuance | issuance							3		3
Common stock, par value (in dollars per share) | $ / shares			$ 0.01
Repurchased borrowings							$ 100,300,000		$ 100,300,000
Fair value							45,700,000		$ 45,700,000				$ 175,000,000
Debt instrument, convertible, conversion ratio									0.0831947
6.75% Convertible Senior Unsecured Notes | Convertible Debt
Short-term Debt [Line Items]
Principal Balance			$ 5,000,000
Exchange of convertible senior notes (in shares) | shares			1,354,084
Class F | CSMC Trust | Secured Debt
Short-term Debt [Line Items]
Principal Balance							153,600,000		$ 153,600,000
Debt instrument, debt default, amount							14,900,000		14,900,000
Securitized debt, at fair value							118,664,000		118,664,000
Class F | CSMC Trust | Secured Debt | Estimated Fair Value
Short-term Debt [Line Items]
Securitized debt, at fair value							$ 1,400,000,000		$ 1,400,000,000
Minimum | Repurchase Agreements
Short-term Debt [Line Items]
Debt instrument, term									1 month
Minimum | Residential Loan Warehouse Facility | LIBOR
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate		0.25%							2.75%
Maximum | Repurchase Agreements
Short-term Debt [Line Items]
Debt instrument, term									18 months

Financings - Borrowings Under R

Financings - Borrowings Under Repurchase Agreements (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2021	Dec. 31, 2020
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 483,308	$ 358,846
Less Unamortized Debt Issuance Costs	40	1,923
Repurchase agreements, net	$ 483,268	$ 356,923
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.64%	3.57%
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total	2.64%	3.57%
Weighted Average Remaining Maturity (days)	98 days	169 days
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 411,926	$ 250,248
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.65%	3.74%
Weighted Average Remaining Maturity (days)	113 days	225 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 68,352	$ 66,767
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.12%	5.23%
Weighted Average Remaining Maturity (days)	193 days	126 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 15,632	$ 14,643
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.12%	5.23%
Weighted Average Remaining Maturity (days)	217 days	126 days
Borrowings on the trust certificates	$ 39,300
Repurchase agreements | Residential Whole Loan
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 236,767	$ 30,224
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.00%	3.00%
Weighted Average Remaining Maturity (days)	36 days	278 days
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 63,669	$ 124,937
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.27%	2.17%
Weighted Average Remaining Maturity (days)	360 days	287 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 27,506	$ 13,677
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.12%	5.24%
Weighted Average Remaining Maturity (days)	217 days	126 days
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 71,382	$ 108,598
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.60%	3.19%
Weighted Average Remaining Maturity (days)	7 days	39 days
Repurchase agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,048	$ 1,418
Weighted Average Interest Rate on Borrowings Outstanding at end of period	1.05%	1.34%
Weighted Average Remaining Maturity (days)	59 days	59 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 10,314	$ 10,313
Weighted Average Interest Rate on Borrowings Outstanding at end of period	1.75%	2.25%
Weighted Average Remaining Maturity (days)	12 days	14 days
Repurchase agreements | Residential Whole Loan
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 41,013	$ 29,800
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.66%	3.71%
Weighted Average Remaining Maturity (days)	4 days	15 days
Repurchase agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 5,817	$ 11,254
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.60%	2.73%
Weighted Average Remaining Maturity (days)	4 days	36 days
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 10,603	$ 34,375
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.18%	3.32%
Weighted Average Remaining Maturity (days)	4 days	75 days
Repurchase agreements | Membership Interest
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 0	$ 18,844
Weighted Average Interest Rate on Borrowings Outstanding at end of period	0.00%	2.90%
Weighted Average Remaining Maturity (days)	0 days	29 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 2,587	$ 2,594
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.52%	4.51%
Weighted Average Remaining Maturity (days)	19 days	19 days

Financings - Borrowings under_2

Financings - Borrowings under Repurchase Agreements Maturity Dates (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 483,308	$ 358,846
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	307,487	59,856
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	0	13,421
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	12,181	35,321
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 163,640	$ 250,248

Financings - Borrowings under_3

Financings - Borrowings under Repurchase Agreements Risk by Counterparty (Details) - Citigroup Global Markets Inc. $ in Thousands	9 Months Ended
	Sep. 30, 2021USD ($)
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty
Amount of  Collateral at Risk, at fair value	$ 85,627
Weighted Average Remaining Maturity (days)	202 days
Percentage of  Stockholders’  Equity	40.70%
Amount of  Collateral at Risk, at fair value	$ 76,778
Weighted Average Remaining Maturity (days)	71 days
Percentage of  Stockholders’  Equity	36.50%

Financings - Collateral Positio

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	$ 5,960	$ 12,960
Assets pledged- fair value	655,876	684,675
Accrued Interest	2,766	3,475
Assets Pledged and Accrued Interest	658,642	688,150
Repurchase agreements
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	654,400	682,900
Repurchase agreements | Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	1,342	1,708
Accrued Interest	20	49
Assets Pledged and Accrued Interest	1,362	1,757
Repurchase agreements | Non-Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	136,968	152,275
Accrued Interest	564	649
Assets Pledged and Accrued Interest	137,532	152,924
Repurchase agreements | Non-Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	28,003	25,382
Accrued Interest	182	160
Assets Pledged and Accrued Interest	28,185	25,542
Repurchase agreements | Residential Whole Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	328,811	97,566
Accrued Interest	1,494	543
Assets Pledged and Accrued Interest	330,305	98,109
Repurchase agreements | Residential Bridge Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	5,960	12,960
Accrued Interest	78	180
Assets Pledged and Accrued Interest	6,038	13,140
Repurchase agreements | Commercial Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	101,271	310,523
Accrued Interest	346	1,850
Assets Pledged and Accrued Interest	101,617	312,373
Repurchase agreements | Membership Interest
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	0	33,690
Accrued Interest		0
Assets Pledged and Accrued Interest	0	33,690
Repurchase agreements | Other securities
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	52,093	48,754
Accrued Interest	82	44
Assets Pledged and Accrued Interest	52,175	48,798
Repurchase agreements | Cash
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets pledged- fair value	1,428	1,817
Accrued Interest	0	0
Assets Pledged and Accrued Interest	$ 1,428	$ 1,817

Financings - Commercial Mortgag

Financings - Commercial Mortgage Pass Through Certificates (Details) - Secured Debt $ in Thousands	9 Months Ended
	Sep. 30, 2021USD ($)
CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 1,370,691
Fair Value	1,365,494
Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	401,845
Carrying Value	401,845
Less: Unamortized Deferred Financing Costs	3,727
Total	398,118
Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	209,055
Carrying Value	209,055
Less: Unamortized Deferred Financing Costs	2,154
Total	206,901
Class A-1A | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 148,244
Coupon	1.70%
Carrying Value	$ 148,244
Class A-1B | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 17,591
Coupon	2.10%
Carrying Value	$ 17,591
Class A-1 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 120,391
Coupon	3.30%
Fair Value	$ 126,264
Class A-1 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 330,944
Coupon	3.30%
Carrying Value	$ 330,944
Class A-2 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 531,700
Coupon	4.00%
Fair Value	$ 570,167
Class A-2 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 17,740
Coupon	3.50%
Carrying Value	$ 17,740
Class A-2 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 13,518
Coupon	2.90%
Carrying Value	$ 13,518
Class A-3 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 28,106
Coupon	3.80%
Carrying Value	$ 28,106
Class A-3 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 17,963
Coupon	3.30%
Carrying Value	$ 17,963
Class B | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 136,400
Coupon	4.20%
Fair Value	$ 138,562
Class C | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 94,500
Coupon	4.30%
Fair Value	$ 92,630
Class D | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,950
Coupon	4.40%
Fair Value	$ 142,388
Class E | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 180,150
Coupon	4.40%
Fair Value	$ 161,900
Class F | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,600
Coupon	4.40%
Fair Value	$ 118,664
Class M-1 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 25,055
Coupon	4.80%
Carrying Value	$ 25,055
Class M-1 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 11,739
Coupon	4.30%
Carrying Value	$ 11,739
Class X-1 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0.50%
Fair Value	$ 12,347
Notional amount	$ 652,100
Class X-2 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0.03%
Fair Value	$ 2,572
Notional amount	$ 733,500

Derivative Instruments - Summar

Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Fair Value
Derivative assets	$ 1,302	$ 1,726
Derivative liabilities	(562)	(656)
Derivative instruments not accounted as hedges under GAAP
Fair Value
Derivative assets	94	161
Derivative liabilities	(562)	(656)
Total derivative instruments	(468)	(495)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, liabilities	22,000	0
Fair Value
Derivative liabilities	(25)	0
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	2,030	2,030
Notional amount, liabilities	4,140	4,140
Fair Value
Derivative assets	94	161
Derivative liabilities	$ (537)	$ (656)

Derivative Instruments - Gain o

Derivative Instruments - Gain or Loss (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations			$ 0	$ (13,133)
Return (Recovery) of Basis			(97)	(4,122)
Total	$ 515	$ (88)	716	(197,922)
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	16	166	48	(13,102)
Variation Margin Settlement	485	0	520	(179,759)
Return (Recovery) of Basis	(59)	(166)	(232)	(720)
Mark-to-Market	(105)	(288)	(97)	(4,122)
Contractual interest income (expense), net	178	200	477	(219)
Total	515	(88)	716	(197,922)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	0		0	(262)
Variation Margin Settlement	485		520	(179,759)
Return (Recovery) of Basis	0		0	262
Mark-to-Market	(71)		(25)	(2,515)
Contractual interest income (expense), net	96		172	(1,395)
Total	510		667	(183,669)
Interest rate swaptions | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations				80
Variation Margin Settlement				0
Return (Recovery) of Basis				0
Mark-to-Market				0
Contractual interest income (expense), net				0
Total				80
Interest-Only Strips— accounted for as derivatives | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	0	0	0	(940)
Variation Margin Settlement	0	0	0	0
Return (Recovery) of Basis	(59)	(166)	(232)	(982)
Mark-to-Market	(90)	71	(124)	(512)
Contractual interest income (expense), net	82	200	305	1,176
Total	(67)	105	(51)	(1,258)
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	16	166	48	(9,550)
Variation Margin Settlement	0	0	0	0
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	56	(359)	52	(2,023)
Contractual interest income (expense), net	0	0	0	0
Total	$ 72	$ (193)	$ 100	(11,573)
TBAs | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations				(2,430)
Variation Margin Settlement				0
Return (Recovery) of Basis				0
Mark-to-Market				928
Contractual interest income (expense), net				0
Total				$ (1,502)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($)	Sep. 30, 2021	Dec. 31, 2020	Mar. 31, 2020
Interest rate swaps
Interest rate swaps and interest rate swaptions
Notional Amount	$ 22,000,000
Interest rate swaps | Fixed Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	22,000,000
Derivative, terminated			$ 3,100,000,000
Interest rate swaps | Variable Pay Rate
Interest rate swaps and interest rate swaptions
Notional Amount	56,500,000
Derivative, terminated			$ 1,900,000,000
Due From Counterparties
Interest rate swaps and interest rate swaptions
Collateral already posted, aggregate fair value	$ 1,400,000	$ 510,000

Derivative Instruments - Swap o

Derivative Instruments - Swap of Terms (Details) - Interest rate swaps	9 Months Ended
	Sep. 30, 2021USD ($)
Interest rate swaps and interest rate swaptions
Notional Amount	$ 22,000,000
Average  Fixed Pay Rate	1.20%
Average Variable Receive Rate	0.10%
Average Maturity (Years)	10 years
Greater than 5 years
Interest rate swaps and interest rate swaptions
Notional Amount	$ 22,000,000
Average  Fixed Pay Rate	1.20%
Average Variable Receive Rate	0.10%
Average Maturity (Years)	10 years

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Derivative Assets
Gross  Amounts	$ 1,302	$ 1,726
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	1,302	1,726
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	94	161
Gross amounts not offset in the consolidated balance sheets, financial instruments	(1,302)	(1,726)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	0	0
Derivative Liabilities and Repurchase Agreements
Gross amounts of derivative liability, fair value	562	656
Gross  amounts offset in the consolidated balance sheets, derivative liability, at fair value	0	0
Derivative liabilities, at fair value, net amounts of assets presented in consolidated balance sheets	562	656
Gross amounts not offset in the consolidated balance sheets, financial instruments, derivative liability, at fair value	(94)	(161)
Gross amounts not offset in the consolidated balance sheets, cash collateral, derivative liability, at fair value	(468)	(495)
Derivative liability, at fair value, net Amount	0	0
Gross amounts of repurchase agreements	483,268	356,923
Gross amounts offset in the consolidated balance sheets, repurchase agreements	0	0
Repurchase agreement, net amounts of assets presented in consolidated balance sheets	483,268	356,923
Gross amounts not offset in the consolidated balance sheets, financial instruments, repurchase agreements	(483,268)	(356,923)
Gross amounts not offset in the consolidated balance sheets, cash collateral, repurchase agreements	0	0
Repurchase agreements, net amount	0	0
Gross amounts of total liabilities	483,830	357,579
Gross amounts  offset in the consolidated balance  sheets, total liabilities	0	0
Total liabilities, net amounts of assets presented in consolidated balance sheets	483,830	357,579
Gross amounts not offset in the consolidated balance sheets, financial instruments, total liabilities	(483,362)	(357,084)
Total liabilities, net amount	0	0
Derivative liability, cash collateral pledged	1,400	510
Fair value of investments pledged against repurchase agreements	654,400	682,900
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
Derivative Assets
Gross  Amounts	1,208	1,565
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	1,208	1,565
Gross amounts not offset in the consolidated balance sheets, financial instruments	(1,208)	(1,565)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	0	0
Derivative asset, at fair value
Derivative Assets
Gross  Amounts	94	161
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	94	161
Gross amounts not offset in the consolidated balance sheets, financial instruments	(94)	(161)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	$ 0	$ 0

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Related Party Transactions
Management fees	$ 1,502	$ 1,513	$ 4,469	$ 3,016
Western Asset Management Company
Related Party Transactions
Management fees percentage			1.50%
Renewal term of management agreement period			1 year
Notice period to terminate the management agreement following initial term			180 days
Termination fee of management agreement			3
Prior period over which management fees were incurred used to calculate the termination fee under the management agreement			24 months
Notice period to terminate the management agreement for cause			30 days
Management fees	1,500	1,500	$ 4,500	3,000
Reimbursable employee costs	201	$ 211	1,500	$ 1,400
Management fees incurred but not yet paid	3,000		3,000		$ 3,000
Reimbursable employee costs incurred but not yet paid	$ 141		$ 141		$ 148
Western Asset Management Company | Minimum
Related Party Transactions
Proportion of affirmative votes by the entity's independent directors to terminate the management agreement percentage			67.00%
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage			67.00%

Share-Based Payments (Details)

Share-Based Payments (Details) $ / shares in Units, $ in Thousands	Jun. 25, 2021directorshares	Jun. 19, 2020directorshares	May 31, 2021director	Sep. 30, 2021USD ($)$ / sharesshares	Sep. 30, 2020USD ($)$ / sharesshares	Sep. 30, 2021USD ($)$ / sharesshares	Sep. 30, 2020USD ($)$ / sharesshares	Dec. 31, 2020USD ($)shares
Share-Based Payments
Shares authorized percentage				3.00%		3.00%
Number of shares remained available for issuance (in shares)				663,605		663,605
Stock-based compensation expense recognized | $				$ 165	$ 182	$ 453	$ 517
Common Stock Outstanding
Share-Based Payments
Number of shares remained available for issuance (in shares)				1,804,258		1,804,258
Equity awards
Share-Based Payments
Granted (in shares)						1,140,653
Unamortized compensation expense | $				$ 376		$ 376		$ 619
Shares Issued Under the Equity Incentive Plans
Granted (in shares)						1,140,653
Restricted common stock
Share-Based Payments
Granted (in shares)						140,566	128,163
Number of independent directors to whom awards were granted | director	4	5
Number of independent directors retired | director			1
Unvested restricted stock forfeited (in shares)						(25,455)	0
Vested (in shares)						137,820	67,480
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				117,160	199,275	117,160	199,275	202,365
Shares Issued Under the Equity Incentive Plans
Outstanding, beginning of period (in shares)						1,025,542	894,289
Granted (in shares)						140,566	128,163
Cancelled/forfeited (in shares)						(25,455)	0
Outstanding, end of period (in shares)				1,140,653	1,022,452	1,140,653	1,022,452
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares)				117,160	199,275	117,160	199,275	202,365
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares						$ 14.10	$ 15.76
Granted (in dollars per share) | $ / shares						5.21	2.80
Cancelled/forfeited (in dollars per share) | $ / shares						2.75	0
Outstanding at end of year (in dollars per share) | $ / shares				$ 13.26	$ 14.13	13.26	14.13
Weighted average grant date fair  value, Unvested at end of year (in dollars per share) | $ / shares				$ 5.62	$ 5.55	$ 5.62	$ 5.55
Restricted common stock | Director Deferred Fee Plan
Share-Based Payments
Granted (in shares)						59,406	888
Shares Issued Under the Equity Incentive Plans
Granted (in shares)						59,406	888
Restricted common stock | March 2021
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				0		0		36,000
Shares Issued Under the Equity Incentive Plans
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares)				0		0		36,000
Restricted common stock | June 2021
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				0		0		130,365
Shares Issued Under the Equity Incentive Plans
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares)				0		0		130,365
Restricted common stock | March 2022
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				36,000		36,000		36,000
Shares Issued Under the Equity Incentive Plans
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares)				36,000		36,000		36,000
Restricted common stock | June 2022
Summary of restricted common stock vesting dates
Shares Vesting (in shares)				81,160		81,160		0
Shares Issued Under the Equity Incentive Plans
Shares Issued Under the Equity Incentive Plans, Unvested at end of year (in shares)				81,160		81,160		0
Restricted common stock | Director
Share-Based Payments
Granted (in shares)	81,160	127,275
Awards granted to each of the entity's independent directors (in shares)	20,290	25,455
Unvested restricted stock forfeited (in shares)						(25,455)
Shares Issued Under the Equity Incentive Plans
Granted (in shares)	81,160	127,275
Cancelled/forfeited (in shares)						(25,455)

Stockholders' Equity (Details)

Stockholders' Equity (Details) - USD ($)	Sep. 23, 2021	Jun. 22, 2021	Mar. 23, 2021	Dec. 17, 2020	Sep. 22, 2020	Jul. 01, 2020	Mar. 31, 2020	Sep. 30, 2021	Dec. 31, 2020	Dec. 19, 2019	Dec. 21, 2017	Mar. 31, 2017
Shareholders equity
Shares authorized to be repurchased (in shares)										2,700,000	2,100,000
Stock repurchased during period (in shares)							100,000
Treasury stock, weighted average price (in dollars per share)							$ 5.78
Dividends, declared per share of common stock (in dollars per share)	$ 0.06	$ 0.06	$ 0.06	$ 0.06	$ 0.05
Dividends, cash paid per share of common stock (in dollars per share)		$ 0.06	$ 0.06	$ 0.06	$ 0.05
2022 Notes | Convertible Debt
Shareholders equity
Exchange of convertible senior notes (in shares)						1,354,084
Debt instrument, face amount						$ 5,000,000
Common Stock Outstanding | At The Market Offering
Shareholders equity
Equity offering amount, maximum												$ 100,000,000
Sale of stock (in shares)								0	6,034,741
Sale of stock, price per share (in dollars per share)									$ 3.70
Sale of stock, consideration received on transaction									$ 22,000,000

Net Income (loss) per Common _3

Net Income (loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Numerator:
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share	$ (4,213)	$ 59,807	$ (36,423)	$ (339,144)
Dividends and undistributed earnings allocated to participating securities, basic	24	353	65	16
Dividends and undistributed earnings allocated to participating securities, diluted	24	353	65	16
Net income (loss) allocable to common stockholders — basic and diluted, basic	(4,237)	59,454	(36,488)	(339,160)
Net income (loss) allocable to common stockholders — basic and diluted, diluted	$ (4,237)	$ 59,454	$ (36,488)	$ (339,160)
Denominator:
Weighted average common shares outstanding for basic earnings per share (in shares)	60,795,688	60,740,701	60,771,759	56,293,512
Weighted average common shares outstanding for diluted earnings per share (in shares)	60,795,688	60,740,701	60,771,759	56,293,512
Basic earnings (loss) per common share (in dollars per share)	$ (0.07)	$ 0.98	$ (0.60)	$ (6.02)
Diluted earnings (loss) per common share (in dollars per share)	$ (0.07)	$ 0.98	$ (0.60)	$ (6.02)

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Valuation Allowance [Line Items]
Current federal, state and local, tax expense (benefit)	$ (218)	$ 205	$ (19)	$ 367
Deferred tax assets, gross	20,600		20,600		$ 21,000
State Jurisdiction
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	18,800		18,800		19,300
State Jurisdiction | Taxable REIT Subsidiary
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	2,100		2,100		2,100
Capital Loss Carryforward
Valuation Allowance [Line Items]
Valuation allowances balance	20,600		20,600		21,000
Operating Loss Carryforwards
Valuation Allowance [Line Items]
Valuation allowances balance	$ 20,900		$ 20,900		$ 21,400

Subsequent Events (Details)

Subsequent Events (Details) - Residential Loan Warehouse Facility - USD ($)	Nov. 05, 2021	Oct. 06, 2020
Subsequent Event
Subsequent Event [Line Items]
Debt, target advance rate	90.00%
Line of credit facility, maximum borrowing capacity	$ 500,000,000
LIBOR
Subsequent Event [Line Items]
Debt instrument, basis spread on variable rate		2.75%
LIBOR | Subsequent Event
Subsequent Event [Line Items]
Debt instrument, basis spread on variable rate	2.00%
Debt instrument, variable rate floor	0.25%