Western Asset Mortgage Capital (WMC) 10-K 10 Mar 23 2022 FY Annual report Financial data

Cover Page

Cover Page - USD ($)	12 Months Ended
	Dec. 31, 2022	Mar. 10, 2023	Jun. 30, 2022
Cover [Abstract]
Document Type	10-K
Document Annual Report	true
Document Period End Date	Dec. 31, 2022
Current Fiscal Year End Date	--12-31
Document Transition Report	false
Entity File Number	001-35543
Entity Incorporation, State or Country Code	DE
Entity Tax Identification Number	27-0298092
Entity Registrant Name	Western Asset Mortgage Capital Corporation
Entity Address, Address Line One	385 East Colorado Boulevard
Entity Address, City or Town	Pasadena
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	91101
City Area Code	(626)
Local Phone Number	844-9400
Title of 12(b) Security	Common Stock, $0.01 par value
Trading Symbol	WMC
Security Exchange Name	NYSE
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	true
Entity Emerging Growth Company	false
ICFR Auditor Attestation Flag	true
Entity Shell Company	false
Entity Public Float			$ 72,311,113
Entity Common Stock, Shares Outstanding (in shares)		6,038,012
Entity Central Index Key	0001465885
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	FY
Amendment Flag	false

Audit Information

Audit Information	12 Months Ended
	Dec. 31, 2022
Audit Information [Abstract]
Auditor Firm ID	238
Auditor Name	PricewaterhouseCoopers LLP
Auditor Location	Los Angeles, California

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands		Dec. 31, 2022	Dec. 31, 2021
Assets:
Cash and cash equivalents		$ 18,011	$ 40,193
Restricted cash		248	260
Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively)		1,091,145	1,023,502
Residential Bridge Loans, at fair value (None and $5,207 pledged as collateral, at fair value, respectively)		2,849	5,428
Securitized commercial loans, at fair value		1,085,103	1,355,808
Commercial Loans, at fair value ($66,864 and $101,459 pledged as collateral, at fair value, respectively)		90,002	130,572
Investment related receivable		5,960	22,133
Interest receivable		11,330	11,823
Due from counterparties		6,574	4,565
Derivative assets, at fair value		1	105
Other assets		4,860	45,364
Total assets	[1]	2,453,234	2,825,700
Liabilities:
Repurchase agreements, net		193,117	617,189
Convertible senior unsecured notes, net		83,522	119,168
Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively)		2,058,684	1,863,488
Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively)		12,794	10,272
Due to counterparties		300	0
Derivative liability, at fair value		61	602
Accounts payable and accrued expenses		3,201	4,842
Payable to affiliate		4,028	1,925
Dividend payable		2,415	3,623
Other liabilities		300	262
Total liabilities	[2]	2,358,422	2,621,371
Commitments and contingencies (Note 15)
Stockholders' Equity
Common stock, $0.01 par value, 50,000,000 shares authorized, and 6,038,012 and 6,038,010 outstanding, respectively	[3]	60	60
Preferred stock, $0.01 par value, 10,000,000 shares authorized and no shares outstanding	[3]	0	0
Treasury stock, at cost, 57,981 and 57,981 shares held, respectively	[3]	(1,665)	(1,665)
Additional paid-in capital	[3]	919,238	918,695
Retained earnings (accumulated deficit)	[3]	(822,829)	(723,981)
Total Stockholders' Equity	[3]	94,804	193,109
Non-controlling interest		8	11,220
Total Equity		94,812	204,329
Total Liabilities and Stockholders' Equity		2,453,234	2,825,700
VIE
Assets:
Cash and cash equivalents		0	266
Restricted cash		248	260
Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively)		1,091,145	1,023,502
Residential Bridge Loans, at fair value (None and $5,207 pledged as collateral, at fair value, respectively)		2,849	5,207
Securitized commercial loans, at fair value		1,085,103	1,355,808
Commercial Loans, at fair value ($66,864 and $101,459 pledged as collateral, at fair value, respectively)		14,362	14,362
Investment related receivable		5,914	22,087
Interest receivable		10,182	10,572
Other assets		509	0
Total assets		2,210,312	2,432,064
Liabilities:
Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively)		2,058,684	1,863,488
Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively)		8,303	6,480
Accounts payable and accrued expenses		43	78
Other liabilities		248	260
Total liabilities		2,067,278	1,870,306
Subtotal Agency MBS
Assets:
Securities, at fair value		767	1,172
Non-Agency MBS
Assets:
Securities, at fair value		109,122	133,127
Other Securities
Assets:
Securities, at fair value		$ 27,262	$ 51,648
[1] December 31, 2022 December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ — $ 266 Restricted cash 248 260 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value (None and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value (None and $14,362 pledged as collateral, at fair value, respectively) 14,362 14,362 Investment related receivable 5,914 22,087 Interest receivable 10,182 10,572 Other assets 509 — Total assets of consolidated VIEs $ 2,210,312 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively) $ 2,058,684 $ 1,863,488 Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively) 8,303 6,480 Accounts payable and accrued expenses 43 78 Other liabilities 248 260 Total liabilities of consolidated VIEs $ 2,067,278 $ 1,870,306

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) $ in Thousands	Dec. 31, 2022 USD ($) $ / shares shares	Dec. 31, 2021 USD ($) $ / shares shares
Assets Pledged	$ 0	$ 5,207
Commercial Loans, at fair value	66,864	101,459
Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively)	2,058,684	1,863,488
Interest payable	$ 12,794	$ 10,272
Common stock, par value (in dollars per share) | $ / shares	$ 0.01	$ 0.01
Common stock, shares authorized (in shares) | shares	50,000,000	50,000,000
Common stock, shares outstanding (in shares) | shares	6,038,012	6,038,010
Common stock, shares issued (in shares) | shares	6,038,012	6,038,010
Preferred stock, par value (in dollars per share) | $ / shares	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares) | shares	10,000,000	10,000,000
Preferred stock, shares outstanding (in shares) | shares	0	0
Treasury stock, shares held (in shares) | shares	57,981	57,981
VIE
Fair value of collateral, residential home loans	$ 1,089,914	$ 1,023,502
Assets Pledged	0	5,207
Commercial Loans, at fair value	0	14,362
Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively)	2,058,684	1,863,488
Interest payable	8,303	6,480
Affiliated Entity
Securitized Debt	1,719,865	1,344,370
Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively)	128,217	180,116
Interest payable	655	699
Subtotal Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral	249	1,172
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral	100,115	123,947
Other Securities
Fair value of mortgage-backed securities and other securities pledged as collateral	$ 27,262	$ 51,648

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Net Interest Income
Interest income		$ 158,719	$ 164,071	$ 178,028
Interest expense (includes $13,757, $14,341 and $8,877 on securitized debt held by affiliates, respectively)		137,732	136,910	132,591
Net Interest Income		20,987	27,161	45,437
Other Income (Loss)
Realized gain (loss), net		(36,669)	(10,927)	84,271
Unrealized loss, net		(63,874)	(46,391)	(221,387)
Gain (loss) on derivative instruments, net		16,218	549	(197,703)
Other, net		(147)	490	339
Other Income (Loss)		(84,472)	(56,279)	(334,480)
Expenses
Management fee to affiliate		3,942	5,937	4,544
Transaction costs		6,311	3,236	804
Financing fee		0	0	20,540
Other operating expenses		1,353	1,506	2,051
General and administrative expenses:
Compensation expense		1,650	2,571	2,787
Professional fees		6,031	3,890	4,878
Other general and administrative expenses		2,523	3,508	3,303
Total general and administrative expenses		10,204	9,969	10,968
Total Expenses		21,810	20,648	38,907
Loss before income taxes		(85,295)	(49,766)	(327,950)
Income tax provision		171	99	396
Net loss		(85,466)	(49,865)	(328,346)
Net income (loss) attributable to non-controlling interest		3,613	(912)	8
Net loss attributable to common stockholders and participating securities		$ (89,079)	$ (48,953)	$ (328,354)
Net loss per common share — basic (in dollars per share)	[1]	$ (14.77)	$ (8.07)	$ (57.20)
Net loss per common share — diluted (in dollars per share)	[1]	$ (14.77)	$ (8.07)	$ (57.20)
[1]mounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2, "Basis of Presentation and Summary of Significant Accounting Policies" and Note 12, "Stockholders' Equity" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional details.

Consolidated Statements of Op_2

Consolidated Statements of Operations (Parenthetical) $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)
Interest expense	$ 137,732	$ 136,910	$ 132,591
Affiliated Entity
Interest expense	$ 13,757	$ 14,341	$ 8,877

Consolidated Statements of Chan

Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands		Total	Total Stockholders' Equity	Common Stock Outstanding		Additional Paid-in Capital	[1]	Retained Earnings (Accumulated) Deficit	Treasury Stock	Noncontrolling Interest
Balance (in shares) at Dec. 31, 2019	[1]			5,352,390
Beginning balance at Dec. 31, 2019		$ 564,461	$ 564,461	$ 53		$ 889,709		$ (325,301)	$ 0	$ 0
Increase (Decrease) in Stockholders' Equity
Net proceeds from public offerings of common stock (in shares)	[1]			603,474
Net proceeds from public offerings of common stock		22,357	22,357	$ 6		22,351
Offering costs		(371)	(371)			(371)
Proceeds from non-controlling interest, net of offering costs		2								2
Exchange of convertible senior notes (in shares)	[1]			135,408
Exchange of convertible senior notes		3,588	3,588	$ 1		3,587
Vesting of restricted stock		699	699			699
Treasury stock (in shares)	[1]			(10,000)
Treasury stock		(578)	(578)						(578)
Net loss		(328,346)	(328,354)					(328,354)		8
Dividends declared on non-controlling interest		(8)								(8)
Dividends declared on common stock		(6,690)	(6,690)			32		(6,722)
Balance (in shares) at Dec. 31, 2020	[1]			6,081,272
Ending balance at Dec. 31, 2020		255,114	255,112	$ 60		916,007		(660,377)	(578)	2
Increase (Decrease) in Stockholders' Equity
Equity distributions		12,138								12,138
Equity component of convertible unsecured notes		2,060	2,060			2,060
Exchange of phantom stock to common stock (in shares)	[1]			4,721
Offering costs		(70)	(70)			(70)
Vesting of restricted stock		619	619			619
Treasury stock (in shares)	[1]			(47,981)
Treasury stock		(1,087)	(1,087)						(1,087)
Net loss		(49,865)	(48,953)					(48,953)		(912)
Dividends declared on non-controlling interest		(8)								(8)
Dividends declared on common stock		$ (14,572)	(14,572)			79		(14,651)
Balance (in shares) at Dec. 31, 2021		6,038,010		6,038,012	[1]
Ending balance at Dec. 31, 2021		$ 204,329	193,109	$ 60		918,695		(723,981)	(1,665)	11,220
Increase (Decrease) in Stockholders' Equity
Equity distributions		(14,817)								(14,817)
Vesting of restricted stock		$ 435	435			435
Treasury stock (in shares)		0
Net loss		$ (85,466)	(89,079)					(89,079)		3,613
Dividends declared on non-controlling interest		(8)								(8)
Dividends declared on common stock		$ (9,661)	(9,661)			108		(9,769)
Balance (in shares) at Dec. 31, 2022		6,038,012		6,038,012	[1]
Ending balance at Dec. 31, 2022		$ 94,812	$ 94,804	$ 60		$ 919,238		$ (822,829)	$ (1,665)	$ 8
[1]Amounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2, "Basis of Presentation and Summary of Significant Accounting Policies" and Note 12, "Stockholders' Equity" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional details.

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Cash flows from operating activities:
Net loss	$ (85,466)	$ (49,865)	$ (328,346)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Premium amortization and (discount accretion), net	2,406	1,540	5,141
Interest income earned added to principal of investments	(96)	(485)	(829)
Amortization of deferred financing costs	2,525	5,445	3,577
Amortization of discount on convertible senior unsecured notes	820	944	1,097
Restricted stock amortization	435	618	699
Interest payments and basis recovered on MAC interest rate swaps	0	0	202
Premium on purchase of Residential Whole Loans	(6,619)	(17,058)	(3,858)
Financing fee	0	8,540	12,000
Unrealized loss, net	63,874	46,391	221,387
Unrealized (gain) loss on derivative instruments, net	(3,499)	208	3,953
Realized (gain) loss on exchange and extinguishment of convertible senior notes, net	(50)	1,509	(3,644)
Realized (gain) loss on sale of real estate owned ("REO"), net	(11,966)	(54)	789
Realized (gain) loss on investments, net	48,685	9,472	(81,416)
Loss on derivatives, net	1,762	0	13,134
Changes in operating assets and liabilities:
Interest receivable	493	1,399	5,845
Invested related receivable	0	2,546	(2,544)
Other assets	(848)	339	(905)
Interest payable	2,522	(1,734)	(2,995)
Accounts payable and accrued expenses	(1,639)	2,095	(499)
Payable to affiliate	2,103	(1,246)	1,023
Other liabilities	50	(8,539)	8,541
Net cash provided by (used in) operating activities	15,492	2,065	(147,648)
Cash flows from investing activities:
Purchase of securities	(39,952)	0	(320,996)
Proceeds from sale of securities	56,427	27,488	2,234,048
Principal repayments and basis recovered on securities	7,665	16,704	35,352
Proceeds from sale of REO	55,573	738	2,620
Purchase of Residential Whole Loans	(405,298)	(410,790)	(109,480)
Proceeds from sale of Residential Whole Loans	11,735	0	144,258
Principal repayments on Residential Whole Loans	233,486	411,605	288,568
Principal repayments on Commercial Loans	20,593	103,284	44,819
Principal repayments on securitized commercial loans	0	354,203	349,608
Principal repayments on Residential Bridge Loans	1,491	9,374	22,075
Premium for credit default swaps, net	(347)	0	(14,028)
Net settlements of TBAs	2,051	0	(2,430)
Proceeds from sale of interest rate swaptions	312	0	0
Due from counterparties, net	460	50	2,340
Interest payments and basis recovered on MAC interest rate swaps	0	0	(202)
Premium for interest rate swaptions, net	(473)	0	80
Net cash (used in) provided by investing activities	(56,277)	512,656	2,676,632
Cash flows from financing activities:
Net proceeds from issuance of common stock	0	0	22,357
Payment of offering costs	(2)	(92)	(374)
Repurchase of common stock	0	(1,087)	(578)
Proceeds from repurchase agreement borrowings	3,519,541	4,592,689	10,020,593
Proceeds from convertible note offering	0	86,250	0
Payments on extinguishment of convertible senior notes	(37,555)	(136,754)	(21,975)
Proceeds from offering to non-controlling interest, net of offering costs	0	0	2
Repayments of repurchase agreement borrowings	(3,943,613)	(4,334,346)	(12,486,624)
Proceeds from securitized debt	742,432	0	460,787
Repayments of securitized debt	(234,337)	(683,472)	(579,705)
Financing fee	0	(8,540)	(12,000)
Payments made for deferred financing costs	0	(3,573)	(5,437)
Due from counterparties, net	(2,469)	(2,288)	94,280
Due to counterparties, net	300	(321)	(388)
Increase (decrease) in other liabilities, net	(12)	(75,873)	23,185
Equity distributions to non-controlling interest	(14,817)	0	0
Dividends paid on common stock	(10,869)	(14,598)	(19,633)
Dividends paid to non-controlling interest	(8)	(8)	(8)
Net cash provided by (used in) financing activities	18,591	(582,013)	(2,505,518)
Net (decrease) increase in cash and cash equivalents	(22,194)	(67,292)	23,466
Cash, cash equivalents and restricted cash, beginning of period	40,453	107,745	84,279
Cash, cash equivalents and restricted cash, end of period	18,259	40,453	107,745
Supplemental disclosure of operating cash flow information:
Interest paid	107,510	110,707	119,957
Income taxes paid	50	192	810
Supplemental disclosure of non-cash financing/investing activities:
Underwriting and offering costs payable	0	2	0
Principal payments of securities, not settled	0	0	44
Assets of deconsolidated VIE	0	0	(150,804)
Liabilities of deconsolidated VIE	0	0	143,952
Mortgage-backed securities recorded upon deconsolidation	0	0	6,852
Mortgage-backed securities derecognized upon VIE consolidation	0	0	(13,737)
Dividends and distributions declared, not paid	2,415	3,623	3,649
Principal payments of Residential Whole Loans, not settled	4,619	21,970	26,885
Principal payments of Residential Bridge Loans, not settled	1,341	163	1,102
Other assets - Transfer of Residential Whole Loans to REO	2,255	0	0
Other assets - Transfer of Residential Bridge Loans to REO	0	752	419
Other assets - Transfer of Commercial Loans to REO	0	30,345	0
Other assets - Transfer of REO from non-controlling interest	0	12,138	0
Financing fee payable	0	0	(8,540)
Exchange of convertible senior notes for commons stock	0	0	3,588
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets:
Cash and cash equivalents	18,011	40,193	31,613
Restricted cash	248	260	76,132
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows	18,259	40,453	107,745
VIE
Supplemental disclosure of non-cash financing/investing activities:
Assets of consolidated VIE	0	0	1,245,287
Liabilities of consolidated VIE	0	0	$ (1,231,549)
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets:
Cash and cash equivalents	0	266
Restricted cash	$ 248	$ 260

Organization

Organization	12 Months Ended
	Dec. 31, 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. During the second quarter of 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, has been 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 involving the Company, and the Company has not set a timetable for completion of the review process. The current market environment for mortgage REITs remains challenging, given the rapid rise in interest rates and the increased potential for an economic retrenchment, which has added complexity to our exploration of strategic partners. 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	12 Months Ended
	Dec. 31, 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 financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly-owned and majority owned subsidiaries and 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 6,038,012. 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. Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering. Cash and Cash Equivalents The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in its consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3, "Fair Value of Financial Instruments" to the financial statements contained in this annual report on Form 10-K. Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consisted of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities. These investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets”. The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized loss, net”. Residential Whole Loans Investments in Residential Whole Loans are recorded in accordance with ASC 310, "Receivables". The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized loss, net". All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized loss, net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. All remaining bridge loans as of December 31, 2022 were purchased subsequent to October 25, 2017 and are accounted for at fair value. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized loss, net". Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized loss, net". All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. Credit Loss on Investments The Company’s loan investments are typically collateralized by real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company elected the Fair Value Option for all of its investments and accordingly it does not apply the expected loss model in accordance with ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments ("CECL")" instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized loss, net". Real Estate Owned REO represents real estate property acquired by the Company through foreclosure and it is classified as held for sale. Upon completion of the foreclosure, the Company initially records the REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs and it is classified in "Other assets" in the Consolidated Balance Sheets. Gains/losses recognized on foreclosure as well as realized gains/losses on the disposition of REO are reported by the Company in "Realized gain (loss), net" in the Consolidated Statements of Operations. Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 310-20 "Receivables - Nonrefundable Fees and Other Costs", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated. Investment Related Receivables The Company accounts for mortgage payments received from borrowers after the date of record of the trustee and/or recordkeeper but prior to period end as an Investment Related Receivable on the Balance Sheet in accordance with ASC 310, "Receivables." This balance is calculated based on subsequent month servicer and trustee reports and represents actual cash received prior to the date of record. Principal on each loan paid in accordance with this fact pattern is decreased when the amount of cash received prior to period end is known to the Company. Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company accounts for variation margins as partial settlement of the respective derivative asset or liability that will result in realized gains or losses on the derivative contract in the Consolidated Statement of Operation. The cash payments for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. 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 have been altered from that of the underlying mortgage collateral. 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. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized as an adjustment to Net income (loss) in "Realized gain (loss) on investments, net" in the Consolidated Statements of Cash Flows. Securitized Debt Issued Securitized debt issued represents Non-QM mortgage-backed securities issued through the Arroyo 2019-2, 2020-1, 2022-1, and 2022-2 securitization entities. Assets at these entities are held in the custody of securitization trustees and are not owned by the Company. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the securitized debt investors. In accordance with accounting guidance for CFEs (ASC 825), we account for the securitized debt issued under Arroyo 2022-1 and Arroyo 2022-2 at fair value, with periodic changes in fair value recorded in "Unrealized gain (loss), net" on our consolidated statements of income (loss). We account for the securitized debt issued under Arroyo 2019-2 and Arroyo 2020-1 at amortized cost. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing costs and classified in "Securitized debt, net" in the Consolidated Balance Sheets. Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issu

Fair Value of Financial Instrum

Fair Value of Financial Instruments	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021, based upon the valuation hierarchy (dollars in thousands): December 31, 2022 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 53 $ 53 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 714 714 Subtotal Agency MBS — — 767 767 Non-Agency CMBS — 85,435 — 85,435 Non-Agency RMBS — 22,483 — 22,483 Non-Agency RMBS Interest-Only Strips — — 1,204 1,204 Subtotal Non-Agency MBS — 107,918 1,204 109,122 Other Securities — 27,262 — 27,262 Total Mortgage-backed Securities and Other Securities — 135,180 1,971 137,151 Residential Whole Loans — — 1,091,145 1,091,145 Residential Bridge Loans — — 2,849 2,849 Commercial Loans — — 90,002 90,002 Securitized Commercial Loan — — 1,085,103 1,085,103 Derivative Assets — 1 — 1 Total Assets $ — $ 135,181 $ 2,271,070 $ 2,406,251 Liabilities Derivative Liabilities $ — $ 61 $ — $ 61 Securitized Debt — 1,710,938 8,927 1,719,865 Total Liabilities $ — $ 1,710,999 $ 8,927 $ 1,719,926 December 31, 2021 Fair Value Assets Level I Level II Level III Total 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 Commercial Loans — — 130,572 130,572 Securitized Commercial loan — — 1,355,808 1,355,808 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 When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the third-party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing services or third-party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP and if the Company has elected the fair value option for the securitized debt, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable. Mortgage-backed Securities and Other Securities In determining the proper fair value hierarchy or level the Company considers the amount of available observable market data for each security. For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III. Values for the Company's securities are based upon prices obtained from independent third-party pricing services. The valuation methodology of the third-party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third-party pricing service cannot adequately price a particular security, the Company utilizes a broker's quote which is reviewed for reasonableness by the Manager's pricing group. Residential Whole Loans and Residential Bridge Loans Values for the Company's Residential Whole Loans and Residential Bridge Loans are based upon prices obtained from an independent third-party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's residential whole loans and residential bridge loans. The key loan inputs include loan balance, interest rate, loan to value, delinquencies and fair value of the collateral for collateral dependent loans. The assumption made by the independent third-party pricing service includes the market discount rate, default assumptions and loss severity. Other inputs and assumptions relevant to the pricing of residential whole loans include FICO scores and prepayment speeds. The independent third-party pricing service used a combination of recent loan trades and recent residential whole loans securitization transactions adjusted for deal cost and liquidity premium, to form their opinion on the appropriate discount rate. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential whole loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. In addition, the fair values for the Company’s Non-QM residential whole loans held in Arroyo Trust 2022-1 and Arroyo Trust 2022-2, are measured using the fair value of the securitized debt based on the CFE valuation methodology. See Note 5, "Residential Whole Loans and Residential Bridge Loans" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional details. Accordingly, the Company classifies its Residential Whole Loans and Residential Bridge Loans as Level III. Commercial Loans Values for the Company's Commercial Loans are based upon prices obtained from an independent third-party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's commercial loans. The assumptions made by the independent third-party pricing vendor include a market discount rate, default assumption, loss severity, cash flows and probability weighted loss scenarios. The Company reviews the analysis provided by the pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III. Securitized Commercial Loans Values for the Company’s securitized commercial loans are based on the collateralized financing entity ("CFE") valuation methodology. Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of the securitized commercial loans' valuation, the Company classifies its securitized commercial loans as Level III. Securitized Debt Values for the Company's securitized debt that the Company elected the fair value option are based upon prices obtained from independent third-party pricing services. The valuation methodology of the third-party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined volume threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. Third party pricing data review The Company performs quarterly reviews of the independent third-party pricing data. These reviews may include a review of the valuation methodology used by third-party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager's pricing group. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2022 and December 31, 2021 (dollars in thousands): Fair Value at Range December 31, 2022 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $1,091,145 Discounted Cash Flow Market Discount Rate 6.0% 8.4% 6.8% Weighted Average Life 1.4 10.4 5.4 Residential Bridge Loans $2,849 Discounted Cash Flow Market Discount Rate 12.9% 35.7% 22.4% Weighted Average Life 0.4 4.1 2.0 Securitized Commercial Loans $1,085,103 Market Comparables, Vendor Pricing Weighted Average Life 2.7 2.7 2.7 Commercial Loans $90,002 Discounted Cash Flow Market Discount Rate 8.4% 9.6% 9.2% Weighted Average Life 0.3 2.4 1.2 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% 17.2% Weighted Average Life 0.3 3.6 2.4 Securitized Commercial Loans $1,355,808 Market Comparables, Vendor Pricing Weighted Average Life 3.6 3.6 3.6 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 (dollars in thousands): Year ended December 31, 2022 Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized 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 — — 399,948 — — — — Sales and settlements — — (11,362) — — — — Transfers to REO — — (2,255) — — — — Loan modifications / capitalized interest — — 21 — — — — Principal repayments — — (204,720) (2,670) (20,593) — — Total net gains/losses included in net income Realized gains/(losses), net on assets — — (101) — — — — Unrealized gains/(losses), net on assets (1) (303) (863) (108,698) 91 (19,977) (297,343) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (1,840) Premium and discount amortization, net (102) (341) (5,190) — — 26,638 (4,152) Ending balance $ 767 $ 1,204 $ 1,091,145 $ 2,849 $ 90,002 $ 1,085,103 $ 8,927 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (303) $ (509) $ (92,662) $ (76) $ (19,984) $ (297,343) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 1,840 Year ended December 31, 2021 Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Commercial Loans 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 — (32,471) (10,306) — — — — — Purchases — — — 422,041 — — — — Transfers to REO — — — — (752) (30,000) — — Loan modifications / capitalized interest — — — 486 — — — — Principal repayments — (256) — (401,075) (7,312) (103,285) (354,202) — Total net gains / (losses) included in net income Realized gains/(losses), net on assets — — — — (206) — — — Unrealized gains/(losses), net on assets (1) (206) 698 1,657 2,354 907 (46,813) 79,972 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 4,056 Premium and discount amortization, net (330) (178) 56 (9,086) (22) 147 24,703 (4,555) Ending balance $ 1,172 $ 7,845 $ — $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (206) $ (1,173) $ — $ 5,795 $ 149 $ (50,034) $ 64,973 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (3,603) (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 between hierarchy levels for the years ended December 31, 2022 and December 31, 2021 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements from Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the years ended December 31, 2022 and December 31, 2021. Other Fair Value Disclosures The Company's repurchase agreements, 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 value of the convertible senior unsecured notes is based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I. 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 December 31, 2022 and December 31, 2021 in the consolidated financial statements (dollars in thousands): December 31, 2022 December 31, 2021 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Convertible senior unsecured notes 83,522 74,712 119,168 122,133 Securitized debt (1) 342,965 309,474 524,649 528,046 Total $ 426,487 $ 384,186 $ 643,817 $ 650,179 (1) Carrying value excludes $4.1 million and $5.5 million of deferred financing costs as of December 31, 2022 and December 31, 2021, respectively. "Due from counterparties" and "Due to 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	12 Months Ended
	Dec. 31, 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 $ — $ 53 $ — $ — $ 53 Agency RMBS Interest-Only Strips, accounted for as derivatives — 714 — — 714 Subtotal Agency — 767 — — 767 Non-Agency CMBS 64,484 10,469 10,482 — 85,435 Non-Agency RMBS — — 8,667 13,816 22,483 Non-Agency RMBS Interest-Only Strips — — 230 974 1,204 Subtotal Non-Agency 64,484 10,469 19,379 14,790 109,122 Other securities 6,735 — 13,020 7,507 27,262 Total $ 71,219 $ 11,236 $ 32,399 $ 22,297 $ 137,151 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 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 $ (5) 1 $ — $ — — $ 52 $ (5) 1 Subtotal Agency 52 (5) 1 — — — 52 (5) 1 Non-Agency CMBS — — — 76,365 (21,704) 11 76,365 (21,704) 11 Non-Agency RMBS 19,054 (2,794) 5 1,557 (1,101) 2 20,611 (3,895) 7 Non-Agency RMBS Interest-Only Strips — — — 1,203 (4,000) 4 1,203 (4,000) 4 Subtotal Non-Agency 19,054 (2,794) 5 79,125 (26,805) 17 98,179 (29,599) 22 Other securities 12,483 (2,425) 3 9,468 (1,968) 2 21,951 (4,393) 5 Total $ 31,589 $ (5,224) 9 $ 88,593 $ (28,773) 19 $ 120,182 $ (33,997) 28 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 table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively (dollars in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ — $ — $ — $ — $ — $ — $ 11,336 $ (636) $ 10,700 Agency RMBS 13 (1) 12 47 (30) 17 2,975 (987) 1,988 Non-Agency CMBS 9,129 615 9,744 9,874 6,535 16,409 15,331 6,467 21,798 Non-Agency RMBS 2,154 (46) 2,108 2,127 (670) 1,457 2,732 (1,193) 1,539 Other securities 3,383 274 3,657 4,685 (1,574) 3,111 8,263 (4,781) 3,482 Total $ 14,679 $ 842 $ 15,521 $ 16,733 $ 4,261 $ 20,994 $ 40,637 $ (1,130) $ 39,507 The following tables present the sales and realized gain (loss) of the Company's MBS and other securities for the three years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively (dollars in thousands): For the year ended December 31, 2022 Proceeds Gross Gross Net Non-Agency CMBS $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS 31,790 255 (2,652) (2,397) Other securities 14,485 — (2,252) (2,252) Total $ 56,427 $ 255 $ (48,838) $ (48,583) For the year ended December 31, 2021 Proceeds Gross Gross Net Non-Agency CMBS $ 27,488 $ — $ (9,266) $ (9,266) Total $ 27,488 $ — $ (9,266) $ (9,266) For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 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 December 31, 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 December 31, 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 $15.5 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 December 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Principal Unamortized Amortized Unrealized Unrealized Loss Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 58 $ — $ (5) $ 53 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 714 0.1 % Total Agency MBS — — 58 — (5) 767 0.1 % Non-Agency RMBS 39,873 (14,423) 25,450 928 (3,895) 22,483 4.2 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,204 — (4,000) 1,204 0.3 % Subtotal Non-Agency RMBS 39,873 (14,423) 30,654 928 (7,895) 23,687 1.1 % Non-Agency CMBS 109,266 (2,763) 106,503 636 (21,704) 85,435 8.1 % Total Non-Agency MBS 149,139 (17,186) 137,157 1,564 (29,599) 109,122 3.8 % Other securities (3) 34,691 (8,581) 31,112 543 (4,393) 27,262 7.2 % Total $ 183,830 $ (25,767) $ 168,327 $ 2,107 $ (33,997) $ 137,151 3.9 % December 31, 2021 Principal Unamortized Amortized Unrealized Gain 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 December 31, 2022, 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 $2.4 million, $143.2 million and $13.1 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 (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $5.0 million and $4.7 million, as of December 31, 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 December 31, 2022 and December 31, 2021, the weighted average expected remaining term of the MBS and other securities investment portfolio was 6.7 years and 5.9 years, respectively. The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 53 $ — $ — $ 53 Agency RMBS Interest-Only Strips, accounted for as derivatives — 714 — — 714 Subtotal Agency — 767 — — 767 Non-Agency CMBS 64,484 10,469 10,482 — 85,435 Non-Agency RMBS — — 8,667 13,816 22,483 Non-Agency RMBS Interest-Only Strips — — 230 974 1,204 Subtotal Non-Agency 64,484 10,469 19,379 14,790 109,122 Other securities 6,735 — 13,020 7,507 27,262 Total $ 71,219 $ 11,236 $ 32,399 $ 22,297 $ 137,151 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 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 $ (5) 1 $ — $ — — $ 52 $ (5) 1 Subtotal Agency 52 (5) 1 — — — 52 (5) 1 Non-Agency CMBS — — — 76,365 (21,704) 11 76,365 (21,704) 11 Non-Agency RMBS 19,054 (2,794) 5 1,557 (1,101) 2 20,611 (3,895) 7 Non-Agency RMBS Interest-Only Strips — — — 1,203 (4,000) 4 1,203 (4,000) 4 Subtotal Non-Agency 19,054 (2,794) 5 79,125 (26,805) 17 98,179 (29,599) 22 Other securities 12,483 (2,425) 3 9,468 (1,968) 2 21,951 (4,393) 5 Total $ 31,589 $ (5,224) 9 $ 88,593 $ (28,773) 19 $ 120,182 $ (33,997) 28 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 table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively (dollars in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ — $ — $ — $ — $ — $ — $ 11,336 $ (636) $ 10,700 Agency RMBS 13 (1) 12 47 (30) 17 2,975 (987) 1,988 Non-Agency CMBS 9,129 615 9,744 9,874 6,535 16,409 15,331 6,467 21,798 Non-Agency RMBS 2,154 (46) 2,108 2,127 (670) 1,457 2,732 (1,193) 1,539 Other securities 3,383 274 3,657 4,685 (1,574) 3,111 8,263 (4,781) 3,482 Total $ 14,679 $ 842 $ 15,521 $ 16,733 $ 4,261 $ 20,994 $ 40,637 $ (1,130) $ 39,507 The following tables present the sales and realized gain (loss) of the Company's MBS and other securities for the three years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively (dollars in thousands): For the year ended December 31, 2022 Proceeds Gross Gross Net Non-Agency CMBS $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS 31,790 255 (2,652) (2,397) Other securities 14,485 — (2,252) (2,252) Total $ 56,427 $ 255 $ (48,838) $ (48,583) For the year ended December 31, 2021 Proceeds Gross Gross Net Non-Agency CMBS $ 27,488 $ — $ (9,266) $ (9,266) Total $ 27,488 $ — $ (9,266) $ (9,266) For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 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 December 31, 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 December 31, 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 $15.5 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 December 31, 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 Res

Residential Whole Loans and Residential Bridge Loans	12 Months Ended
	Dec. 31, 2022
Variable Interest Entities
Residential Whole Loans and Residential Bridge Loans	Residential Whole Loans and Residential 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 December 31, 2022, and December 31, 2021, the RMI 2015 Trust owns six and 770 Non-QM Residential Whole Loans with a fair value of $3.2 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" to the consolidated financial statements contained in this Annual Report on Form 10-K. 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 $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" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional 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 intercompany Owner Certificates in consolidation. As of December 31, 2022, and December 31, 2021, the Arroyo Trust 2019 owns 766 and 1,042 Non-QM Residential Whole Loans with a fair value of $237.6 million and $374.3 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, t he 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" to the consolidated financial statements contained in this Annual Report on Form 10-K . 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 intercompany Owner Certificates in consolidation. As of December 31, 2022, and December 31, 2021, the Arroyo Trust 2020 owned 432 and 543 Non-QM Residential Whole Loans with a fair value of $135.1 million and $195.7 million, respectively. 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" to the consolidated financial statements contained in this Annual Report on Form 10-K . 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 December 31, 2022, the Arroyo Trust 2022-1 owned 705 Non-QM Residential Whole Loans with a fair value of $350.7 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. Note 7, "Financings" to the consolidated financial statements contained in this Annual Report on Form 10-K . 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 December 31, 2022, the Arroyo Trust 2022-2 owned 1,029 Non-QM Residential Whole Loans with a fair value of $363.3 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 December 31, 2022, and December 31, 2021 there were five and eight remaining Residential Bridge Loans in the portfolio with a fair value of $2.8 million and $5.2 million, respectively. As of December 31, 2022, and December 31, 2021, the trust also owned five and six investor fixed rate residential mortgages with a fair value of $1.2 million and $1.7 million, respectively. 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Cash and cash equivalents $ — $ 266 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Investment related receivable 5,914 22,087 Interest receivable 4,871 5,282 Other assets 509 — Total assets $ 1,105,288 $ 1,056,344 Securitized debt, net $ 981,073 $ 519,118 Interest payable 3,139 1,316 Accounts payable and accrued expenses 34 69 Total liabilities $ 984,246 $ 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 these trusts for the years ended December 31, 2022 and December 31, 2021. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 and December 31, 2021 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 Principal balance $ 1,165,301 $ 989,143 $ 3,166 $ 5,834 Unamortized premium 30,961 31,070 — — Unamortized discount (1,536) (1,337) — — Amortized cost 1,194,726 1,018,876 3,166 5,834 Gross unrealized gains 2,038 14,190 — 78 Gross unrealized losses (105,619) (9,564) (317) (484) Fair value $ 1,091,145 $ 1,023,502 $ 2,849 $ 5,428 Residential whole loans The Residential Whole Loans have low LTV's and are comprised of 2,938 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 39 $ 22,277 66.3 % 758 8.9 28.3 2.9 % 3.01% - 4.00% 402 214,402 66.3 % 759 7.3 28.5 3.7 % 4.01% - 5.00% 1,337 453,811 64.1 % 749 5.5 26.0 4.6 % 5.01% - 6.00% 901 363,197 65.6 % 742 4.7 26.7 5.4 % 6.01% - 7.00% 249 105,933 69.9 % 742 3.6 28.4 6.4 % 7.01% - 8.00% 15 5,681 75.2 % 730 3.0 29.2 7.4 % Total 2,943 $ 1,165,301 65.6 % 748 5.5 27.0 4.8 % (1) The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. The Company has excluded these loans from the weighted average computations. December 31, 2021 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected 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 the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2022 and December 31, 2021, based on principal balance, is located (dollars in thousands): December 31, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 66.8 % $ 778,732 California 73.9 % $ 730,771 New York 9.3 % 108,108 New York 11.6 % 114,625 Texas 4.8 % 56,126 Florida 2.7 % 26,293 Florida 4.1 % 47,681 Georgia 2.5 % 25,106 Georgia 3.5 % 40,845 Texas 1.9 % 19,062 Other 11.5 % 133,809 Other 7.4 % 73,286 Total 100.0 % $ 1,165,301 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 in the Company's investment portfolio at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % N/A 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 5 $ 3,166 74.0 % 0.0 9.5 % December 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (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 the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2022 and December 31, 2021, based on principal balance, is located (dollars in thousands): December 31, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 55.4 % $ 1,754 New York 45.1 % $ 2,631 New York 42.2 % 1,337 California 30.1 % 1,754 New Jersey 2.4 % 75 Florida 19.3 % 1,125 Total 100.0 % $ 3,166 New Jersey 3.7 % 219 Pennsylvania 1.8 % 105 Other — % — Total 100.0 % $ 5,834 Non-performing loans The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,910 $ 1,147,412 $ 1,074,409 — $ — $ — 1-30 days 14 6,983 6,678 — — — 31-60 days — — — — — — 61-90 days 6 2,165 2,032 — — — 90+ days 13 8,741 8,026 5 3,166 2,849 Total 2,943 $ 1,165,301 $ 1,091,145 5 $ 3,166 $ 2,849 (1) As of December 31, 2022, there were no loans in forbearance. Residential whole loans As of December 31, 2022, there were 13 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $8.7 million and a fair value of approximately $8.0 million. These nonperforming loans represent approximately 0.8% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.0%. 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 December 31, 2022, the Company had five remaining Residential Bridge Loans in the portfolio. Of these, five in non-accrual status with an unpaid principal balance of approximately $3.2 million and a fair value of $2.8 million. These nonperforming loans had an outstanding principal balance of $3.2 million. These loans are collateral dependent. As of December 31, 2021, the Company had nine Residential Bridge Loans remaining in the portfolio. Of these, six were in non-accrual status with an unpaid principal balance of approximately $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 adjustment as of December 31, 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 December 31, 2022 and December 31, 2021, the Company had one and four residential REO properties with an aggregate carrying value of $2.3 million and $1.1 million, respectively, related to foreclosed Residential Whole Loans and Residential Bridge Loans. The REO loan held by the Company as of December 31, 2022 was transferred to REO in December 2022. 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. Note 6 - 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" to the consolidated financial statements contained in this Annual Report on Form 10-K for details . The following table presents information about the Commercial Loans owned by CRE LLC as of December 31, 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 22,050 63% 1-Month SOFR plus 3.38% 8/6/2025 (2) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,433 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,151 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,229 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel $ 157,205 $ 75,640 (1) At December 31, 2022 CRE 3 was in default and was not eligible for extension. On February 3, 2023, it was sold to an unaffiliated third party for its fair value as of December 31, 2022. (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 a one-year extension through November 6, 2023 and are expected to transition off LIBOR during Q2 2023. CRE 3 Loan As of December 31, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million was non-performing and past its maturity date of June 29, 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, which had the effect of foreclosing out the Company’s subordinate pledge of equity in the retail facility that served as collateral for the junior mezzanine loan. As a result, as of December 31, 2022, the Company’s junior mezzanine loan remained outstanding but without the benefit of the primary collateral supporting the loan. As a result of the foreclosure noted above, the Company 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. On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its value of $8.8 million. The fair value of the loan at December 31, 2022 reflects this purchase price. 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 December 31, 2022, there is one loan remaining in the trust. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of December 31, 2022 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate (1) Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% One-Month LIBOR plus 4.35% 1/6/2023 None Nursing Facilities $ 14,362 $ 14,362 (1) During July 2022, the SBC 3 loan was granted an extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee. Subsequently, in January 2023, the SBC 3 loan was partially paid down by $750.0 thousand and was granted another extension through August 4, 2023, with a 50 bps extension fee. Securitized commercial loans Securitized commercial loans are comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2022, the Company had a variable interest in one third party sponsored CMBS VIEs, 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" to the consolidated financial statements contained in this Annual Report on Form 10-K 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 which had 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 December 31, 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 December 31, 2022 . The loan's has a stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower, 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 December 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Restricted cash $ 248 $ 260 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value 14,362 14,362 Interest receivable 5,311 5,290 Total assets $ 1,105,024 $ 1,375,720 Securitized debt, at fair value $ 1,077,611 $ 1,344,370 Interest payable 5,164 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 248 260 Total liabilities $ 1,083,032 $ 1,349,803 The Company’s risk with respect to its investment in the securitized commercial loan trust is limited to its direct ownership in the trust. The commercial loan held by the consolidated securitized commercial loan trust is held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The securitized commercial loan of trust can only be used to satisfy the obligations of that trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial trust for the years ended December 31, 2022 and December 31, 2021. The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 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 December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 Principal balance $ 1,385,591 $ 1,385,591 $ 14,362 $ 14,362 $ 157,205 $ 177,797 Unamortized discount (84,132) (110,770) — — — — Amortized cost 1,301,459 1,274,821 14,362 14,362 157,205 177,797 Gross unrealized gains — 80,987 — — — — Gross unrealized losses (216,356) — — — (81,565) (61,587) Fair value $ 1,085,103 $ 1,355,808 $ 14,362 $ 14,362 $ 75,640 $ 116,210 Non-performing commercial loans The following table presents the aging of the Commercial Loans as of December 31, 2022 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,225 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,002 Commercial real estate owned Hotel REO In February 2022, the Company along with other Hotel REO investors, sold the unencumbered hotel property which was foreclosed on in the third quarter of 2021 for $55.9 million. The Company and the other investors fully recovered their aggregate initial investment of $42.0 million. The Company and the other investors recognized a gain on sale of approximately $12.2 million. REO Activity In December 2022, the Company received payments for its remaining four REO properties of $1.1 million and transferred one Residential Whole Loan property into REO for its carrying value of $2.3 million.

Commercial Loans

Commercial Loans	12 Months Ended
	Dec. 31, 2022
Noncontrolling Interest [Abstract]
Commercial Loans	Residential Whole Loans and Residential 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 December 31, 2022, and December 31, 2021, the RMI 2015 Trust owns six and 770 Non-QM Residential Whole Loans with a fair value of $3.2 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" to the consolidated financial statements contained in this Annual Report on Form 10-K. 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 $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" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional 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 intercompany Owner Certificates in consolidation. As of December 31, 2022, and December 31, 2021, the Arroyo Trust 2019 owns 766 and 1,042 Non-QM Residential Whole Loans with a fair value of $237.6 million and $374.3 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, t he 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" to the consolidated financial statements contained in this Annual Report on Form 10-K . 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 intercompany Owner Certificates in consolidation. As of December 31, 2022, and December 31, 2021, the Arroyo Trust 2020 owned 432 and 543 Non-QM Residential Whole Loans with a fair value of $135.1 million and $195.7 million, respectively. 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" to the consolidated financial statements contained in this Annual Report on Form 10-K . 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 December 31, 2022, the Arroyo Trust 2022-1 owned 705 Non-QM Residential Whole Loans with a fair value of $350.7 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. Note 7, "Financings" to the consolidated financial statements contained in this Annual Report on Form 10-K . 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 December 31, 2022, the Arroyo Trust 2022-2 owned 1,029 Non-QM Residential Whole Loans with a fair value of $363.3 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 December 31, 2022, and December 31, 2021 there were five and eight remaining Residential Bridge Loans in the portfolio with a fair value of $2.8 million and $5.2 million, respectively. As of December 31, 2022, and December 31, 2021, the trust also owned five and six investor fixed rate residential mortgages with a fair value of $1.2 million and $1.7 million, respectively. 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Cash and cash equivalents $ — $ 266 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Investment related receivable 5,914 22,087 Interest receivable 4,871 5,282 Other assets 509 — Total assets $ 1,105,288 $ 1,056,344 Securitized debt, net $ 981,073 $ 519,118 Interest payable 3,139 1,316 Accounts payable and accrued expenses 34 69 Total liabilities $ 984,246 $ 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 these trusts for the years ended December 31, 2022 and December 31, 2021. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 and December 31, 2021 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 Principal balance $ 1,165,301 $ 989,143 $ 3,166 $ 5,834 Unamortized premium 30,961 31,070 — — Unamortized discount (1,536) (1,337) — — Amortized cost 1,194,726 1,018,876 3,166 5,834 Gross unrealized gains 2,038 14,190 — 78 Gross unrealized losses (105,619) (9,564) (317) (484) Fair value $ 1,091,145 $ 1,023,502 $ 2,849 $ 5,428 Residential whole loans The Residential Whole Loans have low LTV's and are comprised of 2,938 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 39 $ 22,277 66.3 % 758 8.9 28.3 2.9 % 3.01% - 4.00% 402 214,402 66.3 % 759 7.3 28.5 3.7 % 4.01% - 5.00% 1,337 453,811 64.1 % 749 5.5 26.0 4.6 % 5.01% - 6.00% 901 363,197 65.6 % 742 4.7 26.7 5.4 % 6.01% - 7.00% 249 105,933 69.9 % 742 3.6 28.4 6.4 % 7.01% - 8.00% 15 5,681 75.2 % 730 3.0 29.2 7.4 % Total 2,943 $ 1,165,301 65.6 % 748 5.5 27.0 4.8 % (1) The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. The Company has excluded these loans from the weighted average computations. December 31, 2021 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected 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 the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2022 and December 31, 2021, based on principal balance, is located (dollars in thousands): December 31, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 66.8 % $ 778,732 California 73.9 % $ 730,771 New York 9.3 % 108,108 New York 11.6 % 114,625 Texas 4.8 % 56,126 Florida 2.7 % 26,293 Florida 4.1 % 47,681 Georgia 2.5 % 25,106 Georgia 3.5 % 40,845 Texas 1.9 % 19,062 Other 11.5 % 133,809 Other 7.4 % 73,286 Total 100.0 % $ 1,165,301 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 in the Company's investment portfolio at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % N/A 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 5 $ 3,166 74.0 % 0.0 9.5 % December 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (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 the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2022 and December 31, 2021, based on principal balance, is located (dollars in thousands): December 31, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 55.4 % $ 1,754 New York 45.1 % $ 2,631 New York 42.2 % 1,337 California 30.1 % 1,754 New Jersey 2.4 % 75 Florida 19.3 % 1,125 Total 100.0 % $ 3,166 New Jersey 3.7 % 219 Pennsylvania 1.8 % 105 Other — % — Total 100.0 % $ 5,834 Non-performing loans The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,910 $ 1,147,412 $ 1,074,409 — $ — $ — 1-30 days 14 6,983 6,678 — — — 31-60 days — — — — — — 61-90 days 6 2,165 2,032 — — — 90+ days 13 8,741 8,026 5 3,166 2,849 Total 2,943 $ 1,165,301 $ 1,091,145 5 $ 3,166 $ 2,849 (1) As of December 31, 2022, there were no loans in forbearance. Residential whole loans As of December 31, 2022, there were 13 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $8.7 million and a fair value of approximately $8.0 million. These nonperforming loans represent approximately 0.8% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.0%. 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 December 31, 2022, the Company had five remaining Residential Bridge Loans in the portfolio. Of these, five in non-accrual status with an unpaid principal balance of approximately $3.2 million and a fair value of $2.8 million. These nonperforming loans had an outstanding principal balance of $3.2 million. These loans are collateral dependent. As of December 31, 2021, the Company had nine Residential Bridge Loans remaining in the portfolio. Of these, six were in non-accrual status with an unpaid principal balance of approximately $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 adjustment as of December 31, 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 December 31, 2022 and December 31, 2021, the Company had one and four residential REO properties with an aggregate carrying value of $2.3 million and $1.1 million, respectively, related to foreclosed Residential Whole Loans and Residential Bridge Loans. The REO loan held by the Company as of December 31, 2022 was transferred to REO in December 2022. 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. Note 6 - 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" to the consolidated financial statements contained in this Annual Report on Form 10-K for details . The following table presents information about the Commercial Loans owned by CRE LLC as of December 31, 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 22,050 63% 1-Month SOFR plus 3.38% 8/6/2025 (2) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,433 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,151 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,229 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel $ 157,205 $ 75,640 (1) At December 31, 2022 CRE 3 was in default and was not eligible for extension. On February 3, 2023, it was sold to an unaffiliated third party for its fair value as of December 31, 2022. (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 a one-year extension through November 6, 2023 and are expected to transition off LIBOR during Q2 2023. CRE 3 Loan As of December 31, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million was non-performing and past its maturity date of June 29, 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, which had the effect of foreclosing out the Company’s subordinate pledge of equity in the retail facility that served as collateral for the junior mezzanine loan. As a result, as of December 31, 2022, the Company’s junior mezzanine loan remained outstanding but without the benefit of the primary collateral supporting the loan. As a result of the foreclosure noted above, the Company 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. On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its value of $8.8 million. The fair value of the loan at December 31, 2022 reflects this purchase price. 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 December 31, 2022, there is one loan remaining in the trust. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of December 31, 2022 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate (1) Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% One-Month LIBOR plus 4.35% 1/6/2023 None Nursing Facilities $ 14,362 $ 14,362 (1) During July 2022, the SBC 3 loan was granted an extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee. Subsequently, in January 2023, the SBC 3 loan was partially paid down by $750.0 thousand and was granted another extension through August 4, 2023, with a 50 bps extension fee. Securitized commercial loans Securitized commercial loans are comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2022, the Company had a variable interest in one third party sponsored CMBS VIEs, 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" to the consolidated financial statements contained in this Annual Report on Form 10-K 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 which had 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 December 31, 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 December 31, 2022 . The loan's has a stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower, 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 December 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Restricted cash $ 248 $ 260 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value 14,362 14,362 Interest receivable 5,311 5,290 Total assets $ 1,105,024 $ 1,375,720 Securitized debt, at fair value $ 1,077,611 $ 1,344,370 Interest payable 5,164 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 248 260 Total liabilities $ 1,083,032 $ 1,349,803 The Company’s risk with respect to its investment in the securitized commercial loan trust is limited to its direct ownership in the trust. The commercial loan held by the consolidated securitized commercial loan trust is held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The securitized commercial loan of trust can only be used to satisfy the obligations of that trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial trust for the years ended December 31, 2022 and December 31, 2021. The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 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 December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 Principal balance $ 1,385,591 $ 1,385,591 $ 14,362 $ 14,362 $ 157,205 $ 177,797 Unamortized discount (84,132) (110,770) — — — — Amortized cost 1,301,459 1,274,821 14,362 14,362 157,205 177,797 Gross unrealized gains — 80,987 — — — — Gross unrealized losses (216,356) — — — (81,565) (61,587) Fair value $ 1,085,103 $ 1,355,808 $ 14,362 $ 14,362 $ 75,640 $ 116,210 Non-performing commercial loans The following table presents the aging of the Commercial Loans as of December 31, 2022 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,225 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,002 Commercial real estate owned Hotel REO In February 2022, the Company along with other Hotel REO investors, sold the unencumbered hotel property which was foreclosed on in the third quarter of 2021 for $55.9 million. The Company and the other investors fully recovered their aggregate initial investment of $42.0 million. The Company and the other investors recognized a gain on sale of approximately $12.2 million. REO Activity In December 2022, the Company received payments for its remaining four REO properties of $1.1 million and transferred one Residential Whole Loan property into REO for its carrying value of $2.3 million.

Financings

Financings	12 Months Ended
	Dec. 31, 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, 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. In order to manage the severe market conditions and the resulting large margin demands from lenders and pressure on the Company’s liquidity, the Company entered into three longer term financing arrangements to reduce its exposure to short-term financings with daily mark-to-market exposure. Below is a summary of each of these financing arrangements. Residential whole loan facility On November 5, 2021, the Company entered into a further amendment of its Residential Whole Loan Facility. The amended facility has a stated capacity of $500.0 million and bears an interest rate to LIBOR plus 2.00%, with a LIBOR floor of 0.25%. The facility is available to finance five types of residential mortgages: Non-Agency mortgage loans, Non-QM loans, investor loans, re-performing and non-performing loans. The advance rates may differ by type of loan, but for performing Non-QM loans the advance rate is 90%. The facility had an original maturity date of November 4, 2022. The facility is a mark to market margin facility; however, the margin requirement is only triggered if the fair value of the collateral declines to below the aggregate outstanding principal amount of the collateral. On November 9, 2022, the facility was extended to mature 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 December 31, 2022, the Company had outstanding borrowings of $3.6 million. The borrowing is secured by against Non-QM Residential Whole Loans with a fair value of $3.2 million and one REO property with a carrying value of $2.3 million as of December 31, 2022. Non-Agency CMBS and Non-Agency RMBS facility On May 5, 2021, the Company amended its Non-Agency CMBS and Non-Agency RMBS financing facility to, among other things, extend the facility for an additional 12 months and reduce the interest rate. The amended facility has improved advance rates and bears interest at a rate of three-month LIBOR plus 2.00%. On May 2, 2022, the facility was extended to mature on May 2, 2023. It bears interest at a rate of SOFR plus 2.00%. As of December 31, 2022, the outstanding balance under this facility was $91.1 million. The borrowing is secured by investments with a fair market value of $129.9 million as of December 31, 2022. Commercial whole loan facility On May 5, 2021, the Company amended its Commercial Whole Loan Facility to, among other things, convert the term to a 12-month facility with a stated capacity of up to $100 million. The facility has a 12-month extension option, subject to the lender's consent. On November 9, 2022, the facility was extended to mature on November 3, 2023. It bears interest at a rate of SOFR plus 2.25%. As of December 31, 2022, the outstanding balance under its 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 $66.9 million as of December 31, 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 and liquidity requirements, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross-default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. The Company was in compliance with the terms of such financial tests as of December 31, 2022. As of December 31, 2022, the Company had borrowings under six of its master repurchase agreements. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Securities Pledged Repurchase Weighted Average Weighted Average Repurchase Weighted Average Weighted Average Short-term borrowings: Agency RMBS $ 293 4.78 % 32 $ 976 1.02 % 58 Non-Agency RMBS (1) 48,237 7.50 % 26 38,354 2.94 % 4 Residential Whole Loans (2) — — % 0 1,439 2.57 % 5 Residential Bridge Loans (2) — — % 0 4,368 2.61 % 5 Commercial Loans (2) — — % 0 6,463 3.20 % 5 Other securities 1,776 7.09 % 17 2,457 3.50 % 18 Total short-term borrowings 50,306 7.47 % 26 54,057 2.92 % 6 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 55,154 6.30 % 122 59,802 2.14 % 125 Non-Agency RMBS 19,129 6.30 % 122 15,632 2.14 % 125 Other securities 16,863 6.30 % 122 27,506 2.22 % 125 Subtotal 91,146 6.30 % 122 102,940 2.16 % 125 Residential Whole Loan Facility Residential Whole Loans (2) 3,633 6.66 % 298 396,531 2.25 % 308 Commercial Whole Loan Facility Commercial Loans 48,032 6.13 % 307 63,661 2.27 % 268 Total long-term borrowings 142,811 6.25 % 189 563,132 2.24 % 270 Repurchase agreements borrowings $ 193,117 6.57 % 146 $ 617,189 2.30 % 247 Less unamortized debt issuance costs — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 193,117 6.57 % 146 $ 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 December 31, 2022 and December 31, 2021, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2022 December 31, 2021 1 to 29 days $ 50,013 $ 53,081 30 to 59 days 293 370 60 to 89 days — 606 Greater than or equal to 90 days 142,811 563,132 Total $ 193,117 $ 617,189 At December 31, 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): December 31, 2022 Counterparty Amount of Collateral Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 51,542 171 54.4 % Citigroup Global Markets Inc. 40,235 122 42.4 % Collateral for borrowings under repurchase agreements The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Assets Accrued Assets Pledged Assets Accrued Assets Pledged Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 249 $ — $ 249 $ 1,172 $ 19 $ 1,191 Non-Agency CMBS, at fair value (1) 83,925 483 84,408 107,624 504 108,128 Non-Agency RMBS, at fair value 104,487 533 105,020 66,555 343 66,898 Residential Whole Loans, at fair value (2) 3,229 3 3,232 453,447 2,674 456,121 Residential Bridge Loans (2) — — — 5,207 91 5,298 Commercial Loans, at fair value (2) 66,864 362 67,226 101,459 360 101,819 Other securities, at fair value 27,262 78 27,340 51,648 100 51,748 Cash (3) 3,410 — 3,410 3,151 — 3,151 Total $ 289,426 $ 1,459 $ 290,885 $ 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 December 31, 2022 and December 31, 2021, investments held by counterparties as security for repurchase agreements totaled approximately $286.0 million and approximately $787.1 million, respectively. Cash collateral held by counterparties at December 31, 2022 and December 31, 2021 was approximately $3.4 million and $3.2 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2022 and December 31, 2021 was $300 thousand and $0, respectively. Convertible Senior Unsecured Notes 6.75% Convertible Senior Unsecured Notes due 2024 In September 2021, the Company issued $86.3 million aggregate principal of convertible senior unsecured notes due 2024 (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 initial conversion rate was 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 At December 31, 2021, the Company had $37.7 million aggregate principal amount of the convertible senior unsecured notes due 2022 (the “2022 Notes”) outstanding. Interest on the 2022 Notes is paid semiannually. The 2022 Notes were repaid in full upon their maturity on October 3, 2022. The 2022 Notes Exchanges and Repurchases During the quarters ended December 31, 2021, September 30, 2021, and March 31, 2021, the Company repurchased $8.0 million, $122.6 million, and $6.7 million aggregate principal amount of the 2022 Notes at an approximate 1% premium to par value, 2.8% discount to par value, and 6.3% discount to par value, respectively, plus accrued and unpaid interest. 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. During the quarter ended December 31, 2022, the Company repaid the remaining $26.0 million aggregate principal amount of its 2022 Notes at par value, plus accrued and unpaid interest, upon their maturity. 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 and accordingly they are recorded at their principal balance less unamortized deferred financing costs and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 168,131 3.3% $ 168,131 4/25/2049 Class A-2 9,017 3.5% 9,017 4/25/2049 Class A-3 14,286 3.8% 14,286 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 216,489 $ 216,489 Less: Unamortized Deferred Financing Costs N/A 2,604 Total $ 216,489 $ 213,885 The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2019 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2022, residential whole loans, with an outstanding principal balance of approximately $243.3 million, served 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 and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2020-1's residential mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 74,425 1.7% $ 74,425 3/25/2055 Class A-1B 8,831 2.1% 8,831 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 $ 126,476 $ 126,476 Less: Unamortized Deferred Financing Costs N/A 1,542 Total $ 126,476 $ 124,934 The Company retained the non-offered securities in the securitization, which include the Class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2020 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2022 , residential whole loans, with an outstanding principal balance of approximately $140.5 million serve as collateral for the Arroyo Trust 2020'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 (accounting guidance for the fair value of CFE's) 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 December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 212,307 2.5% $ 194,438 12/25/2056 Class A-1B 82,942 3.3% 73,259 12/25/2056 Class A-2 21,168 3.6% 17,054 12/25/2056 Class A-3 28,079 3.7% 21,308 12/25/2056 Class M-1 17,928 3.7% 12,160 12/25/2056 Total $ 362,424 $ 318,219 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 December 31, 2022, residential whole loans with an outstanding principal balance of approximately $394.7 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 (accounting guidance for the fair value of CFE's) 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 December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 267,533 5.0% $ 260,217 7/25/2057 Class A-2 22,773 5.0% 21,983 7/25/2057 Class A-3 27,749 5.0% 26,619 7/25/2057 Class M-1 17,694 5.0% 15,216 7/25/2057 Total $ 335,749 $ 324,035 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 December 31, 2022, residential whole loans with an outstanding principal balance of approximately $385.0 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 December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 108,591 9/11/2025 Class A-2 531,700 4.0 % 477,678 9/11/2025 Class B 136,400 4.2 % 115,782 9/11/2025 Class C 94,500 4.3 % 76,304 9/11/2025 Class D 153,950 4.4 % 113,229 9/11/2025 Class E 180,150 4.4 % 99,858 9/11/2025 Class F 153,600 4.4 % 77,242 9/11/2025 Class X-1 (1) n/a 0.7 % 7,430 9/11/2025 Class X-2 (1) n/a 0.2 % 1,497 9/11/2025 $ 1,370,691 $ 1,077,611 (1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2022, respectively. At December 31, 2022, the Company owned a portion of the class F certificates with an outstanding principal balance of $14.9 million, which is eliminated in consolidation. The remaining CSMC USA debt that we elected the fair value option had a fair value of $1.1 billion, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining

Derivative Instruments

Derivative Instruments	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Fair Notional Fair Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 60,000 $ 1 $ — $ — Credit default swaps, asset Non-Hedge Derivative assets, at fair value — — 2,030 105 Total derivative instruments, assets 1 105 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 98,000 (61) 22,000 (38) Credit default swaps, liability Non-Hedge Derivative liability, at fair value — — 4,140 (564) Total derivative instruments, liabilities (61) (602) Total derivative instruments, net $ (60) $ (497) The following table summarizes the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2022, December 31, 2021 and December 31, 2020 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return Mark-to-Market Contractual interest Total Year ended December 31, 2022 Interest rate swaps $ (3,371) $ 13,765 $ — $ 3,348 $ 628 $ 14,370 Interest rate swaptions (161) — — — — (161) Interest-Only Strips—accounted for as derivatives — — (102) (242) 151 (193) Credit default swaps (242) — — 393 — 151 TBAs 2,051 — — — — 2,051 Total $ (1,723) $ 13,765 $ (102) $ 3,499 $ 779 $ 16,218 Year ended December 31, 2021 Interest rate swaps $ — $ 490 $ — $ (38) $ 109 $ 561 Interest-Only Strips—accounted for as derivatives — — (300) (206) 394 (112) Credit default swaps 64 — — 36 — 100 Total $ 64 $ 490 $ (300) $ (208) $ 503 $ 549 Year ended December 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips—accounted for as derivatives (940) — (1,096) (532) 1,324 (1,244) Credit default swaps (9,534) — — (1,834) — (11,368) TBAs (2,430) — — 928 — (1,502) Total $ (13,086) $ (179,759) $ (834) $ (3,953) $ (71) $ (197,703) At December 31, 2022 and December 31, 2021, the Company had cash pledged as collateral for derivatives of approximately $3.2 million and approximately $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 (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. The following table provides additional information on the Company's fixed-pay interest rate swap as of December 31, 2022 (dollars in thousands): December 31, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Average Fixed Pay Average Floating Receive Average Greater than 1 year and less than 3 years $ 60,000 1.4 % 2.0 % 1.3 Greater than 3 years and less than 5 years 70,000 1.4 % 1.8 % 4.1 Greater than 5 years 28,000 1.7 % 3.6 % 9.0 Total $ 158,000 1.4 % 2.2 % 3.9 To-Be-Announced securities The Company purchased and sold TBAs during the year ended December 31, 2022, as shown in the table below. There were no open TBA positions as of December 31, 2022 and December 31, 2021. The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2022 (dollars in thousands): Notional Amount December 31, 2021 Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 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 (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Credit default swaps

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2)(3) 1 — 1 (1) — — Total assets $ 715 $ — $ 715 $ (197) $ — $ 518 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 61 $ — $ 61 $ (1) $ (60) $ — Repurchase Agreements (4) 193,117 — 193,117 (193,073) (44) — Total liability $ 193,178 $ — $ 193,178 $ (193,074) $ (104) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral 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 $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $286.0 million as of December 31, 2022. December 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net 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 liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole l and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral 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 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	12 Months Ended
	Dec. 31, 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 a one year term on May 15, 2022 and automatically renews on each subsequent May 15th unless previously terminated as described below. The Company's independent directors review the Manager's performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company's independent directors, based upon: (i) the Manager's unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company's determination that any fees payable to the Manager are not fair, subject to the Manager's right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company's independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company's Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company's independent directors, which is defined as: (i) the Manager's continued material breach of any provision of the Management Agreement (including the Manager's failure to comply with the Company's investment guidelines); (ii) the Manager's fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager's gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. For the years ended December 31, 2022, December 31, 2021 and December 31, 2020, the Company incurred $3.9 million, $5.9 million and $4.5 million in management fees, respectively. The Manger waived the management fee for three months from March 2020 through May 2020 because of the unprecedented market disruption and dislocation across fixed income markets surrounding the uncertainty related to the COVID-19 pandemic. 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. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company, as defined in the Management Agreement. For the years ended December 31, 2022, December 31, 2021 and December 31, 2020, the Company recorded expenses included in General and Administrative Expenses totaling approximately $604 thousand, $1.9 million and $1.7 million, respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company's General and Administrative Expense in the Consolidated Statements of Operations. At December 31, 2022 and December 31, 2021, approximately $3.9 million and approximately $1.5 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at December 31, 2022 and December 31, 2021, approximately $86 thousand and approximately $457 thousand, respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.

Share-Based Payments

Share-Based Payments	12 Months Ended
	Dec. 31, 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 the Company's 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. Under the Equity Plan, the Company made the following grants during the years ended December 31, 2022 and December 31, 2021: On June 25, 2021, the Company granted a total of 81,160 restricted stock units (20,290 per each independent director), or 8,116 shares (2,029 per each independent director) on a post reverse stock split basis, under the Equity Plan to the Company’s four independent directors. These restricted stock units 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 a separation from service with the Company. 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 (5,426 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 30, 2022, the Company granted 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. During the years ended December 31, 2022, December 31, 2021 and December 31, 2020, 11,716, 13,782 and 6,748 restricted stock units vested, respectively. The Company recognized stock-based compensation expense of approximately $435 thousand, $618 thousand and $699 thousand for the years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively. In addition, the Company had unamortized compensation expense of $298 thousand and $211 thousand for equity awards at December 31, 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 stock units vesting dates as of December 31, 2022 and December 31, 2021: December 31, 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 — 41,704 11,716 The following table presents information with respect to the Company's restricted stock units for the years ended December 31, 2022 and December 31, 2021: December 31, 2022 December 31, 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 $ 131.85 102,556 $ 140.99 Granted (2) 48,971 12.61 14,815 50.72 Cancelled/forfeited — — (2,546) 27.50 Outstanding at end of period 163,796 $ 96.20 114,825 $ 131.85 Unvested at end of period 41,704 $ 12.52 11,716 $ 56.19 (1) The grant date fair value of restricted stock unit awards is based on the closing market price of the Company's common stock at the grant date. (2) Includes 7,267 shares and 6,698 restricted stock units attributed to dividends on restricted stock units for the years ended December 31, 2022 and December 31, 2021, respectively.

Stockholders' Equity

Stockholders' Equity	12 Months Ended
	Dec. 31, 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 6,038,012. 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 million of shares of common stock in an At-The-Market equity offering. During the years ended December 31, 2022 and December 31, 2021, the Company did not sell shares under this agreement. Stock Repurchase Program In December 2021, The Company extended its share 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 through December 31, 2023. 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 year ended December 31, 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, not adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split to align with 1099-DIV per share amounts as reported. Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2022 December 21, 2022 January 3, 2023 January 26, 2023 $ 0.40 Ordinary income (1) September 22, 2022 October 3, 2022 October 26, 2022 $ 0.40 Ordinary income June 21, 2022 July 1, 2022 July 25, 2022 $ 0.04 Ordinary income March 23, 2022 April 4, 2022 April 26, 2022 $ 0.04 Ordinary income 2021 December 21, 2021 December 31, 2021 January 26, 2022 $ 0.06 Ordinary income (2) September 23, 2021 October 4, 2021 October 26, 2021 $ 0.06 Return of capital June 22, 2021 July 2, 2021 July 26, 2021 $ 0.06 Return of capital March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Return of capital (1) The cash distributions made on January 26, 2023, with a record date of January 3, 2023, are treated as received by stockholders on January 26, 2023 and taxable in calendar year 2023. (2) The cash distributions made on January 26, 2022, with a record date of December 31, 2021, were treated as received by stockholders on January 26, 2022 and taxable in calendar year 2022 as return of capital.

Net Income (Loss) per Common Sh

Net Income (Loss) per Common Share	12 Months Ended
	Dec. 31, 2022
Earnings Per Share [Abstract]
Net Income (loss) per Common Share	Net Income (Loss) per Common Share The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2022, December 31, 2021 and December 31, 2020 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (89,079) $ (48,953) $ (328,354) Less: Dividends and undistributed earnings allocated to participating securities 95 89 36 Net income loss allocable to common stockholders—basic and diluted $ (89,174) $ (49,042) $ (328,390) Denominator : Weighted average common shares outstanding for basic earnings per share 6,037,164 6,074,714 5,741,138 Weighted average common shares outstanding for diluted earnings per share 6,037,164 6,074,714 5,741,138 Basic loss per common share $ (14.77) $ (8.07) $ (57.20) Diluted loss per common share $ (14.77) $ (8.07) $ (57.20)

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 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 December 31, 2022. The Company files U.S. federal and state income tax returns. As of December 31, 2022, U.S. federal tax returns filed by the Company for 2021, 2020 and 2019 and state tax returns filed for 2021, 2020, 2019, 2018 and 2017 are open for examination pursuant to relevant 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 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. For the years ended December 31, 2022, December 31, 2021 and December 31, 2020, the Company recorded a federal and state tax provision of approximately $171 thousand, $99 thousand, and $396 thousand, respectively. The following table summarizes the Company's income tax provision for the years ended December 31, 2022, December 31, 2021 and December 31, 2020 (dollars in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Current Tax Provision (Benefit) Federal $ 171 $ 55 $ 527 State — 44 (452) Total Current Provision for Income Taxes, net 171 99 75 Deferred Provision (Benefit) for Income Taxes Federal — — (85) State — — 406 Total Deferred Benefit for Income Taxes, net — — 321 Total Income Tax Provision, net $ 171 $ 99 $ 396 Deferred Tax Asset As of December 31, 2022 and December 31, 2021, the Company recorded a deferred tax asset of approximately $13.5 million and $12.2 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 swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred state tax asset of $14.5 million and $14.7 million in the REIT and $1.6 million and $1.6 million in the TRS as of December 31, 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 December 31, 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 and it has recorded a combined valuation allowance of $16.1 million and $16.3 million, respectively. The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2022 and 2021 (dollars in thousands): Deferred Tax Asset December 31, 2022 December 31, 2021 Net operating loss available for carry-back and carry-forward (1) $ 16,111 $ 16,302 Net capital loss carry-forward (1) 7,929 10,384 Investments 5,576 1,849 Deferred tax asset 29,616 28,535 Allowance (29,616) (28,535) Net deferred tax asset $ — $ — Deferred Tax Liability December 31, 2022 December 31, 2021 Net operating loss available for carry-back and carry-forward $ — $ — Net deferred tax liability $ — $ — (1) Net operating loss available for carry-forward begin to expire in 2037. Net capital loss available for carry-forward begin to expire in 2023. Reconciliation of Tax Rate to Effective Tax Rate T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2022 For the year ended December 31, 2021 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of federal benefit 0.4 % (6.9) % Other — % 0.2 % Change in valuation allowance (3.3) % 16.3 % REIT earnings not subject to corporate taxes (18.3) % (30.8) % Effective Tax Rate (0.2) % (0.2) %

Commitments and Contingencies

Commitments and Contingencies	12 Months Ended
	Dec. 31, 2022
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies    From time to time, the Company may become involved in various claims, regulatory actions and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2022 and December 31, 2021, respectively.

Subsequent Events

Subsequent Events	12 Months Ended
	Dec. 31, 2022
Subsequent Events [Abstract]
Subsequent Events	Subsequent EventsOn February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party equal to its recorded value at December 31, 2022 of $8.8 million.

Schedule IV - Mortgage Loans on

Schedule IV - Mortgage Loans on Real Estate	12 Months Ended
	Dec. 31, 2022
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]
Schedule IV - Mortgage Loans on Real Estate	$ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (4) Principal Residential Whole Loans and Residential Bridge Loans Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 518 Hybrid ARM 2.5% to 6.4% 11/01/2041 to 06/01/2052 P&I $ — $ 78,456 $ 77,462 $ — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 637 Hybrid ARM 2.7% to 5.9% 01/01/2042 to 02/01/2055 P&I — 203,089 199,462 338 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 231 Hybrid ARM 2.5% to 6.3% 04/01/2043 to 11/01/2055 P&I — 130,112 126,555 1,623 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 89 Hybrid ARM 3.4% to 6.2% 05/01/2043 to 06/01/2052 P&I — 69,656 67,470 790 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 31 Hybrid ARM 3.5% to 5.8% 09/01/2043 to 05/01/2052 P&I — 32,683 31,534 937 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 24 Hybrid ARM 3.4% to 5.6% 12/01/2041 to 05/01/2052 P&I — 29,867 28,605 1,321 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 17 Hybrid ARM 2.9% to 6.1% 08/01/2044 to 04/01/2052 P&I — 29,348 28,684 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 464 Fixed 3.7% to 7.1% 07/01/2026 to 06/01/2052 P&I — 77,047 69,854 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 481 Fixed 2.9% to 7.2% 09/01/2026 to 06/01/2052 P&I — 161,520 145,326 980 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 252 Fixed 2.5% to 6.1% 11/01/2033 to 06/01/2052 P&I — 147,193 131,322 641 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 106 Fixed 2.9% to 6.4% 11/01/2033 to 06/01/2052 P&I — 88,557 79,389 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 49 Fixed 2.9% to 5.9% 11/01/2048 to 06/01/2052 P&I — 53,027 47,986 2,108 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 26 Fixed 2.7% to 6.3% 02/01/2036 to 05/01/2052 P&I — 33,542 30,117 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 18 Fixed 3.1% to 5.7% 10/01/2048 to 06/01/2052 P&I — 31,203 27,378 — $ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (4) Principal Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $0 - $249,999 1 Fixed 9.8% to 12.3% 12/31/2022 Interest Only (2) — 75 68 75 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 1 Fixed 11.3% 12/31/2022 Interest Only (2) — 420 378 420 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 3 Fixed 8.5% to 10% 12/31/2022 Interest Only (2) — 2,671 2,404 2,671 Total Residential Whole Loans and Residential Bridge Loans $ — $ 1,168,466 $ 1,093,994 $ 11,904 Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $32,000,000 1 LIBOR + 4.1% 01/06/2023 Interest Only (3) $ — $ 14,362 $ 14,362 $ — Commercial Loan Original Loan Balance $90,000,000 1 LIBOR + 9.25% 06/29/2021 Interest Only (3) — 90,000 8,777 90,000 Commercial Loan Original Loan Balance $40,000,000 1 SOFR + 3.38% 08/06/2025 Interest Only (3) — 22,204 22,050 — Commercial Loan Original Loan Balance $13,206,521 1 LIBOR + 3.75% 11/06/2023 Interest Only (3) — 13,207 13,151 — Commercial Loan Original Loan Balance $24,534,783 1 LIBOR + 3.75% 11/06/2023 Interest Only (3) — 24,535 24,433 — Commercial Loan Original Loan Balance $7,258,696 1 LIBOR + 3.75% 11/06/2023 Interest Only (3) — 7,259 7,229 — Total Commercial Loans $ — $ 171,567 $ 90,002 $ 90,000 Securitized Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $1,400,000,000 1 Fixed 4.38% 09/15/2025 Interest Only (3) — 1,385,591 1,085,103 — Total Securitized Commercial Loans $ — $ 1,385,591 $ 1,085,103 $ — Total Residential and Commercial Loans $ — $ 2,725,624 $ 2,269,099 $ 101,904 (1) Principal and interest ("P&I") (2) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity. (3) The borrower may prepay the commercial loan in whole or in part at any time in accordance with the terms of the loan agreement. (4) The carrying value of the reflects the fair value of the mortgage loans. (5) On February 3, 2023, this loan was sold to an independent third party for its fair value as of December 31, 2022. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2022 2021 2020 Beginning balance $ 2,515,310 $ 2,938,556 $ 2,691,532 Additions during period: New mortgage loans 411,919 427,848 113,340 Unrealized gains — 100,598 — Realized gains 91 35 — Capitalized interest 96 485 829 Mortgage loan of consolidated VIE — — 1,245,287 Deductions during period: Collections of principal 239,398 872,612 713,854 Transfer to REO 2,256 30,751 419 Amortization of premium and (discounts), net (20,701) (15,053) (4,805) Unrealized losses 425,527 63,661 97,089 Sales of mortgage loans 11,736 — 144,259 Realized losses 101 241 10,812 Mortgage loan of deconsolidated VIE — — 150,804 Balance at end of period $ 2,269,099 $ 2,515,310 $ 2,938,556

Basis of Presentation and Sum_2

Basis of Presentation and Summary of Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2022
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation and Consolidation The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly-owned and majority owned subsidiaries and 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.
Consolidation	Basis of Presentation and Consolidation The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly-owned and majority owned subsidiaries and 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,
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.
Earnings (Loss) per share	Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares.
Offering Costs	Offering Costs
Cash and Cash Equivalents	Cash and Cash Equivalents The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit.
Restricted Cash	Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in its consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use.
Valuation of Financial Instruments	Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3, "Fair Value of Financial Instruments" to the financial statements contained in this annual report on Form 10-K.
Mortgage-Backed Securities and Other Securities and Securitized Debt Issued	Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consisted of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities. These investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets”. The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized loss, net”. Securitized Debt Issued Securitized debt issued represents Non-QM mortgage-backed securities issued through the Arroyo 2019-2, 2020-1, 2022-1, and 2022-2 securitization entities. Assets at these entities are held in the custody of securitization trustees and are not owned by the Company. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the securitized debt investors. In accordance with accounting guidance for CFEs (ASC 825), we account for the securitized debt issued under Arroyo 2022-1 and Arroyo 2022-2 at fair value, with periodic changes in fair value recorded in "Unrealized gain (loss), net" on our consolidated statements of income (loss). We account for the securitized debt issued under Arroyo 2019-2 and Arroyo 2020-1 at amortized cost. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing costs and classified in "Securitized debt, net" in the Consolidated Balance Sheets.
Residential Whole-Loans, Residential Bridge Loans, Securitized Commercial Loans, Commercial Loans	Residential Whole Loans Investments in Residential Whole Loans are recorded in accordance with ASC 310, "Receivables". The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized loss, net". All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized loss, net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. All remaining bridge loans as of December 31, 2022 were purchased subsequent to October 25, 2017 and are accounted for at fair value. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized loss, net". Commercial Loans
Credit Loss on Investments	Credit Loss on Investments The Company’s loan investments are typically collateralized by real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms.
Real Estate Owned	Real Estate OwnedREO represents real estate property acquired by the Company through foreclosure and it is classified as held for sale. Upon completion of the foreclosure, the Company initially records the REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs and it is classified in "Other assets" in the Consolidated Balance Sheets. Gains/losses recognized on foreclosure as well as realized gains/losses on the disposition of REO are reported by the Company in "Realized gain (loss), net" in the Consolidated Statements of Operations.
Interest Income Recognition	Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 310-20 "Receivables - Nonrefundable Fees and Other Costs", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations.
Investment Related Receivables	Investment Related ReceivablesThe Company accounts for mortgage payments received from borrowers after the date of record of the trustee and/or recordkeeper but prior to period end as an Investment Related Receivable on the Balance Sheet in accordance with ASC 310, "Receivables." This balance is calculated based on subsequent month servicer and trustee reports and represents actual cash received prior to the date of record. Principal on each loan paid in accordance with this fact pattern is decreased when the amount of cash received prior to period end is known to the Company.
Purchases and Sales of Investments	Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract.
Due From Counterparties/Due To Counterparties	Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets.
Derivatives and Hedging Activities	Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company accounts for variation margins as partial settlement of the respective derivative asset or liability that will result in realized gains or losses on the derivative contract in the Consolidated Statement of Operation. The cash payments for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. 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 have been altered from that of the underlying mortgage collateral. 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. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
Repurchase Agreements and Reverse Repurchase Agreements	Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized as an adjustment to Net income (loss) in "Realized gain (loss) on investments, net" in the Consolidated Statements of Cash Flows.
Convertible Senior Unsecured Notes	Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes.
Share-based Compensation	Share-based Compensation
Income Taxes	Income Taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP. From time to time the Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and its value, along with all other TRS's, may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2022, the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS. Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheet date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision" in the Consolidated Statements of Operations.
Comprehensive Income (Loss)	Comprehensive Income (Loss) The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented.
Recently adopted and issued accounting pronouncements	Recently adopted accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2024 The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements and disclosures due to the limited nature of such In March 2021, the FCA announced that the intended cessation date of the overnight 1-, 3-, 6-, and 12-month tenors of USD LIBOR would be June 30, 2023, which was beyond the current sunset date of Topic 848. Accordingly, during December 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC Topic 848, Reference Rate Reform, which provides temporary optional relief in accounting for the impact of reference rate reform from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848. The amendments apply to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. March 12, 2020 through December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management will monitor legacy LIBOR reference rate contracts outstanding as of December 31, 2022 in the investment portfolio, as either they will terminate prior to the June 30, 2023 LIBOR cessation date currently set by the FCA, or the Company will use the practical expedients per Topic 848 to account for modifications to contracts prospectively within the scope of Topics 310, Receivables, and 470, Debt, as a continuation of the existing contracts, as long as no modifications effecting maturity or other terms are modified. The Company will adjust the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occur. The variable- and floating-rate note sectors have primarily transitioned away from LIBOR as the market has already adapted to the secured overnight financing rate (SOFR), as the primary index used by issuers. The Company believes this will not have a material impact on its financial statements and disclosures.

Basis of Presentation and Sum_3

Basis of Presentation and Summary of Significant Accounting Policies (Tables)	12 Months Ended
	Dec. 31, 2022
Accounting Policies [Abstract]
Schedule of new accounting pronouncements and changes in accounting principles	Recently adopted accounting pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 2024 The Company evaluated the impact this standard may have on its consolidated financial statements and does not believe it will have a material impact on its financial statements and disclosures due to the limited nature of such In March 2021, the FCA announced that the intended cessation date of the overnight 1-, 3-, 6-, and 12-month tenors of USD LIBOR would be June 30, 2023, which was beyond the current sunset date of Topic 848. Accordingly, during December 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC Topic 848, Reference Rate Reform, which provides temporary optional relief in accounting for the impact of reference rate reform from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848. The amendments apply to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. March 12, 2020 through December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management will monitor legacy LIBOR reference rate contracts outstanding as of December 31, 2022 in the investment portfolio, as either they will terminate prior to the June 30, 2023 LIBOR cessation date currently set by the FCA, or the Company will use the practical expedients per Topic 848 to account for modifications to contracts prospectively within the scope of Topics 310, Receivables, and 470, Debt, as a continuation of the existing contracts, as long as no modifications effecting maturity or other terms are modified. The Company will adjust the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occur. The variable- and floating-rate note sectors have primarily transitioned away from LIBOR as the market has already adapted to the secured overnight financing rate (SOFR), as the primary index used by issuers. The Company believes this will not have a material impact on its financial statements and disclosures.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	12 Months Ended
	Dec. 31, 2022
Fair Value Disclosures [Abstract]
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy	The following tables present the Company's financial instruments carried at fair value as of December 31, 2022 and December 31, 2021, based upon the valuation hierarchy (dollars in thousands): December 31, 2022 Fair Value Assets Level I Level II Level III Total Agency RMBS Interest-Only Strips $ — $ — $ 53 $ 53 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 714 714 Subtotal Agency MBS — — 767 767 Non-Agency CMBS — 85,435 — 85,435 Non-Agency RMBS — 22,483 — 22,483 Non-Agency RMBS Interest-Only Strips — — 1,204 1,204 Subtotal Non-Agency MBS — 107,918 1,204 109,122 Other Securities — 27,262 — 27,262 Total Mortgage-backed Securities and Other Securities — 135,180 1,971 137,151 Residential Whole Loans — — 1,091,145 1,091,145 Residential Bridge Loans — — 2,849 2,849 Commercial Loans — — 90,002 90,002 Securitized Commercial Loan — — 1,085,103 1,085,103 Derivative Assets — 1 — 1 Total Assets $ — $ 135,181 $ 2,271,070 $ 2,406,251 Liabilities Derivative Liabilities $ — $ 61 $ — $ 61 Securitized Debt — 1,710,938 8,927 1,719,865 Total Liabilities $ — $ 1,710,999 $ 8,927 $ 1,719,926 December 31, 2021 Fair Value Assets Level I Level II Level III Total 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 Commercial Loans — — 130,572 130,572 Securitized Commercial loan — — 1,355,808 1,355,808 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 quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments	The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2022 and December 31, 2021 (dollars in thousands): Fair Value at Range December 31, 2022 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $1,091,145 Discounted Cash Flow Market Discount Rate 6.0% 8.4% 6.8% Weighted Average Life 1.4 10.4 5.4 Residential Bridge Loans $2,849 Discounted Cash Flow Market Discount Rate 12.9% 35.7% 22.4% Weighted Average Life 0.4 4.1 2.0 Securitized Commercial Loans $1,085,103 Market Comparables, Vendor Pricing Weighted Average Life 2.7 2.7 2.7 Commercial Loans $90,002 Discounted Cash Flow Market Discount Rate 8.4% 9.6% 9.2% Weighted Average Life 0.3 2.4 1.2 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% 17.2% Weighted Average Life 0.3 3.6 2.4 Securitized Commercial Loans $1,355,808 Market Comparables, Vendor Pricing Weighted Average Life 3.6 3.6 3.6 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 III 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 (dollars in thousands): Year ended December 31, 2022 Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized 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 — — 399,948 — — — — Sales and settlements — — (11,362) — — — — Transfers to REO — — (2,255) — — — — Loan modifications / capitalized interest — — 21 — — — — Principal repayments — — (204,720) (2,670) (20,593) — — Total net gains/losses included in net income Realized gains/(losses), net on assets — — (101) — — — — Unrealized gains/(losses), net on assets (1) (303) (863) (108,698) 91 (19,977) (297,343) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (1,840) Premium and discount amortization, net (102) (341) (5,190) — — 26,638 (4,152) Ending balance $ 767 $ 1,204 $ 1,091,145 $ 2,849 $ 90,002 $ 1,085,103 $ 8,927 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (303) $ (509) $ (92,662) $ (76) $ (19,984) $ (297,343) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 1,840 Year ended December 31, 2021 Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Commercial Loans 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 — (32,471) (10,306) — — — — — Purchases — — — 422,041 — — — — Transfers to REO — — — — (752) (30,000) — — Loan modifications / capitalized interest — — — 486 — — — — Principal repayments — (256) — (401,075) (7,312) (103,285) (354,202) — Total net gains / (losses) included in net income Realized gains/(losses), net on assets — — — — (206) — — — Unrealized gains/(losses), net on assets (1) (206) 698 1,657 2,354 907 (46,813) 79,972 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 4,056 Premium and discount amortization, net (330) (178) 56 (9,086) (22) 147 24,703 (4,555) Ending balance $ 1,172 $ 7,845 $ — $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (206) $ (1,173) $ — $ 5,795 $ 149 $ (50,034) $ 64,973 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (3,603) (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 other fair value disclosures	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 December 31, 2022 and December 31, 2021 in the consolidated financial statements (dollars in thousands): December 31, 2022 December 31, 2021 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Convertible senior unsecured notes 83,522 74,712 119,168 122,133 Securitized debt (1) 342,965 309,474 524,649 528,046 Total $ 426,487 $ 384,186 $ 643,817 $ 650,179 (1) Carrying value excludes $4.1 million and $5.5 million of deferred financing costs as of December 31, 2022 and December 31, 2021, respectively.

Mortgage-Backed Securities an_2

Mortgage-Backed Securities and other securities (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Principal Unamortized Amortized Unrealized Unrealized Loss Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 58 $ — $ (5) $ 53 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 714 0.1 % Total Agency MBS — — 58 — (5) 767 0.1 % Non-Agency RMBS 39,873 (14,423) 25,450 928 (3,895) 22,483 4.2 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 5,204 — (4,000) 1,204 0.3 % Subtotal Non-Agency RMBS 39,873 (14,423) 30,654 928 (7,895) 23,687 1.1 % Non-Agency CMBS 109,266 (2,763) 106,503 636 (21,704) 85,435 8.1 % Total Non-Agency MBS 149,139 (17,186) 137,157 1,564 (29,599) 109,122 3.8 % Other securities (3) 34,691 (8,581) 31,112 543 (4,393) 27,262 7.2 % Total $ 183,830 $ (25,767) $ 168,327 $ 2,107 $ (33,997) $ 137,151 3.9 % December 31, 2021 Principal Unamortized Amortized Unrealized Gain 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 December 31, 2022, 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 $2.4 million, $143.2 million and $13.1 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 (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $5.0 million and $4.7 million, as of December 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 53 $ — $ — $ 53 Agency RMBS Interest-Only Strips, accounted for as derivatives — 714 — — 714 Subtotal Agency — 767 — — 767 Non-Agency CMBS 64,484 10,469 10,482 — 85,435 Non-Agency RMBS — — 8,667 13,816 22,483 Non-Agency RMBS Interest-Only Strips — — 230 974 1,204 Subtotal Non-Agency 64,484 10,469 19,379 14,790 109,122 Other securities 6,735 — 13,020 7,507 27,262 Total $ 71,219 $ 11,236 $ 32,399 $ 22,297 $ 137,151 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 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 $ (5) 1 $ — $ — — $ 52 $ (5) 1 Subtotal Agency 52 (5) 1 — — — 52 (5) 1 Non-Agency CMBS — — — 76,365 (21,704) 11 76,365 (21,704) 11 Non-Agency RMBS 19,054 (2,794) 5 1,557 (1,101) 2 20,611 (3,895) 7 Non-Agency RMBS Interest-Only Strips — — — 1,203 (4,000) 4 1,203 (4,000) 4 Subtotal Non-Agency 19,054 (2,794) 5 79,125 (26,805) 17 98,179 (29,599) 22 Other securities 12,483 (2,425) 3 9,468 (1,968) 2 21,951 (4,393) 5 Total $ 31,589 $ (5,224) 9 $ 88,593 $ (28,773) 19 $ 120,182 $ (33,997) 28 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 table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively (dollars in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ — $ — $ — $ — $ — $ — $ 11,336 $ (636) $ 10,700 Agency RMBS 13 (1) 12 47 (30) 17 2,975 (987) 1,988 Non-Agency CMBS 9,129 615 9,744 9,874 6,535 16,409 15,331 6,467 21,798 Non-Agency RMBS 2,154 (46) 2,108 2,127 (670) 1,457 2,732 (1,193) 1,539 Other securities 3,383 274 3,657 4,685 (1,574) 3,111 8,263 (4,781) 3,482 Total $ 14,679 $ 842 $ 15,521 $ 16,733 $ 4,261 $ 20,994 $ 40,637 $ (1,130) $ 39,507
Schedule of sales and realized gains (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 years ended December 31, 2022, December 31, 2021 and December 31, 2020, respectively (dollars in thousands): For the year ended December 31, 2022 Proceeds Gross Gross Net Non-Agency CMBS $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS 31,790 255 (2,652) (2,397) Other securities 14,485 — (2,252) (2,252) Total $ 56,427 $ 255 $ (48,838) $ (48,583) For the year ended December 31, 2021 Proceeds Gross Gross Net Non-Agency CMBS $ 27,488 $ — $ (9,266) $ (9,266) Total $ 27,488 $ — $ (9,266) $ (9,266) For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230

Residential Whole Loans and R_2

Residential Whole Loans and Residential Bridge Loans (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Cash and cash equivalents $ — $ 266 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Investment related receivable 5,914 22,087 Interest receivable 4,871 5,282 Other assets 509 — Total assets $ 1,105,288 $ 1,056,344 Securitized debt, net $ 981,073 $ 519,118 Interest payable 3,139 1,316 Accounts payable and accrued expenses 34 69 Total liabilities $ 984,246 $ 520,503 December 31, 2022 December 31, 2021 Restricted cash $ 248 $ 260 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value 14,362 14,362 Interest receivable 5,311 5,290 Total assets $ 1,105,024 $ 1,375,720 Securitized debt, at fair value $ 1,077,611 $ 1,344,370 Interest payable 5,164 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 248 260 Total liabilities $ 1,083,032 $ 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 carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 and December 31, 2021 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 Principal balance $ 1,165,301 $ 989,143 $ 3,166 $ 5,834 Unamortized premium 30,961 31,070 — — Unamortized discount (1,536) (1,337) — — Amortized cost 1,194,726 1,018,876 3,166 5,834 Gross unrealized gains 2,038 14,190 — 78 Gross unrealized losses (105,619) (9,564) (317) (484) Fair value $ 1,091,145 $ 1,023,502 $ 2,849 $ 5,428
Schedule of certain information about the residential whole-loans investment portfolio	The following tables present certain information about the Company's residential whole loan investment portfolio at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01% - 3.00% 39 $ 22,277 66.3 % 758 8.9 28.3 2.9 % 3.01% - 4.00% 402 214,402 66.3 % 759 7.3 28.5 3.7 % 4.01% - 5.00% 1,337 453,811 64.1 % 749 5.5 26.0 4.6 % 5.01% - 6.00% 901 363,197 65.6 % 742 4.7 26.7 5.4 % 6.01% - 7.00% 249 105,933 69.9 % 742 3.6 28.4 6.4 % 7.01% - 8.00% 15 5,681 75.2 % 730 3.0 29.2 7.4 % Total 2,943 $ 1,165,301 65.6 % 748 5.5 27.0 4.8 % (1) The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. The Company has excluded these loans from the weighted average computations. December 31, 2021 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected 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 US states represented in residential whole-loans based on principal balance	The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2022 and December 31, 2021, based on principal balance, is located (dollars in thousands): December 31, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 66.8 % $ 778,732 California 73.9 % $ 730,771 New York 9.3 % 108,108 New York 11.6 % 114,625 Texas 4.8 % 56,126 Florida 2.7 % 26,293 Florida 4.1 % 47,681 Georgia 2.5 % 25,106 Georgia 3.5 % 40,845 Texas 1.9 % 19,062 Other 11.5 % 133,809 Other 7.4 % 73,286 Total 100.0 % $ 1,165,301 Total 100.0 % $ 989,143
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans	The following tables present certain information about the remaining Residential Bridge Loans in the Company's investment portfolio at December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % N/A 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % Total 5 $ 3,166 74.0 % 0.0 9.5 % December 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (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	The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2022 and December 31, 2021, based on principal balance, is located (dollars in thousands): December 31, 2022 December 31, 2021 State State Concentration Principal Balance State State Concentration Principal Balance California 55.4 % $ 1,754 New York 45.1 % $ 2,631 New York 42.2 % 1,337 California 30.1 % 1,754 New Jersey 2.4 % 75 Florida 19.3 % 1,125 Total 100.0 % $ 3,166 New Jersey 3.7 % 219 Pennsylvania 1.8 % 105 Other — % — Total 100.0 % $ 5,834
Aging of residential whole loans and bridge loans	The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,910 $ 1,147,412 $ 1,074,409 — $ — $ — 1-30 days 14 6,983 6,678 — — — 31-60 days — — — — — — 61-90 days 6 2,165 2,032 — — — 90+ days 13 8,741 8,026 5 3,166 2,849 Total 2,943 $ 1,165,301 $ 1,091,145 5 $ 3,166 $ 2,849 (1) As of December 31, 2022, there were no loans in forbearance. The following table presents the aging of the Commercial Loans as of December 31, 2022 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,225 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,002

Commercial Loans (Tables)

Commercial Loans (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 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 22,050 63% 1-Month SOFR plus 3.38% 8/6/2025 (2) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,433 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,151 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,229 62% 1-Month LIBOR plus 3.75% 11/6/2023 (3) One - 12 month extension Hotel $ 157,205 $ 75,640 (1) At December 31, 2022 CRE 3 was in default and was not eligible for extension. On February 3, 2023, it was sold to an unaffiliated third party for its fair value as of December 31, 2022. (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 a one-year extension through November 6, 2023 and are expected to transition off LIBOR during Q2 2023. Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate (1) Maturity Date Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 14,362 $ 14,362 49% One-Month LIBOR plus 4.35% 1/6/2023 None Nursing Facilities $ 14,362 $ 14,362 (1) During July 2022, the SBC 3 loan was granted an extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee. Subsequently, in January 2023, the SBC 3 loan was partially paid down by $750.0 thousand and was granted another extension through August 4, 2023, with a 50 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Cash and cash equivalents $ — $ 266 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Investment related receivable 5,914 22,087 Interest receivable 4,871 5,282 Other assets 509 — Total assets $ 1,105,288 $ 1,056,344 Securitized debt, net $ 981,073 $ 519,118 Interest payable 3,139 1,316 Accounts payable and accrued expenses 34 69 Total liabilities $ 984,246 $ 520,503 December 31, 2022 December 31, 2021 Restricted cash $ 248 $ 260 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value 14,362 14,362 Interest receivable 5,311 5,290 Total assets $ 1,105,024 $ 1,375,720 Securitized debt, at fair value $ 1,077,611 $ 1,344,370 Interest payable 5,164 5,164 Accounts payable and accrued expenses 9 9 Other liabilities 248 260 Total liabilities $ 1,083,032 $ 1,349,803
Schedule of Carrying Value of the Commercial Real Estate Loans	The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 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 December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 Principal balance $ 1,385,591 $ 1,385,591 $ 14,362 $ 14,362 $ 157,205 $ 177,797 Unamortized discount (84,132) (110,770) — — — — Amortized cost 1,301,459 1,274,821 14,362 14,362 157,205 177,797 Gross unrealized gains — 80,987 — — — — Gross unrealized losses (216,356) — — — (81,565) (61,587) Fair value $ 1,085,103 $ 1,355,808 $ 14,362 $ 14,362 $ 75,640 $ 116,210
Aging of residential whole loans and bridge loans	The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of December 31, 2022 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value Current (1) 2,910 $ 1,147,412 $ 1,074,409 — $ — $ — 1-30 days 14 6,983 6,678 — — — 31-60 days — — — — — — 61-90 days 6 2,165 2,032 — — — 90+ days 13 8,741 8,026 5 3,166 2,849 Total 2,943 $ 1,165,301 $ 1,091,145 5 $ 3,166 $ 2,849 (1) As of December 31, 2022, there were no loans in forbearance. The following table presents the aging of the Commercial Loans as of December 31, 2022 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 5 $ 81,567 $ 81,225 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 90,000 8,777 Total 6 $ 171,567 $ 90,002

Financings (Tables)

Financings (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Securities Pledged Repurchase Weighted Average Weighted Average Repurchase Weighted Average Weighted Average Short-term borrowings: Agency RMBS $ 293 4.78 % 32 $ 976 1.02 % 58 Non-Agency RMBS (1) 48,237 7.50 % 26 38,354 2.94 % 4 Residential Whole Loans (2) — — % 0 1,439 2.57 % 5 Residential Bridge Loans (2) — — % 0 4,368 2.61 % 5 Commercial Loans (2) — — % 0 6,463 3.20 % 5 Other securities 1,776 7.09 % 17 2,457 3.50 % 18 Total short-term borrowings 50,306 7.47 % 26 54,057 2.92 % 6 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 55,154 6.30 % 122 59,802 2.14 % 125 Non-Agency RMBS 19,129 6.30 % 122 15,632 2.14 % 125 Other securities 16,863 6.30 % 122 27,506 2.22 % 125 Subtotal 91,146 6.30 % 122 102,940 2.16 % 125 Residential Whole Loan Facility Residential Whole Loans (2) 3,633 6.66 % 298 396,531 2.25 % 308 Commercial Whole Loan Facility Commercial Loans 48,032 6.13 % 307 63,661 2.27 % 268 Total long-term borrowings 142,811 6.25 % 189 563,132 2.24 % 270 Repurchase agreements borrowings $ 193,117 6.57 % 146 $ 617,189 2.30 % 247 Less unamortized debt issuance costs — N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 193,117 6.57 % 146 $ 617,189 2.30 % 247 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation.
Schedule of repurchase agreements collateralized by investments	At December 31, 2022 and December 31, 2021, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2022 December 31, 2021 1 to 29 days $ 50,013 $ 53,081 30 to 59 days 293 370 60 to 89 days — 606 Greater than or equal to 90 days 142,811 563,132 Total $ 193,117 $ 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 December 31, 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): December 31, 2022 Counterparty Amount of Collateral Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 51,542 171 54.4 % Citigroup Global Markets Inc. 40,235 122 42.4 %
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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Assets Accrued Assets Pledged Assets Accrued Assets Pledged Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 249 $ — $ 249 $ 1,172 $ 19 $ 1,191 Non-Agency CMBS, at fair value (1) 83,925 483 84,408 107,624 504 108,128 Non-Agency RMBS, at fair value 104,487 533 105,020 66,555 343 66,898 Residential Whole Loans, at fair value (2) 3,229 3 3,232 453,447 2,674 456,121 Residential Bridge Loans (2) — — — 5,207 91 5,298 Commercial Loans, at fair value (2) 66,864 362 67,226 101,459 360 101,819 Other securities, at fair value 27,262 78 27,340 51,648 100 51,748 Cash (3) 3,410 — 3,410 3,151 — 3,151 Total $ 289,426 $ 1,459 $ 290,885 $ 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's residential mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 168,131 3.3% $ 168,131 4/25/2049 Class A-2 9,017 3.5% 9,017 4/25/2049 Class A-3 14,286 3.8% 14,286 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 216,489 $ 216,489 Less: Unamortized Deferred Financing Costs N/A 2,604 Total $ 216,489 $ 213,885 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 74,425 1.7% $ 74,425 3/25/2055 Class A-1B 8,831 2.1% 8,831 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 $ 126,476 $ 126,476 Less: Unamortized Deferred Financing Costs N/A 1,542 Total $ 126,476 $ 124,934 The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 212,307 2.5% $ 194,438 12/25/2056 Class A-1B 82,942 3.3% 73,259 12/25/2056 Class A-2 21,168 3.6% 17,054 12/25/2056 Class A-3 28,079 3.7% 21,308 12/25/2056 Class M-1 17,928 3.7% 12,160 12/25/2056 Total $ 362,424 $ 318,219 The following table summarizes the issued Arroyo Trust 2022-2's residential mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 267,533 5.0% $ 260,217 7/25/2057 Class A-2 22,773 5.0% 21,983 7/25/2057 Class A-3 27,749 5.0% 26,619 7/25/2057 Class M-1 17,694 5.0% 15,216 7/25/2057 Total $ 335,749 $ 324,035 The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 108,591 9/11/2025 Class A-2 531,700 4.0 % 477,678 9/11/2025 Class B 136,400 4.2 % 115,782 9/11/2025 Class C 94,500 4.3 % 76,304 9/11/2025 Class D 153,950 4.4 % 113,229 9/11/2025 Class E 180,150 4.4 % 99,858 9/11/2025 Class F 153,600 4.4 % 77,242 9/11/2025 Class X-1 (1) n/a 0.7 % 7,430 9/11/2025 Class X-2 (1) n/a 0.2 % 1,497 9/11/2025 $ 1,370,691 $ 1,077,611 (1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2022, respectively.

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 December 31, 2021 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Fair Notional Fair Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ 60,000 $ 1 $ — $ — Credit default swaps, asset Non-Hedge Derivative assets, at fair value — — 2,030 105 Total derivative instruments, assets 1 105 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 98,000 (61) 22,000 (38) Credit default swaps, liability Non-Hedge Derivative liability, at fair value — — 4,140 (564) Total derivative instruments, liabilities (61) (602) Total derivative instruments, net $ (60) $ (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 table summarizes the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2022, December 31, 2021 and December 31, 2020 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return Mark-to-Market Contractual interest Total Year ended December 31, 2022 Interest rate swaps $ (3,371) $ 13,765 $ — $ 3,348 $ 628 $ 14,370 Interest rate swaptions (161) — — — — (161) Interest-Only Strips—accounted for as derivatives — — (102) (242) 151 (193) Credit default swaps (242) — — 393 — 151 TBAs 2,051 — — — — 2,051 Total $ (1,723) $ 13,765 $ (102) $ 3,499 $ 779 $ 16,218 Year ended December 31, 2021 Interest rate swaps $ — $ 490 $ — $ (38) $ 109 $ 561 Interest-Only Strips—accounted for as derivatives — — (300) (206) 394 (112) Credit default swaps 64 — — 36 — 100 Total $ 64 $ 490 $ (300) $ (208) $ 503 $ 549 Year ended December 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips—accounted for as derivatives (940) — (1,096) (532) 1,324 (1,244) Credit default swaps (9,534) — — (1,834) — (11,368) TBAs (2,430) — — 928 — (1,502) Total $ (13,086) $ (179,759) $ (834) $ (3,953) $ (71) $ (197,703)
Summary of interest rate swaps or interest rate swaptions	The following table provides additional information on the Company's fixed-pay interest rate swap as of December 31, 2022 (dollars in thousands): December 31, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Average Fixed Pay Average Floating Receive Average Greater than 1 year and less than 3 years $ 60,000 1.4 % 2.0 % 1.3 Greater than 3 years and less than 5 years 70,000 1.4 % 1.8 % 4.1 Greater than 5 years 28,000 1.7 % 3.6 % 9.0 Total $ 158,000 1.4 % 2.2 % 3.9
Schedule of Additional Information About to be Announced Securities	The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2022 (dollars in thousands): Notional Amount December 31, 2021 Additions Settlement, Termination, Expiration or Exercise Notional Amount December 31, 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)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2)(3) 1 — 1 (1) — — Total assets $ 715 $ — $ 715 $ (197) $ — $ 518 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 61 $ — $ 61 $ (1) $ (60) $ — Repurchase Agreements (4) 193,117 — 193,117 (193,073) (44) — Total liability $ 193,178 $ — $ 193,178 $ (193,074) $ (104) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral 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 $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $286.0 million as of December 31, 2022. December 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net 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 liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole l and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral 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 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 December 31, 2022 and December 31, 2021 (dollars in thousands): December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2)(3) 1 — 1 (1) — — Total assets $ 715 $ — $ 715 $ (197) $ — $ 518 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 61 $ — $ 61 $ (1) $ (60) $ — Repurchase Agreements (4) 193,117 — 193,117 (193,073) (44) — Total liability $ 193,178 $ — $ 193,178 $ (193,074) $ (104) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral 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 $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $286.0 million as of December 31, 2022. December 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset Description Financial Instruments (1) Cash Collateral (1) Net 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 liability $ 617,791 $ — $ 617,791 $ (617,294) $ (497) $ — (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole l and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral 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 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)	12 Months Ended
	Dec. 31, 2022
Share-Based Payment Arrangement, Noncash Expense [Abstract]
Summary of restricted common stock vesting dates	The following is a summary of restricted stock units vesting dates as of December 31, 2022 and December 31, 2021: December 31, 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 — 41,704 11,716
Schedule of shares issued under the company’s equity incentive plans	The following table presents information with respect to the Company's restricted stock units for the years ended December 31, 2022 and December 31, 2021: December 31, 2022 December 31, 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 $ 131.85 102,556 $ 140.99 Granted (2) 48,971 12.61 14,815 50.72 Cancelled/forfeited — — (2,546) 27.50 Outstanding at end of period 163,796 $ 96.20 114,825 $ 131.85 Unvested at end of period 41,704 $ 12.52 11,716 $ 56.19 (1) The grant date fair value of restricted stock unit awards is based on the closing market price of the Company's common stock at the grant date. (2) Includes 7,267 shares and 6,698 restricted stock units attributed to dividends on restricted stock units for the years ended December 31, 2022 and December 31, 2021, respectively.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	12 Months Ended
	Dec. 31, 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, not adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split to align with 1099-DIV per share amounts as reported. Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2022 December 21, 2022 January 3, 2023 January 26, 2023 $ 0.40 Ordinary income (1) September 22, 2022 October 3, 2022 October 26, 2022 $ 0.40 Ordinary income June 21, 2022 July 1, 2022 July 25, 2022 $ 0.04 Ordinary income March 23, 2022 April 4, 2022 April 26, 2022 $ 0.04 Ordinary income 2021 December 21, 2021 December 31, 2021 January 26, 2022 $ 0.06 Ordinary income (2) September 23, 2021 October 4, 2021 October 26, 2021 $ 0.06 Return of capital June 22, 2021 July 2, 2021 July 26, 2021 $ 0.06 Return of capital March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Return of capital (1) The cash distributions made on January 26, 2023, with a record date of January 3, 2023, are treated as received by stockholders on January 26, 2023 and taxable in calendar year 2023. (2) The cash distributions made on January 26, 2022, with a record date of December 31, 2021, were treated as received by stockholders on January 26, 2022 and taxable in calendar year 2022 as return of capital.

Net Income (Loss) per Common _2

Net Income (Loss) per Common Share (Tables)	12 Months Ended
	Dec. 31, 2022
Earnings Per Share [Abstract]
Schedule of basic and diluted net income (loss) per share of common stock	The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2022, December 31, 2021 and December 31, 2020 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (89,079) $ (48,953) $ (328,354) Less: Dividends and undistributed earnings allocated to participating securities 95 89 36 Net income loss allocable to common stockholders—basic and diluted $ (89,174) $ (49,042) $ (328,390) Denominator : Weighted average common shares outstanding for basic earnings per share 6,037,164 6,074,714 5,741,138 Weighted average common shares outstanding for diluted earnings per share 6,037,164 6,074,714 5,741,138 Basic loss per common share $ (14.77) $ (8.07) $ (57.20) Diluted loss per common share $ (14.77) $ (8.07) $ (57.20)

Income Taxes (Tables)

Income Taxes (Tables)	12 Months Ended
	Dec. 31, 2022
Income Tax Disclosure [Abstract]
Schedule of components of income tax expense	The following table summarizes the Company's income tax provision for the years ended December 31, 2022, December 31, 2021 and December 31, 2020 (dollars in thousands): For the year ended December 31, 2022 For the year ended December 31, 2021 For the year ended December 31, 2020 Current Tax Provision (Benefit) Federal $ 171 $ 55 $ 527 State — 44 (452) Total Current Provision for Income Taxes, net 171 99 75 Deferred Provision (Benefit) for Income Taxes Federal — — (85) State — — 406 Total Deferred Benefit for Income Taxes, net — — 321 Total Income Tax Provision, net $ 171 $ 99 $ 396
Schedule of deferred tax assets and liabilities	The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2022 and 2021 (dollars in thousands): Deferred Tax Asset December 31, 2022 December 31, 2021 Net operating loss available for carry-back and carry-forward (1) $ 16,111 $ 16,302 Net capital loss carry-forward (1) 7,929 10,384 Investments 5,576 1,849 Deferred tax asset 29,616 28,535 Allowance (29,616) (28,535) Net deferred tax asset $ — $ —
Summary of operating loss carryforwards	Deferred Tax Liability December 31, 2022 December 31, 2021 Net operating loss available for carry-back and carry-forward $ — $ — Net deferred tax liability $ — $ —
Schedule of effective income tax rate reconciliation	The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2022 For the year ended December 31, 2021 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of federal benefit 0.4 % (6.9) % Other — % 0.2 % Change in valuation allowance (3.3) % 16.3 % REIT earnings not subject to corporate taxes (18.3) % (30.8) % Effective Tax Rate (0.2) % (0.2) %

Basis of Presentation and Sum_4

Basis of Presentation and Summary of Significant Accounting Policies (Details)	Jul. 11, 2022 $ / shares shares	Jun. 30, 2022 $ / shares shares	Dec. 31, 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	10,000,000	10,000,000
Preferred stock, par value (in dollars per share) | $ / shares		$ 0.01	$ 0.01	$ 0.01
Stockholders' equity note, stock split, conversion ratio	0.1
Common stock, shares outstanding (in shares)	6,038,012	60,380,105	6,038,012	6,038,010
Common stock, shares issued (in shares)	6,038,012	60,380,105	6,038,012	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	Dec. 31, 2022	Dec. 31, 2021
Assets
Derivative Assets	$ 715	$ 1,163
Liabilities
Derivative Liabilities	61	602
Residential Bridge Loans
Assets
Loans at fair value	2,849
Commercial Loans
Assets
Loans at fair value	90,002
Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	53	114
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Securities, at fair value	714	1,058
Subtotal Agency MBS
Assets
Securities, at fair value	767	1,172
Non-Agency CMBS
Assets
Securities, at fair value	85,435	105,358
Non-Agency RMBS
Assets
Securities, at fair value	22,483	25,652
Non-Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	1,204	2,117
Subtotal Non-Agency MBS
Assets
Securities, at fair value	109,122	133,127
Other Securities
Assets
Securities, at fair value	27,262	51,648
Total Mortgage-backed Securities and Other Securities
Assets
Securities, at fair value	137,151	185,947
Level III | Residential Whole Loans
Assets
Loans at fair value	1,091,145
Level III | Residential Bridge Loans
Assets
Loans at fair value	2,849
Level III | Commercial Loans
Assets
Loans at fair value	90,002
Fair Value, Measurements, Recurring
Assets
Derivative Assets	1	105
Total Assets	2,406,251	2,701,362
Liabilities
Derivative Liabilities	61	602
Securitized Debt	1,719,865	1,344,370
Total Liabilities	1,719,926	1,344,972
Fair Value, Measurements, Recurring | Residential Whole Loans
Assets
Loans at fair value	1,091,145	1,023,502
Fair Value, Measurements, Recurring | Residential Bridge Loans
Assets
Loans at fair value	2,849	5,428
Fair Value, Measurements, Recurring | Commercial Loans
Assets
Loans at fair value	90,002	130,572
Fair Value, Measurements, Recurring | Securitized Commercial Loans
Assets
Loans at fair value	1,085,103	1,355,808
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	53	114
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Securities, at fair value	714	1,058
Fair Value, Measurements, Recurring | Subtotal Agency MBS
Assets
Securities, at fair value	767	1,172
Fair Value, Measurements, Recurring | Non-Agency CMBS
Assets
Securities, at fair value	85,435	105,358
Fair Value, Measurements, Recurring | Non-Agency RMBS
Assets
Securities, at fair value	22,483	25,652
Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	1,204	2,117
Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS
Assets
Securities, at fair value	109,122	133,127
Fair Value, Measurements, Recurring | Other Securities
Assets
Securities, at fair value	27,262	51,648
Fair Value, Measurements, Recurring | Total Mortgage-backed Securities and Other Securities
Assets
Securities, at fair value	137,151	185,947
Fair Value, Measurements, Recurring | Level I
Assets
Derivative Assets	0	0
Total Assets	0	0
Liabilities
Derivative Liabilities	0	0
Securitized Debt	0	0
Total Liabilities	0	0
Fair Value, Measurements, Recurring | Level I | Residential Whole Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Residential Bridge Loans
Assets
Loans at fair value	0
Fair Value, Measurements, Recurring | Level I | Commercial Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Securitized Commercial Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Subtotal Agency MBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Non-Agency CMBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Subtotal Non-Agency MBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Other Securities
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level I | Total Mortgage-backed Securities and Other Securities
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level II
Assets
Derivative Assets	1	105
Total Assets	135,181	177,035
Liabilities
Derivative Liabilities	61	602
Securitized Debt	1,710,938	1,329,451
Total Liabilities	1,710,999	1,330,053
Fair Value, Measurements, Recurring | Level II | Residential Whole Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Residential Bridge Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Commercial Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Securitized Commercial Loans
Assets
Loans at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Subtotal Agency MBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Non-Agency CMBS
Assets
Securities, at fair value	85,435	99,630
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS
Assets
Securities, at fair value	22,483	25,652
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level II | Subtotal Non-Agency MBS
Assets
Securities, at fair value	107,918	125,282
Fair Value, Measurements, Recurring | Level II | Other Securities
Assets
Securities, at fair value	27,262	51,648
Fair Value, Measurements, Recurring | Level II | Total Mortgage-backed Securities and Other Securities
Assets
Securities, at fair value	135,180	176,930
Fair Value, Measurements, Recurring | Level III
Assets
Derivative Assets	0	0
Total Assets	2,271,070	2,524,327
Liabilities
Derivative Liabilities	0	0
Securitized Debt	8,927	14,919
Total Liabilities	8,927	14,919
Fair Value, Measurements, Recurring | Level III | Residential Whole Loans
Assets
Loans at fair value	1,091,145	1,023,502
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans
Assets
Loans at fair value	2,849	5,428
Fair Value, Measurements, Recurring | Level III | Commercial Loans
Assets
Loans at fair value	90,002	130,572
Fair Value, Measurements, Recurring | Level III | Securitized Commercial Loans
Assets
Loans at fair value	1,085,103	1,355,808
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	53	114
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Assets
Securities, at fair value	714	1,058
Fair Value, Measurements, Recurring | Level III | Subtotal Agency MBS
Assets
Securities, at fair value	767	1,172
Fair Value, Measurements, Recurring | Level III | Non-Agency CMBS
Assets
Securities, at fair value	0	5,728
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS Interest-Only Strips
Assets
Securities, at fair value	1,204	2,117
Fair Value, Measurements, Recurring | Level III | Subtotal Non-Agency MBS
Assets
Securities, at fair value	1,204	7,845
Fair Value, Measurements, Recurring | Level III | Other Securities
Assets
Securities, at fair value	0	0
Fair Value, Measurements, Recurring | Level III | Total Mortgage-backed Securities and Other Securities
Assets
Securities, at fair value	$ 1,971	$ 9,017

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Summary of Quantitative Information (Details) $ in Thousands	Dec. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)
Residential Whole Loans | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 1,091,145	$ 1,023,502
Residential Whole Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	1,091,145
Residential Whole Loans | Level III | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 1,091,145	$ 1,023,502
Residential Whole Loans | Level III | Discounted Cash Flow | Market Discount Rate | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.060	0.026
Residential Whole Loans | Level III | Discounted Cash Flow | Market Discount Rate | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.084	0.075
Residential Whole Loans | Level III | Discounted Cash Flow | Market Discount Rate | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.068	0.035
Residential Whole Loans | Level III | Discounted Cash Flow | Weighted Average Life | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 4 months 24 days	1 year 4 months 24 days
Residential Whole Loans | Level III | Discounted Cash Flow | Weighted Average Life | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	10 years 4 months 24 days	8 years 10 months 24 days
Residential Whole Loans | Level III | Discounted Cash Flow | Weighted Average Life | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	5 years 4 months 24 days	3 years 1 month 6 days
Residential Bridge Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 2,849
Residential Bridge Loans | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	2,849	$ 5,428
Residential Bridge Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	2,849
Residential Bridge Loans | Level III | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 2,849	$ 5,428
Residential Bridge Loans | Level III | Discounted Cash Flow | Market Discount Rate | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.129	0.098
Residential Bridge Loans | Level III | Discounted Cash Flow | Market Discount Rate | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.357	0.231
Residential Bridge Loans | Level III | Discounted Cash Flow | Market Discount Rate | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.224	0.172
Residential Bridge Loans | Level III | Discounted Cash Flow | Weighted Average Life | Minimum
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 | Level III | Discounted Cash Flow | Weighted Average Life | Maximum
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 | Level III | Discounted Cash Flow | Weighted Average Life | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years	2 years 4 months 24 days
Commercial Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 90,002
Commercial Loans | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	90,002	$ 130,572
Commercial Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	90,002
Commercial Loans | Level III | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 90,002	$ 130,572
Commercial Loans | Level III | Discounted Cash Flow | Market Discount Rate | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.084	0.045
Commercial Loans | Level III | Discounted Cash Flow | Market Discount Rate | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.096	0.217
Commercial Loans | Level III | Discounted Cash Flow | Market Discount Rate | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.092	0.093
Commercial Loans | Level III | Discounted Cash Flow | Weighted Average Life | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	3 months 18 days	6 months
Commercial Loans | Level III | Discounted Cash Flow | Weighted Average Life | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 4 months 24 days	2 years 9 months 18 days
Commercial Loans | Level III | Discounted Cash Flow | Weighted Average Life | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 2 months 12 days	1 year 2 months 12 days
Securitized Commercial Loans | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 1,085,103	$ 1,355,808
Securitized Commercial Loans | Level III | Fair Value, Measurements, Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair Value	$ 1,085,103	$ 1,355,808
Securitized Commercial Loans | Level III | Market Comparables, Vendor Pricing | Weighted Average Life | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 8 months 12 days	3 years 7 months 6 days
Securitized Commercial Loans | Level III | Market Comparables, Vendor Pricing | Weighted Average Life | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 8 months 12 days	3 years 7 months 6 days
Securitized Commercial Loans | Level III | Market Comparables, Vendor Pricing | Weighted Average Life | Weighted Average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years 8 months 12 days	3 years 7 months 6 days

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Investments 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	$ (2,406)	$ (1,540)	$ (5,141)
Fair Value Asset Recurring Basis Still Held Unrealized Gain Loss Statement Of Income Extensible List Not Disclosed Flag	Unrealized gains/(losses), net on assets(1)
Other Securities
Investments 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	$ 274	(1,574)	(4,781)
Level III | Fair Value, Measurements, Recurring | Securitized Debt
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	14,919	15,418
Transfers into Level III from Level II	0	0
Transfers from Level III into Level II	0	0
Purchases	0	0
Sales and settlements	0
Transfers to REO	0	0
Loan modifications / capitalized interest	0	0
Principal repayments	0	0
Realized gains/(losses), net on assets	0	0
Unrealized gains/(losses), net on assets	0	0
Unrealized gains (losses), net on liabilities	(1,840)	4,056
Premium and discount amortization, net	(4,152)	(4,555)
Ending balance	8,927	14,919	15,418
Unrealized gain (loss)	1,840	(3,603)
Level III | Fair Value, Measurements, Recurring | Securitized Debt | Assets
Investments 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
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,023,502	1,008,782
Transfers into Level III from Level II	0	0
Transfers from Level III into Level II	0	0
Purchases	399,948	422,041
Sales and settlements	(11,362)
Transfers to REO	(2,255)	0
Loan modifications / capitalized interest	21	486
Principal repayments	(204,720)	(401,075)
Realized gains/(losses), net on assets	(101)	0
Unrealized gains/(losses), net on assets	(108,698)	2,354
Unrealized gains (losses), net on liabilities	0	0
Premium and discount amortization, net	(5,190)	(9,086)
Ending balance	1,091,145	1,023,502	1,008,782
Unrealized gain (loss)	0	0
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | Assets
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(92,662)	5,795
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	5,428	12,813
Transfers into Level III from Level II	0	0
Transfers from Level III into Level II	0	0
Purchases	0	0
Sales and settlements	0
Transfers to REO	0	(752)
Loan modifications / capitalized interest	0	0
Principal repayments	(2,670)	(7,312)
Realized gains/(losses), net on assets	0	(206)
Unrealized gains/(losses), net on assets	91	907
Unrealized gains (losses), net on liabilities	0	0
Premium and discount amortization, net	0	(22)
Ending balance	2,849	5,428	12,813
Unrealized gain (loss)	0	0
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | Assets
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(76)	149
Level III | Fair Value, Measurements, Recurring | Commercial Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	130,572	310,523
Transfers into Level III from Level II	0	0
Transfers from Level III into Level II	0	0
Purchases	0	0
Sales and settlements	0
Transfers to REO	0	(30,000)
Loan modifications / capitalized interest	0	0
Principal repayments	(20,593)	(103,285)
Realized gains/(losses), net on assets	0	0
Unrealized gains/(losses), net on assets	(19,977)	(46,813)
Unrealized gains (losses), net on liabilities	0	0
Premium and discount amortization, net	0	147
Ending balance	90,002	130,572	310,523
Unrealized gain (loss)	0	0
Level III | Fair Value, Measurements, Recurring | Commercial Loans | Assets
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(19,984)	(50,034)
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,355,808	1,605,335
Transfers into Level III from Level II	0	0
Transfers from Level III into Level II	0	0
Purchases	0	0
Sales and settlements	0
Transfers to REO	0	0
Loan modifications / capitalized interest	0	0
Principal repayments	0	(354,202)
Realized gains/(losses), net on assets	0	0
Unrealized gains/(losses), net on assets	(297,343)	79,972
Unrealized gains (losses), net on liabilities	0	0
Premium and discount amortization, net	26,638	24,703
Ending balance	1,085,103	1,355,808	1,605,335
Unrealized gain (loss)	0	0
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans | Assets
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(297,343)	64,973
Level III | Fair Value, Measurements, Recurring | Subtotal Agency MBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	1,172	1,708
Transfers into Level III from Level II	0	0
Transfers from Level III into Level II	0	0
Purchases	0	0
Sales and settlements	0
Transfers to REO	0	0
Loan modifications / capitalized interest	0	0
Principal repayments	0	0
Realized gains/(losses), net on assets	0	0
Unrealized gains/(losses), net on assets	(303)	(206)
Unrealized gains (losses), net on liabilities	0	0
Premium and discount amortization, net	(102)	(330)
Ending balance	767	1,172	1,708
Unrealized gain (loss)	0	0
Level III | Fair Value, Measurements, Recurring | Subtotal Agency MBS | Assets
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(303)	(206)
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	7,845	34,369
Transfers into Level III from Level II	0	5,683
Transfers from Level III into Level II	(5,437)	(32,471)
Purchases	0	0
Sales and settlements	0
Transfers to REO	0	0
Loan modifications / capitalized interest	0	0
Principal repayments	0	(256)
Realized gains/(losses), net on assets	0	0
Unrealized gains/(losses), net on assets	(863)	698
Unrealized gains (losses), net on liabilities	0	0
Premium and discount amortization, net	(341)	(178)
Ending balance	1,204	7,845	34,369
Unrealized gain (loss)	0	0
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | Assets
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gain (loss)	(509)	(1,173)
Level III | Fair Value, Measurements, Recurring | Other Securities
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance	$ 0	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	$ 8,593
Unrealized gain (loss)		0
Level III | Fair Value, Measurements, Recurring | Other Securities | Assets
Investments 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	Dec. 31, 2022	Dec. 31, 2021
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized Debt	$ 1,719,865	$ 1,344,370
Total	1,719,926	1,344,972
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Convertible senior unsecured notes	83,522	119,168
Securitized Debt	342,965	524,649
Total	426,487	643,817
Debt issuance costs, net	4,100	5,500
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Convertible senior unsecured notes	74,712	122,133
Securitized Debt	309,474	528,046
Total	$ 384,186	$ 650,179

Mortgage-Backed Securities an_3

Mortgage-Backed Securities and other securities - Company's investment portfolio (Details) - USD ($)	Dec. 31, 2022	Dec. 31, 2021
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 58,000	$ 59,000
Unrealized Gain	0	55,000
Unrealized Loss	(5,000)	0
Estimated Fair Value	$ 53,000	$ 114,000
Net weighted average coupon (as a percent)	0%	1.30%
Notional balance	$ 2,400,000	$ 2,900,000
Agency RMBS Interest-Only Strips, accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 714,000	$ 1,058,000
Net weighted average coupon (as a percent)	0.10%	1.30%
Subtotal Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 0	$ 0
Unamortized Premium (Discount), net	0	0
Amortized Cost	58,000	59,000
Unrealized Gain	0	55,000
Unrealized Loss	(5,000)	0
Estimated Fair Value	$ 767,000	$ 1,172,000
Net weighted average coupon (as a percent)	0.10%	1.30%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 39,873,000	$ 36,147,000
Unamortized Premium (Discount), net	(14,423,000)	(13,936,000)
Amortized Cost	25,450,000	22,211,000
Unrealized Gain	928,000	3,476,000
Unrealized Loss	(3,895,000)	(35,000)
Estimated Fair Value	$ 22,483,000	$ 25,652,000
Net weighted average coupon (as a percent)	4.20%	4.30%
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 5,204,000	$ 5,608,000
Unrealized Gain	0	0
Unrealized Loss	(4,000,000)	(3,491,000)
Estimated Fair Value	$ 1,204,000	$ 2,117,000
Net weighted average coupon (as a percent)	0.30%	0.30%
Notional balance	$ 143,200,000	$ 181,000,000
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	39,873,000	36,147,000
Unamortized Premium (Discount), net	(14,423,000)	(13,936,000)
Amortized Cost	30,654,000	27,819,000
Unrealized Gain	928,000	3,476,000
Unrealized Loss	(7,895,000)	(3,526,000)
Estimated Fair Value	$ 23,687,000	$ 27,769,000
Net weighted average coupon (as a percent)	1.10%	1%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 109,266,000	$ 179,619,000
Unamortized Premium (Discount), net	(2,763,000)	(13,088,000)
Amortized Cost	106,503,000	166,531,000
Unrealized Gain	636,000	1,543,000
Unrealized Loss	(21,704,000)	(62,716,000)
Estimated Fair Value	$ 85,435,000	$ 105,358,000
Net weighted average coupon (as a percent)	8.10%	5.40%
Total Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 149,139,000	$ 215,766,000
Unamortized Premium (Discount), net	(17,186,000)	(27,024,000)
Amortized Cost	137,157,000	194,350,000
Unrealized Gain	1,564,000	5,019,000
Unrealized Loss	(29,599,000)	(66,242,000)
Estimated Fair Value	$ 109,122,000	$ 133,127,000
Net weighted average coupon (as a percent)	3.80%	3%
Other Securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 34,691,000	$ 51,159,000
Unamortized Premium (Discount), net	(8,581,000)	(8,229,000)
Amortized Cost	31,112,000	47,652,000
Unrealized Gain	543,000	4,209,000
Unrealized Loss	(4,393,000)	(213,000)
Estimated Fair Value	$ 27,262,000	$ 51,648,000
Net weighted average coupon (as a percent)	7.20%	5.60%
Total Mortgage-backed Securities and Other Securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 183,830,000	$ 266,925,000
Unamortized Premium (Discount), net	(25,767,000)	(35,253,000)
Amortized Cost	168,327,000	242,061,000
Unrealized Gain	2,107,000	9,283,000
Unrealized Loss	(33,997,000)	(66,455,000)
Estimated Fair Value	$ 137,151,000	$ 185,947,000
Net weighted average coupon (as a percent)	3.90%	3.20%
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 714,000	$ 1,058,000
Notional balance	13,100,000	16,800,000
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 - Narrative (Details)	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Total Mortgage-backed Securities and Other Securities
Debt Securities, Available-for-sale [Line Items]
Weighted average expected remaining term to the expected maturity of investment portfolio	6 years 8 months 12 days	5 years 10 months 24 days

Mortgage-Backed Securities an_5

Mortgage-Backed Securities and other securities - Fair value and contractual maturities of the Company's investment securities (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 53	$ 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	53	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	0	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, included in MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	714	1,058
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | 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, included in MBS | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	714	1,058
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | 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, included in MBS | 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	767	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	767	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	0	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	85,435	105,358
Non-Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	64,484	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	10,469	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	10,482	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	22,483	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	8,667	10,282
Non-Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	13,816	15,370
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,204	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	230	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	109,122	133,127
Subtotal Non-Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	64,484	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	10,469	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	19,379	31,559
Subtotal Non-Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	14,790	17,540
Other Securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	27,262	51,648
Other Securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,735	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	0	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	13,020	25,653
Other Securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	7,507	12,474
Total Mortgage-backed Securities and Other Securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	137,151	185,947
Total Mortgage-backed Securities and Other Securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	71,219	75,639
Total Mortgage-backed Securities and Other Securities | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	11,236	22,968
Total Mortgage-backed Securities and Other Securities | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	32,399	57,326
Total Mortgage-backed Securities and Other Securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 22,297	$ 30,014

Mortgage-Backed Securities an_6

Mortgage-Backed Securities and other securities - Gross unrealized losses and estimated fair value (Details) $ in Thousands	Dec. 31, 2022 USD ($) item	Dec. 31, 2021 USD ($) item
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 31,589	$ 0
Fair value, 12 months or longer	88,593	107,420
Fair Value	120,182	107,420
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(5,224)	0
12 months or longer, accumulated loss	(28,773)	(66,455)
Unrealized Losses	$ (33,997)	$ (66,455)
Number of Securities
Number of positions, less than 12 months | item	9	0
Number of positions, 12 months or longer | item	19	25
Number of Securities | item	28	25
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 52
Fair value, 12 months or longer	0
Fair Value	52
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(5)
12 months or longer, accumulated loss	0
Unrealized Losses	$ (5)
Number of Securities
Number of positions, less than 12 months | item	1
Number of positions, 12 months or longer | item	0
Number of Securities | item	1
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 52
Fair value, 12 months or longer	0
Fair Value	52
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(5)
12 months or longer, accumulated loss	0
Unrealized Losses	$ (5)
Number of Securities
Number of positions, less than 12 months | item	1
Number of positions, 12 months or longer | item	0
Number of Securities | item	1
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 0
Fair value, 12 months or longer	76,365	96,080
Fair Value	76,365	96,080
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	0	0
12 months or longer, accumulated loss	(21,704)	(62,716)
Unrealized Losses	$ (21,704)	$ (62,716)
Number of Securities
Number of positions, less than 12 months | item	0	0
Number of positions, 12 months or longer | item	11	16
Number of Securities | item	11	16
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 19,054	$ 0
Fair value, 12 months or longer	1,557	201
Fair Value	20,611	201
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(2,794)	0
12 months or longer, accumulated loss	(1,101)	(35)
Unrealized Losses	$ (3,895)	$ (35)
Number of Securities
Number of positions, less than 12 months | item	5	0
Number of positions, 12 months or longer | item	2	1
Number of Securities | item	7	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 longer	1,203	2,117
Fair Value	1,203	2,117
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	0	0
12 months or longer, accumulated loss	(4,000)	(3,491)
Unrealized Losses	$ (4,000)	$ (3,491)
Number of Securities
Number of positions, less than 12 months | item	0	0
Number of positions, 12 months or longer | item	4	4
Number of Securities | item	4	4
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 19,054	$ 0
Fair value, 12 months or longer	79,125	98,398
Fair Value	98,179	98,398
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(2,794)	0
12 months or longer, accumulated loss	(26,805)	(66,242)
Unrealized Losses	$ (29,599)	$ (66,242)
Number of Securities
Number of positions, less than 12 months | item	5	0
Number of positions, 12 months or longer | item	17	21
Number of Securities | item	22	21
Other Securities
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 12,483	$ 0
Fair value, 12 months or longer	9,468	9,022
Fair Value	21,951	9,022
Unrealized Losses
Unrealized loss position, less than 12 Months, accumulated loss	(2,425)	0
12 months or longer, accumulated loss	(1,968)	(213)
Unrealized Losses	$ (4,393)	$ (213)
Number of Securities
Number of positions, less than 12 months | item	3	0
Number of positions, 12 months or longer | item	2	4
Number of Securities | item	5	4

Mortgage-Backed Securities an_7

Mortgage-Backed Securities and other securities - OTTI and Interest Income (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Net (Premium Amortization/ Amortization Basis) Discount Amortization	$ (2,406)	$ (1,540)	$ (5,141)
Interest Income	158,719	164,071	178,028
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	0	0	11,336
Net (Premium Amortization/ Amortization Basis) Discount Amortization	0	0	(636)
Interest Income	0	0	10,700
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	13	47	2,975
Net (Premium Amortization/ Amortization Basis) Discount Amortization	(1)	(30)	(987)
Interest Income	12	17	1,988
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	9,129	9,874	15,331
Net (Premium Amortization/ Amortization Basis) Discount Amortization	615	6,535	6,467
Interest Income	9,744	16,409	21,798
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	2,154	2,127	2,732
Net (Premium Amortization/ Amortization Basis) Discount Amortization	(46)	(670)	(1,193)
Interest Income	2,108	1,457	1,539
Other Securities
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	3,383	4,685	8,263
Net (Premium Amortization/ Amortization Basis) Discount Amortization	274	(1,574)	(4,781)
Interest Income	3,657	3,111	3,482
Total Mortgage-backed Securities and Other Securities
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	14,679	16,733	40,637
Net (Premium Amortization/ Amortization Basis) Discount Amortization	842	4,261	(1,130)
Interest Income	$ 15,521	$ 20,994	$ 39,507

Mortgage-Backed Securities an_8

Mortgage-Backed Securities and other securities - Sales and realized gains (losses) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Net Gain (Loss)	$ (36,669)	$ (10,927)	$ 84,271
Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			1,668,149
Gross Gains			116,463
Gross Losses			(6,486)
Net Gain (Loss)			109,977
Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			400,948
Gross Gains			12,552
Gross Losses			(506)
Net Gain (Loss)			12,046
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	10,152	27,488	111,804
Gross Gains	0	0	1
Gross Losses	(43,934)	(9,266)	(23,624)
Net Gain (Loss)	(43,934)	(9,266)	(23,623)
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	31,790		12,658
Gross Gains	255		0
Gross Losses	(2,652)		(60)
Net Gain (Loss)	(2,397)		(60)
Other Securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	14,485		35,957
Gross Gains	0		113
Gross Losses	(2,252)		(6,223)
Net Gain (Loss)	(2,252)		(6,110)
Total Mortgage-backed Securities and Other Securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds	56,427	27,488	2,229,516
Gross Gains	255	0	129,129
Gross Losses	(48,838)	(9,266)	(36,899)
Net Gain (Loss)	$ (48,583)	$ (9,266)	$ 92,230

Mortgage-Backed Securities an_9

Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions	12 Months Ended
	Dec. 31, 2022 USD ($) loan entity	Dec. 31, 2021 USD ($) loan entity
Schedule of Investments [Line Items]
VIE, consolidated, number of commercial loan trusts | entity	2	2
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 15.5	$ 26.5
Variable Interest Entity, Not Primary Beneficiary
Schedule of Investments [Line Items]
VIE, consolidated, number of commercial loan trusts | loan	2	5

Residential Whole Loans and R_3

Residential Whole Loans and Residential Bridge Loans (Details)	1 Months Ended			12 Months Ended
	Jul. 31, 2022 USD ($)	Feb. 28, 2022 USD ($)	May 31, 2019 USD ($)	Dec. 31, 2022 USD ($) loan trust property	Dec. 31, 2021 USD ($) loan property director trust	Jun. 30, 2022 USD ($)	Jun. 30, 2020 USD ($)
Variable Interest Entity [Line Items]
Repurchase agreements				$ 193,117,000	$ 617,189,000
Principal amount of delinquent loans				101,904,000
Principal balance				$ 2,725,624,000
Residential REO properties | property				1	4
Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans				2,943	2,361
Principal balance				$ 1,165,301,000	$ 989,143,000
Residential Whole Loans | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				2,938
Residential Whole Loans | Investor Fixed Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				5
Residential Bridge Loans
Variable Interest Entity [Line Items]
Fair Value				$ 2,849,000
Mortgage loans on real estate, number of loans | loan				5
Residential Bridge Loans | 90+ days
Variable Interest Entity [Line Items]
Fair Value				$ 2,849,000
Mortgage loans on real estate, number of loans | loan				5
Residential Bridge Loans | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				5	8
Fair Value				$ 2,800,000	$ 5,200,000
Residential Bridge Loans | Investor Fixed Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				5	6
Residential Bridge Loans | Investor Fixed Rate Mortgage | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair Value				$ 1,200,000	$ 1,700,000
Residential Bridge Loans | 90+ days
Variable Interest Entity [Line Items]
Mortgage loans on real estate, number of loans | loan					6
RMI 2015 Trust | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | trust				6	770
RMI 2015 Trust | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair Value				$ 3,200,000	$ 451,700,000
Arroyo Mortgage Trust 2019-2 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				766	1,042
Arroyo Mortgage Trust 2019-2 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair Value				$ 237,600,000	$ 374,300,000
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements			$ 919,000,000
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Transfer of residential mortgage-backed securitization			$ 945,500,000
Arroyo Mortgage Trust 2020-1 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				432	543
Arroyo Mortgage Trust 2020-1 | Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements						$ 341,700,000	$ 341,700,000
Arroyo Mortgage Trust 2020-1 | Residential Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Line of credit facility, maximum borrowing capacity							$ 355,800,000
Long-term debt, fair value				$ 135,100,000	$ 195,700,000
Arroyo Mortgage Trust 2022 1 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				705
Arroyo Mortgage Trust 2022 1 | Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements		$ 398,900,000
Arroyo Mortgage Trust 2022 1 | Residential Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Transfer of residential mortgage-backed securitization		432,000,000
Repurchase agreements				$ 350,700,000
Line of credit facility, maximum borrowing capacity		$ 432,000,000
Arroyo Mortgage Trust 2022-2 | Arroyo Trust | Non-Qualifying Adjustable Rate Mortgage
Variable Interest Entity [Line Items]
Number of Loans | loan				1,029
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements	$ 351,900,000
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans | Arroyo Trust
Variable Interest Entity [Line Items]
Transfer of residential mortgage-backed securitization	402,200,000
Repurchase agreements				$ 363,300,000
Line of credit facility, maximum borrowing capacity	$ 402,200,000
VIE | Residential Whole Loans
Variable Interest Entity [Line Items]
Mortgage loans on real estate, number of loans | loan				13	20
Principal amount of delinquent loans				$ 8,700,000	$ 12,200,000
Mortgage loans on real estate, number of loans, nonperforming, percentage				0.80%	1.20%
Original LTV, collateral dependent				60%	60%
VIE | Residential Whole Loans | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair Value				$ 8,000,000	$ 12,000,000
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of Loans | loan				5	9
Principal amount at fair value of delinquent loans				$ 3,200,000	$ 4,800,000
Principal balance				3,166,000	5,834,000
Foreclosed loans, carrying value				2,300,000	1,100,000
VIE | Residential Bridge Loans | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair Value				$ 2,800,000	$ 4,400,000

Residential Whole Loans and R_4

Residential Whole Loans and Residential Bridge Loans - Summary of the Assets and Liabilities (Details) - USD ($) $ in Thousands		Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Cash and cash equivalents		$ 18,011	$ 40,193	$ 31,613
Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively)		1,091,145	1,023,502
Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively)		0	5,207
Investment related receivable		5,960	22,133
Interest receivable		11,330	11,823
Other assets		4,860	45,364
Total assets	[1]	2,453,234	2,825,700
Securitized debt, at fair value		2,058,684	1,863,488
Interest payable		12,794	10,272
Accounts payable and accrued expenses		3,201	4,842
Total liabilities	[2]	2,358,422	2,621,371
VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		0	266
Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively)		1,091,145	1,023,502
Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively)		0	5,207
Investment related receivable		5,914	22,087
Interest receivable		10,182	10,572
Other assets		509	0
Total assets		2,210,312	2,432,064
Securitized debt, at fair value		2,058,684	1,863,488
Interest payable		8,303	6,480
Accounts payable and accrued expenses		43	78
Total liabilities		2,067,278	1,870,306
Fair value of collateral, residential home loans		1,089,914	1,023,502
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Cash and cash equivalents		0	266
Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively)		1,091,145	1,023,502
Residential Bridge Loans, at fair value ($— and $5,207 pledged as collateral, at fair value, respectively)		2,849	5,207
Investment related receivable		5,914	22,087
Interest receivable		4,871	5,282
Other assets		509	0
Total assets		1,105,288	1,056,344
Securitized debt, at fair value		981,073	519,118
Interest payable		3,139	1,316
Accounts payable and accrued expenses		34	69
Total liabilities		$ 984,246	$ 520,503
[1] December 31, 2022 December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ — $ 266 Restricted cash 248 260 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value (None and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value (None and $14,362 pledged as collateral, at fair value, respectively) 14,362 14,362 Investment related receivable 5,914 22,087 Interest receivable 10,182 10,572 Other assets 509 — Total assets of consolidated VIEs $ 2,210,312 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively) $ 2,058,684 $ 1,863,488 Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively) 8,303 6,480 Accounts payable and accrued expenses 43 78 Other liabilities 248 260 Total liabilities of consolidated VIEs $ 2,067,278 $ 1,870,306

Residential Whole Loans and R_5

Residential Whole Loans and Residential Bridge Loans - Carrying Value Components (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Variable Interest Entity [Line Items]
Principal balance	$ 2,725,624
Residential Whole Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	1,165,301	$ 989,143
Unamortized premium	30,961	31,070
Unamortized discount	(1,536)	(1,337)
Amortized cost	1,194,726	1,018,876
Gross unrealized gains	2,038	14,190
Gross unrealized losses	(105,619)	(9,564)
Fair value	1,091,145	1,023,502
Residential Bridge Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	3,166	5,834
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	3,166	5,834
Gross unrealized gains	0	78
Gross unrealized losses	(317)	(484)
Fair value	$ 2,849	$ 5,428

Residential Whole Loans and R_6

Residential Whole Loans and Residential Bridge Loans - Investment Portfolio (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($) loan fICO_Score	Dec. 31, 2021 USD ($) fICO_Score loan director
Variable Interest Entity [Line Items]
Principal balance	$ 2,725,624
Residential Whole Loans
Variable Interest Entity [Line Items]
Number of Loans	2,943	2,361
Principal balance	$ 1,165,301	$ 989,143
Original LTV	65.60%	64.80%
Original FICO Score | fICO_Score	748	746
Expected Life (years)	5 years 6 months	3 years 1 month 6 days
Contractual Maturity (years)	27 years	27 years 8 months 12 days
Coupon Rate	4.80%	4.60%
2.01% - 3.00%
Variable Interest Entity [Line Items]
Number of Loans	39	27
Principal balance	$ 22,277	$ 15,640
Original LTV	66.30%	65.10%
Original FICO Score | fICO_Score	758	757
Expected Life (years)	8 years 10 months 24 days	5 years 3 months 18 days
Contractual Maturity (years)	28 years 3 months 18 days	28 years 9 months 18 days
Coupon Rate	2.90%	2.80%
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]
Number of Loans | loan	402	496
Principal balance	$ 214,402	$ 244,022
Original LTV	66.30%	63.70%
Original FICO Score | fICO_Score	759	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
Coupon Rate	3.70%	3.70%
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%	4%
4.01% - 5.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	1,337	1,051
Principal balance	$ 453,811	$ 413,451
Original LTV	64.10%	65.10%
Original FICO Score | fICO_Score	749	747
Expected Life (years)	5 years 6 months	2 years 10 months 24 days
Contractual Maturity (years)	26 years	28 years 2 months 12 days
Coupon Rate	4.60%	4.70%
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]
Number of Loans | loan	901	757
Principal balance	$ 363,197	$ 305,344
Original LTV	65.60%	64.90%
Original FICO Score | fICO_Score	742	738
Expected Life (years)	4 years 8 months 12 days	3 years
Contractual Maturity (years)	26 years 8 months 12 days	26 years 9 months 18 days
Coupon Rate	5.40%	5.40%
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]
Number of Loans | loan	249	28
Principal balance	$ 105,933	$ 10,181
Original LTV	69.90%	67.90%
Original FICO Score | fICO_Score	742	721
Expected Life (years)	3 years 7 months 6 days	3 years 1 month 6 days
Contractual Maturity (years)	28 years 4 months 24 days	25 years 9 months 18 days
Coupon Rate	6.40%	6.30%
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]
Number of Loans | loan	15	2
Principal balance	$ 5,681	$ 505
Original LTV	75.20%	73.20%
Original FICO Score | fICO_Score	730	753
Expected Life (years)	3 years	4 years 6 months
Contractual Maturity (years)	29 years 2 months 12 days	26 years 9 months 18 days
Coupon Rate	7.40%	7.10%
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 portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of Loans | loan	231	230
Principal balance	$ 76,600	$ 74,300
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Number of Loans | loan	5	9
Principal balance	$ 3,166	$ 5,834
Original LTV	74%	72.90%
Contractual Maturity (years)	0 years	0 years
Coupon Rate	9.50%	9.70%
7.01% – 9.00%
Variable Interest Entity [Line Items]
Number of Loans | loan	2	3
Principal balance	$ 1,822	$ 2,946
Original LTV	67.50%	70.40%
Contractual Maturity (years)		0 years
Coupon Rate	8.70%	8.80%
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]
Number of Loans | loan	1	4
Principal balance	$ 849	$ 2,393
Original LTV	90.50%	76.70%
Contractual Maturity (years)	0 years	0 years
Coupon Rate	10%	10.40%
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]
Number of Loans | loan	2	2
Principal balance	$ 495	$ 495
Original LTV	69.70%	69.70%
Contractual Maturity (years)	0 years	0 years
Coupon Rate	11.40%	11.40%
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 Whole Loans and R_7

Residential Whole Loans and Residential Bridge Loans - Geographic Concentration (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Variable Interest Entity [Line Items]
Principal balance	$ 2,725,624
Residential Whole Loans
Variable Interest Entity [Line Items]
Principal balance	$ 1,165,301	$ 989,143
Geographic Concentration Risk | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	100%	100%
Principal balance	$ 1,165,301	$ 989,143
Geographic Concentration Risk | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	100%	100%
Principal balance	$ 3,166	$ 5,834
Geographic Concentration Risk | California | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	66.80%	73.90%
Principal balance	$ 778,732	$ 730,771
Geographic Concentration Risk | California | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	55.40%	30.10%
Principal balance	$ 1,754	$ 1,754
Geographic Concentration Risk | New York | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	9.30%	11.60%
Principal balance	$ 108,108	$ 114,625
Geographic Concentration Risk | New York | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	42.20%	45.10%
Principal balance	$ 1,337	$ 2,631
Geographic Concentration Risk | New Jersey | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	2.40%	3.70%
Principal balance	$ 75	$ 219
Geographic Concentration Risk | Florida | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	4.10%	2.70%
Principal balance	$ 47,681	$ 26,293
Geographic Concentration Risk | Florida | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration		19.30%
Principal balance		$ 1,125
Geographic Concentration Risk | Georgia | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	3.50%	2.50%
Principal balance	$ 40,845	$ 25,106
Geographic Concentration Risk | Texas | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	4.80%	1.90%
Principal balance	$ 56,126	$ 19,062
Geographic Concentration Risk | Other | Residential Whole Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration	11.50%	7.40%
Principal balance	$ 133,809	$ 73,286
Geographic Concentration Risk | Other | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration		0%
Principal balance		$ 0
Geographic Concentration Risk | Pennsylvania | Residential Bridge Loans | Financing Receivables Total
Variable Interest Entity [Line Items]
State Concentration		1.80%
Principal balance		$ 105

Residential Whole Loans and R_8

Residential Whole Loans and Residential Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($) loan	Dec. 31, 2021 USD ($)
Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	2,943
Principal balance	$ 1,165,301
Loans at fair value	$ 1,091,145	$ 1,023,502
Residential Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	5
Principal balance	$ 3,166
Loans at fair value	$ 2,849
Current | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	2,910
Principal balance	$ 1,147,412
Loans at fair value	$ 1,074,409
Current | Residential Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Loans at fair value	$ 0
1-30 days | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	14
Principal balance	$ 6,983
Loans at fair value	$ 6,678
1-30 days | Residential Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Loans at fair value	$ 0
31-60 days | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Loans at fair value	$ 0
31-60 days | Residential Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Loans at fair value	$ 0
61-90 days | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	6
Principal balance	$ 2,165
Loans at fair value	$ 2,032
61-90 days | Residential Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Loans at fair value	$ 0
90+ days | Residential Whole-Loans
Variable Interest Entity [Line Items]
No of Loans | loan	13
Principal balance	$ 8,741
Loans at fair value	$ 8,026
90+ days | Residential Bridge Loans
Variable Interest Entity [Line Items]
No of Loans | loan	5
Principal balance	$ 3,166
Loans at fair value	$ 2,849

Commercial Loans - Commercial L

Commercial Loans - Commercial Loans Held (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020	Jun. 30, 2022	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal balance	$ 2,725,624
Fair Value	2,269,099	$ 2,515,310	$ 2,938,556		$ 2,691,532
Principal repayments on commercial loans	(20,593)	$ (103,284)	$ (44,819)
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]
Fair Value				$ 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	75,640
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	$ 22,050
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	$ 24,433
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	$ 13,151
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	$ 7,229
Coupon rate	62%
Option to extend term	1 year
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	3.38%
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%

Commercial Loans - Narrative (D

Commercial Loans - Narrative (Details) $ in Thousands		1 Months Ended		12 Months Ended
	Sep. 15, 2021 USD ($)	Feb. 28, 2022 USD ($)	Mar. 31, 2019 USD ($)	Dec. 31, 2022 USD ($) entity property	Dec. 31, 2021 USD ($) property entity	Feb. 03, 2023 USD ($)	Sep. 16, 2022 USD ($)	Jun. 30, 2022 USD ($)	Dec. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)
Variable Interest Entity [Line Items]
Fair Value				$ 2,269,099	$ 2,515,310				$ 2,938,556	$ 2,691,532
Principal balance				$ 2,725,624
Number of VIEs, as primary beneficiary | entity				1
VIE, consolidated, number of commercial loan trusts | entity				2	2
Proceeds from foreclosed property		$ 55,900
Initial investment		42,000
Gain on sale		$ 12,200
CSMC Trust | Class F | Secured Debt
Variable Interest Entity [Line Items]
Debt default, amount				$ 14,900
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%
Securitized Commercial Loans | CRE 8
Variable Interest Entity [Line Items]
Principal balance							$ 4,400
Securitized Commercial Loans | CRE 3 | Interest-Only Mezzanine loan
Variable Interest Entity [Line Items]
Fair Value								$ 26,900
Securitized Commercial Loans | CRE 3 | Interest-Only Mezzanine loan | Subsequent Event
Variable Interest Entity [Line Items]
Fair Value						$ 8,800
Securitized Commercial Loans | RETL Trust
Variable Interest Entity [Line Items]
Variable interest entity, amount acquired			$ 65,300
Variable interest entity, amount acquired, eligible risk retention	$ 45,300		$ 45,300
Eligible risk retention percentage			5%
Securitized Commercial Loans | CSMC Trust
Variable Interest Entity [Line Items]
Principal balance				$ 1,400,000
Securitized Commercial Loans | CRE LLC And CRE Mezz
Variable Interest Entity [Line Items]
Fair Value				75,640
Principal balance				157,205
Securitized Commercial Loans | CRE LLC And CRE Mezz | Entertainment and Retail | CRE 3 | Interest-Only Mezzanine loan
Variable Interest Entity [Line Items]
Fair Value				8,777
Principal balance				90,000
Commercial Loans
Variable Interest Entity [Line Items]
Principal balance				$ 171,567
VIE, consolidated, number of commercial loan trusts | entity				2
Commercial Loans | CRE 3 | Retail
Variable Interest Entity [Line Items]
Principal balance				$ 90,000
Residential Bridge Loans
Variable Interest Entity [Line Items]
Principal balance				$ 3,166
Number of real estate properties | property				1	4
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Principal balance				$ 3,166	$ 5,834
Foreclosed loans, carrying value				$ 2,300	$ 1,100

Commercial Loans - Commercial R

Commercial Loans - Commercial Real Estate Mortgage Loan (Details) - USD ($)	1 Months Ended	12 Months Ended
	Jan. 31, 2023	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020	Jul. 31, 2022	Dec. 31, 2019
Variable Interest Entity [Line Items]
Principal balance		$ 2,725,624,000
Fair Value		2,269,099,000	$ 2,515,310,000	$ 2,938,556,000		$ 2,691,532,000
Repayments of securitized debt		234,337,000	$ 683,472,000	$ 579,705,000
Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance		14,362,000
Fair Value		14,362,000
SBC 3 | Interest-Only First Mortgage | Nursing Facilities | Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance		14,362,000
Fair Value		$ 14,362,000
Coupon Rate		49%
SBC 3 | Interest-Only First Mortgage | Nursing Facilities | Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value | LIBOR
Variable Interest Entity [Line Items]
Coupon Rate		4.35%
SBC 3 | Interest-Only First Mortgage | Nursing Facilities | Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value | Subsequent Event
Variable Interest Entity [Line Items]
Repayments of securitized debt	$ 750,000
SBC 3 | Interest-Only First Mortgage | Nursing Facilities | Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value | LIBOR
Variable Interest Entity [Line Items]
BPS increase rate					0.25%
BPS extension fee					0.25%
SBC 3 | Interest-Only First Mortgage | Nursing Facilities | Securitized Commercial Loans | RSBC Trust Commercial Loans, at Fair Value | LIBOR | Subsequent Event
Variable Interest Entity [Line Items]
BPS extension fee	5,000%

Commercial Loans - Consolidated

Commercial Loans - Consolidated Trusts (Details) - USD ($) $ in Thousands		Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Noncontrolling Interest [Line Items]
Restricted cash		$ 248	$ 260	$ 76,132
Securitized commercial loans, at fair value		1,085,103	1,355,808
Commercial Loans, at fair value		66,864	101,459
Interest receivable		11,330	11,823
Total assets	[1]	2,453,234	2,825,700
Interest payable		12,794	10,272
Accounts payable and accrued expenses		3,201	4,842
Other liabilities		300	262
Total liabilities	[2]	2,358,422	2,621,371
VIE
Noncontrolling Interest [Line Items]
Restricted cash		248	260
Securitized commercial loans, at fair value		1,085,103	1,355,808
Commercial Loans, at fair value		0	14,362
Interest receivable		10,182	10,572
Total assets		2,210,312	2,432,064
Interest payable		8,303	6,480
Accounts payable and accrued expenses		43	78
Other liabilities		248	260
Total liabilities		2,067,278	1,870,306
Securitized Commercial Loans | VIE
Noncontrolling Interest [Line Items]
Restricted cash		248	260
Securitized commercial loans, at fair value		1,085,103	1,355,808
Commercial Loans, at fair value		14,362	14,362
Interest receivable		5,311	5,290
Total assets		1,105,024	1,375,720
Securitized debt, at fair value		1,077,611	1,344,370
Interest payable		5,164	5,164
Accounts payable and accrued expenses		9	9
Other liabilities		248	260
Total liabilities		$ 1,083,032	$ 1,349,803
[1] December 31, 2022 December 31, 2021 (1) Assets of consolidated VIEs included in the total assets above: Cash and cash equivalents $ — $ 266 Restricted cash 248 260 Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) 1,091,145 1,023,502 Residential Bridge Loans, at fair value (None and $5,207 pledged as collateral, at fair value, respectively) 2,849 5,207 Securitized commercial loans, at fair value 1,085,103 1,355,808 Commercial Loans, at fair value (None and $14,362 pledged as collateral, at fair value, respectively) 14,362 14,362 Investment related receivable 5,914 22,087 Interest receivable 10,182 10,572 Other assets 509 — Total assets of consolidated VIEs $ 2,210,312 $ 2,432,064 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively) $ 2,058,684 $ 1,863,488 Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively) 8,303 6,480 Accounts payable and accrued expenses 43 78 Other liabilities 248 260 Total liabilities of consolidated VIEs $ 2,067,278 $ 1,870,306

Commercial Loans - Components o

Commercial Loans - Components of Commercial Real Estate Loans (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	$ 157,205	$ 177,797
Unamortized discount	0	0
Amortized cost	157,205	177,797
Gross unrealized gains	0	0
Gross unrealized losses	(81,565)	(61,587)
Fair value	75,640	116,210
CSMC USA Trust Securitized Commercial Loan, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	1,385,591	1,385,591
Unamortized discount	(84,132)	(110,770)
Amortized cost	1,301,459	1,274,821
Gross unrealized gains	0	80,987
Gross unrealized losses	(216,356)	0
Fair value	1,085,103	1,355,808
RSBC Trust Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal balance	14,362	14,362
Unamortized discount	0	0
Amortized cost	14,362	14,362
Gross unrealized gains	0	0
Gross unrealized losses	0	0
Fair value	$ 14,362	$ 14,362

Commercial Loans - Schedule of

Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) - Commercial Loans $ in Thousands	Dec. 31, 2022 USD ($) loan
Noncontrolling Interest [Line Items]
No of Loans | loan	6
Principal balance	$ 171,567
Fair Value	$ 90,002
Current
Noncontrolling Interest [Line Items]
No of Loans | loan	5
Principal balance	$ 81,567
Fair Value	$ 81,225
1-30 days
Noncontrolling Interest [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Fair Value	$ 0
31-60 days
Noncontrolling Interest [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Fair Value	$ 0
61-90 days
Noncontrolling Interest [Line Items]
No of Loans | loan	0
Principal balance	$ 0
Fair Value	$ 0
90+ days
Noncontrolling Interest [Line Items]
No of Loans | loan	1
Principal balance	$ 90,000
Fair Value	$ 8,777

Financings - Narrative (Details

Financings - Narrative (Details)				12 Months Ended
	Nov. 09, 2022	Nov. 05, 2021 USD ($)	May 05, 2021 USD ($)	Dec. 31, 2022 USD ($) property agreement	Dec. 31, 2021 USD ($) property
Short-term Debt [Line Items]
Number of longer term financial arrangements company entered to reduce its exposure to short term financings | agreement				3
Commercial Loans, at fair value				$ 66,864,000	$ 101,459,000
Number of counterparties from whom the company had borrowings | agreement				6
Assets Pledged				$ 0	5,207,000
Due from counterparties				3,400,000	3,200,000
Due to counterparties				300,000	$ 0
Non-QM Loans | Arroyo Trust
Short-term Debt [Line Items]
Long-term line of credit				3,600,000
Non-QM Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust
Short-term Debt [Line Items]
Line of credit, remaining borrowing capacity				$ 3,200,000
Non-QM Loans | SOFR | Arroyo Trust
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate	2.25%
Non-QM Loans | SOFR | Minimum | Arroyo Trust
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate				0.25%
Residential Bridge Loans
Short-term Debt [Line Items]
Number of real estate properties | property				1	4
Residential Loan Warehouse Facility | LIBOR
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate		2%
Residential Loan Warehouse Facility | LIBOR | Minimum
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate		0.25%
Residential Loan Warehouse Facility | Non-QM Loans
Short-term Debt [Line Items]
Line of credit, remaining borrowing capacity		$ 500,000,000
Target advance rate		90%
Real Estate Owned, Property | Arroyo Trust
Short-term Debt [Line Items]
Long-term line of credit				$ 2,300,000
Number of real estate properties | property				1
Non-Agency CMBS and Non-Agency RMBS Facility
Short-term Debt [Line Items]
Debt instrument, term			12 months
Line of credit, remaining borrowing capacity				$ 91,100,000
Commercial Loans, at fair value				$ 129,900,000
Non-Agency CMBS and Non-Agency RMBS Facility | LIBOR
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate			2%
Non-Agency CMBS and Non-Agency RMBS Facility | SOFR
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate				2%
Non-Agency CMBS and Non-Agency RMBS Facility | SOFR | Securities Sold Under Agreements To Repurchase
Short-term Debt [Line Items]
Debt instrument, basis spread on variable rate				2.25%
Commercial Whole Loan Facility
Short-term Debt [Line Items]
Debt instrument, term			12 months
Debt instrument, term extensions at counterparty’s option			12 months
Commercial Whole Loan Facility | Estimated Fair Value
Short-term Debt [Line Items]
Commercial Loans, at fair value				$ 66,900,000
Commercial Whole Loan Facility | Repurchase Agreements
Short-term Debt [Line Items]
Line of credit facility, maximum borrowing capacity			$ 100,000,000
Commercial Whole Loan Facility | Securities Sold Under Agreements To Repurchase
Short-term Debt [Line Items]
Long-term debt				$ 48,000,000
Repurchase Agreements | Minimum
Short-term Debt [Line Items]
Debt instrument, term				1 month
Repurchase Agreements | Maximum
Short-term Debt [Line Items]
Debt instrument, term				12 months
Repurchase Agreements
Short-term Debt [Line Items]
Assets Pledged				$ 286,000,000	$ 787,100,000

Financings - Borrowings under R

Financings - Borrowings under Repurchase Agreements (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 193,117	$ 617,189
Less unamortized debt issuance costs	0	0
Repurchase agreements, net	$ 193,117	$ 617,189
Weighted Average Interest Rate on Borrowings Outstanding at end of period	6.57%	2.30%
Weighted average interest rate on borrowings outstanding at end of period, total	6.57%	2.30%
Weighted Average Remaining Maturity (days)	146 days	247 days
Repurchase Agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 142,811	$ 563,132
Weighted average interest rate	6.25%	2.24%
Weighted Average Remaining Maturity (days)	189 days	270 days
Repurchase Agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 55,154	$ 59,802
Weighted average interest rate	6.30%	2.14%
Weighted Average Remaining Maturity (days)	122 days	125 days
Repurchase Agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 19,129	$ 15,632
Weighted average interest rate	6.30%	2.14%
Weighted Average Remaining Maturity (days)	122 days	125 days
Repurchase Agreements | Non-Agency CMBS and Non-Agency RMBS Facility
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 91,146	$ 102,940
Weighted average interest rate	6.30%	2.16%
Weighted Average Remaining Maturity (days)	122 days	125 days
Repurchase Agreements | Residential Whole Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 3,633	$ 396,531
Weighted average interest rate	6.66%	2.25%
Weighted Average Remaining Maturity (days)	298 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	6.13%	2.27%
Weighted Average Remaining Maturity (days)	307 days	268 days
Repurchase Agreements | Other Securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 16,863	$ 27,506
Weighted average interest rate	6.30%	2.22%
Weighted Average Remaining Maturity (days)	122 days	125 days
Repurchase Agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 50,306	$ 54,057
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.47%	2.92%
Weighted Average Remaining Maturity (days)	26 days	6 days
Repurchase Agreements | Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 293	$ 976
Weighted Average Interest Rate on Borrowings Outstanding at end of period	4.78%	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	$ 48,237	$ 38,354
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.50%	2.94%
Weighted Average Remaining Maturity (days)	26 days	4 days
Repurchase Agreements | Residential Whole Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 0	$ 1,439
Weighted Average Interest Rate on Borrowings Outstanding at end of period	0%	2.57%
Weighted Average Remaining Maturity (days)	0 days	5 days
Repurchase Agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 0	$ 4,368
Weighted Average Interest Rate on Borrowings Outstanding at end of period	0%	2.61%
Weighted Average Remaining Maturity (days)	0 days	5 days
Repurchase Agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 0	$ 6,463
Weighted Average Interest Rate on Borrowings Outstanding at end of period	0%	3.20%
Weighted Average Remaining Maturity (days)	0 days	5 days
Repurchase Agreements | Other Securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,776	$ 2,457
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.09%	3.50%
Weighted Average Remaining Maturity (days)	17 days	18 days

Financings - Repurchase Agreeme

Financings - Repurchase Agreements Remaining Maturities (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 193,117	$ 617,189
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	50,013	53,081
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	293	370
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	0	606
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 142,811	$ 563,132

Financings - Collateral at Risk

Financings - Collateral at Risk Under its Repurchase Agreements Greater than 10% (Details) $ in Thousands	12 Months Ended
	Dec. 31, 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	$ 51,542
Weighted Average Remaining Maturity (days)	171 days
Percentage of Stockholders' Equity	54.40%
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	$ 40,235
Weighted Average Remaining Maturity (days)	122 days
Percentage of Stockholders' Equity	42.40%

Financings - Collateral Positio

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Collateral Positions
Assets Pledged	$ 0	$ 5,207
Accrued Interest	1,459	4,091
Assets Pledged and Accrued Interest	290,885	794,354
Assets pledged- fair value	289,426	790,263
Cash
Collateral Positions
Assets Pledged	3,410	3,151
Accrued Interest	0	0
Assets Pledged and Accrued Interest	3,410	3,151
Repurchase Agreements
Collateral Positions
Assets Pledged	286,000	787,100
Repurchase Agreements | Agency RMBS
Collateral Positions
Assets Pledged	249	1,172
Accrued Interest	0	19
Assets Pledged and Accrued Interest	249	1,191
Repurchase Agreements | Non-Agency CMBS
Collateral Positions
Assets Pledged	83,925	107,624
Accrued Interest	483	504
Assets Pledged and Accrued Interest	84,408	108,128
Repurchase Agreements | Non-Agency RMBS
Collateral Positions
Assets Pledged	104,487	66,555
Accrued Interest	533	343
Assets Pledged and Accrued Interest	105,020	66,898
Repurchase Agreements | Residential Whole Loans
Collateral Positions
Assets Pledged	3,229	453,447
Accrued Interest	3	2,674
Assets Pledged and Accrued Interest	3,232	456,121
Repurchase Agreements | Residential Bridge Loans
Collateral Positions
Assets Pledged	0	5,207
Accrued Interest	0	91
Assets Pledged and Accrued Interest	0	5,298
Repurchase Agreements | Commercial Loans
Collateral Positions
Assets Pledged	66,864	101,459
Accrued Interest	362	360
Assets Pledged and Accrued Interest	67,226	101,819
Repurchase Agreements | Other Securities
Collateral Positions
Assets Pledged	27,262	51,648
Accrued Interest	78	100
Assets Pledged and Accrued Interest	$ 27,340	$ 51,748

Financings - Convertible Senior

Financings - Convertible Senior Unsecured Notes (Details)	1 Months Ended	12 Months Ended
	Sep. 30, 2021 USD ($)	Dec. 31, 2022 USD ($) $ / shares	Sep. 30, 2022 USD ($)	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)	Mar. 31, 2021 USD ($)
Six Point Seventy Five Percent Convertible Senior Unsecured Notes Due 2022
Debt Instrument [Line Items]
Debt instrument, repurchase amount	$ 122,600,000	$ 26,000,000	$ 1,000,000	$ 7,200,000	$ 3,400,000	$ 8,000,000	$ 6,700,000
Debt instrument, interest rate, effective percentage	2.80%			0.60%	0.80%	1%	6.30%
Convertible Debt | 2024 Notes
Debt Instrument [Line Items]
Interest rate, stated percentage		6.75%
Principal Balance	$ 86,300,000
Proceeds from issuance of debt	$ 83,300,000
Redemption price, percentage	100%
Convertible senior unsecured notes, conversion ratio		0.337952
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares		$ 29.59
Convertible Debt | Six Point Seventy Five Percent Convertible Senior Unsecured Notes Due 2022
Debt Instrument [Line Items]
Interest rate, stated percentage		6.75%
Long-term debt						$ 37,700,000

Financings - Securitized Debt (

Financings - Securitized Debt (Narrative) (Details) - USD ($)	1 Months Ended			12 Months Ended
	Jul. 31, 2022	Feb. 28, 2022	May 31, 2019	Dec. 31, 2022	Jun. 30, 2022	Dec. 31, 2021	Jun. 30, 2020
Short-term Debt [Line Items]
Repurchase agreements, net				$ 193,117,000		$ 617,189,000
Arroyo Mortgage Trust 2019-2 | Secured Debt
Short-term Debt [Line Items]
Long-term debt				213,885,000
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans
Short-term Debt [Line Items]
Repurchase agreements, net			$ 919,000,000
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | Secured Debt
Short-term Debt [Line Items]
Long-term debt				$ 243,300,000
Redemption of offering notes				3 years
Debt instrument, collateral balance percentage				20%
Arroyo Mortgage Trust 2019-2 | Residential Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Transfer of residential mortgage-backed securitization			$ 945,500,000
Arroyo Mortgage Trust 2020-1 | Secured Debt
Short-term Debt [Line Items]
Long-term debt				$ 124,934,000
Arroyo Mortgage Trust 2020-1 | Residential Whole Loans
Short-term Debt [Line Items]
Repurchase agreements, net					$ 341,700,000		$ 341,700,000
Arroyo Mortgage Trust 2020-1 | Residential Whole Loans | Secured Debt
Short-term Debt [Line Items]
Long-term debt				$ 140,500,000
Redemption of offering notes				3 years
Debt instrument, collateral balance percentage				30%
Arroyo Mortgage Trust 2020-1 | Residential Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Line of credit facility, maximum borrowing capacity							$ 355,800,000
Arroyo Mortgage Trust 2022 1 | Secured Debt
Short-term Debt [Line Items]
Long-term debt				$ 318,219,000
Arroyo Mortgage Trust 2022 1 | Residential Whole Loans
Short-term Debt [Line Items]
Repurchase agreements, net		$ 398,900,000
Arroyo Mortgage Trust 2022 1 | Residential Whole Loans | Secured Debt
Short-term Debt [Line Items]
Long-term debt				$ 394,700,000
Redemption of offering notes				3 years
Arroyo Mortgage Trust 2022 1 | Residential Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Transfer of residential mortgage-backed securitization		432,000,000
Repurchase agreements, net				$ 350,700,000
Line of credit facility, maximum borrowing capacity		$ 432,000,000
Arroyo Mortgage Trust 2022-2 | Secured Debt
Short-term Debt [Line Items]
Long-term debt				324,035,000
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans
Short-term Debt [Line Items]
Repurchase agreements, net	$ 351,900,000
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans | Secured Debt
Short-term Debt [Line Items]
Long-term debt				$ 385,000,000
Redemption of offering notes				3 years
Debt instrument, collateral balance percentage				30%
Arroyo Mortgage Trust 2022-2 | Residential Whole Loans | Arroyo Trust
Short-term Debt [Line Items]
Transfer of residential mortgage-backed securitization	402,200,000
Repurchase agreements, net				$ 363,300,000
Line of credit facility, maximum borrowing capacity	$ 402,200,000
CSMC Trust
Short-term Debt [Line Items]
Trust certificates issued				1,400,000,000
CSMC Trust | Affiliated Entity
Short-term Debt [Line Items]
Trust certificates issued				186,000,000
CSMC Trust | Third Party
Short-term Debt [Line Items]
Trust certificates issued				1,200,000,000
CSMC Trust | Secured Debt
Short-term Debt [Line Items]
Securitized Debt				1,077,611,000
CSMC Trust | Secured Debt | Class F
Short-term Debt [Line Items]
Debt default, amount				14,900,000
Securitized Debt				77,242,000
CSMC Trust | Secured Debt | Class F | Estimated Fair Value
Short-term Debt [Line Items]
Securitized Debt				1,100,000,000
CSMC Trust | Securitized Commercial Loans
Short-term Debt [Line Items]
Principal balance				$ 1,400,000,000

Financings - Commercial Mortgag

Financings - Commercial Mortgage Pass-Through Certificates (Details) - Secured Debt $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($)
Arroyo Mortgage Trust 2019-2
Debt Instrument [Line Items]
Principal Balance	$ 216,489
Carrying Value	216,489
Less: Unamortized Deferred Financing Costs	2,604
Total	213,885
Arroyo Mortgage Trust 2020-1
Debt Instrument [Line Items]
Principal Balance	126,476
Carrying Value	126,476
Less: Unamortized Deferred Financing Costs	1,542
Total	124,934
Arroyo Mortgage Trust 2022 1
Debt Instrument [Line Items]
Principal Balance	362,424
Total	318,219
Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	335,749
Total	324,035
CSMC Trust
Debt Instrument [Line Items]
Principal Balance	1,370,691
Fair Value	1,077,611
Class A-1 | Arroyo Mortgage Trust 2019-2
Debt Instrument [Line Items]
Principal Balance	$ 168,131
Coupon	3.30%
Carrying Value	$ 168,131
Class A-1 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 267,533
Coupon	5%
Carrying Value	$ 260,217
Class A-1 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 120,391
Coupon	3.30%
Fair Value	$ 108,591
Class A-1A | Arroyo Mortgage Trust 2020-1
Debt Instrument [Line Items]
Principal Balance	$ 74,425
Coupon	1.70%
Carrying Value	$ 74,425
Class A-1A | Arroyo Mortgage Trust 2022 1
Debt Instrument [Line Items]
Principal Balance	$ 212,307
Coupon	2.50%
Carrying Value	$ 194,438
Class A-1B | Arroyo Mortgage Trust 2020-1
Debt Instrument [Line Items]
Principal Balance	$ 8,831
Coupon	2.10%
Carrying Value	$ 8,831
Class A-1B | Arroyo Mortgage Trust 2022 1
Debt Instrument [Line Items]
Principal Balance	$ 82,942
Coupon	3.30%
Carrying Value	$ 73,259
Class A-2 | Arroyo Mortgage Trust 2019-2
Debt Instrument [Line Items]
Principal Balance	$ 9,017
Coupon	3.50%
Carrying Value	$ 9,017
Class A-2 | Arroyo Mortgage Trust 2020-1
Debt Instrument [Line Items]
Principal Balance	$ 13,518
Coupon	2.90%
Carrying Value	$ 13,518
Class A-2 | Arroyo Mortgage Trust 2022 1
Debt Instrument [Line Items]
Principal Balance	$ 21,168
Coupon	3.60%
Carrying Value	$ 17,054
Class A-2 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 22,773
Coupon	5%
Carrying Value	$ 21,983
Class A-2 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 531,700
Coupon	4%
Fair Value	$ 477,678
Class A-3 | Arroyo Mortgage Trust 2019-2
Debt Instrument [Line Items]
Principal Balance	$ 14,286
Coupon	3.80%
Carrying Value	$ 14,286
Class A-3 | Arroyo Mortgage Trust 2020-1
Debt Instrument [Line Items]
Principal Balance	$ 17,963
Coupon	3.30%
Carrying Value	$ 17,963
Class A-3 | Arroyo Mortgage Trust 2022 1
Debt Instrument [Line Items]
Principal Balance	$ 28,079
Coupon	3.70%
Carrying Value	$ 21,308
Class A-3 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 27,749
Coupon	5%
Carrying Value	$ 26,619
Class M-1 | Arroyo Mortgage Trust 2019-2
Debt Instrument [Line Items]
Principal Balance	$ 25,055
Coupon	4.80%
Carrying Value	$ 25,055
Class M-1 | Arroyo Mortgage Trust 2020-1
Debt Instrument [Line Items]
Principal Balance	$ 11,739
Coupon	4.30%
Carrying Value	$ 11,739
Class M-1 | Arroyo Mortgage Trust 2022 1
Debt Instrument [Line Items]
Principal Balance	$ 17,928
Coupon	3.70%
Carrying Value	$ 12,160
Class M-1 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 17,694
Coupon	5%
Carrying Value	$ 15,216
Class B | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 136,400
Coupon	4.20%
Fair Value	$ 115,782
Class C | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 94,500
Coupon	4.30%
Fair Value	$ 76,304
Class D | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,950
Coupon	4.40%
Fair Value	$ 113,229
Class E | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 180,150
Coupon	4.40%
Fair Value	$ 99,858
Class F | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,600
Coupon	4.40%
Fair Value	$ 77,242
Class X-1 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0.70%
Fair Value	$ 7,430
Notional amount of nonderivative instruments	$ 652,100
Class X-2 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0.20%
Fair Value	$ 1,497
Notional amount of nonderivative instruments	$ 733,500

Derivative Instruments - Summar

Derivative Instruments - Summary (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Fair Value
Derivative Assets	$ 715	$ 1,163
Derivative liabilities	(61)	(602)
Derivative Instruments Not Accounted as Hedges Under GAAP
Fair Value
Derivative Assets	1	105
Derivative liabilities	(61)	(602)
Total derivative instruments, net	(60)	(497)
Interest rate swaps | Derivative Instruments Not Accounted as Hedges Under GAAP
Notional Amount
Notional amount, assets	60,000	0
Notional amount, liabilities	98,000	22,000
Fair Value
Derivative Assets	1	0
Derivative liabilities	(61)	(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 - Gains

Derivative Instruments - Gains and Losses (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	$ (1,762)	$ 0	$ (13,134)
Mark-to-Market	3,499	(208)	(3,953)
Total	16,218	549	(197,703)
Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(1,723)	64	(13,086)
Variation Margin Settlement	13,765	490	(179,759)
Return (Recovery) of Basis	(102)	(300)	(834)
Mark-to-Market	3,499	(208)	(3,953)
Contractual interest income (expense), net	779	503	(71)
Total	16,218	549	(197,703)
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	(262)
Variation Margin Settlement	13,765	490	(179,759)
Return (Recovery) of Basis	0	0	262
Mark-to-Market	3,348	(38)	(2,515)
Contractual interest income (expense), net	628	109	(1,395)
Total	14,370	561	(183,669)
Interest rate swaptions | Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	(161)		80
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)		80
Interest-Only Strips—accounted for as derivatives | Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	0	0	(940)
Variation Margin Settlement	0	0	0
Return (Recovery) of Basis	(102)	(300)	(1,096)
Mark-to-Market	(242)	(206)	(532)
Contractual interest income (expense), net	151	394	1,324
Total	(193)	(112)	(1,244)
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	(242)	64	(9,534)
Variation Margin Settlement	0	0	0
Return (Recovery) of Basis	0	0	0
Mark-to-Market	393	36	(1,834)
Contractual interest income (expense), net	0	0	0
Total	151	$ 100	(11,368)
TBAs | Derivative Instruments Not Accounted as Hedges Under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements / Expirations	2,051		(2,430)
Variation Margin Settlement	0		0
Return (Recovery) of Basis	0		0
Mark-to-Market	0		928
Contractual interest income (expense), net	0		0
Total	$ 2,051		$ (1,502)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($) $ in Millions	Dec. 31, 2022	Dec. 31, 2021
Due From Counterparties
Derivative [Line Items]
Collateral already posted, aggregate fair value	$ 3.2	$ 1.4

Derivative Instruments - Intere

Derivative Instruments - Interest Rate Swaps (Details) - Interest rate swaps $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($)
Currency swaps and forwards
Notional Amount	$ 158,000
Average Fixed Pay Rate	1.40%
Average Floating Receive Rate	2.20%
Average Maturity (Years)	3 years 10 months 24 days
Greater than 1 years and less than 3 years
Currency swaps and forwards
Notional Amount	$ 60,000
Average Fixed Pay Rate	1.40%
Average Floating Receive Rate	2%
Average Maturity (Years)	1 year 3 months 18 days
Greater than 3 years and less than 5 years
Currency swaps and forwards
Notional Amount	$ 70,000
Average Fixed Pay Rate	1.40%
Average Floating Receive Rate	1.80%
Average Maturity (Years)	4 years 1 month 6 days
Greater than 5 years
Currency swaps and forwards
Notional Amount	$ 28,000
Average Fixed Pay Rate	1.70%
Average Floating Receive Rate	3.60%
Average Maturity (Years)	9 years

Derivative Instruments - TBAs (

Derivative Instruments - TBAs (Details) - TBAs - Derivative Instruments Not Accounted as Hedges Under GAAP $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($)
Long
Derivative Notional Amount [Roll Forward]
Derivative, notional amount	$ 0
Additions	600,000
Settlement, Termination, Expiration or Exercise	(600,000)
Derivative, notional amount	0
Short
Derivative Notional Amount [Roll Forward]
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	Dec. 31, 2022	Dec. 31, 2021
Derivative Assets
Gross Amounts	$ 715	$ 1,163
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	715	1,163
Gross amounts not offset in the consolidated balance sheets, financial  instruments	(197)	(1,163)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	$ 518	0
Derivative Asset, Statement of Financial Position [Extensible Enumeration]	Derivative assets, at fair value
Derivative Liabilities and Repurchase Agreements
Gross amounts of derivative liability, fair value	$ 61	602
Gross  amounts offset in the consolidated balance sheets, derivative liability, at fair value	0	0
Derivative liability, at fair value	61	602
Gross amounts not offset in the consolidated balance sheets, financial instruments, derivative liability, at fair value	(1)	(105)
Gross amounts not offset in the consolidated balance sheets, cash collateral, derivative liability, at fair value	(60)	(497)
Derivative liability, at fair value, net Amount	0	0
Gross amounts of repurchase agreements	193,117	617,189
Gross amounts offset in the consolidated balance sheets, repurchase agreements	0	0
Repurchase agreements, net	193,117	617,189
Gross amounts not offset in the consolidated balance sheets, financial instruments, repurchase agreements	(193,073)	(617,189)
Gross amounts not offset in the consolidated balance sheets, cash collateral, repurchase agreements	(44)	0
Repurchase agreements, net amount	0	0
Gross amounts of total liabilities	193,178	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	193,178	617,791
Gross amounts not offset in the consolidated balance sheets, financial instruments, total liabilities	(193,074)	(617,294)
Gross Amounts Not Offset in the Consolidated Balance Sheets, cash collateral, total liability	(104)	(497)
Total liabilities, net amount	0	0
Fair value of investments pledged against repurchase agreements	286,000	787,100
Derivative Counterparties
Derivative Liabilities and Repurchase Agreements
Gross Amounts Not Offset in the Consolidated Balance Sheets, cash collateral, total liability	(3,200)	(1,400)
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
Derivative Assets
Gross Amounts	714	1,058
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	714	1,058
Gross amounts not offset in the consolidated balance sheets, financial  instruments	(196)	(1,058)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	518	0
Derivative asset, at fair value
Derivative Assets
Gross Amounts	1	105
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Consolidated Balance Sheets	1	105
Gross amounts not offset in the consolidated balance sheets, financial  instruments	(1)	(105)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	$ 0	$ 0

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Related Party Transactions
Management fees	$ 3,942	$ 5,937	$ 4,544
Western Asset Management Company
Related Party Transactions
Management fees percentage	1.50%
Renewal term of management agreement period	1 year
Notice period to terminate the management agreement following initial term	180 days
Termination fee of management agreement	3
Prior period over which management fees were incurred used to calculate the termination fee under the management agreement	24 months
Notice period to terminate the management agreement for cause	30 days
Management fees	$ 3,900	$ 5,900	4,500
Management fee waived, percent		25%
Reimbursable employee costs	604	$ 1,900	$ 1,700
Management fees incurred but not yet paid	3,900	1,500
Reimbursable employee costs incurred but not yet paid	$ 86	$ 457
Western Asset Management Company | Minimum
Related Party Transactions
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage	67%
Proportion of affirmative votes by the entity's independent directors to terminate the management agreement percentage	67%

Share-Based Payments (Details)

Share-Based Payments (Details) $ / shares in Units, $ in Thousands					12 Months Ended
	Jul. 11, 2022 shares	Jun. 30, 2022 shares	Jun. 24, 2022 director shares	Jun. 25, 2021 director shares	Dec. 31, 2022 USD ($) $ / shares shares	Dec. 31, 2021 USD ($) $ / shares shares	Dec. 31, 2020 USD ($) $ / shares shares	Jun. 28, 2022 shares
Share-Based Payments
Stock-based compensation expense recognized | $					$ 435	$ 618	$ 699
Common Stock Outstanding
Share-Based Payments
Number of shares remained available for issuance (in shares)	100,000							1,000,000
June 2022
Summary of restricted common stock vesting dates
Shares Vesting (in shares)					0	8,116
Restricted Stock Units
Shares unvested at end of year (in shares)					0	8,116
June 2023
Summary of restricted common stock vesting dates
Shares Vesting (in shares)					31,704	0
Restricted Stock Units
Shares unvested at end of year (in shares)					31,704	0
June 2024
Summary of restricted common stock vesting dates
Shares Vesting (in shares)					10,000	0
Restricted Stock Units
Shares unvested at end of year (in shares)					10,000	0
Restricted common stock
Share-Based Payments
Granted (in shares)					48,971	14,815
Vested (in shares)					11,716	13,782	6,748
Summary of restricted common stock vesting dates
Shares Vesting (in shares)					41,704	11,716
Restricted Stock Units
Outstanding, beginning of period (in shares)					114,825	102,556
Granted (in shares)					48,971	14,815
Cancelled/forfeited (in shares)					0	(2,546)
Outstanding, end of period (in shares)					163,796	114,825	102,556
Shares unvested at end of year (in shares)					41,704	11,716
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share) | $ / shares					$ 131.85	$ 140.99
Granted (in dollars per share) | $ / shares					12.61	50.72
Cancelled/forfeited (in dollars per share) | $ / shares					0	27.50
Outstanding at end of year (in dollars per share) | $ / shares					96.20	131.85	$ 140.99
Unvested at end of year (in dollars per share) | $ / shares					$ 12.52	$ 56.19
Restricted common stock | Scenario 1
Share-Based Payments
Granted (in shares)	21,704		217,040
Restricted Stock Units
Granted (in shares)	21,704		217,040
Restricted common stock | Scenario 2
Share-Based Payments
Granted (in shares)	8,116			81,160
Restricted Stock Units
Granted (in shares)	8,116			81,160
Restricted common stock | Director Deferred Fee Plan
Share-Based Payments
Granted (in shares)					7,267	6,698
Restricted Stock Units
Granted (in shares)					7,267	6,698
Restricted common stock | March 2022
Summary of restricted common stock vesting dates
Shares Vesting (in shares)					0	3,600
Restricted Stock Units
Shares unvested at end of year (in shares)					0	3,600
Restricted common stock | Director | Scenario 1
Share-Based Payments
Granted (in shares)	5,426		54,260
Number of independent directors to whom awards were granted | director			4
Restricted Stock Units
Granted (in shares)	5,426		54,260
Restricted common stock | Director | Scenario 2
Share-Based Payments
Granted (in shares)	2,029			20,290
Number of independent directors to whom awards were granted | director				4
Restricted Stock Units
Granted (in shares)	2,029			20,290
Restricted common stock | Chief Financial Officer
Share-Based Payments
Granted (in shares)	20,000	200,000
Restricted Stock Units
Granted (in shares)	20,000	200,000
Equity awards
Share-Based Payments
Unamortized compensation expense | $					$ 298	$ 211

Stockholders' Equity (Details)

Stockholders' Equity (Details) $ / shares in Units, $ in Millions																			12 Months Ended
		Jan. 26, 2023 $ / shares	Dec. 21, 2022 $ / shares	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	Dec. 31, 2022 $ / shares shares	Dec. 31, 2021 $ / shares shares	Dec. 31, 2020 shares	Jun. 30, 2022 $ / shares shares	Dec. 31, 2019 shares	Mar. 31, 2017 USD ($)
Shareholders equity
Stockholders' equity note, stock split, conversion ratio							0.1
Common stock, shares authorized (in shares)							50,000,000												50,000,000	50,000,000		500,000,000
Common stock, shares outstanding (in shares)							6,038,012												6,038,012	6,038,010		60,380,105
Common stock, shares issued (in shares)							6,038,012												6,038,012	6,038,010		60,380,105
Common stock, par value (in dollars per share) | $ / shares							$ 0.01												$ 0.01	$ 0.01		$ 0.01
Treasury stock (in shares)																			0
Shares authorized to be repurchased (in shares)																				300,000
Dividends declared per share of common stock (in dollars per share) | $ / shares			$ 0.40		$ 0.40			$ 0.04		$ 0.04		$ 0.06		$ 0.06		$ 0.06		$ 0.06
Dividends paid per share of common stock (in dollars per share) | $ / shares				$ 0.40		$ 0.04			$ 0.04		$ 0.06		$ 0.06		$ 0.06		$ 0.06
Subsequent Event
Shareholders equity
Dividends paid per share of common stock (in dollars per share) | $ / shares		$ 0.40
Common Stock
Shareholders equity
Common stock, shares issued (in shares)	[1]																		6,038,012	6,038,012	6,081,272		5,352,390
Treasury stock (in shares)	[1]																			47,981	10,000
Common Stock | At The Market Offering
Shareholders equity
Equity offering amount, maximum | $																								$ 100
Treasury stock (in shares)																			0	0
[1]Amounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2, "Basis of Presentation and Summary of Significant Accounting Policies" and Note 12, "Stockholders' Equity" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional details.

Net Income (Loss) per Common _3

Net Income (Loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands		12 Months Ended
		Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Numerator:
Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share		$ (89,079)	$ (48,953)	$ (328,354)
Dividends and undistributed earnings allocated to participating securities, basic		95	89	36
Dividends and undistributed earnings allocated to participating securities, diluted		95	89	36
Net income loss allocable to common stockholders — basic and diluted, basic		(89,174)	(49,042)	(328,390)
Net income loss allocable to common stockholders — basic and diluted, diluted		$ (89,174)	$ (49,042)	$ (328,390)
Denominator:
Weighted average common shares outstanding for basic earnings per share (in shares)		6,037,164	6,074,714	5,741,138
Weighted average common shares outstanding for diluted earnings per share (in shares)		6,037,164	6,074,714	5,741,138
Basic loss per common share (in dollars per share)	[1]	$ (14.77)	$ (8.07)	$ (57.20)
Diluted loss per common share (in dollars per share)	[1]	$ (14.77)	$ (8.07)	$ (57.20)
[1]mounts have been adjusted to reflect the one-for-ten reverse stock split effected July 11, 2022. See Note 2, "Basis of Presentation and Summary of Significant Accounting Policies" and Note 12, "Stockholders' Equity" to the consolidated financial statements contained in this Annual Report on Form 10-K for additional details.

Income Taxes - Narrative (Detai

Income Taxes - Narrative (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Income Tax Contingency [Line Items]
Income tax provision	$ 171	$ 99	$ 396
Deferred tax asset, capital loss carry-forward	7,929	10,384
Deferred tax assets, net operating losses	16,111	16,302
Valuation allowances balance	29,616	28,535
Operating Loss Carryforwards
Income Tax Contingency [Line Items]
Valuation allowances balance	16,100	16,300
State and Local Jurisdiction
Income Tax Contingency [Line Items]
Deferred tax assets, net operating losses	14,500	14,700
Taxable REIT Subsidiary
Income Tax Contingency [Line Items]
Deferred tax asset, capital loss carry-forward	13,500	12,200
Taxable REIT Subsidiary | State and Local Jurisdiction
Income Tax Contingency [Line Items]
Deferred tax assets, net operating losses	$ 1,600	$ 1,600

Income Taxes - Components of In

Income Taxes - Components of Income Tax Expense (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Current Tax Provision (Benefit)
Federal	$ 171	$ 55	$ 527
State	0	44	(452)
Total Current Provision for Income Taxes, net	171	99	75
Deferred Provision (Benefit) for Income Taxes
Federal	0	0	(85)
State	0	0	406
Total Deferred Benefit for Income Taxes, net	0	0	321
Total Income Tax Provision, net	$ 171	$ 99	$ 396

Income Taxes - Deferred Tax Ass

Income Taxes - Deferred Tax Asset/Liability (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Deferred Tax Asset
Net operating loss available for carry-back and carry-forward	$ 16,111	$ 16,302
Net capital loss carry-forward	7,929	10,384
Investments	5,576	1,849
Deferred tax asset	29,616	28,535
Allowance	(29,616)	(28,535)
Net deferred tax asset	0	0
Deferred Tax Liability
Net operating loss available for carry-back and carry-forward	0	0
Net deferred tax liability	$ 0	$ 0

Income Taxes - Reconciliation o

Income Taxes - Reconciliation of Tax Rate to Effective Tax Rate (Details)	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Effective Income Tax Rate Reconciliation, Percent [Abstract]
Federal statutory rate	21%	21%
State statutory rate, net of federal benefit	0.40%	(6.90%)
Other	0%	0.20%
Change in valuation allowance	(3.30%)	16.30%
REIT earnings not subject to corporate taxes	(18.30%)	(30.80%)
Effective Tax Rate	(0.20%)	(0.20%)

Subsequent Events (Details)

Subsequent Events (Details) - USD ($) $ in Thousands	Feb. 03, 2023	Dec. 31, 2022	Jun. 30, 2022	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Subsequent Event [Line Items]
Fair Value		$ 2,269,099		$ 2,515,310	$ 2,938,556	$ 2,691,532
CRE 3 | Interest-Only Mezzanine loan | Securitized Commercial Loans
Subsequent Event [Line Items]
Fair Value			$ 26,900
CRE 3 | Interest-Only Mezzanine loan | Securitized Commercial Loans | Subsequent Event
Subsequent Event [Line Items]
Fair Value	$ 8,800

Schedule IV - Mortgage Loans _2

Schedule IV - Mortgage Loans on Real Estate (Details)	12 Months Ended
	Dec. 31, 2022 USD ($) loan	Dec. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)
Mortgage Loans on Real Estate
Principal balance	$ 2,725,624,000
Fair Value	2,269,099,000	$ 2,515,310,000	$ 2,938,556,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	101,904,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Beginning balance	2,515,310,000	2,938,556,000	2,691,532,000
New mortgage loans	411,919,000	427,848,000	113,340,000
Unrealized gains	0	100,598,000	0
Realized gains	91,000	35,000	0
Capitalized interest	96,000	485,000	829,000
Mortgage loan of consolidated VIE	0	0	1,245,287,000
Collections of principal	239,398,000	872,612,000	713,854,000
Transfer to REO	2,256,000	30,751,000	419,000
Amortization of premium and (discounts), net	(20,701,000)	(15,053,000)	(4,805,000)
Unrealized losses	425,527,000	63,661,000	97,089,000
Sales of mortgage loans	11,736,000	0	144,259,000
Realized losses	101,000	241,000	10,812,000
Mortgage loan of deconsolidated VIE	0	0	150,804,000
Balance at end of period	2,269,099,000	$ 2,515,310,000	$ 2,938,556,000
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000
Mortgage Loans on Real Estate
Principal balance	32,000,000
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000
Mortgage Loans on Real Estate
Principal balance	90,000,000
Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000
Mortgage Loans on Real Estate
Principal balance	40,000,000
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521
Mortgage Loans on Real Estate
Principal balance	13,206,521
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783
Mortgage Loans on Real Estate
Principal balance	24,534,783
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696
Mortgage Loans on Real Estate
Principal balance	7,258,696
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000
Mortgage Loans on Real Estate
Principal balance	$ 1,400,000,000
Coupon Rate	4.38%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 78,456,000
Number of Loans | loan	518
Fair Value	$ 77,462,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	77,462,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 203,089,000
Number of Loans | loan	637
Fair Value	$ 199,462,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	338,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	199,462,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Principal balance	$ 130,112,000
Number of Loans | loan	231
Fair Value	$ 126,555,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	1,623,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	126,555,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 69,656,000
Number of Loans | loan	89
Fair Value	$ 67,470,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	790,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	67,470,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Principal balance	$ 32,683,000
Number of Loans | loan	31
Fair Value	$ 31,534,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	937,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	31,534,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Principal balance	$ 29,867,000
Number of Loans | loan	24
Fair Value	$ 28,605,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	1,321,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	28,605,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Principal balance	$ 29,348,000
Number of Loans | loan	17
Fair Value	$ 28,684,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	28,684,000
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 0
Coupon Rate	2.50%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 250,000
Coupon Rate	2.70%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Principal balance	$ 500,000
Coupon Rate	2.50%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 750,000
Coupon Rate	3.40%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Principal balance	$ 1,000,000
Coupon Rate	3.50%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Principal balance	$ 1,250,000
Coupon Rate	3.40%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Principal balance	$ 1,500,000
Coupon Rate	2.90%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 249,999
Coupon Rate	6.40%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 499,999
Coupon Rate	5.90%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Principal balance	$ 749,999
Coupon Rate	6.30%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 999,999
Coupon Rate	6.20%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Principal balance	$ 1,249,999
Coupon Rate	5.80%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Principal balance	$ 1,499,999
Coupon Rate	5.60%
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Coupon Rate	6.10%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 77,047,000
Number of Loans | loan	464
Fair Value	$ 69,854,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	69,854,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 161,520,000
Number of Loans | loan	481
Fair Value	$ 145,326,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	980,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	145,326,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Principal balance	$ 147,193,000
Number of Loans | loan	252
Fair Value	$ 131,322,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	641,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	131,322,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 88,557,000
Number of Loans | loan	106
Fair Value	$ 79,389,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	79,389,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Principal balance	$ 53,027,000
Number of Loans | loan	49
Fair Value	$ 47,986,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	2,108,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	47,986,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Principal balance	$ 33,542,000
Number of Loans | loan	26
Fair Value	$ 30,117,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	30,117,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Principal balance	$ 31,203,000
Number of Loans | loan	18
Fair Value	$ 27,378,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	27,378,000
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 0
Coupon Rate	3.70%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 250,000
Coupon Rate	2.90%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Principal balance	$ 500,000
Coupon Rate	2.50%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 750,000
Coupon Rate	2.90%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Principal balance	$ 1,000,000
Coupon Rate	2.90%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Principal balance	$ 1,250,000
Coupon Rate	2.70%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Principal balance	$ 1,500,000
Coupon Rate	3.10%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 249,999
Coupon Rate	7.10%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 499,999
Coupon Rate	7.20%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999
Mortgage Loans on Real Estate
Principal balance	$ 749,999
Coupon Rate	6.10%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 999,999
Coupon Rate	6.40%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999
Mortgage Loans on Real Estate
Principal balance	$ 1,249,999
Coupon Rate	5.90%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999
Mortgage Loans on Real Estate
Principal balance	$ 1,499,999
Coupon Rate	6.30%
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above
Mortgage Loans on Real Estate
Coupon Rate	5.70%
Residential Bridge Loans | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal balance	$ 1,168,466,000
Fair Value	1,093,994,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	1,093,994,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts
Mortgage Loans on Real Estate
Principal Amount of Loans Subject to Delinquent Principal or Interest	11,904,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 75,000
Number of Loans | loan	1
Fair Value	$ 68,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	75,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	68,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 420,000
Number of Loans | loan	1
Coupon Rate	11.30%
Fair Value	$ 378,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	420,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	378,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 2,671,000
Number of Loans | loan	3
Fair Value	$ 2,404,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	2,671,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	2,404,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 0
Coupon Rate	9.80%
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 250,000
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 750,000
Coupon Rate	8.50%
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999
Mortgage Loans on Real Estate
Principal balance	$ 249,999
Coupon Rate	12.30%
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999
Mortgage Loans on Real Estate
Principal balance	$ 499,999
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999
Mortgage Loans on Real Estate
Principal balance	$ 999,999
Coupon Rate	10%
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust
Mortgage Loans on Real Estate
Principal balance	$ 1,385,591,000
Fair Value	1,085,103,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	1,085,103,000
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000
Mortgage Loans on Real Estate
Principal balance	$ 14,362,000
Number of Loans | loan	1
Fair Value	$ 14,362,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	14,362,000
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000
Mortgage Loans on Real Estate
Principal balance	$ 1,385,591,000
Number of Loans | loan	1
Fair Value	$ 1,085,103,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	1,085,103,000
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust
Mortgage Loans on Real Estate
Principal balance	171,567,000
Fair Value	90,002,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	90,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	90,002,000
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000
Mortgage Loans on Real Estate
Principal balance	$ 90,000,000
Number of Loans | loan	1
Fair Value	$ 8,777,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	90,000,000
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	8,777,000
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000
Mortgage Loans on Real Estate
Principal balance	$ 22,204,000
Number of Loans | loan	1
Fair Value	$ 22,050,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	22,050,000
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521
Mortgage Loans on Real Estate
Principal balance	$ 13,207,000
Number of Loans | loan	1
Fair Value	$ 13,151,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	13,151,000
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783
Mortgage Loans on Real Estate
Principal balance	$ 24,535,000
Number of Loans | loan	1
Fair Value	$ 24,433,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	24,433,000
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696
Mortgage Loans on Real Estate
Principal balance	$ 7,259,000
Number of Loans | loan	1
Fair Value	$ 7,229,000
Principal Amount of Loans Subject to Delinquent Principal or Interest	0
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
Balance at end of period	$ 7,229,000
LIBOR | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000
Mortgage Loans on Real Estate
Coupon Rate	4.10%
LIBOR | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000
Mortgage Loans on Real Estate
Coupon Rate	9.25%
LIBOR | Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000
Mortgage Loans on Real Estate
Coupon Rate	3.38%
LIBOR | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521
Mortgage Loans on Real Estate
Coupon Rate	3.75%
LIBOR | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783
Mortgage Loans on Real Estate
Coupon Rate	3.75%
LIBOR | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696
Mortgage Loans on Real Estate
Coupon Rate	3.75%