Western Asset Mortgage Capital (WMC) 10-Q 9 Nov 22 2022 Q3 Quarterly report Financial data

Cover

Cover - shares	9 Months Ended
	Sep. 30, 2022	Nov. 09, 2022
Cover [Abstract]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2022
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	47 W 200 South, Suite 200
Entity Address, City or Town	Salt Lake City
Entity Address, State or Province	UT
Entity Address, Postal Zip Code	84101
City Area Code	801
Local Phone Number	952-3390
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)		6,038,010
Entity Central Index Key	0001465885
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	Q3

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands		Sep. 30, 2022	Dec. 31, 2021
Assets:
Cash and cash equivalents		$ 55,352	$ 40,193
Restricted cash		251	260
Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively)		1,099,625	1,023,502
Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively)		5,120	5,428
Securitized commercial loans, at fair value		1,171,914	1,355,808
Commercial loans, at fair value ($81,326 and $101,459 pledged as collateral, at fair value, respectively)		90,103	130,572
Investment related receivable		8,720	22,133
Interest receivable		11,324	11,823
Due from counterparties		3,215	4,565
Derivative assets, at fair value		262	105
Other assets		2,881	45,364
Total assets	[1]	2,606,305	2,825,700
Liabilities:
Repurchase agreements, net		218,941	617,189
Convertible senior unsecured notes, net		109,162	119,168
Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively)		2,159,862	1,863,488
Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively)		10,460	10,272
Derivative liability, at fair value		0	602
Accounts payable and accrued expenses		3,887	4,842
Payable to affiliate		3,353	1,925
Dividend payable		2,415	3,623
Other liabilities		262	262
Total liabilities	[2]	2,508,342	2,621,371
Commitments and contingencies (Note 15)
Stockholders’ Equity:
Common stock: $0.01 par value, 50,000,000 shares authorized, 6,038,010 and 6,038,010 outstanding, respectively		60	60
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding		0	0
Treasury stock, at cost, 57,981 and 57,981 shares held, respectively		(1,665)	(1,665)
Additional paid-in capital	[3]	919,106	918,695
Retained earnings (accumulated deficit)		(819,553)	(723,981)
Total Stockholders’ Equity		97,948	193,109
Non-controlling interest		15	11,220
Total Equity		97,963	204,329
Total Liabilities and Equity		2,606,305	2,825,700
VIE
Assets:
Cash and cash equivalents		236	266
Restricted cash		251	260
Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively)		1,099,625	1,023,502
Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively)		5,120	5,207
Securitized commercial loans, at fair value		1,171,914	1,355,808
Commercial loans, at fair value ($81,326 and $101,459 pledged as collateral, at fair value, respectively)		14,361	14,362
Investment related receivable		8,674	22,087
Interest receivable		10,191	10,572
Total assets		2,310,372	2,432,064
Liabilities:
Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively)		2,159,862	1,863,488
Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively)		8,209	6,480
Accounts payable and accrued expenses		69	78
Other liabilities		251	260
Total liabilities		2,168,391	1,870,306
Subtotal Agency MBS
Assets:
Securities, at fair value		720	1,172
Non-Agency MBS
Assets:
Securities, at fair value		118,508	133,127
Other securities
Assets:
Securities, at fair value		$ 38,310	$ 51,648
[1] September 30, December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 236 $ 266 Restricted cash 251 260 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial loans, at fair value ($14,361 and $14,362 pledged as collateral, at fair value, respectively) 14,361 14,362 Investment related receivable 8,674 22,087 Interest receivable 10,191 10,572 Total assets of consolidated VIEs $ 2,310,372 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively) $ 2,159,862 $ 1,863,488 Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively) 8,209 6,480 Accounts payable and accrued expenses 69 78 Other liabilities 251 260 Total liabilities of consolidated VIEs $ 2,168,391 $ 1,870,306 September 30, December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 236 $ 266 Restricted cash 251 260 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial loans, at fair value ($14,361 and $14,362 pledged as collateral, at fair value, respectively) 14,361 14,362 Investment related receivable 8,674 22,087 Interest receivable 10,191 10,572 Total assets of consolidated VIEs $ 2,310,372 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively) $ 2,159,862 $ 1,863,488 Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively) 8,209 6,480 Accounts payable and accrued expenses 69 78 Other liabilities 251 260 Total liabilities of consolidated VIEs $ 2,168,391 $ 1,870,306

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets Pledged	$ 5,120	$ 5,207
Commercial loans, at fair value	81,326	101,459
Secured debt, held by affiliates	2,159,862	1,863,488
Interest payable	$ 10,460	$ 10,272
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	50,000,000	50,000,000
Common stock, shares outstanding (in shares)	6,038,010	6,038,010
Common stock, shares issued (in shares)	6,038,010	6,038,010
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)	57,981	57,981,000
VIE
Fair value of collateral, residential home loans	$ 1,099,625	$ 1,023,502
Assets Pledged	5,120	5,207
Commercial loans, at fair value	14,361	14,362
Secured debt, held by affiliates	2,159,862	1,863,488
Interest payable	8,209	6,480
Affiliated Entity
Securitized debt, at fair value	1,808,397	1,344,370
Secured debt, held by affiliates	155,135	180,116
Interest payable	694	699
Subtotal Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral	233	1,172
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral	109,607	123,947
Other securities
Fair value of mortgage-backed securities and other securities pledged as collateral	$ 38,310	$ 51,648

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Net Interest Income
Interest income		$ 41,406	$ 40,141	$ 116,625	$ 127,353
Interest expense (includes $3,493, $3,564, $10,412 and $10,919 on securitized debt held by affiliates, respectively)		35,707	32,978	100,408	104,352
Net Interest Income		5,699	7,163	16,217	23,001
Other Income (Loss)
Realized loss, net		(35)	(1,526)	(33,551)	(7,367)
Unrealized loss, net		(43,582)	(6,003)	(66,300)	(39,271)
Gain on derivative instruments, net		4,882	515	16,599	716
Other, net		(61)	277	(252)	449
Other Income (Loss)		(38,796)	(6,737)	(83,504)	(45,473)
Expenses
Management fee to affiliate		850	1,502	2,952	4,469
Other operating expenses		343	352	901	1,172
Transaction costs		2,635	954	5,590	954
General and administrative expenses:
Compensation expense		515	626	1,143	1,985
Professional fees		1,626	947	4,434	2,864
Other general and administrative expenses		676	747	2,049	2,793
Total general and administrative expenses		2,817	2,320	7,626	7,642
Total Expenses		6,645	5,128	17,069	14,237
Loss before income taxes		(39,742)	(4,702)	(84,356)	(36,709)
Income tax provision (benefit)		266	(218)	276	(19)
Net loss		(40,008)	(4,484)	(84,632)	(36,690)
Net income (loss) attributable to non-controlling interest		2	(271)	3,618	(267)
Net loss attributable to common stockholders and participating securities		$ (40,010)	$ (4,213)	$ (88,250)	$ (36,423)
Net loss per Common Share — Basic (in dollars per share)	[1]	$ (6.63)	$ (0.70)	$ (14.63)	$ (6)
Net loss per Common Share — Diluted (in dollars per share)	[1]	$ (6.63)	$ (0.70)	$ (14.63)	$ (6)
[1]Amounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2 and Note 12 for additional details

Consolidated Statements of Op_2

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Interest expense	$ 35,707	$ 32,978	$ 100,408	$ 104,352
Affiliated Entity
Interest expense	$ 3,493	$ 3,564	$ 10,412	$ 10,919

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, 2020	[1]			6,081,270
Beginning balance at Dec. 31, 2020		$ 255,114	$ 255,112	$ 60		$ 916,007	[1]	$ (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	[1]
Exchange of phantom stock to common stock (in shares)	[1]			4,721
Offering costs		(68)	(68)			(68)	[1]
Vesting of restricted stock		454	454			454	[1]
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	[1]	(11,008)
Ending balance (in shares) at Sep. 30, 2021	[1]			6,085,991
Ending balance at Sep. 30, 2021		222,053	210,186	$ 60		918,512	[1]	(707,808)	(578)	11,867
Beginning balance (in shares) at Jun. 30, 2021	[1]			6,081,270
Beginning balance at Jun. 30, 2021		215,895	215,893	$ 60		916,331	[1]	(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	[1]
Exchange of phantom stock to common stock (in shares)	[1]			4,721
Offering costs		(68)	(68)			(68)	[1]
Vesting of restricted stock		165	165			165	[1]
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	[1]	(3,675)
Ending balance (in shares) at Sep. 30, 2021	[1]			6,085,991
Ending balance at Sep. 30, 2021		$ 222,053	210,186	$ 60		918,512	[1]	(707,808)	(578)	11,867
Beginning balance (in shares) at Dec. 31, 2021		6,038,010		6,038,010	[1]
Beginning balance at Dec. 31, 2021		$ 204,329	193,109	$ 60		918,695	[1]	(723,981)	(1,665)	11,220
Increase (Decrease) in Stockholders' Equity
Equity contributions		(14,817)								(14,817)
Vesting of restricted stock		335	335			335
Net income (loss)		(84,632)	(88,250)					(88,250)		3,618
Dividends declared on non-controlling interest		(6)								(6)
Dividends declared on common stock		$ (7,246)	(7,246)			76		(7,322)
Ending balance (in shares) at Sep. 30, 2022		6,038,010		6,038,010	[1]
Ending balance at Sep. 30, 2022		$ 97,963	97,948	$ 60		919,106	[1]	(819,553)	(1,665)	15
Beginning balance (in shares) at Jun. 30, 2022		60,380,105		6,038,010	[1]
Beginning balance at Jun. 30, 2022		$ 140,338	140,274	$ 60		918,974	[1]	(777,095)	(1,665)	64
Increase (Decrease) in Stockholders' Equity
Equity distribution		(49)								(49)
Vesting of restricted stock		100	100			100	[1]
Net income (loss)		(40,008)	(40,010)					(40,010)		2
Dividends declared on non-controlling interest		(2)								(2)
Dividends declared on common stock		$ (2,416)	(2,416)			32	[1]	(2,448)
Ending balance (in shares) at Sep. 30, 2022		6,038,010		6,038,010	[1]
Ending balance at Sep. 30, 2022		$ 97,963	$ 97,948	$ 60		$ 919,106	[1]	$ (819,553)	$ (1,665)	$ 15
[1]Amounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2 and Note 12 for additional details

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021
Cash flows from operating activities:
Net loss	$ (84,632)	$ (36,690)
Adjustments to reconcile net loss to net cash provided by operating activities:
Premium amortization and (discount accretion), net	2,492	145
Interest income earned added to principal of investments	(79)	(310)
Amortization of deferred financing costs	1,938	3,935
Amortization of discount on convertible senior unsecured notes	648	712
Restricted stock amortization	335	453
Premium on purchase of residential whole loans	(6,619)	(10,281)
Unrealized loss, net	66,300	39,271
Realized loss on extinguishment of convertible senior notes	134	1,337
Realized gain on sale of real estate owned ("REO")	(12,198)	(54)
Unrealized (gain) loss on derivative instruments, net	(3,793)	97
Realized loss on investments, net	45,615	6,084
Loss on derivatives, net	1,762	0
Loss on foreign currency transactions, net	1	0
Changes in operating assets and liabilities:
Interest receivable	499	2,496
Investment related receivable	0	(704)
Other assets	0	(973)
Interest payable	188	(4,243)
Accounts payable and accrued expenses	(953)	60
Payable to affiliate	1,428	(38)
Other liabilities	7	1
Net cash provided by operating activities	13,073	1,298
Cash flows from investing activities:
Purchase of securities	(39,952)	0
Proceeds from sale of securities	42,287	0
Proceeds from sale of REO	54,681	738
Principal repayments and basis recovered on securities	6,704	14,685
Purchase of residential whole loans	(405,298)	(233,041)
Proceeds from sale of residential whole loans	11,735	0
Principal repayments on residential whole loans	206,660	313,661
Principal repayments on commercial loans	20,593	103,272
Principal repayments on securitized commercial loans	0	354,202
Principal repayments on residential bridge loans	366	7,052
Premium for credit default swaps, net	(347)	0
Net settlements of TBAs	2,051	0
Proceeds from sale of interest rate swaptions, net	312	0
Due from counterparties	460	50
Premium for interest rate swaptions, net	(473)	0
Net cash (used in) provided by investing activities	(100,221)	560,619
Cash flows from financing activities:
Payment of offering costs	(2)	(86)
Proceeds from issuance of convertible senior unsecured notes	0	86,250
Payments on extinguishment of convertible senior unsecured notes	(11,690)	(128,645)
Proceeds from repurchase agreement borrowings	3,164,451	2,527,530
Repayments of repurchase agreement borrowings	(3,562,699)	(2,403,068)
Proceeds from securitized debt	742,432	0
Repayments of securitized debt	(207,799)	(597,221)
Payments made for deferred financing costs	0	(2,536)
Due from counterparties, net	890	(565)
Due to counterparties, net	0	(321)
Decrease in other liabilities	(9)	(75,873)
Equity distributions to non-controlling interest	(14,817)	0
Dividends paid on common stock	(8,454)	(10,947)
Dividends paid to non-controlling interest	(4)	(4)
Net cash provided by (used in) financing activities	102,299	(605,486)
Effect of exchange rate changes on cash and cash equivalents	(1)	0
Net increase (decrease) in cash, cash equivalents and restricted cash	15,150	(43,569)
Cash, cash equivalents and restricted cash, beginning of period	40,453	107,745
Cash, cash equivalents and restricted cash, end of period	55,603	64,176
Supplemental disclosure of operating cash flow information:
Interest paid	79,700	87,658
Income taxes paid	50	192
Supplemental disclosure of non-cash financing/investing activities:
Underwriting and offering costs payable	0	6
Dividends and distributions declared, not paid	2,415	3,651
Dividends to non-controlling interest, not paid	2	2
Principal payments of residential whole loans, not settled	8,674	22,621
Principal payments of residential bridge loans, not settled	46	1,715
Other assets - transfer of bridge loans to REO	0	752
Other assets - Transfer of Commercial Loans to REO	0	30,345
Other assets - Contribution of REO from non-controlling interest	0	12,138
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets:
Cash and cash equivalents	55,352	63,916
Restricted cash	251	260
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows	$ 55,603	$ 64,176

Organization

Organization	9 Months Ended
	Sep. 30, 2022
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 portfolio of real estate related securities, Whole Loans and other financial assets. The Company’s current portfolio is comprised of Non-Qualified ("Non-QM") Residential Whole Loans, Non-Agency RMBS, Commercial Loans, Non-Agency CMBS and to a lesser extent Agency RMBS, GSE Risk Transfer Securities, Residential Bridge Loans, 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 Company's current investment strategy will focus on residential real estate related investments, including but not limited to non-qualified mortgage loans, Non-Agency RMBS, and other related investments. The Manager will vary the allocation among these 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-qualified 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”). 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. On August, 4, 2022, the Company announced that its Board of Directors had authorized a review of strategic alternatives for the Company aimed at enhancing shareholder value, which may include a sale or merger of the Company. JMP Securities, A Citizens Company, was retained as exclusive financial advisor to the Company. No assurance can be given that the review being undertaken will result in a sale, merger, or other transaction sale or other business combination involving the Company, and the Company has not set a timetable for completion of the review process. As previously announced, the Company does not intend to make any further statements regarding this process unless and until a definitive agreement for a transaction has been reached, or until the process of exploring strategic alternatives has ended.

Basis of Presentation and Summa

Basis of Presentation and Summary of Significant Accounting Policies	9 Months Ended
	Sep. 30, 2022
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 consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for- ten reverse stock split, which was effected on July 11, 2022. The results of operations for the period ended September 30, 2022 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, 2021, filed with the SEC on March 8, 2022. 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. Reverse Stock Split Our amended and restated certificate of incorporation as of June 30, 2022, authorizes the Company to issue a total of 600,000,000 shares of capital stock, consisting of 500,000,000 shares of common stock, par value $0.01 per share, and 100,000,000 shares of preferred stock, par value $0.01 per share. Following approval by the Company’s stockholders of a reverse stock split between a range of 1-for-5 and 1-for-10 of currently outstanding shares of the Company’s common stock, on June 30, 2022, the Company's board of directors selected a one-for-ten reverse stock split ratio. The one-for-ten reverse stock split was effected on July 11, 2022, which reduced the total number of authorized shares of common stock from 500,000,000 to 50,000,000 and the total number of issued and outstanding shares from 60,380,105 to 6,038,010. The par value per share of our common stock remained unchanged at $0.01. All per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. Our stockholders' equity, in the aggregate, remains unchanged. Per share net income or loss increased because there are fewer shares of common stock outstanding. The common stock held in treasury was reduced in proportion to the reverse stock split ratio. There were no other accounting consequences, including changes to the amount of stock-based compensation expense to be recognized in any period, that arose as a result of the reverse stock split. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock the business day prior to the effective date. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. 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. 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, 2021. Recently adopted accounting pronouncements Description Adoption 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 adoption of this standard did not have a material impact on the Company's consolidated financial statements due to the limited nature of such transactions. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements 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 will elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 no later than December 31, 2022. With respect to contracts within the scope of Topics 310, Receivables, and 470, Debt, the company intends to account for these as continuations of existing contracts by prospectively adjusting the effective interest rates as modified.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021, based upon the valuation hierarchy (dollars in thousands): September 30, 2022 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 52 $ 52 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 668 668 Subtotal Agency MBS — — 720 720 Non-Agency CMBS — 88,822 — 88,822 Non-Agency RMBS — 28,513 — 28,513 Non-Agency RMBS Interest-only strips — — 1,173 1,173 Subtotal Non-Agency MBS — 117,335 1,173 118,508 Other securities — 38,310 — 38,310 Total mortgage-backed securities and other securities — 155,645 1,893 157,538 Residential whole loans — — 1,099,625 1,099,625 Residential bridge loans — — 5,120 5,120 Securitized commercial loans — — 1,171,914 1,171,914 Commercial loans — — 90,103 90,103 Derivative assets — 262 — 262 Total Assets $ — $ 155,907 $ 2,368,655 $ 2,524,562 Liabilities Securitized debt $ — $ 1,798,511 $ 9,886 $ 1,808,397 Total Liabilities $ — $ 1,798,511 $ 9,886 $ 1,808,397 December 31, 2021 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 114 $ 114 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 1,058 1,058 Subtotal Agency MBS — — 1,172 1,172 Non-Agency CMBS — 99,630 5,728 105,358 Non-Agency RMBS — 25,652 — 25,652 Non-Agency RMBS Interest-only strips — — 2,117 2,117 Subtotal Non-Agency MBS — 125,282 7,845 133,127 Other securities — 51,648 — 51,648 Total mortgage-backed securities and other securities — 176,930 9,017 185,947 Residential whole loans — — 1,023,502 1,023,502 Residential bridge loans — — 5,428 5,428 Securitized commercial loan — — 1,355,808 1,355,808 Commercial loans — — 130,572 130,572 Derivative assets — 105 — 105 Total Assets $ — $ 177,035 $ 2,524,327 $ 2,701,362 Liabilities Derivative liabilities $ — $ 602 $ — $ 602 Securitized debt — 1,329,451 14,919 1,344,370 Total Liabilities $ — $ 1,330,053 $ 14,919 $ 1,344,972 The fair value of financial instruments is determined by the Manager in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. 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. Residential whole loans and residential bridge loans In determining the fair value of the Company's residential whole loans and residential bridge loans, the Company considers data such as; loan origination information, borrower credit information, loan servicing data (as available), forward interest rates, general economic conditions, home price index forecasts, and monthly valuations of the underlying properties. The assumptions considered most significant to the determination of the fair value of the Company's mortgage loans include market discount rates, projected of default rates, projected prepayment rates, and loss severity. Projections of default and prepayment rates are impacted by other variables such as re-performance rates and timeline to liquidation. The Company uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans, and with the inherent uncertainty of such valuation, the fair values established for whole loans and bridge loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these mortgage loans, as such, the Company classifies its residential whole loans and residential bridge loans as Level III. Mortgage-backed securities and other securities Fair values for the Company’s mortgage-backed 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 and SOFR, the Constant Maturity Treasury rate, and the prime rate as a benchmark yield. In addition, the mode l 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. 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. 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 executions. Their valuation methodology incorporates commonly used market pricing methods, tuned to consider the most significant inputs and weighted assumptions to determine the fair value of the Company's commercial loans. The assumptions made by the independent third party pricing vendor include market discount rates, projected default rates, projected prepayment rates, and loss severity, along with more definable underwriting assumptions, such as; credit documentation, initial loan to value of collateral, geographic diversity, and realized prepayment speeds. The Manager reviews the analysis provided by the pricing service, with a primary focus on the rationale for weighted valuation probabilities relating to unobservable inputs, such as the market discount rate and weighted average life. Due to inherent uncertainty of such valuations, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a larger, more actively traded market existed for these individual loans. For all securities and loans, if neither a pricing service, nor broker quote valuations are available, the Company determines the fair value using internal models of the Manager, which are reviewed and approved by the Pricing Committee of the Manager. Accordingly, the Company's commercial loans are all classified as 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 lim ited 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, 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, 2022 and December 31, 2021. See Note 8 for more information. 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 unobse rvable 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, 2022 and December 31, 2021 (dollars in thousands): Fair Value at Range September 30, 2022 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential whole loans $ 1,099,625 Discounted Cash Flow Market Discount Rate 6.4 % 7.6 % 7.1 % Weighted Average Life 1.8 10.6 5.7 Residential bridge loans $ 5,120 Discounted Cash Flow Market Discount Rate 12.9 % 35.7 % 20.7 % Weighted Average Life 0.4 4.1 2.1 Commercial loans $ 90,103 Discounted Cash Flow Market Discount Rate 2.3 % 9.1 % 8.0 % Weighted Average Life 0.2 7.1 2.0 Fair Value at Range December 31, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential whole loans $ 1,023,502 Discounted Cash Flow Market Discount Rate 2.6 % 7.5 % 3.5 % Weighted Average Life 1.4 8.9 3.1 Residential bridge loans $ 5,428 Discounted Cash Flow Market Discount Rate 9.8 % 23.1 % (1) 17.2 % Weighted Average Life 0.3 3.6 2.4 Commercial loans $ 130,572 Discounted Cash Flow Market Discount Rate 4.5 % 21.7 % 9.3 % Weighted Average Life 0.5 2.8 1.2 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, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — (11,735) — — — — Loan modifications / capitalized interest — — 4 — — — — Principal repayments — — (37,036) — (20,588) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (33) — — — — Unrealized gains/(losses), net on assets (1) (63) 88 (46,545) 25 (17,730) (78,046) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (3,863) Premium and discount amortization, net (2) (96) (883) — — 6,589 (1,170) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (63) $ 88 $ (35,855) $ 25 $ (17,730) $ (78,046) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 3,863 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) Nine months ended September 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,172 $ 7,845 $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 402,650 — — — — Sales and settlements — — (11,362) — — — — Loan modifications / capitalized interest — — 79 — — — — Principal repayments — — (184,683) (250) (20,593) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (32) — — — — Unrealized gains/(losses), net on assets (1) (329) (998) (125,943) (58) (19,876) (203,828) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (2,064) Premium and discount amortization, net (123) (237) (4,586) — — 19,934 (2,969) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (329) $ (644) $ (107,944) $ 17 $ (19,884) $ (203,828) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 2,064 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) (1) Gains and losses are included in "Unrealized loss, net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized loss, net" in the Consolidated Statements of Operations. Transfers into the Level 3 category of the fair value hierarchy occur due to the above segmented classes of investments exhibiting indications of reduced levels of market transparency, including changes in observable transactions or executable quotes involving these investments or similar classes of investments. Changes in these indications could impact price transparency, and thereby cause a change in level designations. 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, 2022 and September 30, 2021. Other Fair Value Disclosures The Company's repurchase agreement borrowings, convertible senior unsecured notes, and securitized debt from the Arroyo 2019-2 and Arroyo 2020-1 trusts are not carried at fair value in the consolidated financial statements. Borrowings under repurchase agreements The fair values of the Company's repurchase agreements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market and the short-term maturities of generally one year or less. The Company's repurchase agreements are classified as Level II. Convertible senior unsecured notes The fair values of the convertible senior unsecured notes are based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes were classified as Level I. The following table presents the carrying value and estimated fair value of the Company’s convertible senior unsecured notes and securitized debt that are not carried at fair value as of September 30, 2022 and December 31, 2021 in the consolidated financial statements (dollars in thousands): September 30, 2022 December 31, 2021 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Liabilities Convertible senior unsecured notes $ 109,162 $ 101,548 $ 119,168 $ 122,133 Securitized debt (1) 355,960 332,574 524,649 528,046 Total $ 465,122 $ 434,122 $ 643,817 $ 650,179 (1) Carrying value excludes $4.5 million and $5.5 million of deferred financing costs as of September 30, 2022 and December 31, 2021, respectively. "Due from counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value.

Mortgage-Backed Securities and

Mortgage-Backed Securities and other securities	9 Months Ended
	Sep. 30, 2022
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 $ — $ — $ 52 $ — $ 52 Agency RMBS Interest-Only Strips accounted for as derivatives — 668 — — 668 Subtotal Agency — 668 52 — 720 Non-Agency CMBS 66,003 12,254 10,565 — 88,822 Non-Agency RMBS — — 9,273 19,240 28,513 Non-Agency RMBS Interest- Only Strips — — 199 974 1,173 Subtotal Non-Agency 66,003 12,254 20,037 20,214 118,508 Other securities 6,526 3,869 19,684 8,231 38,310 Total $ 72,529 $ 16,791 $ 39,773 $ 28,445 $ 157,538 December 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ — $ 114 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,058 — — 1,058 Subtotal Agency — 1,058 114 — 1,172 Non-Agency CMBS 66,384 17,644 21,171 159 105,358 Non-Agency RMBS — — 10,282 15,370 25,652 Non-Agency RMBS Interest- Only Strips — — 106 2,011 2,117 Subtotal Non-Agency 66,384 17,644 31,559 17,540 133,127 Other securities 9,255 4,266 25,653 12,474 51,648 Total $ 75,639 $ 22,968 $ 57,326 $ 30,014 $ 185,947 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 52 $ (4) 1 $ — $ — — $ 52 $ (4) 1 Subtotal Agency 52 (4) 1 — — — 52 (4) 1 Non-Agency CMBS $ — $ — — $ 79,850 $ (19,029) 11 $ 79,850 $ (19,029) 11 Non-Agency RMBS 15,141 (3,721) 7 169 (55) 1 15,310 (3,776) 8 Non-Agency RMBS Interest-Only Strips — — — 1,172 (4,134) 4 1,172 (4,134) 4 Subtotal Non-Agency 15,141 (3,721) 7 81,191 (23,218) 16 96,332 (26,939) 23 Other securities 24,720 (5,327) 4 3,869 (521) 2 28,589 (5,848) 6 Total $ 39,913 $ (9,052) 12 $ 85,060 $ (23,739) 18 $ 124,973 $ (32,791) 30 December 31, 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 $ — $ — — $ 96,080 $ (62,716) 16 $ 96,080 $ (62,716) 16 Non-Agency RMBS — — — 201 (35) 1 201 (35) 1 Non-Agency RMBS Interest-Only Strips — — — 2,117 (3,491) 4 2,117 (3,491) 4 Subtotal Non-Agency — — — 98,398 (66,242) 21 98,398 (66,242) 21 Other securities — — — 9,022 (213) 4 9,022 (213) 4 Total $ — $ — — $ 107,420 $ (66,455) 25 $ 107,420 $ (66,455) 25 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, 2022 and September 30, 2021, respectively (dollars in thousands): Three months ended September 30, 2022 Three months ended September 30, 2021 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 2 $ 2 $ 11 $ (7) $ 4 Non-Agency CMBS 1,949 387 2,336 2,621 1,669 4,290 Non-Agency RMBS 446 26 472 609 (240) 369 Other securities 860 185 1,045 1,043 (270) 773 Total $ 3,255 $ 600 $ 3,855 $ 4,284 $ 1,152 $ 5,436 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ 13 $ (4) $ 9 $ 38 $ (26) $ 12 Non-Agency CMBS 7,050 386 7,436 7,171 6,230 13,401 Non-Agency RMBS 1,804 (141) 1,663 1,762 (704) 1,058 Other securities 2,515 223 2,738 3,717 (1,214) 2,503 Total $ 11,382 $ 464 $ 11,846 $ 12,688 $ 4,286 $ 16,974 There were no sales of mortgage-backed securities during the three months ended September 30, 2022. The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2022 and September 30, 2021, respectively (dollars in thousands): Three months ended September 30, 2022 Three months ended September 30, 2021 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ — $ — $ — $ — $ — $ — Non-Agency RMBS — — — — — — — — Other securities — — — — — — — — Total $ — $ — $ — $ — $ — $ — $ — $ — Nine months ended September 30, 2022 Nine months ended September 30, 2021 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS (1) $ 10,152 $ — $ (43,934) $ (43,934) $ — $ — $ (5,929) $ (5,929) Non-Agency RMBS 27,729 255 (1,425) (1,170) — — — — Other securities 4,406 — (478) (478) — — — — Total $ 42,287 $ 255 $ (45,837) $ (45,582) $ — $ — $ (5,929) $ (5,929) (1) The 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 September 30, 2022 and December 31, 2021, the Company held two and five 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, 2022 and December 31, 2021, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $17.1 million and $26.5 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, 2022 and December 31, 2021, 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1) (2) N/A N/A $ 56 $ — $ (4) $ 52 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 668 0.7 % Total Agency MBS — — 56 — (4) 720 0.6 % Non-Agency RMBS 45,569 (14,848) 30,721 1,568 (3,776) 28,513 4.2 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,307 — (4,134) 1,173 0.3 % Subtotal Non-Agency RMBS 45,569 (14,848) 36,028 1,568 (7,910) 29,686 1.1 % Non-Agency CMBS 110,115 (2,993) 107,122 729 (19,029) 88,822 7.4 % Total Non-Agency MBS 155,684 (17,841) 143,150 2,297 (26,939) 118,508 3.4 % Other securities (3) 46,493 (8,510) 42,942 1,216 (5,848) 38,310 7.1 % Total $ 202,177 $ (26,351) $ 186,148 $ 3,513 $ (32,791) $ 157,538 3.8 % December 31, 2021 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 59 $ 55 $ — $ 114 1.3 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,058 1.3 % Total Agency MBS — — 59 55 — 1,172 1.3 % Non-Agency RMBS 36,147 (13,936) 22,211 3,476 (35) 25,652 4.3 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,608 — (3,491) 2,117 0.3 % Subtotal Non-Agency RMBS 36,147 (13,936) 27,819 3,476 (3,526) 27,769 1.0 % Non-Agency CMBS 179,619 (13,088) 166,531 1,543 (62,716) 105,358 5.4 % Total Non-Agency MBS 215,766 (27,024) 194,350 5,019 (66,242) 133,127 3.0 % Other securities (3) 51,159 (8,229) 47,652 4,209 (213) 51,648 5.6 % Total $ 266,925 $ (35,253) $ 242,061 $ 9,283 $ (66,455) $ 185,947 3.2 % (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, 2022, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.5 million, $146.7 million, and $13.8 million, respectively. At December 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.9 million, $181.0 million, and $16.8 million, respectively. (2) Interest on these securities is reported as a component of "Gain on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $5.0 million and $4.7 million, as of September 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, the weighted average expected remaining term of the MBS and other securities investment portfolio was 7.2 years and 5.9 years, respectively. The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2022 and December 31, 2021 (dollars in thousands) : September 30, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 52 $ — $ 52 Agency RMBS Interest-Only Strips accounted for as derivatives — 668 — — 668 Subtotal Agency — 668 52 — 720 Non-Agency CMBS 66,003 12,254 10,565 — 88,822 Non-Agency RMBS — — 9,273 19,240 28,513 Non-Agency RMBS Interest- Only Strips — — 199 974 1,173 Subtotal Non-Agency 66,003 12,254 20,037 20,214 118,508 Other securities 6,526 3,869 19,684 8,231 38,310 Total $ 72,529 $ 16,791 $ 39,773 $ 28,445 $ 157,538 December 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ — $ 114 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,058 — — 1,058 Subtotal Agency — 1,058 114 — 1,172 Non-Agency CMBS 66,384 17,644 21,171 159 105,358 Non-Agency RMBS — — 10,282 15,370 25,652 Non-Agency RMBS Interest- Only Strips — — 106 2,011 2,117 Subtotal Non-Agency 66,384 17,644 31,559 17,540 133,127 Other securities 9,255 4,266 25,653 12,474 51,648 Total $ 75,639 $ 22,968 $ 57,326 $ 30,014 $ 185,947 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 52 $ (4) 1 $ — $ — — $ 52 $ (4) 1 Subtotal Agency 52 (4) 1 — — — 52 (4) 1 Non-Agency CMBS $ — $ — — $ 79,850 $ (19,029) 11 $ 79,850 $ (19,029) 11 Non-Agency RMBS 15,141 (3,721) 7 169 (55) 1 15,310 (3,776) 8 Non-Agency RMBS Interest-Only Strips — — — 1,172 (4,134) 4 1,172 (4,134) 4 Subtotal Non-Agency 15,141 (3,721) 7 81,191 (23,218) 16 96,332 (26,939) 23 Other securities 24,720 (5,327) 4 3,869 (521) 2 28,589 (5,848) 6 Total $ 39,913 $ (9,052) 12 $ 85,060 $ (23,739) 18 $ 124,973 $ (32,791) 30 December 31, 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 $ — $ — — $ 96,080 $ (62,716) 16 $ 96,080 $ (62,716) 16 Non-Agency RMBS — — — 201 (35) 1 201 (35) 1 Non-Agency RMBS Interest-Only Strips — — — 2,117 (3,491) 4 2,117 (3,491) 4 Subtotal Non-Agency — — — 98,398 (66,242) 21 98,398 (66,242) 21 Other securities — — — 9,022 (213) 4 9,022 (213) 4 Total $ — $ — — $ 107,420 $ (66,455) 25 $ 107,420 $ (66,455) 25 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, 2022 and September 30, 2021, respectively (dollars in thousands): Three months ended September 30, 2022 Three months ended September 30, 2021 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 2 $ 2 $ 11 $ (7) $ 4 Non-Agency CMBS 1,949 387 2,336 2,621 1,669 4,290 Non-Agency RMBS 446 26 472 609 (240) 369 Other securities 860 185 1,045 1,043 (270) 773 Total $ 3,255 $ 600 $ 3,855 $ 4,284 $ 1,152 $ 5,436 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ 13 $ (4) $ 9 $ 38 $ (26) $ 12 Non-Agency CMBS 7,050 386 7,436 7,171 6,230 13,401 Non-Agency RMBS 1,804 (141) 1,663 1,762 (704) 1,058 Other securities 2,515 223 2,738 3,717 (1,214) 2,503 Total $ 11,382 $ 464 $ 11,846 $ 12,688 $ 4,286 $ 16,974 There were no sales of mortgage-backed securities during the three months ended September 30, 2022. The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2022 and September 30, 2021, respectively (dollars in thousands): Three months ended September 30, 2022 Three months ended September 30, 2021 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ — $ — $ — $ — $ — $ — Non-Agency RMBS — — — — — — — — Other securities — — — — — — — — Total $ — $ — $ — $ — $ — $ — $ — $ — Nine months ended September 30, 2022 Nine months ended September 30, 2021 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS (1) $ 10,152 $ — $ (43,934) $ (43,934) $ — $ — $ (5,929) $ (5,929) Non-Agency RMBS 27,729 255 (1,425) (1,170) — — — — Other securities 4,406 — (478) (478) — — — — Total $ 42,287 $ 255 $ (45,837) $ (45,582) $ — $ — $ (5,929) $ (5,929) (1) The 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 September 30, 2022 and December 31, 2021, the Company held two and five 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, 2022 and December 31, 2021, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $17.1 million and $26.5 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, 2022 and December 31, 2021, 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, 2022
Variable Interest Entities
Residential Whole Loans and Bridge Loans	Residential Whole Loans and Bridge Loans Residential whole-loan trusts Revolving Mortgage Investment Trust 2015-1QR2 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was formed to acquire Non-QM residential whole loans. RMI 2015 Trust 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM 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. As of September 30, 2022 and December 31, 2021, the RMI 2015 Trust owned eight and 770 Non-QM residential whole loans with a fair value of $5.8 million and $451.7 million, respectively. The loans are financed under the Company's residential whole loan facility, and the Company holds the financing liability outside the RMI 2015 Trust. Refer to Note 7 - Financings for details. Arroyo Mortgage Trust 2019-2 In May 2019, the Company formed Arroyo Mortgage Trust 2019-2 ("Arroyo Trust 2019"), a wholly-owned subsidiary of the Company, to complete its first residential mortgage-backed securitization comprised of $945.5 million of Non-QM residential whole loans. The Arroyo Trust 2019 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM residential whole loans in "Residential whole loans, at fair value" in the Consolidated Balance Sheets and eliminated the intercompany Owner Certificates in consolidation. As of September 30, 2022 and December 31, 2021, the Arroyo Trust 2019 owned 793 and 1,042 Non-QM residential whole loans with a fair value of $241.2 million and $374.3 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, the Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to complete its second residential mortgage-backed securitization comprised of $355.8 million of Non-QM residential whole loans. The Arroyo Trust 2020 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM residential whole loans in "Residential whole loans, at fair value" in the Consolidated Balance Sheets and eliminated the intercompany Owner Certificates. As of September 30, 2022, and December 31, 2021, the Arroyo Trust 2020 owned 440 and 543 No n-QM residential whole loans with a fair value o f $135.5 million and $195.7 million, respect ively. Arroyo Mortgage Trust 2022-1 In February 2022, the Company formed Arroyo Mortgage Trust 2022-1 ("Arroyo Trust 2022-1"), a wholly-owned subsidiary of the Company, to complete its third residential mortgage-backed securitization comprised of $432.0 million of Non-QM residential whole loans. The Arroyo Trust 2022-1 issued $398.9 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM residential whole loans in "Residential whole loans, at fair value" in the Consolidated Balance Sheets and eliminated the intercompany Owners Certificates . As of September 30, 2022, the Arroyo Trust 2022-1 owned 711 Non-QM residential whole loans with a fair value of $350.1 million. The Company has elected the fair value option for the securitized debt. The fair values for the Company’s Non-QM loans held in the Arroyo Trust 2022-1 are measured using the fair value of the securitized debt based on the CFE valuation methodology. The Company determined that the securitized debt is more actively traded and, therefore, more observable. Arroyo Mortgage Trust 2022-2 In July 2022, the Company formed Arroyo Mortgage Trust 2022-2 ("Arroyo Trust 2022-2"), a wholly-owned subsidiary of the Company, to complete its fourth residential mortgage-backed securitization comprised of $402.2 million of Non-QM residential whole loans. The Arroyo Trust 2022-2 issued $351.9 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. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM residential whole loans in "Residential whole loans, at fair value" in the Consolidated Balance Sheets and eliminated the intercompany Owners Certificates . As of September 30, 2022, the Arroyo Trust 2022-2 owned 1,038 Non-QM residential whole loans with a fair value of $365.6 million. The Company has elected the fair value option for the securitized debt. The fair values for the Company’s Non-QM loans held in the Arroyo Trust 2022-2 are measured using the fair value of the securitized debt based on the CFE valuation methodology. The Company determined that the securitized debt is more actively traded and, therefore, more observable. Residential bridge loan trust In February 2017, the Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") to acquire Residential Bridge Loans. RMI 2017 Trust issued a trust certificate that is wholly-owned by the Company and 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 consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company has eliminated the intercompany trust certificate in consolidation. The Company is no longer allocating capital to residential bridge loans. As of September 30, 2022, and December 31, 2021, there were seven and eight remaining residential bridge loans in the RMI 2017 Trust with a fair value of $5.1 million and $5.2 million, respectively. As of September 30, 2022, and December 31, 2021, the trust also owned five and six investor fixed rate residential mortgages with a fair value of $1.4 million and $1.7 million, respectively, which are included in "Residential whole loans" in the Consolidated Balance Sheets. Consolidated residential whole loan and residential bridge loan trusts 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Cash and cash equivalents $ 236 $ 266 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Investment related receivable 8,674 22,087 Interest receivable 5,066 5,282 Total assets $ 1,118,721 $ 1,056,344 Securitized debt, net $ 998,129 $ 519,118 Interest payable 3,214 1,316 Accounts payable and accrued expenses 60 69 Total liabilities $ 1,001,403 $ 520,503 The residential whole loans held by the consolidated Arroyo Trust 2019, Arroyo Trust 2020, Arroyo Trust 2022-1, and Arroyo Trust 2022-2 are held solely to satisfy the liabilities of each respective trust, and has 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 periods ended September 30, 2022 and December 31, 2021. The following table presents the components of the fair value of residential whole loans and residential bridge loans as of September 30, 2022 and December 31, 2021 (dollars in thousands): Residential whole loans, at Fair Value Residential bridge loans, at Fair Value September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 Principal balance $ 1,190,326 $ 989,143 $ 5,585 $ 5,834 Unamortized premium 31,789 31,070 — — Unamortized discount (1,634) (1,337) — — Amortized cost 1,220,481 1,018,876 5,585 5,834 Gross unrealized gains 700 14,190 9 78 Gross unrealized losses (121,556) (9,564) (474) (484) Fair value $ 1,099,625 $ 1,023,502 $ 5,120 $ 5,428 Residential whole loans The residential whole loans have low LTV's and are comprised of 2,990 Non-QM adjustable rate mortgages and five investor fixed rate residential mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 40 $ 22,510 66.3 % 758 9.2 28.5 2.9 % 3.01% – 4.00% 431 224,994 65.7 % 758 7.3 28.5 3.7 % 4.01% – 5.00% 1,372 467,195 64.0 % 749 5.8 26.2 4.6 % 5.01% – 6.00% 902 366,708 65.8 % 742 5.1 27.1 5.4 % 6.01% – 7.00% 235 103,067 70.3 % 742 3.9 28.8 6.4 % 7.01% - 8.00% 15 5,852 75.1 % 731 3.2 29.4 7.4 % Total 2,995 $ 1,190,326 65.5 % 748 5.8 27.2 4.8 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $77.7 million at September 30, 2022. The Company has excluded these loans from the weighted average computations. December 31, 2021 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% 27 $ 15,640 65.1 % 757 5.3 28.8 2.8 % 3.01% – 4.00% 496 244,022 63.7 % 756 3.3 28.0 3.7 % 4.01% – 5.00% 1,051 413,451 65.1 % 747 2.9 28.2 4.7 % 5.01% – 6.00% 757 305,344 64.9 % 738 3.0 26.8 5.4 % 6.01% – 7.00% 28 10,181 67.9 % 721 3.1 25.8 6.3 % 7.01% - 8.00% 2 505 73.2 % 753 4.5 26.8 7.1 % Total 2,361 $ 989,143 64.8 % 746 3.1 27.7 4.6 % (1) The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. The Company has excluded these loans from the weighted average computations. The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s residential whole loans are located as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 66.6 % $ 793,123 California 73.9 % $ 730,771 New York 9.4 % 112,329 New York 11.6 % 114,625 Texas 4.8 % 56,856 Florida 2.7 % 26,293 Florida 4.1 % 48,959 Georgia 2.5 % 25,106 Georgia 3.6 % 42,347 Texas 1.9 % 19,062 Other 11.5 % 136,712 Other 7.4 % 73,286 Total 100.0 % $ 1,190,326 Total 100.0 % $ 989,143 Residential bridge loans The Company is no longer allocating capital to residential bridge loans. The following tables present certain information about the remaining residential bridge loans which are non-performing in the Company's investment portfolio at September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 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% 2 2,144 78.1 % 0.0 10.4 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 7 $ 5,585 73.3 % 0.0 9.7 % December 31, 2021 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% 4 2,393 76.7 % 0.0 10.4 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 9 $ 5,834 72.9 % 0.0 9.7 % (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 geographic concentrations by U.S. state in which the collateral securing the Company’s residential bridge loans are located as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 State Concentration Principal Balance State Concentration Principal Balance New York 47.1 % $ 2,631 New York 45.1 % $ 2,631 California 31.4 % 1,754 California 30.1 % 1,754 Florida 20.1 % 1,125 Florida 19.3 % 1,125 New Jersey 1.4 % 75 New Jersey 3.7 % 219 Total 100.0 % $ 5,585 Pennsylvania 1.8 % 105 Total 100.0 % $ 5,834 Non-performing loans The following table presents the aging of the residential whole loans and bridge loans as of September 30, 2022 (dollars in thousands): Residential whole loans (1) Bridge loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,985 $ 1,184,619 $ 1,094,291 — $ — $ — 1-30 days 3 2,448 2,324 1 849 858 31-60 days — — — — — — 61-90 days — — — — — — 90+ days 7 3,259 3,010 6 4,736 4,262 Total 2,995 $ 1,190,326 $ 1,099,625 7 $ 5,585 $ 5,120 (1) As of September 30, 2022, there were no loans in forbearance. Residential whole loans As of September 30, 2022, there were seven residential whole loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $3.3 million and a fair value of $3.0 million. These nonperforming loans represent approximately 0.3% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 64.5%. As of December 31, 2021, there were 20 residential whole loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $12.2 million and a fair value of approximately $12.0 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 60.0%. 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 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, 2022, the Company had seven remaining residential bridge loans in the portfolio. Of these, six were in non-accrual status with an unpaid principal balance of approximately $4.7 million and a fair value of $4.3 million. These nonperforming loans had an outstanding principal balance of $4.7 million. These loans are collateral dependent. As of December 31, 2021, the Company had nine remaining residential bridge loans in the portfolio. Of these, six were in non-accrual status with an unpaid principal balance of $4.8 million and a fair value of $4.4 million. These nonperforming loans had an outstanding principal balance of $5.8 million. These loans are collateral dependent. The remaining residential bridge loans were carried at fair value. No allowance for credit losses was recorded because the valuation adjustments as of September 30, 2022 and December 31, 2021, 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. Residential real estate owned As of September 30, 2022 and December 31, 2021, the Company had four residential REO properties with an aggregate carrying value of $1.1 million, related to foreclosed bridge loans. The residential REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The residential REO properties are classified in "Other assets" in the Consolidated Balance Sheets.

Commercial Loans

Commercial Loans	9 Months Ended
	Sep. 30, 2022
Noncontrolling Interest [Abstract]
Commercial Loans	Commercial Loans 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 commercial loans owned by CRE LLC are financed under the Commercial Whole Loan Facility. Refer to Note 7 - Financings for details. The following table presents information about the commercial loans owned by CRE LLC as of September 30, 2022 (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 $ 8,777 58% 1-Month LIBOR plus 9.25% 6/29/2021 None (1) Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 22,204 22,204 63% 1-Month LIBOR plus 3.02% 8/6/2025 (2) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,405 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) None Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,136 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) None Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,220 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) None Hotel $ 157,205 $ 75,742 (1) CRE 3 is in default and not eligible for extension. (2) CRE 4 was granted a three-year extension through August 6, 2025, in conjunction with a principal paydown of $16.2 million. (3) CRE 5, 6, and 7 were each granted one-year extensions through November 6, 2023. CRE 3 Loan As of September 30, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million, secured by an indirect pledge of equity in the mortgage borrower and owner of a retail facility, was non-performing and past its maturity date of June 29, 2021. Interest payments on this loan were received from a reserve that was exhausted in May 2021. On October 25, 2022, the senior mezzanine lender notified the Company that it had consummated a strict foreclosure under the Uniform Commercial Code of its equity interest in the mortgage borrower and owner of the property, which had the effect of foreclosing out the Company’s subordinate pledge of equity in the retail facility owner that served as collateral for the junior mezzanine loan. As a result, the Company’s junior mezzanine loan remains outstanding but without the benefit of the primary collateral supporting the loan. The Company continues to benefit from certain corporate and personal guarantees with respect to its loan and has certain rights to excess proceeds generated by two other large retail and entertainment properties owned by the borrower in Canada and the American Midwest. As a result of the foreclosure, the Company has marked down the value of its investment in the CRE 3 junior mezzanine loan from $26.9 million at June 30, 2022 to $8.8 million at September 30, 2022. The Company is currently exploring all available measures to maximize its recovery with respect to this loan, but if none of these measures are successful, the Company could experience a total loss of its investment, which would result in an $8.8 million reduction in the Company’s book value. There can be no assurance that the Company will be able to obtain any recovery with respect to such loan . Commercial loan payoffs On September 16, 2022, CRE 8, which had an outstanding principal balance of $4.4 million collateralized by assisted living 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 consolidates the trust because it determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary. As of September 30, 2022, there was one loan remaining in the trust and it is financed under one of the Company's short-term repurchase agreements. The Company holds the financing liability outside the RSBC Trust. Refer to Note 7 - "Financings" for details. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of September 30, 2022 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate (1) Maturity Date (1) Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,361 49% 1-Month LIBOR plus 4.35% 1/6/2023 None Nursing Facilities $ 14,362 $ 14,361 (1) During July 2022, the SBC 3 loan was granted a six month extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee. Securitized commercial loans Securitized commercial loans are comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At September 30, 2022, 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. 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. 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, 2022, 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. 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, 2022. The loan has a stated maturity date of 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, which required both increased reporting requirements and monthly net cash remittance. Consolidated securitized commercial loan trusts and commercial loan trust The two commercial consolidated trusts, CSMC USA and RSBC Trust, collectively held two commercial loans as of September 30, 2022 . 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Restricted cash $ 251 $ 260 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial Loans, at fair value 14,361 14,362 Interest receivable 5,125 5,290 Total assets $ 1,191,651 $ 1,375,720 Securitized debt, at fair value $ 1,161,733 $ 1,344,370 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 251 260 Total liabilities $ 1,166,988 $ 1,349,803 The Company’s risk with respect to its investment in the securitized commercial loan trusts is limited to its direct ownership in the trusts. The commercial loans held by the consolidated securitized commercial loan trusts are held solely to satisfy the liabilities of the trusts, and creditors of the trusts have no recourse to the general credit of the Company. The securitized commercial loans of the trusts can only be used to satisfy the obligations of those trusts. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial loan trusts for the three and nine months ended September 30, 2022 and September 30, 2021. The following table presents the components of the fair value of the securitized commercial loans and commercial loans as of September 30, 2022 and December 31, 2021 (dollars in thousands): CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 Principal balance $ 1,385,591 $ 1,385,591 $ 14,362 $ 14,362 $ 157,205 $ 177,797 Unamortized discount (90,836) (110,770) — — — — Amortized cost 1,294,755 1,274,821 14,362 14,362 157,205 177,797 Gross unrealized gains — 80,987 — — — — Gross unrealized losses (122,841) — (1) — (81,463) (61,587) Fair value $ 1,171,914 $ 1,355,808 $ 14,361 $ 14,362 $ 75,742 $ 116,210 Non-performing commercial loans The following table presents the aging of the Commercial Loans as of September 30, 2022 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,326 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,103 CRE 3 Loan As of September 30, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million, secured by an indirect pledge of equity in the mortgage borrower and owner of a retail facility, was non-performing and past its maturity date of June 29, 2021. Interest payments on this loan were received from a reserve that was exhausted in May 2021. On October 25, 2022, the senior mezzanine lender notified the Company that it had consummated a strict foreclosure under the Uniform Commercial Code of its equity interest in the mortgage borrower and owner of the property, which had the effect of foreclosing out the Company’s subordinate pledge of equity in the retail facility owner that served as collateral for the junior mezzanine loan. As a result, the Company’s junior mezzanine loan remains outstanding but without the benefit of the primary collateral supporting the loan. The Company continues to benefit from certain corporate and personal guarantees with respect to its loan and has certain rights to excess proceeds generated by two other large retail and entertainment properties owned by the borrower in Canada and the American Midwest. As a result of the foreclosure, the Company has marked down the value of its investment in the CRE 3 junior mezzanine loan from $26.9 million at June 30, 2022 to $8.8 million at September 30, 2022. The Company is currently exploring all available measures to maximize its recovery with respect to this loan, but if none of these measures are successful, the Company could experience a total loss of its investment, which would result in an $8.8 million reduction in the Company’s book value. There can be no assurance that the Company will be able to obtain any recovery with respect to such loan . Commercial real estate owned Hotel REO

Financings

Financings	9 Months Ended
	Sep. 30, 2022
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 12 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, which 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 time frame 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. 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 The facility was recently amended on October 26, 2022 and matures on October 25, 2023. It bears interest at a rate of SOFR plus 2.25%, with a SOFR floor of 0.25%. The Company finances its Non-QM residential whole loans held in RMI 2015 Trust under this facility. As of September 30, 2022, the Company had outstanding borrowings of $4.0 million. The borrowing is secured by Non-QM residential whole loans with a fair value of $5.8 million as of September 30, 2022. Non-Agency CMBS and Non-Agency RMBS facility The facility was extended on May 2, 2022 and matures on May 2, 2023. It bears interest at a rate of SOFR plus 2.00%. As of September 30, 2022, the outstanding balance under this facility was $101.0 million. The borrowing is secured by investments with a fair market value of $152.1 million as of September 30, 2022. Commercial whole loan facility The facility was recently amended on October 26, 2022 and matures on November 3, 2023. It bears interest at a rate of SOFR plus 2.25%. As of September 30, 2022, the outstanding balance under this facility was $48.0 million. The borrowing is secured by the performing commercial loans that are held in CRE LLC, with an estimated fair market value of $67.0 million as of September 30, 2022. 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, 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. With the exception of one repurchase agreement for which the Company received a waiver, the Company was in compliance with the terms of such financial tests as of September 30, 2022. As of September 30, 2022, 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 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 $ 317 3.15 % 32 $ 976 1.02 % 58 Non-Agency RMBS (1) 54,228 6.17 % 88 38,354 2.94 % 4 Residential whole loans (2) 778 5.40 % 11 1,439 2.57 % 5 Residential bridge loans (2) 2,895 5.60 % 11 4,368 2.61 % 5 Commercial loans (2) 5,630 6.18 % 11 6,463 3.20 % 5 Other securities 1,966 5.75 % 17 2,457 3.50 % 18 Total short-term borrowings 65,814 6.11 % 75 54,057 2.92 % 6 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 55,155 2.28 % 214 59,802 2.14 % 125 Non-Agency RMBS 21,943 2.28 % 214 15,632 2.14 % 125 Other securities 23,948 2.28 % 214 27,506 2.22 % 125 Subtotal 101,046 2.28 % 214 102,940 2.16 % 125 Residential Whole Loan Facility Residential whole loans (2) 4,049 5.11 % 35 396,531 2.25 % 308 Commercial Whole Loan Facility Commercial loans 48,032 4.55 % 35 63,661 2.27 % 268 Total long-term borrowings 153,127 3.07 % 153 563,132 2.24 % 270 Repurchase agreements borrowings $ 218,941 3.98 % 130 $ 617,189 2.30 % 247 Less unamortized debt issuance costs — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 218,941 3.98 % 130 $ 617,189 2.30 % 247 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. At September 30, 2022 and December 31, 2021, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2022 December 31, 2021 1 to 29 days $ 11,270 $ 53,081 30 to 59 days 52,397 370 60 to 89 days 54,228 606 Greater than or equal to 90 days 101,046 563,132 Total $ 218,941 $ 617,189 At September 30, 2022, 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, 2022 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 59,894 62 61.1 % Citigroup Global Markets Inc. 50,806 214 51.9 % Nomura Securities International, Inc. 11,695 11 11.9 % 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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 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 $ 233 $ 7 $ 240 $ 1,172 $ 19 $ 1,191 Non-Agency CMBS, at fair value (1) 90,107 439 90,546 107,624 504 108,128 Non-Agency RMBS, at fair value 122,401 610 123,011 66,555 343 66,898 Residential whole loans, at fair value (2) 7,214 57 7,271 453,447 2,674 456,121 Residential bridge loans (2) 5,120 66 5,186 5,207 91 5,298 Commercial loans, at fair value (2) 81,326 409 81,735 101,459 360 101,819 Other securities, at fair value 38,310 97 38,407 51,648 100 51,748 Cash (3) 120 — 120 3,151 — 3,151 Total $ 344,831 $ 1,685 $ 346,516 $ 790,263 $ 4,091 $ 794,354 (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) 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, 2022 and December 31, 2021, investments held by counterparties as security for repurchase agreements totaled approximately $344.7 million and $787.1 million, respectively. Cash collateral held by counterparties at September 30, 2022 and December 31, 2021 was approximately $120 thousand and $3.2 million, respectively. Cash posted by repurchase agreement counterparties at both September 30, 2022 and December 31, 2021 was zero. 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 $83.3 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 post reverse stock split conversion rate is 33.7952 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $29.59 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, 2022 and December 31, 2021, the Company had $26.0 million and $37.7 million aggregate principal of the 2022 Notes outstanding, respectively. The 2022 Notes were repaid in full upon their maturity on October 3, 2022. Refer to Note 16 - "Subsequent Event" for details. During the quarters ended September 30, 2022, June 30, 2022, and March 31, 2022, the Company repurchased $1.0 million , $7.2 million and $3.4 million aggregate principal amount of the 2022 Notes at par value, 0.6% premium to par value, and 0.8% premium to par value, respectively, plus accrued and unpaid interest. Securitized debt Arroyo Trust 2019-2 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, so 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 2019-2's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 176,628 3.3% $ 176,628 4/25/2049 Class A-2 9,473 3.5% 9,473 4/25/2049 Class A-3 15,007 3.8% 15,007 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 226,163 $ 226,163 Less: Unamortized Deferred Financing Costs N/A 2,830 Total $ 226,163 $ 223,333 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 2019-2 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, 2022, residential whole loans, with an outstanding principal balance of approximately $249.6 million, serve as collateral for the Arroyo Trust 2019-2'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 2020-1 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, so 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 2020-1's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 77,393 1.7% $ 77,393 3/25/2055 Class A-1B 9,184 2.1% 9,184 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 $ 129,797 $ 129,797 Less: Unamortized Deferred Financing Costs N/A 1,665 Total $ 129,797 $ 128,132 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 2020-1 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, 2022 , residential whole loans with an outstanding principal balance of approximately $143.0 million serve as collateral for the Arroyo Trust 2020-1'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 equal to or less than 30% of the original principal balance. The notes are redeemable at their face value plus accrued interest. Arroyo Trust 2022-1 In February 2022, the Company completed a residential-mortgage backed securitization comprised of $432.0 million of Non-QM residential whole loans, issuing $398.9 million of mortgage-backed notes. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the bonds are recorded at fair value in the Consolidated Balance Sheets with the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized loss, net." The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 218,530 2.5% $ 199,526 12/25/2056 Class A-1B 82,942 3.3% 69,669 12/25/2056 Class A-2 21,168 3.6% 16,617 12/25/2056 Class A-3 28,079 3.7% 21,312 12/25/2056 Class M-1 17,928 3.7% 12,814 12/25/2056 Total $ 368,647 $ 319,938 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 2022-1 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, 2022, residential whole loans with an outstanding principal balance of approximately $399.6 million serve as collateral for the Arroyo Trust 2022-1'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 equal to or less than 30% of the original principal balance. The notes are redeemable at their fair value plus accrued interest. Arroyo Trust 2022-2 In July 2022, the Company completed a residential-mortgage backed securitization comprised of $402.2 million of Non-QM residential whole loans, issuing $351.9 million of mortgage-backed notes. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the bonds are recorded at fair value in the Consolidated Balance Sheets with the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized loss, net." The following table summarizes the issued Arroyo Trust 2022-2's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 273,691 5.0% $ 263,315 7/25/2057 Class A-2 23,297 5.0% 21,916 7/25/2057 Class A-3 28,388 5.0% 26,398 7/25/2057 Class M-1 17,694 5.0% 15,097 7/25/2057 Total $ 343,070 $ 326,726 The Company retained the non-offered securities in the securitization, which include the Class B-1, Class B-2, Class B-3, Class A-IO-S, and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2022-2 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, 2022, residential whole loans with an outstanding principal balance of approximately $390.9 million serve as collateral for the Arroyo Trust 2022-2'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 equal to or less than 30% of the original principal balance. The notes are redeemable at their fair value plus accrued interest. Commercial mortgage-backed notes CSMC 2014 USA The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 109,867 9/11/2025 Class A-2 531,700 4.0 % 482,628 9/11/2025 Class B 136,400 4.2 % 119,584 9/11/2025 Class C 94,500 4.3 % 79,772 9/11/2025 Class D 153,950 4.4 % 122,083 9/11/2025 Class E 180,150 4.4 % 132,952 9/11/2025 Class F 153,600 4.4 % 104,961 9/11/2025 Class X-1 (1) N/A 0.5 % 8,268 9/11/2025 Class X-2 (1) N/A — % 1,618 9/11/2025 $ 1,370,691 $ 1,161,733 (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, 2022, respectively.

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 152,000 $ 262 $ — $ — Credit default swaps, asset Non-Hedge Derivative assets, at fair value — $ — 2,030 $ 105 Total derivative instruments, assets 262 105 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 22,000 (38) Credit default swaps, liability Non-Hedge Derivative liability, at fair value — — 4,140 (564) Total derivative instruments, liabilities — (602) Total derivative instruments, net $ 262 $ (497) The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2022 and September 30, 2021 (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, 2022 Interest rate swaps $ (3,371) $ 3,423 $ — $ 4,790 $ 298 $ 5,140 Interest rate swaptions (161) — — — — (161) Interest-Only Strips— accounted for as derivatives — — (5) (54) 16 (43) Credit default swaps (273) — — 283 — 10 TBAs 1,319 — — (1,383) — (64) Total $ (2,486) $ 3,423 $ (5) $ 3,636 $ 314 $ 4,882 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 swap 16 — — 56 — 72 Total $ 16 $ 485 $ (59) $ (105) $ 178 $ 515 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, 2022 Interest rate swaps $ (3,371) $ 14,744 $ — $ 3,670 $ (255) $ 14,788 Interest rate swaptions (161) — — — — (161) Interest-Only Strips— accounted for as derivatives — — (120) (270) 160 (230) Credit default swaps (242) — — 393 — 151 TBAs 2,051 — — — — 2,051 Total $ (1,723) $ 14,744 $ (120) $ 3,793 $ (95) $ 16,599 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 swap 48 — — 52 — 100 Total $ 48 $ 520 $ (232) $ (97) $ 477 $ 716 At September 30, 2022 and December 31, 2021, the Company had cash pledged as collateral for derivatives of approximately $3.1 million and $1.4 million, 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 on derivatives instruments, net" in the Consolidated Statements of Operations. The following tables provide additional information on the Company's fixed-pay interest rate swaps as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 60,000 1.4 % 1.3 % 1.5 Greater than 3 years and less than 5 years 70,000 1.4 % 1.1 % 4.3 Greater than 5 years 22,000 1.2 % 3.0 % 9.0 Total $ 152,000 1.4 % 1.4 % 3.9 December 31, 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 % 9.8 Total $ 22,000 1.2 % 0.1 % 9.8 To-Be-Announced securities The Company purchased and sold TBAs during the nine months ended September 30, 2022, as shown in the table below. There were no open TBA positions as of September 30, 2022 and December 31, 2021. The following table presents additional information about the Company's contracts to purchase and sell TBAs for the nine months ended September 30, 2022 (dollars in thousands): Notional Amount December 31, 2021 Additions Settlement, Termination, Expiration or Exercise Notional Amount September 30, 2022 Purchase of TBAs $ — $ 600,000 $ (600,000) $ — Sale of TBAs $ — $ 600,000 $ (600,000) $ — 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 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, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 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 $ 668 $ — $ 668 $ (181) $ — $ 487 Derivative asset, at fair value (2)(3) 262 — 262 — — 262 Total assets $ 930 $ — $ 930 $ (181) $ — $ 749 Derivative Liabilities and Repurchase Agreements Repurchase Agreements (4) $ 218,941 $ — $ 218,941 $ (218,857) $ (84) $ — Total liability $ 218,941 $ — $ 218,941 $ (218,857) $ (84) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $3.1 million as of September 30, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $344.7 million as of September 30, 2022. December 31, 2021 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 $ 1,058 $ — $ 1,058 $ (1,058) $ — $ — Derivative asset, at fair value (2) 105 — 105 (105) — — Total derivative assets $ 1,163 $ — $ 1,163 $ (1,163) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 602 $ — $ 602 $ (105) $ (497) $ — Repurchase Agreements (4) 617,189 — 617,189 (617,189) — — Total derivative liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of December 31, 2021. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $787.1 million as of December 31, 2021. 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, 2022
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, 2023. 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. In December 2021, the Manager agreed to voluntarily waive 25% of its management fee solely for the duration of calendar year 2022 in order to support the earnings potential of the Company and its transition to a residential focused investment portfolio. Future waivers, if any, will be at the Manager's discretion. For the three months ended September 30, 2022 and September 30, 2021, the Company incurred approximately $850 thousand and approximately $1.5 million in management fees, respectively. For the nine months ended September 30, 2022 and September 30, 2021, the Company incurred approximately $3.0 million and approximately $4.5 million in management fees, respectively.

Share-Based Payments

Share-Based Payments	9 Months Ended
	Sep. 30, 2022
Share-Based Payment Arrangement, Noncash Expense [Abstract]
Share-Based Payments	Share-Based Payments The Company's ability to grant new equity-based awards under the Company's existing equity incentive plans expired on May 9, 2022. At the Annual Meeting of Stockholders held on June 24, 2022, the Company's stockholders approved the Western Asset Mortgage Capital Corporation 2022 Omnibus Incentive Plan and the Western Asset Mortgage Capital Corporation 2022 Manager Omnibus Incentive Plan (collectively, the “2022 Plans”). The 2022 Plans provide for the issuance of options (including non-statutory stock options and incentive stock options), stock appreciation rights (referred to as SARs), restricted stock, restricted stock units (referred to as RSUs), stock bonuses, other stock based awards and cash awards. The aggregate maximum number of shares of our common stock available for future issuances under the 2022 Plans is 1,000,000 shares, which was reduced to 100,000 shares following the completion of the reverse stock split. The Manager and the officers, employees, non-employee directors, independent contractors, and consultants of the Company or any affiliate of the Company, including any individuals who are employees of the Manager or one of the Manager’s affiliates, are eligible to participate in the 2022 Plans, provided that they have been selected by the Plan Administrator. On June 30, 2022, the Company grant ed 200,000 restricted stock units, or 20,000 restricted stock units on a post reverse stock split basis under the Western Asset Mortgage Capital Corporation 2022 Omnibus Incentive Plan to the Company’s Chief Financial Officer. These restricted stock units will vest in equal installments on the first and second anniversary of the grant date. On June 24, 2022, the Company granted a total of 217,040 restricted stock units (54,260 per each independent director) or 21,704 shares (5,425 per each independent director) on a post reverse stock split basis, to each of the Company's four independent directors. These restricted stock units will vest in full on June 24, 2023, the first anniversary of the grant date, and will be settled in shares of the Company’s common stock upon each of the independent director’s separation from service with the Company. On June 25, 2021, the Company granted a total of 81,160 restricted stock units (20,290 each per each independent director), or 8,116 shares (2,029 per each independent director) on a post reverse stock split basis, to each of the Company’s four independent directors. These restricted stock units in this grant vested in full on June 25, 2022, the first anniversary of the grant date, and will be settled in shares of the Company’s common stock upon each of the independent director’s separation from service with the Company. During the nine months ended September 30, 2022 and September 30, 2021, 11,716 and 13,782 restricted stock units vested, respectively. The Company recognized stock-based compensation expense of approximately $100 thousand and approximately $165 thousand for the three months ended September 30, 2022 and September 30, 2021, respectively. The Company recognized stock-based compensation expense of approximately $335 thousand and approximately $453 thousand for the nine months ended September 30, 2022 and September 30, 2021, respectively. In addition, the Company had unamortized compensation expense of $398 thousand and $211 thousand for equity awards at September 30, 2022 and December 31, 2021, respectively. Holders of restricted stock units are entitled to receive dividends (or dividend equivalent payments) and distributions that become payable on the restricted stock units during the restricted period. Dividend equivalent payments allocable to restricted stock units 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 stock units 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 stock units awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted stock units and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted equity awards vesting dates as of September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 Vesting Date Shares Vesting Shares Vesting March 2022 — 3,600 June 2022 — 8,116 June 2023 31,704 — June 2024 10,000 — Total 41,704 11,716 The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the nine months ended September 30, 2022 and September 30, 2021: September 30, 2022 September 30, 2021 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 114,825 $ 131.85 102,554 $ 140.99 Granted (2) 45,954 12.75 14,057 52.08 Cancelled/forfeited — — (2,546) 27.50 Outstanding at end of period 160,779 97.81 114,065 132.56 Unvested at end of period 41,704 $ 12.52 11,716 $ 56.19 (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 4,250 and 5,941 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the nine months ended September 30, 2022 and September 30, 2021, respectively.

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 30, 2022
Stockholders' Equity Note [Abstract]
Stockholders' Equity	Stockholders’ Equity Reverse stock split On June 30, 2022, the Company announced that its board of directors approved a one-for-ten reverse stock split of the Company's outstanding shares of common stock. The one-for-ten reverse stock split was effected on July 11, 2022, which reduced the total number of authorized shares of common stock from 500,000,000 to 50,000,000 shares, resulting in the number of common shares outstanding reducing from 60,380,105 to 6,038,010. The par value per share of our common stock remained unchanged at $0.01. All per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. Our stockholders' equity, in the aggregate, remains unchanged. Per share net income or loss increased because there are fewer shares of common stock outstanding. The common stock held in treasury was reduced in proportion to the Reverse Stock Split Ratio. There were no other accounting consequences, including changes to the amount of stock-based compensation expense to be recognized in any period, that arose as a result of the reverse stock split. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock the business day prior to the Effective Date. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. 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 nine months ended September 30, 2022, the Company did not sell any shares under the amended agreement. Stock Repurchase Program In December 2021, the Company extended its stock repurchase program as authorized by its Board of Directors. Under the extended program, the Company is permitted to repurchase up to 300,000 shares of its common stock, adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, through December 31, 2023. The previous authorization expired December 31, 2021. Any 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 Commission Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares, or any shares at all, and the program may be suspended or discontinued at the Company's discretion without prior notice. During the nine months ended September 30, 2022, the Company did not repurchase any shares under the stock repurchase program. Dividends The following table presents cash dividends declared and paid by the Company on its common stock, adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2022 September 22, 2022 October 3, 2022 October 26, 2022 $ 0.40 Not yet determined June 21, 2022 July 1, 2022 July 25, 2022 $ 0.40 Not yet determined March 23, 2022 April 4, 2022 April 26, 2022 $ 0.40 Not yet determined 2021 December 21, 2021 December 31, 2021 January 26, 2022 $ 0.60 Not yet determined (1) September 23, 2021 October 4, 2021 October 26, 2021 $ 0.60 Return of capital June 22, 2021 July 2, 2021 July 26, 2021 $ 0.60 Return of capital March 23, 2021 April 2, 2021 April 26, 2021 $ 0.60 Return of capital (1) The cash distributions made on January 26, 2022, with a record date of December 31, 2021, are treated as received by stockholders on January 26, 2022 and taxable in calendar year 2022. The tax characterization of these distributions will be determined in January 2023.

Net Loss per Common Share

Net Loss per Common Share	9 Months Ended
	Sep. 30, 2022
Earnings Per Share [Abstract]
Net Loss per Common Share	Net Loss per Common Share The table below presents basic and diluted net loss per share of common stock using the two-class method for the three and nine months ended September 30, 2022 and September 30, 2021 (dollars, other than shares and per share amounts, in thousands), adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. For the three months ended September 30, 2022 For the three months ended September 30, 2021 For the nine months ended September 30, 2022 For the nine months ended September 30, 2021 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (40,010) $ (4,213) $ (88,250) $ (36,423) Less: Dividends and undistributed earnings allocated to participating securities 32 24 62 65 Net loss allocable to common stockholders — basic and diluted $ (40,042) $ (4,237) $ (88,312) $ (36,488) Denominator : Weighted average common shares outstanding for basic earnings per share 6,038,010 6,079,569 6,036,876 6,077,176 Weighted average common shares outstanding for diluted earnings per share 6,038,010 6,079,569 6,036,876 6,077,176 Basic loss per common share $ (6.63) $ (0.70) $ (14.63) $ (6.00) Diluted loss per common share $ (6.63) $ (0.70) $ (14.63) $ (6.00)

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2022
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, 2022. The Company files U.S. federal and state income tax returns. As of September 30, 2022, U.S. federal tax retur ns filed by the Company for 2020, 2019 and 2018 and state tax returns filed for 2020, 2019, 2018, 2017, and 2016 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, 2022 and September 30, 2021, the Company recorded a federal and state tax provision of $266 thousand and tax benefit of $218 thousand, respectively, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. During the nine months ended September 30, 2022 and September 30, 2021, the Company recorded a federal and state tax provision of $276 thousand and tax benefit of $19 thousand, respectively. Deferred Tax Asset As of September 30, 2022 and December 31, 2021, the Company recorded a deferred tax asset of approximately $16.2 million and $13.0 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. In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 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 $18.6 million and $18.6 million in the REIT and $2.0 million and $2.0 million in the TRS as of September 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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 $20.6 million and $20.6 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, 2022
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, 2022.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2022
Subsequent Events [Abstract]
Subsequent Events	Note 16 — Subsequent Event 2022 Convertible Senior Unsecured Notes Maturity The Company's 2022 Notes outstanding on September 30, 2022 of $26.0 million were repaid in full upon their maturity on October 3, 2022. The Company had an unrestricted cash balance of $28.6 million at October 3, 2022, after the retirement of the 2022 Notes. CRE 3 Loan As of September 30, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million secured by an indirect pledge of equity in the mortgage borrower and owner of a retail facility was non-performing and past its maturity date of June 29, 2021. Interest payments on this loan were received from a reserve that was exhausted in May 2021. On October 25, 2022, the senior mezzanine lender notified the Company that it had consummated a strict foreclosure under the Uniform Commercial Code of its equity interest in the mortgage borrower and owner of the property, which had the effect of foreclosing out the Company’s subordinate pledge of equity in the retail facility owner that served as collateral for the junior mezzanine loan. As a result, the Company’s junior mezzanine loan remains outstanding but without the benefit of the primary collateral supporting the loan. The Company continues to benefit from certain corporate and personal guarantees with respect to its loan and has certain rights to excess proceeds generated by two other large retail and entertainment properties owned by the borrower in Canada and the American Midwest. As a result of the foreclosure noted above, the Company has marked down the value of its investment in the CRE 3 junior mezzanine loan from $26.9 million at June 30, 2022 to $8.8 million at September 30, 2022. The Company is currently exploring all available measures to maximize its recovery with respect to this loan, but if none of these measures is successful, the Company could experience a total loss of its investment, which would result in a $8.8 million reduction in the Company’s book value. There can be no assurance that the Company will be able to obtain any recovery with respect to such loan.

Basis of Presentation and Sum_2

Basis of Presentation and Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2022
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for- ten reverse stock split, which was effected on July 11, 2022. The results of operations for the period ended September 30, 2022 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, 2021, filed with the SEC on March 8, 2022. 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 Accounting Pronouncements / Recently Issued Accounting Pronouncements	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, 2021. Recently adopted accounting pronouncements Description Adoption 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 adoption of this standard did not have a material impact on the Company's consolidated financial statements due to the limited nature of such transactions. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements 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 will elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 no later than December 31, 2022. With respect to contracts within the scope of Topics 310, Receivables, and 470, Debt, the company intends to account for these as continuations of existing contracts by prospectively adjusting the effective interest rates as modified.

Basis of Presentation and Sum_3

Basis of Presentation and Summary of Significant Accounting Policies (Tables)	9 Months Ended
	Sep. 30, 2022
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 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 adoption of this standard did not have a material impact on the Company's consolidated financial statements due to the limited nature of such transactions. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements 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 will elect to adopt the amendments in ASU 2020-04 and ASU 2021-1 no later than December 31, 2022. With respect to contracts within the scope of Topics 310, Receivables, and 470, Debt, the company intends to account for these as continuations of existing contracts by prospectively adjusting the effective interest rates as modified.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021, based upon the valuation hierarchy (dollars in thousands): September 30, 2022 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 52 $ 52 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 668 668 Subtotal Agency MBS — — 720 720 Non-Agency CMBS — 88,822 — 88,822 Non-Agency RMBS — 28,513 — 28,513 Non-Agency RMBS Interest-only strips — — 1,173 1,173 Subtotal Non-Agency MBS — 117,335 1,173 118,508 Other securities — 38,310 — 38,310 Total mortgage-backed securities and other securities — 155,645 1,893 157,538 Residential whole loans — — 1,099,625 1,099,625 Residential bridge loans — — 5,120 5,120 Securitized commercial loans — — 1,171,914 1,171,914 Commercial loans — — 90,103 90,103 Derivative assets — 262 — 262 Total Assets $ — $ 155,907 $ 2,368,655 $ 2,524,562 Liabilities Securitized debt $ — $ 1,798,511 $ 9,886 $ 1,808,397 Total Liabilities $ — $ 1,798,511 $ 9,886 $ 1,808,397 December 31, 2021 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 114 $ 114 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 1,058 1,058 Subtotal Agency MBS — — 1,172 1,172 Non-Agency CMBS — 99,630 5,728 105,358 Non-Agency RMBS — 25,652 — 25,652 Non-Agency RMBS Interest-only strips — — 2,117 2,117 Subtotal Non-Agency MBS — 125,282 7,845 133,127 Other securities — 51,648 — 51,648 Total mortgage-backed securities and other securities — 176,930 9,017 185,947 Residential whole loans — — 1,023,502 1,023,502 Residential bridge loans — — 5,428 5,428 Securitized commercial loan — — 1,355,808 1,355,808 Commercial loans — — 130,572 130,572 Derivative assets — 105 — 105 Total Assets $ — $ 177,035 $ 2,524,327 $ 2,701,362 Liabilities Derivative liabilities $ — $ 602 $ — $ 602 Securitized debt — 1,329,451 14,919 1,344,370 Total Liabilities $ — $ 1,330,053 $ 14,919 $ 1,344,972
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 unobse rvable 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, 2022 and December 31, 2021 (dollars in thousands): Fair Value at Range September 30, 2022 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential whole loans $ 1,099,625 Discounted Cash Flow Market Discount Rate 6.4 % 7.6 % 7.1 % Weighted Average Life 1.8 10.6 5.7 Residential bridge loans $ 5,120 Discounted Cash Flow Market Discount Rate 12.9 % 35.7 % 20.7 % Weighted Average Life 0.4 4.1 2.1 Commercial loans $ 90,103 Discounted Cash Flow Market Discount Rate 2.3 % 9.1 % 8.0 % Weighted Average Life 0.2 7.1 2.0 Fair Value at Range December 31, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential whole loans $ 1,023,502 Discounted Cash Flow Market Discount Rate 2.6 % 7.5 % 3.5 % Weighted Average Life 1.4 8.9 3.1 Residential bridge loans $ 5,428 Discounted Cash Flow Market Discount Rate 9.8 % 23.1 % (1) 17.2 % Weighted Average Life 0.3 3.6 2.4 Commercial loans $ 130,572 Discounted Cash Flow Market Discount Rate 4.5 % 21.7 % 9.3 % Weighted Average Life 0.5 2.8 1.2
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, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — (11,735) — — — — Loan modifications / capitalized interest — — 4 — — — — Principal repayments — — (37,036) — (20,588) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (33) — — — — Unrealized gains/(losses), net on assets (1) (63) 88 (46,545) 25 (17,730) (78,046) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (3,863) Premium and discount amortization, net (2) (96) (883) — — 6,589 (1,170) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (63) $ 88 $ (35,855) $ 25 $ (17,730) $ (78,046) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 3,863 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) Nine months ended September 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,172 $ 7,845 $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 402,650 — — — — Sales and settlements — — (11,362) — — — — Loan modifications / capitalized interest — — 79 — — — — Principal repayments — — (184,683) (250) (20,593) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (32) — — — — Unrealized gains/(losses), net on assets (1) (329) (998) (125,943) (58) (19,876) (203,828) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (2,064) Premium and discount amortization, net (123) (237) (4,586) — — 19,934 (2,969) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (329) $ (644) $ (107,944) $ 17 $ (19,884) $ (203,828) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 2,064 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) (1) Gains and losses are included in "Unrealized loss, net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized 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 convertible senior unsecured notes and securitized debt that are not carried at fair value as of September 30, 2022 and December 31, 2021 in the consolidated financial statements (dollars in thousands): September 30, 2022 December 31, 2021 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Liabilities Convertible senior unsecured notes $ 109,162 $ 101,548 $ 119,168 $ 122,133 Securitized debt (1) 355,960 332,574 524,649 528,046 Total $ 465,122 $ 434,122 $ 643,817 $ 650,179 (1) Carrying value excludes $4.5 million and $5.5 million of deferred financing costs as of September 30, 2022 and December 31, 2021, respectively.

Mortgage-Backed Securities an_2

Mortgage-Backed Securities and other securities (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1) (2) N/A N/A $ 56 $ — $ (4) $ 52 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 668 0.7 % Total Agency MBS — — 56 — (4) 720 0.6 % Non-Agency RMBS 45,569 (14,848) 30,721 1,568 (3,776) 28,513 4.2 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,307 — (4,134) 1,173 0.3 % Subtotal Non-Agency RMBS 45,569 (14,848) 36,028 1,568 (7,910) 29,686 1.1 % Non-Agency CMBS 110,115 (2,993) 107,122 729 (19,029) 88,822 7.4 % Total Non-Agency MBS 155,684 (17,841) 143,150 2,297 (26,939) 118,508 3.4 % Other securities (3) 46,493 (8,510) 42,942 1,216 (5,848) 38,310 7.1 % Total $ 202,177 $ (26,351) $ 186,148 $ 3,513 $ (32,791) $ 157,538 3.8 % December 31, 2021 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 59 $ 55 $ — $ 114 1.3 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,058 1.3 % Total Agency MBS — — 59 55 — 1,172 1.3 % Non-Agency RMBS 36,147 (13,936) 22,211 3,476 (35) 25,652 4.3 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,608 — (3,491) 2,117 0.3 % Subtotal Non-Agency RMBS 36,147 (13,936) 27,819 3,476 (3,526) 27,769 1.0 % Non-Agency CMBS 179,619 (13,088) 166,531 1,543 (62,716) 105,358 5.4 % Total Non-Agency MBS 215,766 (27,024) 194,350 5,019 (66,242) 133,127 3.0 % Other securities (3) 51,159 (8,229) 47,652 4,209 (213) 51,648 5.6 % Total $ 266,925 $ (35,253) $ 242,061 $ 9,283 $ (66,455) $ 185,947 3.2 % (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, 2022, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.5 million, $146.7 million, and $13.8 million, respectively. At December 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.9 million, $181.0 million, and $16.8 million, respectively. (2) Interest on these securities is reported as a component of "Gain on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $5.0 million and $4.7 million, as of September 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021 (dollars in thousands) : September 30, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 52 $ — $ 52 Agency RMBS Interest-Only Strips accounted for as derivatives — 668 — — 668 Subtotal Agency — 668 52 — 720 Non-Agency CMBS 66,003 12,254 10,565 — 88,822 Non-Agency RMBS — — 9,273 19,240 28,513 Non-Agency RMBS Interest- Only Strips — — 199 974 1,173 Subtotal Non-Agency 66,003 12,254 20,037 20,214 118,508 Other securities 6,526 3,869 19,684 8,231 38,310 Total $ 72,529 $ 16,791 $ 39,773 $ 28,445 $ 157,538 December 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 114 $ — $ 114 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,058 — — 1,058 Subtotal Agency — 1,058 114 — 1,172 Non-Agency CMBS 66,384 17,644 21,171 159 105,358 Non-Agency RMBS — — 10,282 15,370 25,652 Non-Agency RMBS Interest- Only Strips — — 106 2,011 2,117 Subtotal Non-Agency 66,384 17,644 31,559 17,540 133,127 Other securities 9,255 4,266 25,653 12,474 51,648 Total $ 75,639 $ 22,968 $ 57,326 $ 30,014 $ 185,947
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency RMBS Interest-Only Strips $ 52 $ (4) 1 $ — $ — — $ 52 $ (4) 1 Subtotal Agency 52 (4) 1 — — — 52 (4) 1 Non-Agency CMBS $ — $ — — $ 79,850 $ (19,029) 11 $ 79,850 $ (19,029) 11 Non-Agency RMBS 15,141 (3,721) 7 169 (55) 1 15,310 (3,776) 8 Non-Agency RMBS Interest-Only Strips — — — 1,172 (4,134) 4 1,172 (4,134) 4 Subtotal Non-Agency 15,141 (3,721) 7 81,191 (23,218) 16 96,332 (26,939) 23 Other securities 24,720 (5,327) 4 3,869 (521) 2 28,589 (5,848) 6 Total $ 39,913 $ (9,052) 12 $ 85,060 $ (23,739) 18 $ 124,973 $ (32,791) 30 December 31, 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 $ — $ — — $ 96,080 $ (62,716) 16 $ 96,080 $ (62,716) 16 Non-Agency RMBS — — — 201 (35) 1 201 (35) 1 Non-Agency RMBS Interest-Only Strips — — — 2,117 (3,491) 4 2,117 (3,491) 4 Subtotal Non-Agency — — — 98,398 (66,242) 21 98,398 (66,242) 21 Other securities — — — 9,022 (213) 4 9,022 (213) 4 Total $ — $ — — $ 107,420 $ (66,455) 25 $ 107,420 $ (66,455) 25
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, 2022 and September 30, 2021, respectively (dollars in thousands): Three months ended September 30, 2022 Three months ended September 30, 2021 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 2 $ 2 $ 11 $ (7) $ 4 Non-Agency CMBS 1,949 387 2,336 2,621 1,669 4,290 Non-Agency RMBS 446 26 472 609 (240) 369 Other securities 860 185 1,045 1,043 (270) 773 Total $ 3,255 $ 600 $ 3,855 $ 4,284 $ 1,152 $ 5,436 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ 13 $ (4) $ 9 $ 38 $ (26) $ 12 Non-Agency CMBS 7,050 386 7,436 7,171 6,230 13,401 Non-Agency RMBS 1,804 (141) 1,663 1,762 (704) 1,058 Other securities 2,515 223 2,738 3,717 (1,214) 2,503 Total $ 11,382 $ 464 $ 11,846 $ 12,688 $ 4,286 $ 16,974
Schedule of Sales and Realized Gain (Loss) of the Company's MBS and Other Securities	The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three and nine months ended September 30, 2022 and September 30, 2021, respectively (dollars in thousands): Three months ended September 30, 2022 Three months ended September 30, 2021 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ — $ — $ — $ — $ — $ — Non-Agency RMBS — — — — — — — — Other securities — — — — — — — — Total $ — $ — $ — $ — $ — $ — $ — $ — Nine months ended September 30, 2022 Nine months ended September 30, 2021 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS (1) $ 10,152 $ — $ (43,934) $ (43,934) $ — $ — $ (5,929) $ (5,929) Non-Agency RMBS 27,729 255 (1,425) (1,170) — — — — Other securities 4,406 — (478) (478) — — — — Total $ 42,287 $ 255 $ (45,837) $ (45,582) $ — $ — $ (5,929) $ (5,929) (1) The 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, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Cash and cash equivalents $ 236 $ 266 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Investment related receivable 8,674 22,087 Interest receivable 5,066 5,282 Total assets $ 1,118,721 $ 1,056,344 Securitized debt, net $ 998,129 $ 519,118 Interest payable 3,214 1,316 Accounts payable and accrued expenses 60 69 Total liabilities $ 1,001,403 $ 520,503 two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Restricted cash $ 251 $ 260 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial Loans, at fair value 14,361 14,362 Interest receivable 5,125 5,290 Total assets $ 1,191,651 $ 1,375,720 Securitized debt, at fair value $ 1,161,733 $ 1,344,370 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 251 260 Total liabilities $ 1,166,988 $ 1,349,803
Schedule of Components of the Carrying Value of Residential Whole-Loans and Securitized Commercial Loan	The following table presents the components of the fair value of residential whole loans and residential bridge loans as of September 30, 2022 and December 31, 2021 (dollars in thousands): Residential whole loans, at Fair Value Residential bridge loans, at Fair Value September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 Principal balance $ 1,190,326 $ 989,143 $ 5,585 $ 5,834 Unamortized premium 31,789 31,070 — — Unamortized discount (1,634) (1,337) — — Amortized cost 1,220,481 1,018,876 5,585 5,834 Gross unrealized gains 700 14,190 9 78 Gross unrealized losses (121,556) (9,564) (474) (484) Fair value $ 1,099,625 $ 1,023,502 $ 5,120 $ 5,428
Schedule of Certain Information about the Residential Whole Loans Investment Portfolio	The residential whole loans have low LTV's and are comprised of 2,990 Non-QM adjustable rate mortgages and five investor fixed rate residential mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 40 $ 22,510 66.3 % 758 9.2 28.5 2.9 % 3.01% – 4.00% 431 224,994 65.7 % 758 7.3 28.5 3.7 % 4.01% – 5.00% 1,372 467,195 64.0 % 749 5.8 26.2 4.6 % 5.01% – 6.00% 902 366,708 65.8 % 742 5.1 27.1 5.4 % 6.01% – 7.00% 235 103,067 70.3 % 742 3.9 28.8 6.4 % 7.01% - 8.00% 15 5,852 75.1 % 731 3.2 29.4 7.4 % Total 2,995 $ 1,190,326 65.5 % 748 5.8 27.2 4.8 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $77.7 million at September 30, 2022. The Company has excluded these loans from the weighted average computations. December 31, 2021 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% 27 $ 15,640 65.1 % 757 5.3 28.8 2.8 % 3.01% – 4.00% 496 244,022 63.7 % 756 3.3 28.0 3.7 % 4.01% – 5.00% 1,051 413,451 65.1 % 747 2.9 28.2 4.7 % 5.01% – 6.00% 757 305,344 64.9 % 738 3.0 26.8 5.4 % 6.01% – 7.00% 28 10,181 67.9 % 721 3.1 25.8 6.3 % 7.01% - 8.00% 2 505 73.2 % 753 4.5 26.8 7.1 % Total 2,361 $ 989,143 64.8 % 746 3.1 27.7 4.6 % (1) The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. 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 geographic concentrations by U.S. state in which the collateral securing the Company’s residential whole loans are located as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 66.6 % $ 793,123 California 73.9 % $ 730,771 New York 9.4 % 112,329 New York 11.6 % 114,625 Texas 4.8 % 56,856 Florida 2.7 % 26,293 Florida 4.1 % 48,959 Georgia 2.5 % 25,106 Georgia 3.6 % 42,347 Texas 1.9 % 19,062 Other 11.5 % 136,712 Other 7.4 % 73,286 Total 100.0 % $ 1,190,326 Total 100.0 % $ 989,143
Schedule of Residential Bridge Loans	The Company is no longer allocating capital to residential bridge loans. The following tables present certain information about the remaining residential bridge loans which are non-performing in the Company's investment portfolio at September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 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% 2 2,144 78.1 % 0.0 10.4 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 7 $ 5,585 73.3 % 0.0 9.7 % December 31, 2021 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% 4 2,393 76.7 % 0.0 10.4 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 9 $ 5,834 72.9 % 0.0 9.7 % (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	collateral securing the Company’s residential bridge loans are located as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 State Concentration Principal Balance State Concentration Principal Balance New York 47.1 % $ 2,631 New York 45.1 % $ 2,631 California 31.4 % 1,754 California 30.1 % 1,754 Florida 20.1 % 1,125 Florida 19.3 % 1,125 New Jersey 1.4 % 75 New Jersey 3.7 % 219 Total 100.0 % $ 5,585 Pennsylvania 1.8 % 105 Total 100.0 % $ 5,834
Schedule of Financing Receivable, Past Due	The following table presents the aging of the residential whole loans and bridge loans as of September 30, 2022 (dollars in thousands): Residential whole loans (1) Bridge loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,985 $ 1,184,619 $ 1,094,291 — $ — $ — 1-30 days 3 2,448 2,324 1 849 858 31-60 days — — — — — — 61-90 days — — — — — — 90+ days 7 3,259 3,010 6 4,736 4,262 Total 2,995 $ 1,190,326 $ 1,099,625 7 $ 5,585 $ 5,120 (1) As of September 30, 2022, there were no loans in forbearance. Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,326 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,103

Commercial Loans (Tables)

Commercial Loans (Tables)	9 Months Ended
	Sep. 30, 2022
Noncontrolling Interest [Abstract]
Schedule of Commercial Real Estate Loans Held	The following table presents information about the commercial loans owned by CRE LLC as of September 30, 2022 (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 $ 8,777 58% 1-Month LIBOR plus 9.25% 6/29/2021 None (1) Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 22,204 22,204 63% 1-Month LIBOR plus 3.02% 8/6/2025 (2) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,405 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) None Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,136 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) None Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,220 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) None Hotel $ 157,205 $ 75,742 (1) CRE 3 is in default and not eligible for extension. (2) CRE 4 was granted a three-year extension through August 6, 2025, in conjunction with a principal paydown of $16.2 million. (3) CRE 5, 6, and 7 were each granted one-year extensions through November 6, 2023. Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate (1) Maturity Date (1) Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,361 49% 1-Month LIBOR plus 4.35% 1/6/2023 None Nursing Facilities $ 14,362 $ 14,361 (1) During July 2022, the SBC 3 loan was granted a six month extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee.
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Cash and cash equivalents $ 236 $ 266 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Investment related receivable 8,674 22,087 Interest receivable 5,066 5,282 Total assets $ 1,118,721 $ 1,056,344 Securitized debt, net $ 998,129 $ 519,118 Interest payable 3,214 1,316 Accounts payable and accrued expenses 60 69 Total liabilities $ 1,001,403 $ 520,503 two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Restricted cash $ 251 $ 260 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial Loans, at fair value 14,361 14,362 Interest receivable 5,125 5,290 Total assets $ 1,191,651 $ 1,375,720 Securitized debt, at fair value $ 1,161,733 $ 1,344,370 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 251 260 Total liabilities $ 1,166,988 $ 1,349,803
Schedule of Carrying Value of the Commercial Real Estate Loans	The following table presents the components of the fair value of the securitized commercial loans and commercial loans as of September 30, 2022 and December 31, 2021 (dollars in thousands): CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 Principal balance $ 1,385,591 $ 1,385,591 $ 14,362 $ 14,362 $ 157,205 $ 177,797 Unamortized discount (90,836) (110,770) — — — — Amortized cost 1,294,755 1,274,821 14,362 14,362 157,205 177,797 Gross unrealized gains — 80,987 — — — — Gross unrealized losses (122,841) — (1) — (81,463) (61,587) Fair value $ 1,171,914 $ 1,355,808 $ 14,361 $ 14,362 $ 75,742 $ 116,210
Schedule of Financing Receivable, Past Due	The following table presents the aging of the residential whole loans and bridge loans as of September 30, 2022 (dollars in thousands): Residential whole loans (1) Bridge loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,985 $ 1,184,619 $ 1,094,291 — $ — $ — 1-30 days 3 2,448 2,324 1 849 858 31-60 days — — — — — — 61-90 days — — — — — — 90+ days 7 3,259 3,010 6 4,736 4,262 Total 2,995 $ 1,190,326 $ 1,099,625 7 $ 5,585 $ 5,120 (1) As of September 30, 2022, there were no loans in forbearance. Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,326 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,103

Financings (Tables)

Financings (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 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 $ 317 3.15 % 32 $ 976 1.02 % 58 Non-Agency RMBS (1) 54,228 6.17 % 88 38,354 2.94 % 4 Residential whole loans (2) 778 5.40 % 11 1,439 2.57 % 5 Residential bridge loans (2) 2,895 5.60 % 11 4,368 2.61 % 5 Commercial loans (2) 5,630 6.18 % 11 6,463 3.20 % 5 Other securities 1,966 5.75 % 17 2,457 3.50 % 18 Total short-term borrowings 65,814 6.11 % 75 54,057 2.92 % 6 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 55,155 2.28 % 214 59,802 2.14 % 125 Non-Agency RMBS 21,943 2.28 % 214 15,632 2.14 % 125 Other securities 23,948 2.28 % 214 27,506 2.22 % 125 Subtotal 101,046 2.28 % 214 102,940 2.16 % 125 Residential Whole Loan Facility Residential whole loans (2) 4,049 5.11 % 35 396,531 2.25 % 308 Commercial Whole Loan Facility Commercial loans 48,032 4.55 % 35 63,661 2.27 % 268 Total long-term borrowings 153,127 3.07 % 153 563,132 2.24 % 270 Repurchase agreements borrowings $ 218,941 3.98 % 130 $ 617,189 2.30 % 247 Less unamortized debt issuance costs — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 218,941 3.98 % 130 $ 617,189 2.30 % 247 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.
Schedule of Repurchase Agreements Collateralized by Investments	At September 30, 2022 and December 31, 2021, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2022 December 31, 2021 1 to 29 days $ 11,270 $ 53,081 30 to 59 days 52,397 370 60 to 89 days 54,228 606 Greater than or equal to 90 days 101,046 563,132 Total $ 218,941 $ 617,189
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, 2022, 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, 2022 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 59,894 62 61.1 % Citigroup Global Markets Inc. 50,806 214 51.9 % Nomura Securities International, Inc. 11,695 11 11.9 %
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 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 $ 233 $ 7 $ 240 $ 1,172 $ 19 $ 1,191 Non-Agency CMBS, at fair value (1) 90,107 439 90,546 107,624 504 108,128 Non-Agency RMBS, at fair value 122,401 610 123,011 66,555 343 66,898 Residential whole loans, at fair value (2) 7,214 57 7,271 453,447 2,674 456,121 Residential bridge loans (2) 5,120 66 5,186 5,207 91 5,298 Commercial loans, at fair value (2) 81,326 409 81,735 101,459 360 101,819 Other securities, at fair value 38,310 97 38,407 51,648 100 51,748 Cash (3) 120 — 120 3,151 — 3,151 Total $ 344,831 $ 1,685 $ 346,516 $ 790,263 $ 4,091 $ 794,354 (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) 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 the issued Arroyo Trust 2019-2's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 176,628 3.3% $ 176,628 4/25/2049 Class A-2 9,473 3.5% 9,473 4/25/2049 Class A-3 15,007 3.8% 15,007 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 226,163 $ 226,163 Less: Unamortized Deferred Financing Costs N/A 2,830 Total $ 226,163 $ 223,333 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 77,393 1.7% $ 77,393 3/25/2055 Class A-1B 9,184 2.1% 9,184 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 $ 129,797 $ 129,797 Less: Unamortized Deferred Financing Costs N/A 1,665 Total $ 129,797 $ 128,132 The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 218,530 2.5% $ 199,526 12/25/2056 Class A-1B 82,942 3.3% 69,669 12/25/2056 Class A-2 21,168 3.6% 16,617 12/25/2056 Class A-3 28,079 3.7% 21,312 12/25/2056 Class M-1 17,928 3.7% 12,814 12/25/2056 Total $ 368,647 $ 319,938 The following table summarizes the issued Arroyo Trust 2022-2's residential mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 273,691 5.0% $ 263,315 7/25/2057 Class A-2 23,297 5.0% 21,916 7/25/2057 Class A-3 28,388 5.0% 26,398 7/25/2057 Class M-1 17,694 5.0% 15,097 7/25/2057 Total $ 343,070 $ 326,726 The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at September 30, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 109,867 9/11/2025 Class A-2 531,700 4.0 % 482,628 9/11/2025 Class B 136,400 4.2 % 119,584 9/11/2025 Class C 94,500 4.3 % 79,772 9/11/2025 Class D 153,950 4.4 % 122,083 9/11/2025 Class E 180,150 4.4 % 132,952 9/11/2025 Class F 153,600 4.4 % 104,961 9/11/2025 Class X-1 (1) N/A 0.5 % 8,268 9/11/2025 Class X-2 (1) N/A — % 1,618 9/11/2025 $ 1,370,691 $ 1,161,733 (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, 2022, respectively.

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 152,000 $ 262 $ — $ — Credit default swaps, asset Non-Hedge Derivative assets, at fair value — $ — 2,030 $ 105 Total derivative instruments, assets 262 105 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 22,000 (38) Credit default swaps, liability Non-Hedge Derivative liability, at fair value — — 4,140 (564) Total derivative instruments, liabilities — (602) Total derivative instruments, net $ 262 $ (497)
Summary of the effect of entity's Derivative Instruments Reported in Gain (Loss) on Derivative Instruments, Net on the Statements of Operations	The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2022 and September 30, 2021 (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, 2022 Interest rate swaps $ (3,371) $ 3,423 $ — $ 4,790 $ 298 $ 5,140 Interest rate swaptions (161) — — — — (161) Interest-Only Strips— accounted for as derivatives — — (5) (54) 16 (43) Credit default swaps (273) — — 283 — 10 TBAs 1,319 — — (1,383) — (64) Total $ (2,486) $ 3,423 $ (5) $ 3,636 $ 314 $ 4,882 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 swap 16 — — 56 — 72 Total $ 16 $ 485 $ (59) $ (105) $ 178 $ 515 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, 2022 Interest rate swaps $ (3,371) $ 14,744 $ — $ 3,670 $ (255) $ 14,788 Interest rate swaptions (161) — — — — (161) Interest-Only Strips— accounted for as derivatives — — (120) (270) 160 (230) Credit default swaps (242) — — 393 — 151 TBAs 2,051 — — — — 2,051 Total $ (1,723) $ 14,744 $ (120) $ 3,793 $ (95) $ 16,599 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 swap 48 — — 52 — 100 Total $ 48 $ 520 $ (232) $ (97) $ 477 $ 716
Summary of Interest Rate Swaps or Interest Rate Swaptions	The following tables provide additional information on the Company's fixed-pay interest rate swaps as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 60,000 1.4 % 1.3 % 1.5 Greater than 3 years and less than 5 years 70,000 1.4 % 1.1 % 4.3 Greater than 5 years 22,000 1.2 % 3.0 % 9.0 Total $ 152,000 1.4 % 1.4 % 3.9 December 31, 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 % 9.8 Total $ 22,000 1.2 % 0.1 % 9.8
Schedule of Additional Information about the Contracts to Purchase and Sell TBAs	The following table presents additional information about the Company's contracts to purchase and sell TBAs for the nine months ended September 30, 2022 (dollars in thousands): Notional Amount December 31, 2021 Additions Settlement, Termination, Expiration or Exercise Notional Amount September 30, 2022 Purchase of TBAs $ — $ 600,000 $ (600,000) $ — Sale of TBAs $ — $ 600,000 $ (600,000) $ —

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 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 $ 668 $ — $ 668 $ (181) $ — $ 487 Derivative asset, at fair value (2)(3) 262 — 262 — — 262 Total assets $ 930 $ — $ 930 $ (181) $ — $ 749 Derivative Liabilities and Repurchase Agreements Repurchase Agreements (4) $ 218,941 $ — $ 218,941 $ (218,857) $ (84) $ — Total liability $ 218,941 $ — $ 218,941 $ (218,857) $ (84) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $3.1 million as of September 30, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $344.7 million as of September 30, 2022. December 31, 2021 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 $ 1,058 $ — $ 1,058 $ (1,058) $ — $ — Derivative asset, at fair value (2) 105 — 105 (105) — — Total derivative assets $ 1,163 $ — $ 1,163 $ (1,163) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 602 $ — $ 602 $ (105) $ (497) $ — Repurchase Agreements (4) 617,189 — 617,189 (617,189) — — Total derivative liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of December 31, 2021. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $787.1 million as of December 31, 2021.
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, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 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 $ 668 $ — $ 668 $ (181) $ — $ 487 Derivative asset, at fair value (2)(3) 262 — 262 — — 262 Total assets $ 930 $ — $ 930 $ (181) $ — $ 749 Derivative Liabilities and Repurchase Agreements Repurchase Agreements (4) $ 218,941 $ — $ 218,941 $ (218,857) $ (84) $ — Total liability $ 218,941 $ — $ 218,941 $ (218,857) $ (84) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $3.1 million as of September 30, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $344.7 million as of September 30, 2022. December 31, 2021 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 $ 1,058 $ — $ 1,058 $ (1,058) $ — $ — Derivative asset, at fair value (2) 105 — 105 (105) — — Total derivative assets $ 1,163 $ — $ 1,163 $ (1,163) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 602 $ — $ 602 $ (105) $ (497) $ — Repurchase Agreements (4) 617,189 — 617,189 (617,189) — — Total derivative liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of December 31, 2021. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $787.1 million as of December 31, 2021.

Share-Based Payments (Tables)

Share-Based Payments (Tables)	9 Months Ended
	Sep. 30, 2022
Share-Based Payment Arrangement, Noncash Expense [Abstract]
Summary of Restricted Common Stock Vesting Dates	The following is a summary of restricted equity awards vesting dates as of September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 Vesting Date Shares Vesting Shares Vesting March 2022 — 3,600 June 2022 — 8,116 June 2023 31,704 — June 2024 10,000 — Total 41,704 11,716
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, 2022 and September 30, 2021: September 30, 2022 September 30, 2021 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 114,825 $ 131.85 102,554 $ 140.99 Granted (2) 45,954 12.75 14,057 52.08 Cancelled/forfeited — — (2,546) 27.50 Outstanding at end of period 160,779 97.81 114,065 132.56 Unvested at end of period 41,704 $ 12.52 11,716 $ 56.19 (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 4,250 and 5,941 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the nine months ended September 30, 2022 and September 30, 2021, respectively.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2022
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, adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2022 September 22, 2022 October 3, 2022 October 26, 2022 $ 0.40 Not yet determined June 21, 2022 July 1, 2022 July 25, 2022 $ 0.40 Not yet determined March 23, 2022 April 4, 2022 April 26, 2022 $ 0.40 Not yet determined 2021 December 21, 2021 December 31, 2021 January 26, 2022 $ 0.60 Not yet determined (1) September 23, 2021 October 4, 2021 October 26, 2021 $ 0.60 Return of capital June 22, 2021 July 2, 2021 July 26, 2021 $ 0.60 Return of capital March 23, 2021 April 2, 2021 April 26, 2021 $ 0.60 Return of capital (1) The cash distributions made on January 26, 2022, with a record date of December 31, 2021, are treated as received by stockholders on January 26, 2022 and taxable in calendar year 2022. The tax characterization of these distributions will be determined in January 2023.

Net Loss per Common Share (Tabl

Net Loss per Common Share (Tables)	9 Months Ended
	Sep. 30, 2022
Earnings Per Share [Abstract]
Schedule of Basic and Diluted Net Loss Per Share of Common Stock	The table below presents basic and diluted net loss per share of common stock using the two-class method for the three and nine months ended September 30, 2022 and September 30, 2021 (dollars, other than shares and per share amounts, in thousands), adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. For the three months ended September 30, 2022 For the three months ended September 30, 2021 For the nine months ended September 30, 2022 For the nine months ended September 30, 2021 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (40,010) $ (4,213) $ (88,250) $ (36,423) Less: Dividends and undistributed earnings allocated to participating securities 32 24 62 65 Net loss allocable to common stockholders — basic and diluted $ (40,042) $ (4,237) $ (88,312) $ (36,488) Denominator : Weighted average common shares outstanding for basic earnings per share 6,038,010 6,079,569 6,036,876 6,077,176 Weighted average common shares outstanding for diluted earnings per share 6,038,010 6,079,569 6,036,876 6,077,176 Basic loss per common share $ (6.63) $ (0.70) $ (14.63) $ (6.00) Diluted loss per common share $ (6.63) $ (0.70) $ (14.63) $ (6.00)

Basis of Presentation and Sum_4

Basis of Presentation and Summary of Significant Accounting Policies (Details)			9 Months Ended
	Jul. 11, 2022 $ / shares shares	Jun. 30, 2022 $ / shares shares	Sep. 30, 2022 $ / shares shares	Dec. 31, 2021 $ / shares shares
Class of Stock [Line Items]
Capital stock reserved for issuance (in shares)		600,000,000
Common stock, shares authorized (in shares)	50,000,000	500,000,000	50,000,000	50,000,000
Common stock, par value (in dollars per share) | $ / shares	$ 0.01	$ 0.01	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)		100,000,000	100,000,000	100,000,000
Preferred stock, par value (in dollars per share) | $ / shares		$ 0.01	$ 0.01	$ 0.01
Stockholders' equity note, stock split, conversion ratio	0.1		0.1
Common stock, shares issued (in shares)	6,038,010	60,380,105	6,038,010	6,038,010
Common stock, shares outstanding (in shares)	6,038,010	60,380,105	6,038,010	6,038,010
Minimum
Class of Stock [Line Items]
Stockholders' equity note, stock split, conversion ratio		0.2
Maximum
Class of Stock [Line Items]
Stockholders' equity note, stock split, conversion ratio		0.1

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets
Derivative assets	$ 930	$ 1,163
Liabilities
Derivative liabilities	0	602
Fair Value, Measurements, Recurring
Assets
Derivative assets	262	105
Total Assets	2,524,562	2,701,362
Liabilities
Derivative liabilities		602
Securitized debt	1,808,397	1,344,370
Total Liabilities	1,808,397	1,344,972
Residential  Whole Loans
Assets
Fair value	1,099,625	1,023,502
Residential  Whole Loans | Fair Value, Measurements, Recurring
Assets
Fair value	1,099,625	1,023,502
Residential bridge loans | Fair Value, Measurements, Recurring
Assets
Fair value	5,120	5,428
Securitized commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	1,171,914	1,355,808
Commercial loans
Assets
Fair value	90,103
Commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	90,103	130,572
Agency RMBS Interest-only strips
Assets
Estimated Fair Value	52	114
Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	52	114
Agency RMBS Interest-only strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	668	1,058
Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	668	1,058
Subtotal Agency MBS
Assets
Estimated Fair Value	720	1,172
Subtotal Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	720	1,172
Non-Agency CMBS
Assets
Estimated Fair Value	88,822	105,358
Non-Agency CMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	88,822	105,358
Non-Agency RMBS
Assets
Estimated Fair Value	28,513	25,652
Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	28,513	25,652
Non-Agency RMBS Interest-only strips
Assets
Estimated Fair Value	1,173	2,117
Non-Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,173	2,117
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	118,508	133,127
Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	118,508	133,127
Other securities
Assets
Estimated Fair Value	38,310	51,648
Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	38,310	51,648
Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	157,538	185,947
Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	157,538	185,947
Level I | Fair Value, Measurements, Recurring
Assets
Derivative assets	0	0
Total Assets	0	0
Liabilities
Derivative liabilities		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	262	105
Total Assets	155,907	177,035
Liabilities
Derivative liabilities		602
Securitized debt	1,798,511	1,329,451
Total Liabilities	1,798,511	1,330,053
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	88,822	99,630
Level II | Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	28,513	25,652
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	117,335	125,282
Level II | Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	38,310	51,648
Level II | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	155,645	176,930
Level III | Fair Value, Measurements, Recurring
Assets
Derivative assets	0	0
Total Assets	2,368,655	2,524,327
Liabilities
Derivative liabilities		0
Securitized debt	9,886	14,919
Total Liabilities	9,886	14,919
Level III | Residential  Whole Loans | Fair Value, Measurements, Recurring
Assets
Fair value	1,099,625	1,023,502
Level III | Residential bridge loans | Fair Value, Measurements, Recurring
Assets
Fair value	5,120	5,428
Level III | Securitized commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	1,171,914	1,355,808
Level III | Commercial loans | Fair Value, Measurements, Recurring
Assets
Fair value	90,103	130,572
Level III | Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	52	114
Level III | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	668	1,058
Level III | Subtotal Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	720	1,172
Level III | Non-Agency CMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	5,728
Level III | Non-Agency RMBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level III | Non-Agency RMBS Interest-only strips | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,173	2,117
Level III | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	1,173	7,845
Level III | Other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	0	0
Level III | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring
Assets
Estimated Fair Value	$ 1,893	$ 9,017

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Summary of Quantitative Information (Details) $ in Thousands	Sep. 30, 2022 USD ($)	Dec. 31, 2021 USD ($)
Residential  Whole Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,099,625	$ 1,023,502
Residential  Whole Loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,099,625	$ 1,023,502
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	0.064	0.026
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 9 months 18 days	1 year 4 months 24 days
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	0.076	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	10 years 7 months 6 days	8 years 10 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	0.071	0.035
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	5 years 8 months 12 days	3 years 1 month 6 days
Residential bridge loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 5,120	$ 5,428
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	0.129	0.098
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	4 months 24 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	0.357	0.231
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	4 years 1 month 6 days	3 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	0.207	0.172
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 1 month 6 days	2 years 4 months 24 days
Commercial loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 90,103
Commercial loans | Discounted Cash Flow | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 90,103	$ 130,572
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	0.023	0.045
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	2 months 12 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	0.091	0.217
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	7 years 1 month 6 days	2 years 9 months 18 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	0.080	0.093
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	2 years	1 year 2 months 12 days

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Sales and settlements
Premium and discount amortization, net			$ (2,492)	$ (145)
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	185	$ (270)	223	(1,214)
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	14,919	14,937	14,919	15,418
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Sales and settlements	0		0
Purchases		0	0	0
Transfers to REO		0		0
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	(3,863)	1,103	(2,064)	2,810
Premium and discount amortization, net	(1,170)	(1,120)	(2,969)	(3,308)
Ending balance	9,886	14,920	9,886	14,920
Unrealized gain (loss)	3,863	(1,121)	2,064	(2,357)
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	1,195,853	801,503	1,023,502	1,008,782
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Sales and settlements	(11,735)		(11,362)
Purchases		232,993	402,650	241,417
Transfers to REO		0		0
Loan modifications / capitalized interest	4	34	79	311
Principal repayments	(37,036)	(80,607)	(184,683)	(307,543)
Realized gains/(losses), net on assets	(33)	0	(32)	0
Unrealized gains/(losses), net on assets	(46,545)	(3,074)	(125,943)	13,160
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(883)	(1,432)	(4,586)	(6,710)
Ending balance	1,099,625	949,417	1,099,625	949,417
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)	(35,855)	(1,055)	(107,944)	13,702
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	5,095	7,471	5,428	12,813
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Sales and settlements	0		0
Purchases		0	0	0
Transfers to REO		(68)		(752)
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	0	(1,575)	(250)	(6,542)
Realized gains/(losses), net on assets	0	(3)	0	(155)
Unrealized gains/(losses), net on assets	25	154	(58)	617
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	0	(19)	0	(21)
Ending balance	5,120	5,960	5,120	5,960
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)	25	36	17	(60)
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	128,421	267,203	130,572	310,523
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Sales and settlements	0		0
Purchases		0	0	0
Transfers to REO		(30,000)		(30,000)
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	(20,588)	(102,969)	(20,593)	(103,272)
Realized gains/(losses), net on assets	0	0	0	0
Unrealized gains/(losses), net on assets	(17,730)	(5,495)	(19,876)	(48,630)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	0	27	0	145
Ending balance	90,103	128,766	90,103	128,766
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)	(17,730)	(5,479)	(19,884)	(48,630)
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	1,243,371	1,595,077	1,355,808	1,605,335
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Sales and settlements	0		0
Purchases		0	0	0
Transfers to REO		0		0
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	0	(214,545)	0	(354,202)
Realized gains/(losses), net on assets	0	0	0	0
Unrealized gains/(losses), net on assets	(78,046)	(9,617)	(203,828)	107,423
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	6,589	6,090	19,934	18,449
Ending balance	1,171,914	1,377,005	1,171,914	1,377,005
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)	(78,046)	(12,336)	(203,828)	92,424
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	785	1,501	1,172	1,708
Transfers into Level III from Level II	0	0	0	0
Transfers from Level III into Level II	0	0	0	0
Sales and settlements	0		0
Purchases		0	0	0
Transfers to REO		0		0
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	(63)	(93)	(329)	(109)
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(2)	(66)	(123)	(257)
Ending balance	720	1,342	720	1,342
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)	(63)	(93)	(329)	(109)
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	1,181	11,803	7,845	34,369
Transfers into Level III from Level II	0	5,683	0	5,683
Transfers from Level III into Level II	0	0	(5,437)	(23,370)
Sales and settlements	0		0
Purchases		0	0	0
Transfers to REO		0		0
Loan modifications / capitalized interest	0	0	0	0
Principal repayments	0	0	0	(256)
Realized gains/(losses), net on assets	0	0	0	0
Unrealized gains/(losses), net on assets	88	(399)	(998)	868
Unrealized (gains)/losses, net on liabilities	0	0	0	0
Premium and discount amortization, net	(96)	(18)	(237)	(225)
Ending balance	1,173	17,069	1,173	17,069
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)	$ 88	(399)	$ (644)	(1,434)
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				8,593
Transfers into Level III from Level II				0
Transfers from Level III into Level II				(10,306)
Purchases				0
Transfers to REO				0
Loan modifications / capitalized interest				0
Principal repayments				0
Realized gains/(losses), net on assets				0
Unrealized gains/(losses), net on assets				1,657
Unrealized (gains)/losses, net on liabilities				0
Premium and discount amortization, net				56
Ending balance		$ 0		0
Unrealized gain (loss)				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)				$ 0

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt	$ 1,808,397	$ 1,344,370
Total Liabilities	1,808,397	1,344,972
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Convertible senior unsecured notes	109,162	119,168
Securitized debt	355,960	524,649
Total Liabilities	465,122	643,817
Debt issuance costs	4,500	5,500
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Convertible senior unsecured notes	101,548	122,133
Securitized debt	332,574	528,046
Total Liabilities	$ 434,122	$ 650,179

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, 2022	Dec. 31, 2021
Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 56,000	$ 59,000
Unrealized Gain	0	55,000
Unrealized Loss	(4,000)	0
Estimated Fair Value	$ 52,000	$ 114,000
Net Weighted Average Coupon	0%	1.30%
Notional balance	$ 2,500,000	$ 2,900,000
Agency RMBS Interest-Only Strips, accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 668,000	$ 1,058,000
Net Weighted Average Coupon	0.70%	1.30%
Notional balance	$ 13,800,000	$ 16,800,000
Total Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	0	0
Unamortized Premium (Discount), net	0	0
Amortized Cost	56,000	59,000
Unrealized Gain	0	55,000
Unrealized Loss	(4,000)	0
Estimated Fair Value	$ 720,000	$ 1,172,000
Net Weighted Average Coupon	0.60%	1.30%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 45,569,000	$ 36,147,000
Unamortized Premium (Discount), net	(14,848,000)	(13,936,000)
Amortized Cost	30,721,000	22,211,000
Unrealized Gain	1,568,000	3,476,000
Unrealized Loss	(3,776,000)	(35,000)
Estimated Fair Value	$ 28,513,000	$ 25,652,000
Net Weighted Average Coupon	4.20%	4.30%
Non-Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 5,307,000	$ 5,608,000
Unrealized Gain	0	0
Unrealized Loss	(4,134,000)	(3,491,000)
Estimated Fair Value	$ 1,173,000	$ 2,117,000
Net Weighted Average Coupon	0.30%	0.30%
Notional balance	$ 146,700,000	$ 181,000,000
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	45,569,000	36,147,000
Unamortized Premium (Discount), net	(14,848,000)	(13,936,000)
Amortized Cost	36,028,000	27,819,000
Unrealized Gain	1,568,000	3,476,000
Unrealized Loss	(7,910,000)	(3,526,000)
Estimated Fair Value	$ 29,686,000	$ 27,769,000
Net Weighted Average Coupon	1.10%	1%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 110,115,000	$ 179,619,000
Unamortized Premium (Discount), net	(2,993,000)	(13,088,000)
Amortized Cost	107,122,000	166,531,000
Unrealized Gain	729,000	1,543,000
Unrealized Loss	(19,029,000)	(62,716,000)
Estimated Fair Value	$ 88,822,000	$ 105,358,000
Net Weighted Average Coupon	7.40%	5.40%
Total Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 155,684,000	$ 215,766,000
Unamortized Premium (Discount), net	(17,841,000)	(27,024,000)
Amortized Cost	143,150,000	194,350,000
Unrealized Gain	2,297,000	5,019,000
Unrealized Loss	(26,939,000)	(66,242,000)
Estimated Fair Value	$ 118,508,000	$ 133,127,000
Net Weighted Average Coupon	3.40%	3%
Other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 46,493,000	$ 51,159,000
Unamortized Premium (Discount), net	(8,510,000)	(8,229,000)
Amortized Cost	42,942,000	47,652,000
Unrealized Gain	1,216,000	4,209,000
Unrealized Loss	(5,848,000)	(213,000)
Estimated Fair Value	$ 38,310,000	$ 51,648,000
Net Weighted Average Coupon	7.10%	5.60%
Total
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 202,177,000	$ 266,925,000
Unamortized Premium (Discount), net	(26,351,000)	(35,253,000)
Amortized Cost	186,148,000	242,061,000
Unrealized Gain	3,513,000	9,283,000
Unrealized Loss	(32,791,000)	(66,455,000)
Estimated Fair Value	$ 157,538,000	$ 185,947,000
Net Weighted Average Coupon	3.80%	3.20%
Weighted average expected remaining term to the expected maturity of investment portfolio	7 years 2 months 12 days	5 years 10 months 24 days
Residual interests in asset-backed securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 0	$ 0
Amortized Cost	$ 5,000,000	$ 4,700,000

Mortgage-Backed Securities an_4

Mortgage-Backed Securities and other securities - Type of Security (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 52	$ 114
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	52	114
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	668	1,058
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	668	1,058
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	720	1,172
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	668	1,058
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	52	114
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	88,822	105,358
Non-Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	66,003	66,384
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	12,254	17,644
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	10,565	21,171
Non-Agency CMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	159
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	28,513	25,652
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	9,273	10,282
Non-Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	19,240	15,370
Non-Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,173	2,117
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	199	106
Non-Agency RMBS Interest-only strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	974	2,011
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	118,508	133,127
Subtotal Non-Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	66,003	66,384
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	12,254	17,644
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	20,037	31,559
Subtotal Non-Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	20,214	17,540
Other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	38,310	51,648
Other securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,526	9,255
Other securities | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,869	4,266
Other securities | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	19,684	25,653
Other securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	8,231	12,474
Total
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	157,538	185,947
Total | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	72,529	75,639
Total | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	16,791	22,968
Total | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	39,773	57,326
Total | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 28,445	$ 30,014

Mortgage-Backed Securities an_5

Mortgage-Backed Securities and other securities - FV and Unrealized Loss (Details) $ in Thousands	Sep. 30, 2022 USD ($) security	Dec. 31, 2021 USD ($) security
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 39,913	$ 0
Fair value, 12 months or more	85,060	107,420
Fair Value	124,973	107,420
Unrealized Losses
Unrealized losses, less than 12 Months	(9,052)	0
Unrealized losses, 12 months or more	(23,739)	(66,455)
Unrealized Losses	$ (32,791)	$ (66,455)
Number  of Securities
Number of securities, less than 12 months | security	12	0
Number of securities, 12 months or more | security	18	25
Number  of Securities | security	30	25
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 52
Fair value, 12 months or more	0
Fair Value	52
Unrealized Losses
Unrealized losses, less than 12 Months	(4)
Unrealized losses, 12 months or more	0
Unrealized Losses	$ (4)
Number  of Securities
Number of securities, less than 12 months | security	1
Number of securities, 12 months or more | security	0
Number  of Securities | security	1
Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 52
Fair value, 12 months or more	0
Fair Value	52
Unrealized Losses
Unrealized losses, less than 12 Months	(4)
Unrealized losses, 12 months or more	0
Unrealized Losses	$ (4)
Number  of Securities
Number of securities, less than 12 months | security	1
Number of securities, 12 months or more | security	0
Number  of Securities | security	1
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 15,141	$ 0
Fair value, 12 months or more	81,191	98,398
Fair Value	96,332	98,398
Unrealized Losses
Unrealized losses, less than 12 Months	(3,721)	0
Unrealized losses, 12 months or more	(23,218)	(66,242)
Unrealized Losses	$ (26,939)	$ (66,242)
Number  of Securities
Number of securities, less than 12 months | security	7	0
Number of securities, 12 months or more | security	16	21
Number  of Securities | security	23	21
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 0
Fair value, 12 months or more	79,850	96,080
Fair Value	79,850	96,080
Unrealized Losses
Unrealized losses, less than 12 Months	0	0
Unrealized losses, 12 months or more	(19,029)	(62,716)
Unrealized Losses	$ (19,029)	$ (62,716)
Number  of Securities
Number of securities, less than 12 months | security	0	0
Number of securities, 12 months or more | security	11	16
Number  of Securities | security	11	16
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 15,141	$ 0
Fair value, 12 months or more	169	201
Fair Value	15,310	201
Unrealized Losses
Unrealized losses, less than 12 Months	(3,721)	0
Unrealized losses, 12 months or more	(55)	(35)
Unrealized Losses	$ (3,776)	$ (35)
Number  of Securities
Number of securities, less than 12 months | security	7	0
Number of securities, 12 months or more | security	1	1
Number  of Securities | security	8	1
Non-Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 0
Fair value, 12 months or more	1,172	2,117
Fair Value	1,172	2,117
Unrealized Losses
Unrealized losses, less than 12 Months	0	0
Unrealized losses, 12 months or more	(4,134)	(3,491)
Unrealized Losses	$ (4,134)	$ (3,491)
Number  of Securities
Number of securities, less than 12 months | security	0	0
Number of securities, 12 months or more | security	4	4
Number  of Securities | security	4	4
Other securities
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 24,720	$ 0
Fair value, 12 months or more	3,869	9,022
Fair Value	28,589	9,022
Unrealized Losses
Unrealized losses, less than 12 Months	(5,327)	0
Unrealized losses, 12 months or more	(521)	(213)
Unrealized Losses	$ (5,848)	$ (213)
Number  of Securities
Number of securities, less than 12 months | security	4	0
Number of securities, 12 months or more | security	2	4
Number  of Securities | security	6	4

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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Accretion			$ (2,492)	$ (145)
Interest Income	$ 41,406	$ 40,141	116,625	127,353
Agency RMBS
Components of interest income
Coupon Interest	0	11	13	38
Net (Premium Amortization/Amortization Basis) Discount Accretion	2	(7)	(4)	(26)
Interest Income	2	4	9	12
Non-Agency CMBS
Components of interest income
Coupon Interest	1,949	2,621	7,050	7,171
Net (Premium Amortization/Amortization Basis) Discount Accretion	387	1,669	386	6,230
Interest Income	2,336	4,290	7,436	13,401
Non-Agency RMBS
Components of interest income
Coupon Interest	446	609	1,804	1,762
Net (Premium Amortization/Amortization Basis) Discount Accretion	26	(240)	(141)	(704)
Interest Income	472	369	1,663	1,058
Other securities
Components of interest income
Coupon Interest	860	1,043	2,515	3,717
Net (Premium Amortization/Amortization Basis) Discount Accretion	185	(270)	223	(1,214)
Interest Income	1,045	773	2,738	2,503
Total
Components of interest income
Coupon Interest	3,255	4,284	11,382	12,688
Net (Premium Amortization/Amortization Basis) Discount Accretion	600	1,152	464	4,286
Interest Income	$ 3,855	$ 5,436	$ 11,846	$ 16,974

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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Net Gain  (Loss)	$ (35)	$ (1,526)	$ (33,551)	$ (7,367)
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	0	10,152	0
Gross Gains	0	0	0	0
Gross Losses	0	0	(43,934)	(5,929)
Net Gain  (Loss)	0	0	(43,934)	(5,929)
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	0	27,729	0
Gross Gains	0	0	255	0
Gross Losses	0	0	(1,425)	0
Net Gain  (Loss)	0	0	(1,170)	0
Other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	0	4,406	0
Gross Gains	0	0	0	0
Gross Losses	0	0	(478)	0
Net Gain  (Loss)	0	0	(478)	0
Total
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	0	0	42,287	0
Gross Gains	0	0	255	0
Gross Losses	0	0	(45,837)	(5,929)
Net Gain  (Loss)	$ 0	$ 0	$ (45,582)	$ (5,929)

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, 2022 USD ($) loan	Dec. 31, 2021 USD ($) loan
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 17.1	$ 26.5
VIE, Non Primary
Variable Interest Entity [Line Items]
Number of commercial loans trusts | loan	2	5

Residential Whole Loans and B_3

Residential Whole Loans and Bridge Loans - Narrative (Details) $ in Thousands	1 Months Ended	9 Months Ended	12 Months Ended
	May 31, 2019 USD ($)	Sep. 30, 2022 USD ($) loan property trust	Dec. 31, 2021 USD ($) loan property trust	Jul. 31, 2022 USD ($)	Feb. 28, 2022 USD ($)	Jun. 30, 2020 USD ($)
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 218,941	$ 617,189
Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		2,995	2,361
Fair value		$ 1,099,625	$ 1,023,502
Principal  Balance		$ 1,190,326	$ 989,143
Residential bridge loans
Variable Interest Entity [Line Items]
Number of real estate properties owned | property		4	4
Bridge loans
Variable Interest Entity [Line Items]
Fair value		$ 5,120
No of Loans | loan		7
Unpaid principal balance		$ 5,585
Bridge loans | 90+ days
Variable Interest Entity [Line Items]
Fair value		$ 4,262
No of Loans | loan		6
Unpaid principal balance		$ 4,736
Non-Qualifying Adjustable Rate Mortgage Loan | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		2,990
Non-Qualifying Adjustable Rate Mortgage Loan | Residential bridge loans
Variable Interest Entity [Line Items]
Fair value		$ 5,100	$ 5,200
Investor Fixed Rate Mortgage Loan | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		5
Investor Fixed Rate Mortgage Loan | Estimated Fair Value | Residential bridge loans
Variable Interest Entity [Line Items]
Fair value		$ 1,400	$ 1,700
RMI 2015 Trust | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of Loans | trust		8	770
RMI 2015 Trust | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair value		$ 5,800	$ 451,700
Arroyo Trust 2019 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net	$ 919,000
Arroyo Trust 2019 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Transferred of non-qm residential whole loans	$ 945,500
Arroyo Trust 2019 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of Loans | loan		793,000	1,042,000
Arroyo Trust 2019 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair value		$ 241,200	$ 374,300
Arroyo Mortgage Trust 2020 | Residential  Whole Loans | Secured Debt
Variable Interest Entity [Line Items]
Long-term debt, fair value		$ 135,500	$ 195,700
Arroyo Mortgage Trust 2020 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net						$ 341,700
Line of credit facility, maximum borrowing capacity						$ 355,800
Arroyo Mortgage Trust 2020 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of Loans | loan		440,000	543
Arroyo Mortgage Trust 2022 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net					$ 398,900
Arroyo Mortgage Trust 2022 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 350,100
Line of credit facility, maximum borrowing capacity					$ 432,000
Arroyo Mortgage Trust 2022 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of Loans | loan		711
Arroyo Mortgage Trust 2022-2 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 365,600
Arroyo Mortgage Trust 2022-2 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net				$ 351,900
Line of credit facility, maximum borrowing capacity				$ 402,200
Arroyo Mortgage Trust 2022-2 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of Loans | loan		1,038
VIE, Non Primary | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of Loans | loan		5	6
VIE, Non Primary | Residential bridge loans
Variable Interest Entity [Line Items]
Number of Loans | loan		7	8
VIE | Residential  Whole Loans
Variable Interest Entity [Line Items]
No of Loans | loan		7	20
Mortgage loans on real estate, principal amount of delinquent loans		$ 3,300	$ 12,200
Mortgage loans on real estate, number of loans, nonperforming, percentage		0.30%	1.20%
Original LTV, collateral dependent		64.50%	60%
VIE | Residential bridge loans
Variable Interest Entity [Line Items]
Number of Loans | loan		7	9
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan			$ 4,800
Principal  Balance		$ 5,585	5,834
Foreclosed other real estate owned		1,100	1,100
VIE | Estimated Fair Value | Residential  Whole Loans
Variable Interest Entity [Line Items]
Fair value		$ 3,000	$ 12,000
VIE | Estimated Fair Value | Residential bridge loans
Variable Interest Entity [Line Items]
Number of Loans | loan			9
Fair value			$ 4,400
No of Loans | loan		6	6
Mortgage loans on real estate, principal amount of delinquent loans		$ 4,700

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, 2022	Dec. 31, 2021	Sep. 30, 2021
Variable Interest Entity [Line Items]
Cash and cash equivalents		$ 55,352	$ 40,193	$ 63,916
Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively)		1,099,625	1,023,502
Assets Pledged		5,120	5,207
Investment related receivable		8,720	22,133
Interest receivable		11,324	11,823
Total assets	[1]	2,606,305	2,825,700
Securitized debt, net		2,159,862	1,863,488
Interest payable		10,460	10,272
Accounts payable and accrued expenses		3,887	4,842
Total liabilities	[2]	2,508,342	2,621,371
VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		236	266
Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively)		1,099,625	1,023,502
Assets Pledged		5,120	5,207
Investment related receivable		8,674	22,087
Interest receivable		10,191	10,572
Total assets		2,310,372	2,432,064
Securitized debt, net		2,159,862	1,863,488
Interest payable		8,209	6,480
Accounts payable and accrued expenses		69	78
Total liabilities		2,168,391	1,870,306
Fair value of collateral, residential home loans		1,099,625	1,023,502
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		236	266
Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively)		1,099,625	1,023,502
Assets Pledged		5,120	5,207
Investment related receivable		8,674	22,087
Interest receivable		5,066	5,282
Total assets		1,118,721	1,056,344
Securitized debt, net		998,129	519,118
Interest payable		3,214	1,316
Accounts payable and accrued expenses		60	69
Total liabilities		$ 1,001,403	$ 520,503
[1] September 30, December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 236 $ 266 Restricted cash 251 260 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial loans, at fair value ($14,361 and $14,362 pledged as collateral, at fair value, respectively) 14,361 14,362 Investment related receivable 8,674 22,087 Interest receivable 10,191 10,572 Total assets of consolidated VIEs $ 2,310,372 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively) $ 2,159,862 $ 1,863,488 Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively) 8,209 6,480 Accounts payable and accrued expenses 69 78 Other liabilities 251 260 Total liabilities of consolidated VIEs $ 2,168,391 $ 1,870,306 September 30, December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 236 $ 266 Restricted cash 251 260 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial loans, at fair value ($14,361 and $14,362 pledged as collateral, at fair value, respectively) 14,361 14,362 Investment related receivable 8,674 22,087 Interest receivable 10,191 10,572 Total assets of consolidated VIEs $ 2,310,372 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively) $ 2,159,862 $ 1,863,488 Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively) 8,209 6,480 Accounts payable and accrued expenses 69 78 Other liabilities 251 260 Total liabilities of consolidated VIEs $ 2,168,391 $ 1,870,306

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, 2022	Dec. 31, 2021
Residential whole loans, at Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	$ 1,190,326	$ 989,143
Unamortized premium	31,789	31,070
Unamortized discount	(1,634)	(1,337)
Amortized cost	1,220,481	1,018,876
Gross unrealized gains	700	14,190
Gross unrealized losses	(121,556)	(9,564)
Fair value	1,099,625	1,023,502
Residential Bridge Loans, At Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	5,585	5,834
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	5,585	5,834
Gross unrealized gains	9	78
Gross unrealized losses	(474)	(484)
Fair value	$ 5,120	$ 5,428

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, 2022 USD ($) loan	Dec. 31, 2021 USD ($) loan
2.01% – 3.00%
Variable Interest Entity [Line Items]
Coupon  Rate	2.90%	2.80%
Number of Loans | loan	40	27
Principal  Balance | $	$ 22,510	$ 15,640
Original LTV	66.30%	65.10%
Original FICO score	758	757
Expected  Life (years)	9 years 2 months 12 days	5 years 3 months 18 days
Contractual  Maturity  (years)	28 years 6 months	28 years 9 months 18 days
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%	3%
3.01% – 4.00%
Variable Interest Entity [Line Items]
Coupon  Rate	3.70%	3.70%
Number of Loans | loan	431	496
Principal  Balance | $	$ 224,994	$ 244,022
Original LTV	65.70%	63.70%
Original FICO score	758	756
Expected  Life (years)	7 years 3 months 18 days	3 years 3 months 18 days
Contractual  Maturity  (years)	28 years 6 months	28 years
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%	400%
4.01% – 5.00%
Variable Interest Entity [Line Items]
Coupon  Rate	4.60%	4.70%
Number of Loans | loan	1,372	1,051
Principal  Balance | $	$ 467,195	$ 413,451
Original LTV	64%	65.10%
Original FICO score	749	747
Expected  Life (years)	5 years 9 months 18 days	2 years 10 months 24 days
Contractual  Maturity  (years)	26 years 2 months 12 days	28 years 2 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%	5%
5.01% – 6.00%
Variable Interest Entity [Line Items]
Coupon  Rate	5.40%	5.40%
Number of Loans | loan	902	757
Principal  Balance | $	$ 366,708	$ 305,344
Original LTV	65.80%	64.90%
Original FICO score	742	738
Expected  Life (years)	5 years 1 month 6 days	3 years
Contractual  Maturity  (years)	27 years 1 month 6 days	26 years 9 months 18 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%	6%
6.01% – 7.00%
Variable Interest Entity [Line Items]
Coupon  Rate	6.40%	6.30%
Number of Loans | loan	235	28
Principal  Balance | $	$ 103,067	$ 10,181
Original LTV	70.30%	67.90%
Original FICO score	742	721
Expected  Life (years)	3 years 10 months 24 days	3 years 1 month 6 days
Contractual  Maturity  (years)	28 years 9 months 18 days	25 years 9 months 18 days
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%	7%
7.01% - 8.00%
Variable Interest Entity [Line Items]
Coupon  Rate	7.40%	7.10%
Number of Loans | loan	15	2
Principal  Balance | $	$ 5,852	$ 505
Original LTV	75.10%	73.20%
Original FICO score	731	753
Expected  Life (years)	3 years 2 months 12 days	4 years 6 months
Contractual  Maturity  (years)	29 years 4 months 24 days	26 years 9 months 18 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%	8%
Residential  Whole Loans
Variable Interest Entity [Line Items]
Coupon  Rate	4.80%	4.60%
Number of Loans | loan	2,995	2,361
Principal  Balance | $	$ 1,190,326	$ 989,143
Original LTV	65.50%	64.80%
Original FICO score	748	746
Expected  Life (years)	5 years 9 months 18 days	3 years 1 month 6 days
Contractual  Maturity  (years)	27 years 2 months 12 days	27 years 8 months 12 days
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans | loan	236	230
Principal  Balance | $	$ 77,700	$ 74,300
7.01% – 9.00%
Variable Interest Entity [Line Items]
Coupon  Rate	8.80%	8.80%
Number of Loans | loan	3	3
Principal  Balance | $	$ 2,946	$ 2,946
Original LTV	70.40%	70.40%
Contractual  Maturity  (years)	0 years	0 years
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%	9%
9.01% – 11.00%
Variable Interest Entity [Line Items]
Coupon  Rate	10.40%	10.40%
Number of Loans | loan	2	4
Principal  Balance | $	$ 2,144	$ 2,393
Original LTV	78.10%	76.70%
Contractual  Maturity  (years)	0 years	0 years
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%	11%
11.01% – 13.00%
Variable Interest Entity [Line Items]
Coupon  Rate	11.40%	11.40%
Number of Loans | loan	2	2
Principal  Balance | $	$ 495	$ 495
Original LTV	69.70%	69.70%
Contractual  Maturity  (years)	0 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%	13%
Residential bridge loans | VIE
Variable Interest Entity [Line Items]
Coupon  Rate	9.70%	9.70%
Number of Loans | loan	7	9
Principal  Balance | $	$ 5,585	$ 5,834
Original LTV	73.30%	72.90%
Contractual  Maturity  (years)	0 years	0 years

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, 2022	Dec. 31, 2021
Residential  Whole Loans
Variable Interest Entity [Line Items]
Principal  Balance	$ 1,190,326	$ 989,143
Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	100%	100%
Principal  Balance	$ 1,190,326	$ 989,143
Geographic Concentration Risk | Financing Receivables Total | Residential bridge loans
Variable Interest Entity [Line Items]
State Concentration	100%	100%
Principal  Balance	$ 5,585	$ 5,834
California | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	66.60%	73.90%
Principal  Balance	$ 793,123	$ 730,771
California | Geographic Concentration Risk | Financing Receivables Total | Residential bridge loans
Variable Interest Entity [Line Items]
State Concentration	31.40%	30.10%
Principal  Balance	$ 1,754	$ 1,754
New York | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	9.40%	11.60%
Principal  Balance	$ 112,329	$ 114,625
New York | Geographic Concentration Risk | Financing Receivables Total | Residential bridge loans
Variable Interest Entity [Line Items]
State Concentration	47.10%	45.10%
Principal  Balance	$ 2,631	$ 2,631
Texas | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	4.80%	1.90%
Principal  Balance	$ 56,856	$ 19,062
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	4.10%	2.70%
Principal  Balance	$ 48,959	$ 26,293
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential bridge loans
Variable Interest Entity [Line Items]
State Concentration	20.10%	19.30%
Principal  Balance	$ 1,125	$ 1,125
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	3.60%	2.50%
Principal  Balance	$ 42,347	$ 25,106
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential bridge loans
Variable Interest Entity [Line Items]
State Concentration	1.40%	3.70%
Principal  Balance	$ 75	$ 219
Other | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	11.50%	7.40%
Principal  Balance	$ 136,712	$ 73,286
Pennsylvania | Geographic Concentration Risk | Financing Receivables Total | Residential bridge loans
Variable Interest Entity [Line Items]
State Concentration		1.80%
Principal  Balance		$ 105

Residential Whole Loans and B_8

Residential Whole Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($) loan
Residential whole-loans
Variable Interest Entity [Line Items]
No of Loans | loan	2,995
Principal	$ 1,190,326
Fair value	$ 1,099,625
Bridge loans
Variable Interest Entity [Line Items]
No of Loans | loan	7
Principal	$ 5,585
Fair value	$ 5,120
Non-QM Loans
Variable Interest Entity [Line Items]
Number of loans in forbearance | loan	0
Current | Residential whole-loans
Variable Interest Entity [Line Items]
No of Loans | loan	2,985
Principal	$ 1,184,619
Fair value	$ 1,094,291
Current | Bridge loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal	$ 0
Fair value	$ 0
1-30 days | Residential whole-loans
Variable Interest Entity [Line Items]
No of Loans | loan	3
Principal	$ 2,448
Fair value	$ 2,324
1-30 days | Bridge loans
Variable Interest Entity [Line Items]
No of Loans | loan	1
Principal	$ 849
Fair value	$ 858
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	0
Principal	$ 0
Fair value	$ 0
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	7
Principal	$ 3,259
Fair value	$ 3,010
90+ days | Bridge loans
Variable Interest Entity [Line Items]
No of Loans | loan	6
Principal	$ 4,736
Fair value	$ 4,262

Commercial Loans - Commercial L

Commercial Loans - Commercial Loans Held (Details) - USD ($) $ in Thousands	1 Months Ended	9 Months Ended
	Jul. 31, 2022	Sep. 30, 2022	Sep. 30, 2021	Sep. 16, 2022	Jun. 30, 2022
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal repayments on commercial loans		$ 20,593	$ 103,272
Securitized commercial loans | CRE 8
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance				$ 4,400
Securitized commercial loans | 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		8,800			$ 26,900
CRE LLC And CRE Mezz | Securitized commercial loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance		157,205
Fair Value		75,742
RSBC Trust | Securitized commercial loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance		14,362
Fair Value		14,361
Entertainment and Retail | CRE LLC And CRE Mezz | Securitized commercial loans | 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		$ 8,777
Coupon  Rate		58%
Retail | CRE LLC And CRE Mezz | Securitized commercial loans | Interest-Only First Mortgage | CRE 4
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance		$ 22,204
Fair Value		$ 22,204
Coupon  Rate		63%
Option to extend term		3 years
Principal repayments on commercial loans		$ 16,200
Hotel | CRE LLC And CRE Mezz | Securitized commercial loans | 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		$ 24,405
Coupon  Rate		62%
Option to extend term		1 year
Hotel | CRE LLC And CRE Mezz | Securitized commercial loans | 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		$ 13,136
Coupon  Rate		62%
Option to extend term		1 year
Hotel | CRE LLC And CRE Mezz | Securitized commercial loans | 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		$ 7,220
Coupon  Rate		62%
Option to extend term		1 year
Nursing Facilities | RSBC Trust | Securitized commercial loans | 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		$ 14,361
Coupon  Rate		49%
LIBOR | Entertainment and Retail | CRE LLC And CRE Mezz | Securitized commercial loans | 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 | Securitized commercial loans | 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 | Hotel | CRE LLC And CRE Mezz | Securitized commercial loans | 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 | Securitized commercial loans | 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 | Securitized commercial loans | 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 | Nursing Facilities | RSBC Trust | Securitized commercial loans | Interest-Only First Mortgage | SBC 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate		4.35%
Option to extend term	6 months
BPS increase rate	0.25%
BPS extension fee	0.25%

Commercial Loans - Narrative (D

Commercial Loans - Narrative (Details) $ in Thousands		1 Months Ended		9 Months Ended
	Sep. 15, 2021 USD ($)	Feb. 28, 2022 USD ($)	Mar. 31, 2019 USD ($)	Sep. 30, 2022 USD ($) entity loan trust	Dec. 31, 2021 USD ($)
Variable Interest Entity [Line Items]
Variable interest entity, number of entity | entity				1
Number of trusts | trust				2
No of Loans | loan				2
Proceeds from sale of foreclosed assets		$ 55,900
Real estate held for development ang sale, net		42,000
Gain on sale		$ 12,200
CSMC Trust
Variable Interest Entity [Line Items]
Variable interest entity, amount acquired, interest rate				8.80%
Debt instrument, basis spread on variable rate				4.38%
Commercial loans
Variable Interest Entity [Line Items]
Principal				$ 171,567
No of Loans | loan				6
RETL Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Amount acquired, eliminated in consolidation			$ 65,300
Variable interest entity, amount acquired, eligible risk retention	$ 45,300		$ 45,300
Eligible risk retention percentage			5%
CSMC Trust
Variable Interest Entity [Line Items]
Principal				$ 1,385,591	$ 1,385,591
CSMC Trust | Class F | Secured Debt
Variable Interest Entity [Line Items]
Debt instrument, debt default, amount				14,900
CSMC Trust | Securitized commercial loans
Variable Interest Entity [Line Items]
Principal				$ 1,400,000

Commercial Loans - Consolidated

Commercial Loans - Consolidated Commercial Loan Trusts Included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands		Sep. 30, 2022	Dec. 31, 2021	Sep. 30, 2021
Noncontrolling Interest [Line Items]
Restricted cash		$ 251	$ 260	$ 260
Securitized commercial loans, at fair value		1,171,914	1,355,808
Commercial Loans, at fair value		81,326	101,459
Interest receivable		11,324	11,823
Total assets	[1]	2,606,305	2,825,700
Interest payable		10,460	10,272
Accounts payable and accrued expenses		3,887	4,842
Other liabilities		262	262
Total liabilities	[2]	2,508,342	2,621,371
VIE
Noncontrolling Interest [Line Items]
Restricted cash		251	260
Securitized commercial loans, at fair value		1,171,914	1,355,808
Commercial Loans, at fair value		14,361	14,362
Interest receivable		10,191	10,572
Total assets		2,310,372	2,432,064
Interest payable		8,209	6,480
Accounts payable and accrued expenses		69	78
Other liabilities		251	260
Total liabilities		2,168,391	1,870,306
Securitized commercial loans | VIE
Noncontrolling Interest [Line Items]
Restricted cash		251	260
Securitized commercial loans, at fair value		1,171,914	1,355,808
Commercial Loans, at fair value		14,361	14,362
Interest receivable		5,125	5,290
Total assets		1,191,651	1,375,720
Securitized debt, at fair value		1,161,733	1,344,370
Interest payable		4,995	5,164
Accounts payable and accrued expenses		9	9
Other liabilities		251	260
Total liabilities		$ 1,166,988	$ 1,349,803
[1] September 30, December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 236 $ 266 Restricted cash 251 260 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial loans, at fair value ($14,361 and $14,362 pledged as collateral, at fair value, respectively) 14,361 14,362 Investment related receivable 8,674 22,087 Interest receivable 10,191 10,572 Total assets of consolidated VIEs $ 2,310,372 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively) $ 2,159,862 $ 1,863,488 Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively) 8,209 6,480 Accounts payable and accrued expenses 69 78 Other liabilities 251 260 Total liabilities of consolidated VIEs $ 2,168,391 $ 1,870,306 September 30, December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ 236 $ 266 Restricted cash 251 260 Residential whole loans, at fair value ($1,099,625 and $1,023,502 pledged as collateral, at fair value, respectively) 1,099,625 1,023,502 Residential bridge loans, at fair value ($5,120 and $5,207 pledged as collateral, at fair value, respectively) 5,120 5,207 Securitized commercial loans, at fair value 1,171,914 1,355,808 Commercial loans, at fair value ($14,361 and $14,362 pledged as collateral, at fair value, respectively) 14,361 14,362 Investment related receivable 8,674 22,087 Interest receivable 10,191 10,572 Total assets of consolidated VIEs $ 2,310,372 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,808,397 and $1,344,370 at fair value and $155,135 and $180,116 held by affiliates, respectively) $ 2,159,862 $ 1,863,488 Interest payable (includes $694 and $699 on securitized debt held by affiliates, respectively) 8,209 6,480 Accounts payable and accrued expenses 69 78 Other liabilities 251 260 Total liabilities of consolidated VIEs $ 2,168,391 $ 1,870,306

Commercial Loans - Components o

Commercial Loans - Components of the Carrying Value of Commercial Real Estate Loans (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal	$ 157,205	$ 177,797
Unamortized discount	0	0
Amortized cost	157,205	177,797
Gross unrealized gains	0	0
Gross unrealized losses	(81,463)	(61,587)
Fair value	75,742	116,210
CSMC USA Trust Securitized Commercial Loan, at Fair Value
Variable Interest Entity [Line Items]
Principal	1,385,591	1,385,591
Unamortized discount	(90,836)	(110,770)
Amortized cost	1,294,755	1,274,821
Gross unrealized gains	0	80,987
Gross unrealized losses	(122,841)	0
Fair value	1,171,914	1,355,808
RSBC Trust Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal	14,362	14,362
Unamortized discount	0	0
Amortized cost	14,362	14,362
Gross unrealized gains	0	0
Gross unrealized losses	(1)	0
Fair value	$ 14,361	$ 14,362

Commercial Loans - Schedule of

Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) $ in Thousands	Sep. 30, 2022 USD ($) loan
Noncontrolling Interest [Line Items]
No of Loans | loan	2
Commercial loans
Noncontrolling Interest [Line Items]
No of Loans | loan	6
Principal	$ 171,567
Fair value	$ 90,103
Commercial loans | Current
Noncontrolling Interest [Line Items]
No of Loans | loan	5
Principal	$ 81,567
Fair value	$ 81,326
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	$ 8,777

Financings - Narrative (Details

Financings - Narrative (Details) $ / shares in Units, $ in Thousands	1 Months Ended		3 Months Ended			9 Months Ended
	Sep. 30, 2021 USD ($)	May 31, 2019 USD ($)	Sep. 30, 2022 USD ($) agreement item $ / shares	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Sep. 30, 2022 USD ($) agreement item $ / shares	Jul. 31, 2022 USD ($)	Feb. 28, 2022 USD ($)	Dec. 31, 2021 USD ($)	Jun. 30, 2020 USD ($)
Debt Instrument [Line Items]
Number of longer term financial arrangements company entered to reduce its exposure to short term financings | agreement			3			3
Commercial loans, at fair value			$ 81,326			$ 81,326			$ 101,459
Number of counterparties from whom entity borrowed under repurchase agreement | item			5			5
Assets Pledged			$ 5,120			$ 5,120			5,207
Securities loaned, collateral, right to reclaim cash			120			120			3,200
Securities purchased under agreements to resell, collateral, obligation to return cash			0			0
Stock repurchased			1,000	$ 7,200	$ 3,400
Repurchase agreements, net			218,941			218,941			617,189
Repurchase agreements
Debt Instrument [Line Items]
Assets Pledged			$ 344,700			$ 344,700			$ 787,100
Repurchase agreements
Debt Instrument [Line Items]
Weighted average interest rate			3.07%			3.07%			2.24%
Arroyo Trust | Secured Debt
Debt Instrument [Line Items]
Fair value			$ 223,333			$ 223,333
Debt instrument, face amount			226,163			226,163
Arroyo Mortgage Trust 2020 | Secured Debt
Debt Instrument [Line Items]
Fair value			128,132			128,132
Debt instrument, face amount			129,797			129,797
Arroyo Mortgage Trust 2022 | Secured Debt
Debt Instrument [Line Items]
Fair value			319,938			319,938
Debt instrument, face amount			368,647			368,647
Arroyo Mortgage Trust 2022-2 | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount			343,070			$ 343,070
Redemption of offering notes period						3 years
Securitized debt, at fair value			326,726			$ 326,726
CSMC Trust
Debt Instrument [Line Items]
Trust certificates issued			1,400,000			1,400,000
Principal			1,385,591			1,385,591			$ 1,385,591
CSMC Trust | Affiliated Entity
Debt Instrument [Line Items]
Trust certificates issued			196,700			196,700
CSMC Trust | Third parties
Debt Instrument [Line Items]
Trust certificates issued			1,200,000			1,200,000
CSMC Trust | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount			1,370,691			1,370,691
Securitized debt, at fair value			1,161,733			1,161,733
Non-QM Loans | Arroyo Trust
Debt Instrument [Line Items]
Borrowing amount			4,000			4,000
Non-QM Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust
Debt Instrument [Line Items]
Line of credit facility, remaining borrowing capacity			5,800			$ 5,800
Non-QM Loans | SOFR | Arroyo Trust
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate						2.25%
Residential  Whole Loans | Arroyo Trust | Secured Debt
Debt Instrument [Line Items]
Fair value			$ 249,600			$ 249,600
Redemption of offering notes period						3 years
Maximum aggregate collateral balance over original principal balance percentage			20%			20%
Residential  Whole Loans | Arroyo Mortgage Trust 2020 | Secured Debt
Debt Instrument [Line Items]
Fair value			$ 143,000			$ 143,000
Redemption of offering notes period						3 years
Maximum aggregate collateral balance over original principal balance percentage			30%			30%
Residential  Whole Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust
Debt Instrument [Line Items]
Repurchase agreements, net										$ 341,700
Line of credit facility, maximum borrowing capacity										$ 355,800
Residential  Whole Loans | Arroyo Trust 2019
Debt Instrument [Line Items]
Repurchase agreements, net		$ 919,000
Residential  Whole Loans | Arroyo Trust 2019 | Arroyo Trust
Debt Instrument [Line Items]
Transferred of non-qm residential whole loans		$ 945,500
Residential  Whole Loans | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Repurchase agreements, net								$ 398,900
Residential  Whole Loans | Arroyo Mortgage Trust 2022 | Secured Debt
Debt Instrument [Line Items]
Fair value			$ 399,600			$ 399,600
Redemption of offering notes period						3 years
Maximum aggregate collateral balance over original principal balance percentage			30%			30%
Residential  Whole Loans | Arroyo Mortgage Trust 2022 | Arroyo Trust
Debt Instrument [Line Items]
Repurchase agreements, net			$ 350,100			$ 350,100
Line of credit facility, maximum borrowing capacity								$ 432,000
Residential  Whole Loans | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Fair value			390,900			390,900
Repurchase agreements, net			365,600			365,600
Residential  Whole Loans | Arroyo Mortgage Trust 2022-2 | Arroyo Trust
Debt Instrument [Line Items]
Repurchase agreements, net							$ 351,900
Line of credit facility, maximum borrowing capacity							$ 402,200
Securitized commercial loans | CSMC Trust
Debt Instrument [Line Items]
Principal			1,400,000			1,400,000
Non-Agency CMBS and Non-Agency RMBS Facility
Debt Instrument [Line Items]
Line of credit facility, remaining borrowing capacity			101,000			101,000
Commercial loans, at fair value			152,100			$ 152,100
Non-Agency CMBS and Non-Agency RMBS Facility | SOFR
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate						2%
Commercial Whole Loan Facility | Estimated Fair Value
Debt Instrument [Line Items]
Commercial loans, at fair value			67,000			$ 67,000
Commercial Whole Loan Facility | Repurchase agreements
Debt Instrument [Line Items]
Fair value			$ 48,000			$ 48,000
Commercial Whole Loan Facility | SOFR | Repurchase agreements
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate						2.25%
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2024
Debt Instrument [Line Items]
Interest rate stated percentage			6.75%			6.75%
Debt instrument, face amount	$ 86,300
Proceeds from notes payable	$ 83,300
Redemption price, percentage	100%
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares			$ 29.59			$ 29.59
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2022
Debt Instrument [Line Items]
Fair value									$ 37,700
Interest rate stated percentage			6.75%			6.75%
6.75% Convertible Senior Unsecured Notes | Convertible Debt
Debt Instrument [Line Items]
Debt instrument, convertible, conversion ratio						0.0337952
Class F | CSMC Trust | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount			$ 153,600			$ 153,600
Debt instrument, debt default, amount			14,900			14,900
Securitized debt, at fair value			104,961			104,961
Class F | CSMC Trust | Secured Debt | Estimated Fair Value
Debt Instrument [Line Items]
Securitized debt, at fair value			$ 1,200,000			$ 1,200,000
Minimum
Debt Instrument [Line Items]
Repurchase at premium, percentage			0.60%			0.60%
Minimum | Non-QM Loans | SOFR | Arroyo Trust
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate						0.25%
Minimum | Repurchase Agreements
Debt Instrument [Line Items]
Debt instrument, term						1 month
Maximum
Debt Instrument [Line Items]
Repurchase at premium, percentage			0.80%			0.80%
Maximum | Repurchase Agreements
Debt Instrument [Line Items]
Debt instrument, term						12 months

Financings - Borrowings Under R

Financings - Borrowings Under Repurchase Agreements (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 218,941	$ 617,189
Less unamortized debt issuance costs	0	0
Repurchase agreements, net	$ 218,941	$ 617,189
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.98%	2.30%
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total	3.98%	2.30%
Weighted Average Remaining Maturity (days)	130 days	247 days
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 153,127	$ 563,132
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.07%	2.24%
Weighted Average Remaining Maturity (days)	153 days	270 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 55,155	$ 59,802
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.28%	2.14%
Weighted Average Remaining Maturity (days)	214 days	125 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 21,943	$ 15,632
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.28%	2.14%
Weighted Average Remaining Maturity (days)	214 days	125 days
Repurchase agreements | Residential whole loan
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 4,049	$ 396,531
Weighted Average Interest Rate on Borrowings Outstanding at end of period	5.11%	2.25%
Weighted Average Remaining Maturity (days)	35 days	308 days
Repurchase agreements | Commercial loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 48,032	$ 63,661
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.55%	2.27%
Weighted Average Remaining Maturity (days)	35 days	268 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 23,948	$ 27,506
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.28%	2.22%
Weighted Average Remaining Maturity (days)	214 days	125 days
Repurchase agreements | Commercial And Residential Mortgage Back Securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 101,046	$ 102,940
Weighted Average Interest Rate on Borrowings Outstanding at end of period	2.28%	2.16%
Weighted Average Remaining Maturity (days)	214 days	125 days
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 65,814	$ 54,057
Weighted Average Interest Rate on Borrowings Outstanding at end of period	6.11%	2.92%
Weighted Average Remaining Maturity (days)	75 days	6 days
Repurchase agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 317	$ 976
Weighted Average Interest Rate on Borrowings Outstanding at end of period	3.15%	1.02%
Weighted Average Remaining Maturity (days)	32 days	58 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 54,228	$ 38,354
Weighted Average Interest Rate on Borrowings Outstanding at end of period	6.17%	2.94%
Weighted Average Remaining Maturity (days)	88 days	4 days
Repurchase agreements | Residential whole loan
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 778	$ 1,439
Weighted Average Interest Rate on Borrowings Outstanding at end of period	5.40%	2.57%
Weighted Average Remaining Maturity (days)	11 days	5 days
Repurchase agreements | Residential bridge loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 2,895	$ 4,368
Weighted Average Interest Rate on Borrowings Outstanding at end of period	5.60%	2.61%
Weighted Average Remaining Maturity (days)	11 days	5 days
Repurchase agreements | Commercial loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 5,630	$ 6,463
Weighted Average Interest Rate on Borrowings Outstanding at end of period	6.18%	3.20%
Weighted Average Remaining Maturity (days)	11 days	5 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,966	$ 2,457
Weighted Average Interest Rate on Borrowings Outstanding at end of period	5.75%	3.50%
Weighted Average Remaining Maturity (days)	17 days	18 days

Financings - Borrowings under_2

Financings - Borrowings under Repurchase Agreements Maturity Dates (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 218,941	$ 617,189
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	11,270	53,081
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	52,397	370
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	54,228	606
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 101,046	$ 563,132

Financings - Borrowings under_3

Financings - Borrowings under Repurchase Agreements Risk by Counterparty (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($)
Credit Suisse AG, Cayman Islands Branch
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	$ 59,894
Weighted Average Remaining Maturity (days)	62 days
Percentage of  Stockholders’  Equity	61.10%
Citigroup Global Markets Inc.
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	$ 50,806
Weighted Average Remaining Maturity (days)	214 days
Percentage of  Stockholders’  Equity	51.90%
Nomura Securities International, Inc.
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	$ 11,695
Weighted Average Remaining Maturity (days)	11 days
Percentage of  Stockholders’  Equity	11.90%

Financings - Collateral Positio

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	$ 5,120	$ 5,207
Assets pledged- fair value	344,831	790,263
Accrued Interest	1,685	4,091
Assets Pledged and Accrued Interest	346,516	794,354
Cash
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	120	3,151
Accrued Interest	0	0
Assets Pledged and Accrued Interest	120	3,151
Repurchase agreements
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	344,700	787,100
Repurchase agreements | Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	233	1,172
Accrued Interest	7	19
Assets Pledged and Accrued Interest	240	1,191
Repurchase agreements | Non-Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	90,107	107,624
Accrued Interest	439	504
Assets Pledged and Accrued Interest	90,546	108,128
Repurchase agreements | Non-Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	122,401	66,555
Accrued Interest	610	343
Assets Pledged and Accrued Interest	123,011	66,898
Repurchase agreements | Residential Whole Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	7,214	453,447
Accrued Interest	57	2,674
Assets Pledged and Accrued Interest	7,271	456,121
Repurchase agreements | Residential bridge loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	5,120	5,207
Accrued Interest	66	91
Assets Pledged and Accrued Interest	5,186	5,298
Repurchase agreements | Commercial loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	81,326	101,459
Accrued Interest	409	360
Assets Pledged and Accrued Interest	81,735	101,819
Repurchase agreements | Other securities
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	38,310	51,648
Accrued Interest	97	100
Assets Pledged and Accrued Interest	$ 38,407	$ 51,748

Financings - Commercial Mortgag

Financings - Commercial Mortgage Pass Through Certificates (Details) - Secured Debt $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($)
Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 226,163
Carrying Value	226,163
Less: Unamortized Deferred Financing Costs	2,830
Total	223,333
Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	129,797
Carrying Value	129,797
Less: Unamortized Deferred Financing Costs	1,665
Total	128,132
Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	368,647
Total	319,938
Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	343,070
Fair Value	326,726
CSMC Trust
Debt Instrument [Line Items]
Principal Balance	1,370,691
Fair Value	1,161,733
Class A-1A | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 77,393
Coupon	1.70%
Carrying Value	$ 77,393
Class A-1A | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 218,530
Coupon	2.50%
Carrying Value	$ 199,526
Class A-1B | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 9,184
Coupon	2.10%
Carrying Value	$ 9,184
Class A-1B | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 82,942
Coupon	3.30%
Carrying Value	$ 69,669
Class A-1 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 176,628
Coupon	3.30%
Carrying Value	$ 176,628
Class A-1 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 273,691
Coupon	5%
Fair Value	$ 263,315
Class A-1 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 120,391
Coupon	3.30%
Fair Value	$ 109,867
Class A-2 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 9,473
Coupon	3.50%
Carrying Value	$ 9,473
Class A-2 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 13,518
Coupon	2.90%
Carrying Value	$ 13,518
Class A-2 | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 21,168
Coupon	3.60%
Carrying Value	$ 16,617
Class A-2 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 23,297
Coupon	5%
Fair Value	$ 21,916
Class A-2 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 531,700
Coupon	4%
Fair Value	$ 482,628
Class A-3 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 15,007
Coupon	3.80%
Carrying Value	$ 15,007
Class A-3 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 17,963
Coupon	3.30%
Carrying Value	$ 17,963
Class A-3 | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 28,079
Coupon	3.70%
Carrying Value	$ 21,312
Class A-3 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 28,388
Coupon	5%
Fair Value	$ 26,398
Class B | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 136,400
Coupon	4.20%
Fair Value	$ 119,584
Class C | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 94,500
Coupon	4.30%
Fair Value	$ 79,772
Class D | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,950
Coupon	4.40%
Fair Value	$ 122,083
Class E | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 180,150
Coupon	4.40%
Fair Value	$ 132,952
Class F | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,600
Coupon	4.40%
Fair Value	$ 104,961
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 M-1 | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 17,928
Coupon	3.70%
Carrying Value	$ 12,814
Class M-1 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 17,694
Coupon	5%
Fair Value	$ 15,097
Class X-1 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0.50%
Fair Value	$ 8,268
Notional amount	$ 652,100
Class X-2 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0%
Fair Value	$ 1,618
Notional amount	$ 733,500

Derivative Instruments - Summar

Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Fair Value
Derivative assets	$ 930	$ 1,163
Derivative liabilities	0	(602)
Derivative instruments not accounted as hedges under GAAP
Fair Value
Derivative assets	262	105
Derivative liabilities	0	(602)
Total derivative instruments	262	(497)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	152,000	0
Notional amount, liabilities	0	22,000
Fair Value
Derivative assets	262	0
Derivative liabilities	0	(38)
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	0	2,030
Notional amount, liabilities	0	4,140
Fair Value
Derivative assets	0	105
Derivative liabilities	$ 0	$ (564)

Derivative Instruments - Gain o

Derivative Instruments - Gain or Loss (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Amounts recognized on the statements of operations related to the Company's derivatives
Return (Recovery) of Basis			$ 3,793	$ (97)
Total	$ 4,882	$ 515	16,599	716
Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(2,486)	16	(1,723)
Variation Margin Settlement	3,423	485	14,744
Return (Recovery) of Basis	(5)	(59)	(120)
Mark-to-Market	3,636	(105)	3,793
Contractual interest income (expense), net	314	178	(95)
Total	4,882	515	16,599
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	(3,371)	0	(3,371)	0
Variation Margin Settlement	3,423	485	14,744	520
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	4,790	(71)	3,670	(25)
Contractual interest income (expense), net	298	96	(255)	172
Total	5,140	510	14,788	667
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	(161)		(161)
Variation Margin Settlement	0		0
Return (Recovery) of Basis	0		0
Mark-to-Market	0		0
Contractual interest income (expense), net	0		0
Total	(161)		(161)
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	0
Variation Margin Settlement	0	0	0	0
Return (Recovery) of Basis	(5)	(59)	(120)	(232)
Mark-to-Market	(54)	(90)	(270)	(124)
Contractual interest income (expense), net	16	82	160	305
Total	(43)	(67)	(230)	(51)
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	(273)	16	(242)	48
Variation Margin Settlement	0	0	0	0
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	283	56	393	52
Contractual interest income (expense), net	0	0	0	0
Total	10	$ 72	151	100
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	1,319		2,051	48
Variation Margin Settlement	0		0	520
Return (Recovery) of Basis	0		0	(232)
Mark-to-Market	(1,383)		0	(97)
Contractual interest income (expense), net	0		0	477
Total	$ (64)		$ 2,051	$ 716

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($) $ in Millions	Sep. 30, 2022	Dec. 31, 2021
Due From Counterparties
Interest rate swaps and interest rate swaptions
Collateral already posted, aggregate fair value	$ 3.1	$ 1.4

Derivative Instruments - Swap o

Derivative Instruments - Swap of Terms (Details) - Interest rate swaps - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Interest rate swaps and interest rate swaptions
Notional Amount	$ 152,000,000	$ 22,000,000
Average  Fixed Pay Rate	1.40%	1.20%
Average Variable Receive Rate	1.40%	0.10%
Average Maturity (Years)	3 years 10 months 24 days	9 years 9 months 18 days
Greater than 1 year and less than 3 years
Interest rate swaps and interest rate swaptions
Notional Amount	$ 60,000,000
Average  Fixed Pay Rate	1.40%
Average Variable Receive Rate	1.30%
Average Maturity (Years)	1 year 6 months
Greater than 3 years and less than 5 years
Interest rate swaps and interest rate swaptions
Notional Amount	$ 70,000,000
Average  Fixed Pay Rate	1.40%
Average Variable Receive Rate	1.10%
Average Maturity (Years)	4 years 3 months 18 days
Greater than 5 years
Interest rate swaps and interest rate swaptions
Notional Amount	$ 22,000,000	$ 22,000,000
Average  Fixed Pay Rate	1.20%	1.20%
Average Variable Receive Rate	3%	0.10%
Average Maturity (Years)	9 years	9 years 9 months 18 days

Derivative Instruments - TBAs (

Derivative Instruments - TBAs (Details) - TBAs - Derivative instruments not accounted as hedges under GAAP $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($)
Long
Changes in notional amount
Derivative, notional amount	$ 0
Additions	600,000
Settlement, Termination, Expiration or Exercise	(600,000)
Derivative, notional amount	0
Short
Changes in notional amount
Derivative, notional amount	0
Additions	600,000
Settlement, Termination, Expiration or Exercise	(600,000)
Derivative, notional amount	$ 0

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Derivative Assets
Gross  Amounts	$ 930	$ 1,163
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	930	1,163
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial  Instruments	(181)	(1,163)
Gross Amounts Not Offset in the Consolidated Balance Sheets, Cash  Collateral	0	0
Net Amount	749	0
Derivative Liabilities and Repurchase Agreements
Gross amounts, derivative liability, at fair value		602
Gross  amounts offset in the consolidated balance sheets, derivative liability, at fair value		0
Derivative liability, at fair value	0	602
Gross amounts not offset in the consolidated balance sheets, financial instruments, derivative liability, at fair value		(105)
Gross amounts not offset in the consolidated balance sheets, cash collateral, derivative liability, at fair value		(497)
Derivative liability, at fair value, net Amount		0
Gross amounts of repurchase agreements	218,941	617,189
Gross amounts offset in the consolidated balance sheets, repurchase agreements	0	0
Repurchase agreements, net	218,941	617,189
Gross amounts not offset in the consolidated balance sheets, financial instruments, repurchase agreements	(218,857)	(617,189)
Gross amounts not offset in the consolidated balance sheets, cash collateral, repurchase agreements	(84)	0
Repurchase agreements, net amount	0	0
Gross amounts of total liabilities	218,941	617,791
Gross amounts  offset in the consolidated balance  sheets, total liabilities	0	0
Total liabilities, net amounts of assets presented in consolidated balance sheets	218,941	617,791
Gross amounts not offset in the consolidated balance sheets, financial instruments, total liabilities	(218,857)	(617,294)
Gross Amounts Not Offset in the Consolidated Balance Sheets, cash collateral, total liability	(84)	(497)
Total liabilities, net amount	0	0
Fair value of investments pledged against repurchase agreements	344,700	787,100
Derivative Counterparties
Derivative Liabilities and Repurchase Agreements
Gross Amounts Not Offset in the Consolidated Balance Sheets, cash collateral, total liability	(3,100)	(1,400)
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
Derivative Assets
Gross  Amounts	668	1,058
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	668	1,058
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial  Instruments	(181)	(1,058)
Gross Amounts Not Offset in the Consolidated Balance Sheets, Cash  Collateral	0	0
Net Amount	487	0
Derivative asset, at fair value
Derivative Assets
Gross  Amounts	262	105
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	262	105
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial  Instruments	0	(105)
Gross Amounts Not Offset in the Consolidated Balance Sheets, Cash  Collateral	0	0
Net Amount	$ 262	$ 0

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Related Party Transactions
Management fees	$ 850	$ 1,502	$ 2,952	$ 4,469
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 fee waived, percent					25%
Management fees	850	1,500	$ 3,000	4,500
Reimbursable employee costs	64	$ 201	511	$ 1,500
Management fees incurred but not yet paid	3,000		3,000		$ 1,500
Reimbursable employee costs incurred but not yet paid	$ 402		$ 402		$ 457
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%
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage			67%

Share-Based Payments - Narrativ

Share-Based Payments - Narrative (Details) $ in Thousands					3 Months Ended		9 Months Ended		12 Months Ended
	Jul. 11, 2022 shares	Jun. 30, 2022 shares	Jun. 24, 2022 director shares	Jun. 25, 2021 director shares	Sep. 30, 2022 USD ($)	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($) shares	Sep. 30, 2021 USD ($) shares	Dec. 31, 2021 USD ($) shares	Jun. 28, 2022 shares
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Stock-based compensation expense recognized | $					$ 100	$ 165	$ 335	$ 453
Common Stock
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Number of shares remained available for issuance (in shares)	100,000									1,000,000
Restricted stock units
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Vested (in shares)							11,716	13,782
Restricted stock units | Scenario 1
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	21,704		217,040
Restricted stock units | Scenario 2
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	8,116			81,160
Restricted stock units | Director | Scenario 1
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	5,425		54,260
Number of independent directors to whom awards were granted | director			4
Restricted stock units | Director | Scenario 2
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	2,029			20,290
Number of independent directors to whom awards were granted | director				4
Restricted stock units | Chief Financial Officer
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	20,000	200,000
Restricted common stock
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Vested (in shares)							41,704		11,716
Equity awards
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Unamortized compensation expense | $					$ 398		$ 398		$ 211

Share-Based Payments - Restrict

Share-Based Payments - Restricted Common Stock Vesting Dates (Details) - Restricted common stock - shares	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Summary of restricted common stock vesting dates
Shares Vested (in shares)	41,704	11,716
March 2022
Summary of restricted common stock vesting dates
Shares Vested (in shares)	0	3,600
June 2022
Summary of restricted common stock vesting dates
Shares Vested (in shares)	0	8,116
June 2023
Summary of restricted common stock vesting dates
Shares Vested (in shares)	31,704	0
June 2024
Summary of restricted common stock vesting dates
Shares Vested (in shares)	10,000	0

Share-Based Payments - Shares I

Share-Based Payments - Shares Issued Under the Company’s Equity Incentive Plans (Details) - Restricted common stock - $ / shares	9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021
Restricted Stock Units
Outstanding, beginning of period (in shares)	114,825	102,554
Granted (in shares)	45,954	14,057
Cancelled/forfeited (in shares)	0	(2,546)
Outstanding, end of period (in shares)	160,779	114,065
Unvested at the end of period (in shares)	41,704	11,716
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share)	$ 131.85	$ 140.99
Granted (in dollars per share)	12.75	52.08
Cancelled/forfeited (in dollars per share)	0	27.50
Outstanding at end of year (in dollars per share)	97.81	132.56
Weighted average grant date fair  value, Unvested at end of year (in dollars per share)	$ 12.52	$ 56.19
Director Deferred Fee Plan
Weighted Average Grant Date Fair Value
Exchange of phantom stock to common stock (in shares)	4,250	5,941

Stockholders' Equity (Details)

Stockholders' Equity (Details)																	9 Months Ended
		Oct. 26, 2022 $ / shares	Sep. 22, 2022 $ / shares	Jul. 25, 2022 $ / shares	Jul. 11, 2022 $ / shares shares	Jun. 21, 2022 $ / shares	Apr. 26, 2022 $ / shares	Mar. 23, 2022 $ / shares	Jan. 26, 2022 $ / shares	Dec. 21, 2021 $ / shares	Oct. 26, 2021 $ / shares	Sep. 23, 2021 $ / shares	Jul. 26, 2021 $ / shares	Jun. 22, 2021 $ / shares	Apr. 26, 2021 $ / shares	Mar. 23, 2021 $ / shares	Sep. 30, 2022 $ / shares shares	Jun. 30, 2022 $ / shares shares	Dec. 31, 2021 $ / shares shares	Sep. 30, 2021 shares	Jun. 30, 2021 shares	Dec. 31, 2020 shares	Jun. 05, 2020 USD ($)
Shareholders equity
Common stock, shares authorized (in shares)					50,000,000												50,000,000	500,000,000	50,000,000
Common stock, shares issued (in shares)					6,038,010												6,038,010	60,380,105	6,038,010
Common stock, shares outstanding (in shares)					6,038,010												6,038,010	60,380,105	6,038,010
Common stock, par value (in dollars per share) | $ / shares					$ 0.01												$ 0.01	$ 0.01	$ 0.01
Shares authorized to be repurchased (in shares)																			300,000
Stock repurchased during period (in shares)																	0
Stockholders' equity note, stock split, conversion ratio					0.1												0.1
Dividends, declared per share of common stock (in dollars per share) | $ / shares			$ 0.40			$ 0.40		$ 0.40		$ 0.60		$ 0.60		$ 0.60		$ 0.60
Dividends, cash paid per share of common stock (in dollars per share) | $ / shares				$ 0.40			$ 0.40		$ 0.60		$ 0.60		$ 0.60		$ 0.60
Subsequent Event
Shareholders equity
Dividends, cash paid per share of common stock (in dollars per share) | $ / shares		$ 0.40
Common Stock Outstanding
Shareholders equity
Common stock, shares issued (in shares)	[1]																6,038,010	6,038,010	6,038,010	6,085,991	6,081,270	6,081,270
Common Stock Outstanding | At The Market Offering
Shareholders equity
Equity offering amount, maximum | $																							$ 100,000,000
Sale of stock (in shares)																	0
[1]Amounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2 and Note 12 for additional details

Net Loss per Common Share (Deta

Net Loss per Common Share (Details) $ / shares in Units, $ in Thousands			3 Months Ended		9 Months Ended
		Jul. 11, 2022	Sep. 30, 2022 USD ($) $ / shares shares	Sep. 30, 2021 USD ($) $ / shares shares	Sep. 30, 2022 USD ($) $ / shares shares	Sep. 30, 2021 USD ($) $ / shares shares
Earnings Per Share [Abstract]
Stockholders' equity note, stock split, conversion ratio		0.1			0.1
Numerator:
Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share			$ (40,010)	$ (4,213)	$ (88,250)	$ (36,423)
Dividends and undistributed earnings allocated to participating securities			32	24	62	65
Dividends and undistributed earnings allocated to participating securities			32	24	62	65
Net loss allocable to common stockholders — basic and diluted			(40,042)	(4,237)	(88,312)	(36,488)
Net loss allocable to common stockholders — basic and diluted			$ (40,042)	$ (4,237)	$ (88,312)	$ (36,488)
Denominator:
Weighted average common shares outstanding for basic earnings per share (in shares) | shares			6,038,010	6,079,569	6,036,876	6,077,176
Weighted average common shares outstanding for diluted earnings per share (in shares) | shares			6,038,010	6,079,569	6,036,876	6,077,176
Basic loss per common share (in dollars per share) | $ / shares	[1]		$ (6.63)	$ (0.70)	$ (14.63)	$ (6)
Diluted loss per common share (in dollars per share) | $ / shares	[1]		$ (6.63)	$ (0.70)	$ (14.63)	$ (6)
[1]Amounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2 and Note 12 for additional details

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Valuation Allowance [Line Items]
Current federal, state and local, tax (benefit) expense	$ 266	$ (218)	$ 276	$ (19)
Deferred tax assets, gross	16,200		16,200		$ 13,000
Operating Loss Carryforwards
Valuation Allowance [Line Items]
Valuation allowances balance	20,600		20,600		20,600
State Jurisdiction
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	18,600		18,600		18,600
State Jurisdiction | Taxable REIT Subsidiary
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	$ 2,000		$ 2,000		$ 2,000

Subsequent Events (Details)

Subsequent Events (Details) - USD ($) $ in Thousands	Oct. 01, 2022	Oct. 03, 2022	Sep. 30, 2022	Jun. 30, 2022
CRE 3 | Interest-Only Mezzanine loan | Securitized commercial loans
Subsequent Event [Line Items]
Principal  Balance			$ 90,000
Fair Value			$ 8,800	$ 26,900
Subsequent Event
Subsequent Event [Line Items]
Unrestricted cash		$ 28,600
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2022
Subsequent Event [Line Items]
Extinguishment of debt	$ 26,000