Western Asset Mortgage Capital (WMC) 10-Q 8 Nov 23 2023 Q3 Quarterly report Financial data

Cover

Cover - shares	9 Months Ended
	Sep. 30, 2023	Nov. 08, 2023
Cover [Abstract]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2023
Document Transition Report	false
Entity File Number	001-35543
Entity Registrant Name	Western Asset Mortgage Capital Corporation
Entity Incorporation, State or Country Code	DE
Entity Tax Identification Number	27-0298092
Entity Address, Address Line One	385 East Colorado Boulevard,
Entity Address, City or Town	Pasadena
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	91101
City Area Code	626
Local Phone Number	844-9400
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	true
Entity Emerging Growth Company	false
Entity Shell Company	false
Title of 12(b) Security	Common Stock, $0.01 par value
Trading Symbol	WMC
Security Exchange Name	NYSE
Entity Common Stock, Shares Outstanding (in shares)		6,049,559
Entity Central Index Key	0001465885
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2023
Document Fiscal Period Focus	Q3

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Assets:
Cash and cash equivalents		$ 24,608	$ 18,011
Restricted cash		0	248
Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively)		986,978	1,091,145
Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively)		2,782	2,849
Securitized Commercial Loan, at fair value		1,012,650	1,085,103
Commercial Loans, at fair value ($66,202 and $66,864 pledged as collateral, at fair value, respectively)		78,701	90,002
Investment related receivable		8,648	5,960
Interest receivable		10,913	11,330
Due from counterparties		1,262	6,574
Derivative assets, at fair value		0	1
Other assets		4,145	4,860
Total assets	[1]	2,235,776	2,453,234
Liabilities:
Repurchase agreements, net		169,910	193,117
Convertible senior unsecured notes, net		84,750	83,522
Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively)		1,884,375	2,058,684
Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively)		8,638	12,794
Due to counterparties		103	300
Derivative liability, at fair value		845	61
Accounts payable and accrued expenses		6,021	3,201
Payable to affiliate		1,002	4,028
Dividend payable		2,117	2,415
Other liabilities		25	300
Total liabilities	[2]	2,157,786	2,358,422
Commitments and contingencies (Note 15)
Stockholders’ Equity:
Common stock, $0.01 par value, 50,000,000 shares authorized, 6,049,559 and 6,038,012 outstanding, respectively		60	60
Preferred stock, $0.01 par value, 10,000,000 shares authorized and no shares outstanding		0	0
Treasury stock, at cost, 57,981 and 57,981 shares held, respectively		(1,665)	(1,665)
Additional paid-in capital		919,646	919,238
Retained earnings (accumulated deficit)		(840,055)	(822,829)
Total Stockholders’ Equity		77,986	94,804
Non-controlling interest		4	8
Total Equity		77,990	94,812
Total Liabilities and Equity		2,235,776	2,453,234
VIE
Assets:
Restricted cash		0	248
Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively)		986,978	1,091,145
Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively)		2,782	2,849
Securitized Commercial Loan, at fair value		1,012,650	1,085,103
Commercial Loans, at fair value ($66,202 and $66,864 pledged as collateral, at fair value, respectively)		12,499	14,362
Investment related receivable		8,602	5,914
Interest receivable		9,731	10,182
Other assets		0	509
Total assets		2,033,242	2,210,312
Liabilities:
Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively)		1,884,375	2,058,684
Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively)		7,887	8,303
Accounts payable and accrued expenses		21	43
Other liabilities		0	248
Total liabilities		1,892,283	2,067,278
Subtotal Agency MBS
Assets:
Securities, at fair value		895	767
Non-Agency MBS
Assets:
Securities, at fair value		87,327	109,122
Other securities
Assets:
Securities, at fair value		$ 16,867	$ 27,262
[1] September 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) 986,978 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Investment related receivable 8,602 5,914 Interest receivable 9,731 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,033,242 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively) $ 1,884,375 $ 2,058,684 Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively) 7,887 8,303 Accounts payable and accrued expenses 21 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,892,283 $ 2,067,278 September 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) 986,978 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Investment related receivable 8,602 5,914 Interest receivable 9,731 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,033,242 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively) $ 1,884,375 $ 2,058,684 Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively) 7,887 8,303 Accounts payable and accrued expenses 21 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,892,283 $ 2,067,278

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($)	Sep. 30, 2023	Dec. 31, 2022
Commercial loans, at fair value	$ 66,202,000	$ 66,864,000
Secured debt, held by affiliates	1,884,375,000	2,058,684,000
Interest payable	$ 8,638,000	$ 12,794,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	50,000,000	50,000,000
Common stock, shares outstanding (in shares)	6,049,559	6,038,012
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)	10,000,000	10,000,000
Preferred stock, shares outstanding (in shares)	0	0
Treasury stock, shares held (in shares)	57,981	57,981,000
Affiliated Entity
Securitized debt, at fair value	$ 1,582,278,000	$ 1,719,865,000
Secured debt, held by affiliates	110,081,000	128,217,000
Interest payable	615,000	655,000
VIE
Fair value of collateral, residential home loans	986,978,000	1,089,914,000
Residential bridge loans, pledged as collateral, fair value	2,782,000	0
Secured debt, held by affiliates	1,884,375,000	2,058,684,000
Interest payable	7,887,000	8,303,000
Subtotal Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral	297,000	249,000
Non-Agency MBS
Fair value of mortgage-backed securities and other securities pledged as collateral	69,164,000	100,115,000
Other securities
Fair value of mortgage-backed securities and other securities pledged as collateral	$ 15,645,000	$ 27,262,000

Consolidated Statements of Oper

Consolidated Statements of Operations - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Net Interest Income
Interest income	$ 40,138	$ 41,406	$ 121,217	$ 116,625
Interest expense (includes $3,265, $3,493, $9,848, and $10,412 on securitized debt held by affiliates, respectively)	36,976	35,707	109,690	100,408
Net Interest Income	3,162	5,699	11,527	16,217
Other Income (Loss)
Realized loss, net	(29)	(35)	(83,946)	(33,551)
Unrealized gain (loss), net	(7,362)	(43,582)	76,100	(66,300)
Gain on derivative instruments, net	1,157	4,882	1,221	16,599
Merger termination reimbursement	3,000	0	3,000	0
Other, net	181	(61)	424	(252)
Other Income	(3,053)	(38,796)	(3,201)	(83,504)
Expenses
Management fee to affiliate	974	850	2,908	2,952
Other operating expenses	353	343	932	901
Transaction costs	3,034	2,635	5,666	5,590
General and administrative expenses:
Compensation expense	607	515	1,622	1,143
Professional fees	344	1,626	3,309	4,434
Merger termination expense	3,000	0	3,000	0
Other general and administrative expenses	504	676	1,658	2,049
Total general and administrative expenses	4,455	2,817	9,589	7,626
Total Expenses	8,816	6,645	19,095	17,069
Loss before income taxes	(8,707)	(39,742)	(10,769)	(84,356)
Income tax provision	0	266	0	276
Net loss	(8,707)	(40,008)	(10,769)	(84,632)
Net income (loss) attributable to non-controlling interest	(2)	2	2	3,618
Net loss attributable to common stockholders and participating securities	$ (8,705)	$ (40,010)	$ (10,771)	$ (88,250)
Net loss per common share — basic (in dollars per share)	$ (1.45)	$ (6.63)	$ (1.80)	$ (14.63)
Net loss per common share — diluted (in dollars per share)	$ (1.45)	$ (6.63)	$ (1.80)	$ (14.63)

Consolidated Statements of Op_2

Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Interest expense	$ 36,976	$ 35,707	$ 109,690	$ 100,408
Affiliated Entity
Interest expense	$ 3,265	$ 3,493	$ 9,848	$ 10,412

Consolidated Statements of Chan

Consolidated Statements of Changes in Equity - USD ($) $ in Thousands	Total	Total Stockholders' Equity	Common Stock Outstanding	Additional  Paid-In Capital	Retained  Earnings  (Accumulated Deficit)	Treasury Stock	Non-Controlling Interest
Beginning balance (in shares) at Dec. 31, 2021			6,038,012
Beginning balance at Dec. 31, 2021	$ 204,329	$ 193,109	$ 60	$ 918,695	$ (723,981)	$ (1,665)	$ 11,220
Increase (Decrease) in Stockholders' Equity
Equity distribution	(14,817)						(14,817)
Vesting of restricted stock	335	335		335
Net income (loss)	(84,632)	(88,250)			(88,250)		3,618
Dividends declared on non-controlling interest	(6)						(6)
Dividends declared on common stock	(7,246)	(7,246)		76	(7,322)
Ending balance (in shares) at Sep. 30, 2022			6,038,012
Ending balance at Sep. 30, 2022	$ 97,963	97,948	$ 60	919,106	(819,553)	(1,665)	15
Beginning balance (in shares) at Jun. 30, 2022	60,380,105		6,038,012
Beginning balance at Jun. 30, 2022	$ 140,338	140,274	$ 60	918,974	(777,095)	(1,665)	64
Increase (Decrease) in Stockholders' Equity
Equity distribution	(49)						(49)
Vesting of restricted stock	100	100		100
Net income (loss)	(40,008)	(40,010)			(40,010)		2
Dividends declared on non-controlling interest	(2)						(2)
Dividends declared on common stock	(2,416)	(2,416)		32	(2,448)
Ending balance (in shares) at Sep. 30, 2022			6,038,012
Ending balance at Sep. 30, 2022	$ 97,963	97,948	$ 60	919,106	(819,553)	(1,665)	15
Beginning balance (in shares) at Dec. 31, 2022	6,038,012		6,038,012
Beginning balance at Dec. 31, 2022	$ 94,812	94,804	$ 60	919,238	(822,829)	(1,665)	8
Increase (Decrease) in Stockholders' Equity
Exchange of phantom stock (in shares)			11,547
Vesting of restricted stock	301	301		301
Net income (loss)	(10,769)	(10,771)			(10,771)		2
Dividends declared on non-controlling interest	(6)						(6)
Dividends declared on common stock	$ (6,348)	(6,348)		107	(6,455)
Ending balance (in shares) at Sep. 30, 2023	6,049,559		6,049,559
Ending balance at Sep. 30, 2023	$ 77,990	77,986	$ 60	919,646	(840,055)	(1,665)	4
Beginning balance (in shares) at Jun. 30, 2023			6,038,012
Beginning balance at Jun. 30, 2023	88,721	88,713	$ 60	919,511	(829,193)	(1,665)	8
Increase (Decrease) in Stockholders' Equity
Exchange of phantom stock (in shares)			11,547
Vesting of restricted stock	100	100		100
Net income (loss)	(8,707)	(8,705)			(8,705)		(2)
Dividends declared on non-controlling interest	(2)						(2)
Dividends declared on common stock	$ (2,122)	(2,122)		35	(2,157)
Ending balance (in shares) at Sep. 30, 2023	6,049,559		6,049,559
Ending balance at Sep. 30, 2023	$ 77,990	$ 77,986	$ 60	$ 919,646	$ (840,055)	$ (1,665)	$ 4

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022
Cash flows from operating activities:
Net loss	$ (10,769)	$ (84,632)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Premium amortization and (discount accretion), net	1,253	2,492
Interest income earned added to principal of investments	(129)	(79)
Amortization of deferred financing costs	1,842	1,938
Amortization of discount on convertible senior unsecured notes	515	648
Restricted stock amortization	301	335
Premium on purchase of Residential Whole Loans	0	(6,619)
Unrealized (gain) loss, net	(76,100)	66,300
Realized loss on extinguishment of convertible senior notes	0	134
Realized gain on sale of real estate owned ("REO")	0	(12,198)
Unrealized loss (gain) on derivative instruments, net	650	(3,793)
Realized loss on investments, net	83,918	45,615
Loss on derivatives, net	0	1,762
Loss on foreign currency transactions, net	0	1
Changes in operating assets and liabilities:
Interest receivable	417	499
Other assets	715	0
Interest payable	(4,156)	188
Accounts payable and accrued expenses	2,820	(953)
Payable to affiliate	(3,026)	1,428
Other liabilities	(29)	7
Net cash (used in) provided by operating activities	(1,778)	13,073
Cash flows from investing activities:
Purchase of securities	(15,714)	(39,952)
Proceeds from sale of securities	15,324	42,287
Proceeds from sale of REO	0	54,681
Principal repayments and basis recovered on securities	21,121	6,704
Purchase of Residential Whole Loans	0	(405,298)
Proceeds from sale of Residential Whole Loans	0	11,735
Principal repayments on Residential Whole Loans	83,413	206,660
Proceeds from sale of Commercial Loans	8,776	0
Principal repayments on Commercial Loans	1,962	20,593
Principal repayments on Residential Bridge Loans	1,369	366
Premium for credit default swaps, net	0	(347)
Net settlements of TBAs	0	2,051
Proceeds from sale of interest rate swaptions, net	0	312
Due from counterparties	0	460
Premium for interest rate swaptions, net	0	(473)
Net cash provided by (used in) investing activities	116,251	(100,221)
Cash flows from financing activities:
Payment of offering costs	0	(2)
Payments on extinguishment of convertible senior unsecured notes	0	(11,690)
Proceeds from repurchase agreement borrowings	1,287,837	3,164,451
Repayments of repurchase agreement borrowings	(1,310,136)	(3,562,699)
Proceeds from securitized debt	0	742,432
Repayments of securitized debt	(83,042)	(207,799)
Payments made for deferred financing costs	(1,000)	0
Due from counterparties, net	5,312	890
Due to counterparties, net	(197)	0
Decrease in other liabilities	(248)	(9)
Equity distributions to non-controlling interest	0	(14,817)
Dividends paid on common stock	(6,646)	(8,454)
Dividends paid to non-controlling interest	(4)	(4)
Net cash (used in) provided by financing activities	(108,124)	102,299
Effect of exchange rate changes on cash and cash equivalents	0	(1)
Net increase in cash, cash equivalents and restricted cash	6,349	15,150
Cash, cash equivalents and restricted cash, beginning of period	18,259	40,453
Cash, cash equivalents and restricted cash, end of period	24,608	55,603
Supplemental disclosure of operating cash flow information:
Interest paid	90,765	79,700
Income taxes paid	24	50
Supplemental disclosure of non-cash financing/investing activities:
Dividends and distributions declared, not paid	2,117	2,415
Dividends to non-controlling interest, not paid	2	2
Principal payments of Residential Whole Loans, not settled	8,602	8,674
Principal payments of Residential Bridge Loans, not settled	0	46
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets:
Cash and cash equivalents	24,608	55,352
Restricted cash	0	251
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows	$ 24,608	$ 55,603

Organization

Organization	9 Months Ended
	Sep. 30, 2023
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a portfolio of real estate related securities, Whole Loans and other financial assets. The Company’s current portfolio is comprised of Non-Qualified ("Non-QM") Residential Whole Loans, Non-Agency RMBS, Commercial Loans, Non-Agency CMBS and to a lesser extent Agency RMBS, GSE Risk Transfer Securities, Residential Bridge Loans, and asset-backed securities (“ABS”) secured by a portfolio of private student loans. The Company’s investment strategy is based on Western Asset Management Company, LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time. The Company's current investment strategy will focus on residential real estate related investments, including but not limited to non-qualified mortgage loans, Non-Agency RMBS, and other related investments. The Manager will vary the allocation among these asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”). These restrictions limit the Company’s ability to invest in non-qualified MBS, non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole Loans, and other real estate related assets. The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”). The Manager is a wholly-owned subsidiary of Franklin Resources, Inc. (“Franklin”). The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012. On June 28, 2023, the Company announced that Terra Property Trust, Inc. (“TPT”), an externally managed real estate investment trust (“REIT”) that originates, invests in, and manages loans and assets secured by commercial real estate (“CRE”), and the Company entered into a definitive merger agreement (the “TPT Merger Agreement”) under which TPT and WMC agreed to combine. On August 8, 2023, the Company terminated the TPT Merger Agreement, and concurrently entered into an Agreement and Plan of Merger (the “MITT Merger Agreement”), dated August 8, 2023, by and among AG Mortgage Investment Trust, Inc., a Maryland corporation (“MITT”), AGMIT Merger Sub, LLC, a Delaware limited liability company (“Merger Sub”), the Company, and, solely for the purposes of Section 3.3(a), Section 3.3(i), Article V, Section 6.13, Section 7.2, Section 7.3 and Article IX therein, AG REIT Management, LLC, a Delaware limited liability company (“MITT Manager”), pursuant to which the Company will merge with and into Merger Sub, with Merger Sub surviving as a wholly owned subsidiary of MITT (the “Merger”). Due to the termination of the TPT Merger Agreement, the Company was obligated to pay or cause to be paid to TPT a termination fee of $3 million. Concurrently with the execution of the MITT Merger Agreement, MITT paid the $3 million termination fee directly to TPT on behalf of the Company on August 8, 2023. Pursuant to, and subject to the terms and conditions set forth in, the MITT Merger Agreement, each outstanding share of the Company’s common stock would be converted into the right to receive (i) 1.498 shares of MITT common stock and (ii) the per share portion of a cash payment from the MITT Manager equal to the lesser of $7 million or approximately 9.9% of the aggregate per share merger consideration (any difference between $7 million and such lower amount would be used to benefit the combined company post closing by offsetting reimbursable expenses that would otherwise be payable to the MITT Manager). Additionally, the MITT Manager, which would be the manager of the combined company, would waive $2.4 million of management fees in the first year post-closing. Cash will be paid in lieu of fractional shares of MITT common stock that would have been received as a result of the Merger. On November 7, 2023, the Company adjourned its special meeting of stockholders until December 5, 2023, at 9:00 a.m. Pacific Time, due to a lack of quorum and to allow further solicitation of proxies from the Company’s common stockholders for the approval of the merger at the special meeting. At a special meeting of MITT stockholders held on November 7, 2023, MITT stockholders approved the issuance of MITT’s common stock to be issued in connection with the proposed Merger.

Basis of Presentation and Summa

Basis of Presentation and Summary of Significant Accounting Policies	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Basis of Presentation and Summary of Significant Accounting Policies	Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, which was effected on July 11, 2022. The results of operations for the period ended September 30, 2023 are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, filed with the SEC on March 13, 2023. The consolidated financial statements include the accounts of the Company, its wholly-owned and majority-owned subsidiaries, and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. Reverse Stock Split Our amended and restated certificate of incorporation as of June 30, 2022, authorized 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 one-for-five and one-for-ten 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 also reduced the total number of authorized shares of preferred stock from 100,000,000 to 10,000,000. 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, remained unchanged. Per share net income or loss increased because there are fewer shares of common stock outstanding. The common stock held in treasury was reduced in proportion to the reverse stock split ratio. There were no other accounting consequences, including changes to the amount of stock-based compensation expense to be recognized in any period, that arose as a result of the reverse stock split. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock the business day prior to the effective date. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. Variable Interest Entities VIEs are defined as entities, that by design, either lack sufficient equity for the entity to finance its activities without additional subordinated financial support, or are unable to direct the entity’s activities, or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include; the design of the VIE, including its capitalization structure, subordination of interests, payment priority, relative share of interests held across various classes within the VIE’s capital structure, and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. Significant Accounting Policies There have been no significant changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2022. Recently Issued Accounting Pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 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 transactions. 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 is 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 to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of rate reform. December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management monitored if any legacy LIBOR reference rate contracts remained outstanding as of September 30, 2023 in the investment portfolio, as either they they terminated prior to the June 30, 2023 LIBOR cessation date, or the Company elected to 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. The Company adjusted the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occured. The variable-rate 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. As of September 30, 2023, the Company has fully transitioned away from any contracts, hedging relationships, or other transactions that reference LIBOR, which did not have a material impact on its financial statements and disclosures.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2023
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments The following tables present the Company’s financial instruments carried at fair value as of September 30, 2023 and December 31, 2022, based upon the valuation hierarchy (dollars in thousands): September 30, 2023 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 61 $ 61 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 834 834 Subtotal Agency MBS — — 895 895 Non-Agency CMBS — 54,206 — 54,206 Non-Agency RMBS — 31,872 — 31,872 Non-Agency RMBS Interest-only strips — — 1,249 1,249 Subtotal Non-Agency MBS — 86,078 1,249 87,327 Other securities — 16,867 — 16,867 Total mortgage-backed securities and other securities — 102,945 2,144 105,089 Residential Whole Loans — — 986,978 986,978 Residential Bridge Loans — — 2,782 2,782 Securitized Commercial Loans — — 1,012,650 1,012,650 Commercial Loans — — 78,701 78,701 Total Assets $ — $ 102,945 $ 2,083,255 $ 2,186,200 Liabilities Derivative liabilities $ — $ 845 $ — $ 845 Securitized debt — 1,576,499 5,779 1,582,278 Total Liabilities $ — $ 1,577,344 $ 5,779 $ 1,583,123 December 31, 2022 Fair Value Level I Level II Level III Total Assets 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 Securitized Commercial Loan — — 1,085,103 1,085,103 Commercial Loans — — 90,002 90,002 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 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 the 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 and SOFR, the Constant Maturity Treasury rate, and the prime rate as a benchmark yield. In addition, the mode l may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group. 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 assumptions made by the independent third-party pricing service includes the market discount rate, default assumptions, and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds. The independent third-party pricing service used a combination of recent loan trades and recent Residential Whole Loans and Residential Bridge 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 the 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 and Residential Bridge Loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these 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 Quarterly Report on Form 10-Q 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 Level III. Securitized Commercial Loans Values for the Company’s Securitized Commercial Loans are based on the collateralized financing entity ("CFE") valuation methodology. Since there is an extremely lim ited market for the Securitized Commercial Loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of the Securitized Commercial Loans' valuation, the Company classifies its Securitized Commercial Loans as Level III. Securitized Debt Values for the Company's securitized debt that the Company elected the fair value option are based upon prices obtained from independent third party pricing services. The valuation methodology of the third-party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined volume threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. Derivatives Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps, forwards, and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate derivatives and/or futures contracts for the periods ended September 30, 2023 and December 31, 2022. See Note 8, "Derivative Instruments" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q. Third Party Pricing Data Review The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present a summary of the available quantitative information about the significant unobse rvable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of September 30, 2023 and December 31, 2022 (dollars in thousands): Fair Value at Range September 30, 2023 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 986,978 Discounted Cash Flow Market Discount Rate 6.4 % 8.4 % 6.8 % Weighted Average Life 1.4 10.5 6.4 Residential Bridge Loans $ 2,782 Discounted Cash Flow Market Discount Rate 12.2 % 20.0 % 15.1 % Weighted Average Life 1.3 5.2 3.4 Securitized Commercial Loan $ 1,012,650 Market Comparables, Vendor Pricing Weighted Average Life 2 2 2 Commercial Loans $ 78,701 Discounted Cash Flow Market Discount Rate 9.2 % 11.5 % 10.5 % Weighted Average Life 0 1.6 1.37 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 % (1) 22.4 % Weighted Average Life 0.4 4.1 2.0 Securitized Commercial Loan $ 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 The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 838 $ 1,608 $ 1,037,381 $ 2,782 $ 78,806 $ 1,025,321 $ 6,932 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Loan modifications / capitalized interest — — 87 — — — — Principal repayments — — (28,604) — (281) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (29) — — — — Unrealized gains/(losses), net on assets (1) 67 (251) (21,131) — 143 (19,735) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 66 Premium and discount amortization, net (10) (108) (726) — 33 7,064 (1,219) Ending balance $ 895 $ 1,249 $ 986,978 $ 2,782 $ 78,701 $ 1,012,650 $ 5,779 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 67 $ (251) $ (22,085) $ — $ 143 $ (19,735) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (66) Three months ended September 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — (11,735) — — — — Loan modifications / capitalized interest — — 4 — — — — Principal repayments — — (37,036) — (20,588) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (33) — — — — Unrealized gains/(losses), net on assets (1) (63) 88 (46,545) 25 (17,730) (78,046) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (3,863) Premium and discount amortization, net (2) (96) (883) — — 6,589 (1,170) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (63) $ 88 $ (35,855) $ 25 $ (17,730) $ (78,046) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 3,863 Nine months ended September 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 767 $ 1,204 $ 1,091,145 $ 2,849 $ 90,002 $ 1,085,103 $ 8,927 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — — — (8,776) — — Loan modifications / capitalized interest — — 129 — — — — Principal repayments — — (87,397) (74) (1,961) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (29) — (81,223) — — Unrealized gains/(losses), net on assets (1) 134 361 (14,593) 7 80,560 (93,785) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (35) Premium and discount amortization, net (6) (316) (2,277) — 99 21,332 (3,113) Ending balance $ 895 $ 1,249 $ 986,978 $ 2,782 $ 78,701 $ 1,012,650 $ 5,779 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 134 $ 361 $ (18,171) $ — $ (662) $ (93,785) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 35 Nine months ended September 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,172 $ 7,845 $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 402,650 — — — — Sales and settlements — — (11,362) — — — — Loan modifications / capitalized interest — — 79 — — — — Principal repayments — — (184,683) (250) (20,593) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (32) — — — — Unrealized gains/(losses), net on assets (1) (329) (998) (125,943) (58) (19,876) (203,828) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (2,064) Premium and discount amortization, net (123) (237) (4,586) — — 19,934 (2,969) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (329) $ (644) $ (107,944) $ 17 $ (19,884) $ (203,828) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 2,064 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Transfers into the Level III category of the fair value hierarchy occur due to the above segmented classes of investments exhibiting indications of reduced levels of market transparency, including changes in observable transactions or executable quotes involving these investments or similar classes of investments. Changes in these indications could impact price transparency, and thereby cause a change in level designations. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three and nine months ended September 30, 2023 and September 30, 2022. Other Fair Value Disclosures The Company's repurchase agreement borrowings, convertible senior unsecured notes, and securitized debt from the Arroyo 2019-2 and Arroyo 2020-1 trusts are not carried at fair value in the consolidated financial statements. Borrowings Under Repurchase Agreements The fair values of the Company's repurchase agreements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market and the short-term maturities of generally one year or less. The Company's repurchase agreements are classified as Level II. Convertible Senior Unsecured Notes The fair values of the convertible senior unsecured notes are based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes were classified as Level I. The following table presents the carrying value and estimated fair value of the Company’s convertible senior unsecured notes and securitized debt that are not carried at fair value as of September 30, 2023 and December 31, 2022 in the consolidated financial statements (dollars in thousands): September 30, 2023 December 31, 2022 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Convertible senior unsecured notes $ 84,750 $ 83,367 $ 83,522 $ 74,712 Securitized debt (1) 305,205 273,799 342,965 309,474 Total $ 389,955 $ 357,166 $ 426,487 $ 384,186 (1) Carrying value excludes $3.1 million and $4.1 million of deferred financing costs as of September 30, 2023 and December 31, 2022, 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	9 Months Ended
	Sep. 30, 2023
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 $ — $ 61 $ — $ — $ 61 Agency RMBS Interest-Only Strips accounted for as derivatives — 834 — — 834 Subtotal Agency — 895 — — 895 Non-Agency CMBS 37,134 7,418 9,654 — 54,206 Non-Agency RMBS — — 7,912 23,960 31,872 Non-Agency RMBS Interest-Only Strips — — 188 1,061 1,249 Subtotal Non-Agency 37,134 7,418 17,754 25,021 87,327 Other securities 3,006 — 7,117 6,744 16,867 Total $ 40,140 $ 8,313 $ 24,871 $ 31,765 $ 105,089 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 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 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 $ 61 $ (7) 1 $ — $ — — $ 61 $ (7) 1 Subtotal Agency 61 (7) 1 — — — 61 (7) 1 Non-Agency CMBS 7,188 (1,898) 1 46,953 (30,774) 9 54,141 (32,672) 10 Non-Agency RMBS 15,661 (519) 2 9,706 (4,018) 6 25,367 (4,537) 8 Non-Agency RMBS Interest-Only Strips — — — 1,249 (3,639) 4 1,249 (3,639) 4 Subtotal Non-Agency 22,849 (2,417) 3 57,908 (38,431) 19 80,757 (40,848) 22 Other securities — — — 5,521 (2,686) 1 5,521 (2,686) 1 Total $ 22,910 $ (2,424) 4 $ 63,429 $ (41,117) 20 $ 86,339 $ (43,541) 24 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 The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2023 and September 30, 2022, respectively (dollars in thousands): Three months ended September 30, 2023 Three months ended September 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 4 $ 4 $ — $ 2 $ 2 Non-Agency CMBS 1,657 351 2,008 1,949 387 2,336 Non-Agency RMBS 756 (306) 450 446 26 472 Other securities 583 (144) 439 860 185 1,045 Total $ 2,996 $ (95) $ 2,901 $ 3,255 $ 600 $ 3,855 Nine months ended September 30, 2023 Nine months ended September 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 10 $ 10 $ 13 $ (4) $ 9 Non-Agency CMBS 5,234 1,006 6,240 7,050 386 7,436 Non-Agency RMBS 1,960 (651) 1,309 1,804 (141) 1,663 Other securities 2,079 (345) 1,734 2,515 223 2,738 Total $ 9,273 $ 20 $ 9,293 $ 11,382 $ 464 $ 11,846 There were no sales nor realized gain (loss) related to the Company's MBS and Other Securities for the three months ended September 30, 2023 and September 30, 2022. The following table presents the sales and realized gain (loss) of the Company’s MBS and other securities for the nine months ended September 30, 2023 and September 30, 2022, respectively (dollars in thousands): Nine months ended September 30, 2023 Nine months ended September 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,239) $ (1,239) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 15,324 649 (2,028) (1,379) 4,406 — (478) (478) Total $ 15,324 $ 649 $ (3,315) $ (2,666) $ 42,287 $ 255 $ (45,837) $ (45,582) Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts. The Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of September 30, 2023 and December 31, 2022, the Company held two and two variable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of September 30, 2023 and December 31, 2022, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $15.1 million and $15.5 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2023 and December 31, 2022, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and Other Securities The following tables present certain information about the Company’s investment portfolio at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 68 $ — $ (7) $ 61 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 834 1.3 % Total Agency MBS — — 68 — (7) 895 1.1 % Non-Agency RMBS 50,507 (14,670) 35,837 572 (4,537) 31,872 4.9 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 4,888 — (3,639) 1,249 0.3 % Subtotal Non-Agency RMBS 50,507 (14,670) 40,725 572 (8,176) 33,121 1.6 % Non-Agency CMBS 88,559 (1,746) 86,813 65 (32,672) 54,206 8.0 % Total Non-Agency MBS 139,066 (16,416) 127,538 637 (40,848) 87,327 3.7 % Other securities (3) 25,613 (7,941) 18,740 813 (2,686) 16,867 7.1 % Total $ 164,679 $ (24,357) $ 146,346 $ 1,450 $ (43,541) $ 105,089 3.8 % December 31, 2022 Principal Unamortized Amortized Unrealized Unrealized 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 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2023, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.2 million, $132.0 million, and $12.2 million, respectively. 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. (2) Interest on these securities is reported as a component of "Gain on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $1.1 million and $5.0 million, as of September 30, 2023 and December 31, 2022, respectively. (4) The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts. As of September 30, 2023 and December 31, 2022, the weighted average expected remaining term of the MBS and other securities investment portfolio was 7.8 years and 6.7 years, respectively. The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 61 $ — $ — $ 61 Agency RMBS Interest-Only Strips accounted for as derivatives — 834 — — 834 Subtotal Agency — 895 — — 895 Non-Agency CMBS 37,134 7,418 9,654 — 54,206 Non-Agency RMBS — — 7,912 23,960 31,872 Non-Agency RMBS Interest-Only Strips — — 188 1,061 1,249 Subtotal Non-Agency 37,134 7,418 17,754 25,021 87,327 Other securities 3,006 — 7,117 6,744 16,867 Total $ 40,140 $ 8,313 $ 24,871 $ 31,765 $ 105,089 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 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 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 $ 61 $ (7) 1 $ — $ — — $ 61 $ (7) 1 Subtotal Agency 61 (7) 1 — — — 61 (7) 1 Non-Agency CMBS 7,188 (1,898) 1 46,953 (30,774) 9 54,141 (32,672) 10 Non-Agency RMBS 15,661 (519) 2 9,706 (4,018) 6 25,367 (4,537) 8 Non-Agency RMBS Interest-Only Strips — — — 1,249 (3,639) 4 1,249 (3,639) 4 Subtotal Non-Agency 22,849 (2,417) 3 57,908 (38,431) 19 80,757 (40,848) 22 Other securities — — — 5,521 (2,686) 1 5,521 (2,686) 1 Total $ 22,910 $ (2,424) 4 $ 63,429 $ (41,117) 20 $ 86,339 $ (43,541) 24 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 The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2023 and September 30, 2022, respectively (dollars in thousands): Three months ended September 30, 2023 Three months ended September 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 4 $ 4 $ — $ 2 $ 2 Non-Agency CMBS 1,657 351 2,008 1,949 387 2,336 Non-Agency RMBS 756 (306) 450 446 26 472 Other securities 583 (144) 439 860 185 1,045 Total $ 2,996 $ (95) $ 2,901 $ 3,255 $ 600 $ 3,855 Nine months ended September 30, 2023 Nine months ended September 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 10 $ 10 $ 13 $ (4) $ 9 Non-Agency CMBS 5,234 1,006 6,240 7,050 386 7,436 Non-Agency RMBS 1,960 (651) 1,309 1,804 (141) 1,663 Other securities 2,079 (345) 1,734 2,515 223 2,738 Total $ 9,273 $ 20 $ 9,293 $ 11,382 $ 464 $ 11,846 There were no sales nor realized gain (loss) related to the Company's MBS and Other Securities for the three months ended September 30, 2023 and September 30, 2022. The following table presents the sales and realized gain (loss) of the Company’s MBS and other securities for the nine months ended September 30, 2023 and September 30, 2022, respectively (dollars in thousands): Nine months ended September 30, 2023 Nine months ended September 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,239) $ (1,239) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 15,324 649 (2,028) (1,379) 4,406 — (478) (478) Total $ 15,324 $ 649 $ (3,315) $ (2,666) $ 42,287 $ 255 $ (45,837) $ (45,582) Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts. The Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of September 30, 2023 and December 31, 2022, the Company held two and two variable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of September 30, 2023 and December 31, 2022, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $15.1 million and $15.5 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2023 and December 31, 2022, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.

Residential Whole Loans and Bri

Residential Whole Loans and Bridge Loans	9 Months Ended
	Sep. 30, 2023
Variable Interest Entities
Residential Whole Loans and Bridge Loans	Residential Whole Loans and Bridge Loans Residential Whole Loan Trusts Revolving Mortgage Investment Trust 2015-1QR2 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was formed to acquire Non-QM Residential Whole Loans. The RMI 2015 Trust issued a trust certificate which 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. During the three months ended September 30, 2023, all loans formerly held at Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") were transferred to the RMI 2015 Trust in order to consolidate costs. As of September 30, 2023, the RMI 2015 Trust owned nine Non-QM Residential Whole Loans with a fair value of $4.3 million, three of which are investor fixed rate residential mortgages previously held by RMI 2017 Trust with a fair value of $991.7 thousand. As of December 31, 2022, RMI 2015 Trust owned six Non-QM Residential Whole Loans with a fair value of $3.2 million, and RMI 2017 Trust owned three investor fixed rate mortgages with a fair value of $1.2 million. The loans are financed under the Company's residential whole loan facility, and the Company holds the financing liability outside the RMI 2015 Trust. See Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for additional details. As of September 30, 2023, the RMI 2015 Trust owned four Residential Bridge Loans with a fair value of $2.8 million. As of December 31, 2022, the RMI 2017 Trust owned five Residential Bridge Loans with a fair value of $2.8 million. The Company is no longer allocating capital to Residential Bridge Loans. Arroyo Mortgage Trust 2019-2 In May 2019, the Company formed Arroyo Mortgage Trust 2019-2 ("Arroyo Trust 2019"), a wholly-owned subsidiary of the Company, to complete its first residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans. The Arroyo Trust 2019 issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7, "Financings" for details. The Company consolidates the trust since it met the definition of a VIE and the Company determined that it was the primary beneficiary. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and eliminated the intercompany Owner Certificates in consolidation. As of September 30, 2023 and December 31, 2022, the Arroyo Trust 2019 owned 684 and 766 Non-QM Residential Whole Loans with a fair value of $214.0 million and $237.6 million, respectively. Arroyo Mortgage Trust 2020-1 In June 2020, the Company formed Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"), a wholly-owned subsidiary of the Company, to complete its second residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans. The Arroyo Trust 2020 issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. S ee Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q 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 the intercompany Owner Certificates. As of September 30, 2023 and December 31, 2022, the Arroyo Trust 2020 owned 406 and 432 No n-QM Residential Whole Loans with a fair value o f $127.7 million and $135.1 million, respect ively. Arroyo Mortgage Trust 2022-1 In February 2022, the Company formed Arroyo Mortgage Trust 2022-1 ("Arroyo Trust 2022-1"), a wholly-owned subsidiary of the Company, to complete its third residential mortgage-backed securitization comprised of $432.0 million of Non-QM Residential Whole Loans. The Arroyo Trust 2022-1 issued $398.9 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. S ee Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q 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 the intercompany Owners Certificates . As of September 30, 2023 and December 31, 2022, the Arroyo Trust 2022-1 owned 682 and 705 Non-QM Residential Whole Loans with a fair value of $324.6 million and $350.7 million, respectively. 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. S ee Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q 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 the intercompany Owners Certificates . As of September 30, 2023 and December 31, 2022, the Arroyo Trust 2022-2 owned 980 and 1,029 Non-QM Residential Whole Loans with a fair value of $316.3 million and $363.3 million, respectively. 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. During the three months ended September 30, 2023, the four remaining Residential Bridge Loans with a fair value of $2.8 million in the RMI 2017 Trust were transferred to the RMI 2015 Trust to consolidate costs. The Company is no longer allocating capital to Residential Bridge Loans. Consolidated Residential Whole Loan and Residential Bridge Loan Trusts The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) $ 986,978 $ 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Investment related receivable 8,602 5,914 Interest receivable 4,580 4,871 Other assets — 509 Total assets $ 1,002,942 $ 1,105,288 Securitized debt, net $ 877,745 $ 981,073 Interest payable 2,892 3,139 Accounts payable and accrued expenses 12 34 Total liabilities $ 880,649 $ 984,246 The Residential Whole Loans held by the consolidated Arroyo Trust 2019, Arroyo Trust 2020, Arroyo Trust 2022-1, and Arroyo Trust 2022-2 are held solely to satisfy the liabilities of each respective trust, and has no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the periods ended September 30, 2023 and December 31, 2022. The following table presents the components of the fair value of Residential Whole Loans and Residential Bridge Loans as of September 30, 2023 and December 31, 2022 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 Principal balance $ 1,078,005 $ 1,165,301 $ 3,091 $ 3,166 Unamortized premium 28,530 30,961 — — Unamortized discount (1,394) (1,536) — — Amortized cost 1,105,141 1,194,726 3,091 3,166 Gross unrealized gains 5,371 2,038 — — Gross unrealized losses (123,534) (105,619) (309) (317) Fair value $ 986,978 $ 1,091,145 $ 2,782 $ 2,849 Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,761 adjustable and fixed rate Non-QM and investor mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Weighted Average Current Coupon Rate Number of Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 39 $ 21,880 66.3 % 758 9.1 27.6 2.9 % 3.01% – 4.00% 361 196,884 67.0 % 760 8.2 28.0 3.7 % 4.01% – 5.00% 1,134 384,437 64.8 % 750 6.8 25.5 4.5 % 5.01% – 6.00% 813 322,376 66.0 % 743 6.1 26.2 5.5 % 6.01% – 7.00% 321 120,933 67.2 % 743 4.8 26.9 6.5 % 7.01% - 8.00% 69 23,865 60.6 % 734 4.1 23.1 7.4 % 8.01% - 9.00% 24 7,630 55.5 % 744 4.3 24.0 8.6 % Total 2,761 $ 1,078,005 65.7 % 749 6.6 26.3 4.9 % (1) The original FICO score is not available for 210 loans with a principal balance of approximately $64.6 million at September 30, 2023. The Company has excluded these loans from the weighted average computations. December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original LTV 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. The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Whole Loans are located as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 State State Concentration Principal Balance State State Concentration Principal Balance California 67.8 % $ 731,058 California 66.8 % $ 778,732 New York 9.0 % 96,757 New York 9.3 % 108,108 Texas 4.8 % 51,407 Texas 4.8 % 56,126 Florida 3.9 % 42,157 Florida 4.1 % 47,681 Georgia 3.3 % 35,297 Georgia 3.5 % 40,845 Other 11.2 % 121,329 Other 11.5 % 133,809 Total 100.0 % $ 1,078,005 Total 100.0 % $ 1,165,301 Residential Bridge Loans The Company is no longer allocating capital to Residential Bridge Loans. The following tables present certain information about the remaining Residential Bridge Loans which are non-performing in the Company's investment portfolio at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 1 420 70.0 % 0.0 11.3 % Total 4 $ 3,091 74.2 % 0.0 9.4 % December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 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 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Bridge Loans are located as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 State Concentration Principal Balance State Concentration Principal Balance California 56.7 % $ 1,754 California 55.4 % $ 1,754 New York 43.3 % 1,337 New York 42.2 % 1,337 Total 100.0 % $ 3,091 New Jersey 2.4 % 75 Total 100.0 % $ 3,166 Loan Aging The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of September 30, 2023 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans (1) No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,707 $ 1,048,261 $ 959,343 — $ — $ — 1-30 days 23 10,407 9,617 — — — 31-60 days — — — — — — 61-90 days 11 8,155 7,696 — — — 90+ days 20 11,182 10,322 4 3,091 2,782 Total 2,761 $ 1,078,005 $ 986,978 4 $ 3,091 $ 2,782 (1) As of September 30, 2023, there were no loans in forbearance. Residential Whole Loans As of September 30, 2023, there were 20 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $11.2 million and a fair value of $10.3 million. These non-performing loans represent approximately 1.0% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 61.6%. 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 non-performing 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%. These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net" in the Consolidated Statements of Operations contained in this Quarterly Report on Form 10-Q. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of September 30, 2023, the Company had four remaining Residential Bridge Loans in the portfolio. Of these, four were in non-accrual status with an unpaid principal balance of approximately $3.1 million and a fair value of $2.8 million. As of December 31, 2022, the Company had five remaining Residential Bridge Loans in the portfolio. Of these, five were in non-accrual status with an unpaid principal balance of approximately $3.2 million and a fair value of $2.8 million. These loans are collateral dependent. The Residential Bridge Loans were carried at fair value. No allowance for credit losses was recorded because the valuation adjustments as of September 30, 2023 and December 31, 2022, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Residential Real Estate Owned As of September 30, 2023 and December 31, 2022, the Company had one residential REO property with a carrying value of $2.3 million, respectively, related to a foreclosed Residential Whole Loan. The REO property held by the Company as of September 30, 2023 and 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 contained in this Quarterly Report on Form 10-Q.

Commercial Loans

Commercial Loans	9 Months Ended
	Sep. 30, 2023
Noncontrolling Interest [Abstract]
Commercial Loans	Commercial LoansCommercial 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. See Note 7, "Financing" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q. The following table presents information about the Commercial Loans owned by CRE LLC as of September 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 4 September 2019 Interest-Only First Mortgage $ 22,204 $ 22,071 63% 1-Month SOFR plus 3.38% 8/6/2025 (1) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,061 62% 1-Month SOFR plus 4.20% 5/6/2025 (2) None Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,952 62% 1-Month SOFR plus 4.20% 5/6/2025 (2) None Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,118 62% 1-Month SOFR plus 4.20% 5/6/2025 (2) None Hotel $ 67,205 $ 66,202 (1) In August 2022, CRE 4 was extended three-years through August 6, 2025, with a principal paydown of $16.2 million . (2) In November 2023, CRE 5, 6, and 7 were each extended through May 6, 2025. Commercial Loan Sale On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its recorded fair value as of December 31, 2022 of $8.8 million. At the time of sale, the Company recognized a realized loss of $81.2 million and a related reversal of unrealized loss of the same amount. Commercial Loan Trust In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company consolidates the trust because it determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary. As of September 30, 2023, there was one loan remaining in the trust. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of September 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate (1) Maturity Date (1) Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 12,500 $ 12,499 49% 1-Month SOFR plus 5.50% 10/4/2023 None Nursing Facilities $ 12,500 $ 12,499 (1) In January 2023, the SBC 3 loan was partially paid down by $862 thousand to bring the unpaid principal balance to $13.5 million, the maturity date was extended through May 5, 2023 for a 50 bps extension fee and the margin was increased from 4.47% to 5.00%. In May 2023, the SBC 3 loan was partially paid down by $750 thousand to bring the unpaid principal to $12.8 million, the maturity date was extended through August 4, 2023, and the margin was increased from 5.00% to 5.50%. In July 2023, the SBC 3 loan was partially paid down by $250 thousand to bring the unpaid principal balance to $12.5 million, and the maturity date was extended to October 4, 2023 for a 25 bps extension fee. In October 2023, the SBC 3 loan was partially paid down by $250 thousand to bring the unpaid principal to $12.3 million and the maturity date was extended to December 31, 2023 for a 25 bps extension fee. Securitized Commercial Loans Securitized Commercial Loans are comprised of Commercial Loans from consolidated third party sponsored CMBS VIE's. At September 30, 2023, the Company had a variable interest in one third party sponsored CMBS VIE, CSMC Trust 2014-USA, that it determined it was the primary beneficiary and was required to consolidate. The Commercial Loan that serves as collateral for the securitized debt issued by this VIE can only be used to settle the securitized debt. See Note 7, "Financings" to the Consolidated Financial Statements contained in this Quarterly Report on Form 10-Q for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CSMC Trust 2014-USA The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of September 30, 2023, the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of September 30, 2023. The loan has a stated maturity date of September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification, a Cash Management Forbearance Agreement was entered into by the special servicer and the borrower, which required both increased reporting requirements and monthly net cash remittance. Consolidated Securitized Commercial Loan Trust and Commercial Loan Trust The two commercial consolidated trusts, CSMC USA and RSBC Trust, collectively held two Commercial Loans as of September 30, 2023 . The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Restricted cash $ — $ 248 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Interest receivable 5,151 5,311 Total assets $ 1,030,300 $ 1,105,024 Securitized debt, at fair value $ 1,006,630 $ 1,077,611 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities — 248 Total liabilities $ 1,011,634 $ 1,083,032 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 the trust can only be used to satisfy the obligations of the trust. The Company is not contractually required to provide, and has not provided any additional financial support to the securitized commercial loan trust for the three and nine months ended September 30, 2023 and September 30, 2022. The following table presents the components of the fair value of the Securitized Commercial Loan and Commercial Loans as of September 30, 2023 and December 31, 2022 (dollars in thousands): CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 Principal balance $ 1,385,591 $ 1,385,591 $ 12,500 $ 14,362 $ 67,205 $ 157,205 Unamortized discount (62,799) (84,132) — — — — Amortized cost 1,322,792 1,301,459 12,500 14,362 67,205 157,205 Gross unrealized gains — — — — — — Gross unrealized losses (310,142) (216,356) (1) — (1,003) (81,565) Fair value $ 1,012,650 $ 1,085,103 $ 12,499 $ 14,362 $ 66,202 $ 75,640 Non-Performing Commercial Loans

Financings

Financings	9 Months Ended
	Sep. 30, 2023
Debt Disclosure [Abstract]
Financings	Financings Repurchase Agreements The Company has primarily financed its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and historically had terms ranging from one month to 12 months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under these repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets normally requires the Company to post additional securities as collateral, pay down borrowings, or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, which is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a time frame as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations, and cash flows. Residential Whole Loan Facility The facility was extended on October 12, 2023 and matures on March 29, 2024. It bears interest at a rate of 1-Month Term SOFR plus 2.25%, with a floor of 0.25%. The Company finances its non-securitized Non-QM residential whole loans under this facility. As of September 30, 2023, the Company had outstanding borrowings of $4.2 million under the facility. The borrowing is secured by Non-QM residential whole loans with a fair value of $4.3 million, Residential Bridge Loans with a fair value of $2.8 million and one REO property with a carrying value of $2.3 million as of September 30, 2023. Non-Agency CMBS and Non-Agency RMBS facility The facility was paid off in full in May 2023 and replaced with a facility from a different counterparty which matures in May 2024. It bears a current weighted average interest rate of 1-Month Term SOFR plus 2.50%. As of September 30, 2023, the outstanding balance under this facility was $54.9 million. The borrowing is secured by investments with a fair market value of $90.8 million as of September 30, 2023. Commercial Whole Loan Facility The facility was extended on October 12, 2023 and matures on March 29, 2024. It bears interest at a rate of 1-Month Term SOFR plus 2.25%. As of September 30, 2023, the outstanding balance under this facility was $48.0 million. The borrowing is secured by the performing commercial loans with an estimated fair market value of $66.2 million as of September 30, 2023. Fixed Rate Term Financing Facility On July 25th, the Company replaced an existing short-term repurchase financing facility with Credit Suisse AG (UBS) with a new two-year term, $65 million fixed rate, non-mark-to-market, syndicated repurchase agreement, in a securitized form . As a result, the Company no longer has any financing arrangements with Credit Suisse AG (UBS) as a counterparty. As of September 30, 2023, the outstanding balance under this facility was $62.4 million, net of deferred financing costs, and is collateralized by our retained Arroyo bonds with an estimated fair market value of $134.7 million which are eliminated in consolidation as of September 30, 2023. Financial Metrics Certain of the Company’s financing arrangements provide the counterparty with the right to terminate the agreement and accelerate amounts due under the associated agreement if the Company does not maintain financial metrics. Although specific to each financing arrangement, typical financial metrics include minimum equity, liquidity requirements, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross-default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. The Company was in compliance with the terms of such financial tests as of September 30, 2023. As of September 30, 2023, the Company had borrowings under four of its master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-term borrowings: Agency RMBS $ 351 5.98 % 2 $ 293 4.78 % 32 Non-Agency RMBS (1) — — % 0 48,237 7.50 % 26 Other securities — — % 0 1,776 7.09 % 17 Total short-term borrowings 351 5.98 % 2 50,306 7.47 % 26 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 31,621 7.79 % 215 55,154 6.30 % 122 Non-Agency RMBS 77,751 10.80 % 585 19,129 6.30 % 122 Other securities 8,860 8.09 % 215 16,863 6.30 % 122 Subtotal 118,232 9.79 % 458 91,146 6.30 % 122 Residential Whole Loan Facility Residential Whole Loans (2) 2,562 7.56 % 25 3,633 6.66 % 298 Residential Bridge Loans (2) 1,641 7.56 % 25 — — % 0 Commercial Whole Loan Facility Commercial Loans 48,032 7.56 % 34 48,032 6.13 % 307 Total long-term borrowings 170,467 9.11 % 328 142,811 6.25 % 189 Repurchase agreements borrowings $ 170,818 9.10 % 327 $ 193,117 6.57 % 146 Less unamortized debt issuance costs 908 N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 169,910 9.10 % 327 $ 193,117 6.57 % 146 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. At September 30, 2023 and December 31, 2022, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2023 December 31, 2022 1 to 29 days $ 4,554 $ 50,013 30 to 59 days 48,032 293 60 to 89 days — — Greater than or equal to 90 days 118,232 142,811 Total $ 170,818 $ 193,117 At September 30, 2023, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2023 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Goldman Sachs Bank USA $ 36,387 214 46.7 % Atlas Securitized Products Investments 2, L.P. 18,461 34 23.7 % Collateral For Borrowings Under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 297 $ 3 $ 300 $ 249 $ — $ 249 Non-Agency CMBS, at fair value (1) 53,038 386 53,424 83,925 483 84,408 Non-Agency RMBS, at fair value 83,029 456 83,485 104,487 533 105,020 Residential Whole Loans, at fair value (2) 4,343 11 4,354 3,229 3 3,232 Residential Bridge Loans (2) 2,782 32 2,814 — — — Commercial Loans, at fair value (2) 66,202 424 66,626 66,864 362 67,226 REO, at carrying value 2,255 — 2,255 2,255 — 2,255 Other securities, at fair value 15,645 67 15,712 27,262 78 27,340 Cash (3) 241 — 241 3,410 — 3,410 Total $ 227,832 $ 1,379 $ 229,211 $ 291,681 $ 1,459 $ 293,140 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At September 30, 2023 and December 31, 2022, investments held by counterparties as security for repurchase agreements totaled approximately $227.6 million and $288.3 million, respectively. Cash collateral held by counterparties at September 30, 2023 and December 31, 2022 was approximately $241 thousand and $3.4 million, respectively. Cash posted by repurchase agreement counterparties at both September 30, 2023 and December 31, 2022 was $103 thousand and $300 thousand, respectively. Convertible Senior Unsecured Notes 6.75% Convertible Senior Unsecured Notes due 2024 (the "2024 Notes") In September 2021, the Company issued $86.3 million aggregate principal amount of the 2024 Notes for net proceeds of $83.3 million. Interest on the 2024 Notes is paid semiannually. The 2024 Notes are convertible into, at the Company's election, cash, shares of the Company's common stock, or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the 2024 Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the 2024 Notes. The post reverse stock split conversion rate is 33.7952 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $29.59 per share of common stock. The 2024 Notes mature on September 15, 2024, unless earlier converted, redeemed, or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity. Securitized Debt Arroyo Trust 2019-2 In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes, so they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2019-2's residential mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 142,973 3.3% $ 142,973 4/25/2049 Class A-2 7,668 3.5% 7,668 4/25/2049 Class A-3 12,148 3.8% 12,148 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 187,844 $ 187,844 Less: Unamortized Deferred Financing Costs N/A 1,932 Total $ 187,844 $ 185,912 The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2019-2 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2023, Residential Whole Loans, with an outstanding principal balance of approximately $212.3 million, serve as collateral for the Arroyo Trust 2019-2's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or (ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest. Arroyo Trust 2020-1 In June 2020, the Company completed a residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans, issuing $341.7 million of mortgage-backed notes. The Company did not elect the fair value option for these notes, so they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2020-1's residential mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 66,276 1.7% $ 66,276 3/25/2055 Class A-1B 7,865 2.1% 7,865 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 $ 117,361 $ 117,361 Less: Unamortized Deferred Financing Costs N/A 1,176 Total $ 117,361 $ 116,185 The Company retained the non-offered securities in the securitization, which include the Class B, Class A-IO-S, and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2020-1 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2023 , Residential Whole Loans with an outstanding principal balance of approximately $130.4 million serve as collateral for the Arroyo Trust 2020-1's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or (ii) the date on which the aggregate collateral balance is equal to or less than 30% of the original principal balance. The notes are redeemable at their face value plus accrued interest. Arroyo Trust 2022-1 In February 2022, the Company completed a residential-mortgage backed securitization comprised of $432.0 million of Non-QM Residential Whole Loans, issuing $398.9 million of mortgage-backed notes. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the bonds are recorded at fair value in the Consolidated Balance Sheets with the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 196,149 2.5% $ 174,066 12/25/2056 Class A-1B 82,942 3.3% 68,578 12/25/2056 Class A-2 21,168 3.6% 15,527 12/25/2056 Class A-3 28,079 3.7% 19,864 12/25/2056 Class M-1 17,928 3.7% 11,374 12/25/2056 Total $ 346,266 $ 289,409 The Company retained the non-offered securities in the securitization, which include the Class B, Class A-IO-S, and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2022-1 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2023, Residential Whole Loans with an outstanding principal balance of approximately $378.0 million serve as collateral for the Arroyo Trust 2022-1's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or (ii) the date on which the aggregate collateral balance is equal to or less than 30% of the original principal balance. The notes are redeemable at their fair value plus accrued interest. Arroyo Trust 2022-2 In July 2022, the Company completed a residential-mortgage backed securitization comprised of $402.2 million of Non-QM Residential Whole Loans, issuing $351.9 million of mortgage-backed notes. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the bonds are recorded at fair value in the Consolidated Balance Sheets with the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." The following table summarizes the issued Arroyo Trust 2022-2's residential mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 243,033 5.0% $ 230,646 7/25/2057 Class A-2 20,687 5.0% 19,097 7/25/2057 Class A-3 25,208 5.0% 23,219 7/25/2057 Class M-1 17,694 5.0% 13,277 7/25/2057 Total $ 306,622 $ 286,239 The Company retained the non-offered securities in the securitization, which include the Class B-1, Class B-2, Class B-3, Class A-IO-S, and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2022-2 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At September 30, 2023, Residential Whole Loans with an outstanding principal balance of approximately $353.1 million serve as collateral for the Arroyo Trust 2022-2's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or (ii) the date on which the aggregate collateral balance is equal to or less than 30% of the original principal balance. The notes are redeemable at their fair value plus accrued interest. Commercial Mortgage-Backed Notes CSMC 2014 USA The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 100,388 9/11/2025 Class A-2 531,700 4.0 % 453,714 9/11/2025 Class B 136,400 4.2 % 107,723 9/11/2025 Class C 94,500 4.3 % 71,132 9/11/2025 Class D 153,950 4.4 % 109,772 9/11/2025 Class E 180,150 4.4 % 96,059 9/11/2025 Class F 153,600 4.4 % 62,063 9/11/2025 Class X-1 (1) n/a 0.5 % 4,785 9/11/2025 Class X-2 (1) n/a — % 994 9/11/2025 $ 1,370,691 $ 1,006,630 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of September 30, 2023, respectively. At September 30, 2023, 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 $1.0 billion at September 30, 2023, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $1.4 billion, $174.7 million is owned by related parties and $1.2 billion is owned by third parties. The securitized debt of the CSMC USA can only be settled with the Commercial Loan with an outstanding principal balance of approximately $1.4 billion at September 30, 2023, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2023
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, A gency, Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps, and total return swaps. The following table summarizes the Company’s derivative instruments at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ — $ — $ 60,000 $ 1 Total derivative instruments, assets — 1 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 82,000 (845) 98,000 (61) Total derivative instruments, liabilities (845) (61) Total derivative instruments, net $ (845) $ (60) The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2023 and September 30, 2022 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2023 Interest rate swaps $ — $ 1,008 $ — $ (777) $ 846 $ 1,077 Interest-Only Strips— accounted for as derivatives — — (14) 70 24 80 Total $ — $ 1,008 $ (14) $ (707) $ 870 $ 1,157 Three months ended September 30, 2022 Interest rate swaps $ (3,371) $ 3,423 $ — $ 4,790 $ 298 $ 5,140 Interest rate swaptions $ (161) $ — $ — $ — $ — $ (161) Interest-Only Strips— accounted for as derivatives — — (5) (54) 16 (43) Credit default swaps (273) — — 283 — 10 TBAs 1,319 — — (1,383) — (64) Total $ (2,486) $ 3,423 $ (5) $ 3,636 $ 314 $ 4,882 Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Nine months ended September 30, 2023 Interest rate swaps $ — $ (992) $ — $ (785) $ 2,832 $ 1,055 Interest-Only Strips— accounted for as derivatives — — (16) 135 47 166 Total $ — $ (992) $ (16) $ (650) $ 2,879 $ 1,221 Nine months ended September 30, 2022 Interest rate swaps $ (3,371) $ 14,744 $ — $ 3,670 $ (255) $ 14,788 Interest rate swaptions (161) — — — — (161) Interest-Only Strips— accounted for as derivatives — — (120) (270) 160 (230) Credit default swaps (242) — — 393 — 151 TBAs 2,051 — — — — 2,051 Total $ (1,723) $ 14,744 $ (120) $ 3,793 $ (95) $ 16,599 At September 30, 2023 and December 31, 2022, the Company had cash pledged as collateral for derivatives of approximately $1.0 million and $3.2 million, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Interest Rate Swaps The Company uses interest rate swaps to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements. The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain on derivatives instruments, net" in the Consolidated Statements of Operations. The following tables provide additional information on the Company's fixed-pay interest rate swaps as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) 1 year or less $ 60,000 1.4 % 5.1 % 0.5 Greater than 5 years 22,000 1.2 % 5.3 % 8.0 Total $ 82,000 1.3 % 5.2 % 2.5 December 31, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 60,000 1.4 % 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 Interest-Only Strips The Company also invests in Interest-Only strips. In determining the classification of its holdings of Interest-Only strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as an MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Credit Default Swaps

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	9 Months Ended
	Sep. 30, 2023
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 834 $ — $ 834 $ (236) $ — $ 598 Total assets $ 834 $ — $ 834 $ (236) $ — $ 598 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 845 $ — $ 845 $ — $ (845) $ — Repurchase Agreements (4) 169,910 — 169,910 (167,509) — 2,401 Total liability $ 170,755 $ — $ 170,755 $ (167,509) $ (845) $ 2,401 (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, securitized commercial loan collateral pledged, and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.0 million as of September 30, 2023. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $227.6 million as of September 30, 2023. December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2) 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, securitized commercial loan collateral pledged, and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022. Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.

Related Party Transactions

Related Party Transactions	9 Months Ended
	Sep. 30, 2023
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 controller. 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 15, 2024. It is automatically renewed for one-year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. In December 2021, the Manager agreed to voluntarily waive 25% of its management fee solely for the duration of calendar year 2022 in order to support the earnings potential of the Company and its transition to a residential focused investment portfolio. Future waivers, if any, will be at the Manager's discretion. For the three months ended September 30, 2023 and September 30, 2022, the Company incurred approximately $974 thousand and approximately $850 thousand in management fees, respectively. For the nine months ended September 30, 2023 and September 30, 2022, the Company incurred approximately $2.9 million and approximately $3.0 million in management fees, respectively.

Share-Based Payments

Share-Based Payments	9 Months Ended
	Sep. 30, 2023
Share-Based Payment Arrangement, Noncash Expense [Abstract]
Share-Based Payments	Share-Based Payments The Company's ability to grant equity-based awards under the Company's previous equity incentive plans expired on May 9, 2022. At the Annual Meeting of Stockholders held on June 24, 2022, the Company's stockholders approved the Western Asset Mortgage Capital Corporation 2022 Omnibus Incentive Plan and the Western Asset Mortgage Capital Corporation 2022 Manager Omnibus Incentive Plan (collectively, the “2022 Plans”). The 2022 Plans provide for the issuance of options (including non-statutory stock options and incentive stock options), stock appreciation rights (referred to as SARs), restricted stock, restricted stock units (referred to as RSUs), stock bonuses, other stock based awards and cash awards. The aggregate maximum number of shares of our common stock available for future issuances under the 2022 Plans is 1,000,000 shares, which was reduced to 100,000 shares following the completion of the reverse stock split. The Manager and the officers, employees, non-employee directors, independent contractors, and consultants of the Company or any affiliate of the Company, including any individuals who are employees of the Manager or one of the Manager’s affiliates, are eligible to participate in the 2022 Plans, provided that they have been selected by the Plan Administrator. On June 23, 2023, the Company granted a total of 31,184 restricted stock units (7,796 per each independent director), to each of the Company's four independent directors. These restricted stock units will vest in full on June 23, 2024, 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 24, 2022, the Company granted 21,704 restricted stock units (5,426 per each independent director) on a post reverse stock split basis, to each of the Company's 4 independent directors. These restricted stock units and associated dividend equivalent units vested in full on June 24, 2023, the one year 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 grant ed 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 and associated dividend equivalent units vest in equal installments on the first and second anniversary of the grant date. On June 30, 2023, 10,000 restricted stock units and 1,547 dividend equivalent units vested which were settled by the issuance of 11,547 shares of the Company's common stock during Q3 2023. During the nine months ended September 30, 2023 and September 30, 2022, 31,704 and 11,716 restricted stock units vested, respectively. The Company recognized stock-based compensation expense of approximately $101 thousand and approximately $100 thousand for the three months ended September 30, 2023 and September 30, 2022, respectively. The Company recognized stock-based compensation expense of approximately $301 thousand and approximately $335 thousand for the nine months ended September 30, 2023 and September 30, 2022, respectively. In addition, the Company had unamortized compensation expense of $277 thousand and $298 thousand for equity awards at September 30, 2023 and December 31, 2022, respectively. Holders of restricted stock units are entitled to receive dividends (or dividend equivalent units) and distributions that become payable on the restricted stock units during the restricted period. Dividend equivalent units allocable to restricted stock units are deemed to purchase additional phantom shares of the Company's common stock that are credited to each participant's deferral account. The award agreements include restrictions whereby the restricted stock units cannot be sold, assigned, transferred, pledged, hypothecated, or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted stock units awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted stock units and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted equity awards vesting dates as of September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 Vesting Date Shares Vesting Shares Vesting June 2023 — 31,704 June 2024 43,151 10,000 Total 43,151 41,704 The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the nine months ended September 30, 2023 and September 30, 2022: September 30, 2023 September 30, 2022 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 81,914 $ 31.21 114,825 $ 131.85 Granted (2) 41,559 9.15 45,954 12.75 Issuance of common shares (11,547) 11.89 — — Outstanding at end of period 111,926 25.01 160,779 97.81 Unvested at end of period 43,151 $ 9.58 41,704 $ 12.52 (1) The grant date fair value of the awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 10,375 and 4,250 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the nine months ended September 30, 2023 and September 30, 2022, respectively.

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 30, 2023
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 and also reduced the total number of authorized shares of preferred stock from 100,000,000 to 10,000,000. 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. The Company's 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 worth of shares of common stock in an At-The-Market equity offering. During the nine months ended September 30, 2023, the Company did not sell any shares under the amended agreement. Stock Repurchase Program In December 2021, the Company extended its stock repurchase program as authorized by its Board of Directors. Under the extended program, the Company is permitted to repurchase up to 300,000 shares of its common stock, adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, through December 31, 2023. The previous authorization expired December 31, 2021. Any purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Commission Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares, or any shares at all, and the program may be suspended or discontinued at the Company's discretion without prior notice. During the nine months ended September 30, 2023, 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 2023 September 21, 2023 October 2, 2023 October 26, 2023 $ 0.35 Not yet determined June 21, 2023 July 3, 2023 July 26, 2023 $ 0.35 Not yet determined March 22, 2023 April 3, 2023 April 26, 2023 $ 0.35 Not yet determined 2022 December 21, 2022 January 3, 2023 January 26, 2023 $ 0.40 Not yet determined (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

Net Loss per Common Share

Net Loss per Common Share	9 Months Ended
	Sep. 30, 2023
Earnings Per Share [Abstract]
Net Loss per Common Share	Net Loss per Common Share The table below presents basic and diluted net loss per share of common stock using the two-class method for the three and nine months ended September 30, 2023 and September 30, 2022 (dollars, other than shares and per share amounts, in thousands), adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. For the three months ended September 30, 2023 For the three months ended September 30, 2022 For the nine months ended September 30, 2023 For the nine months ended September 30, 2022 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (8,705) $ (40,010) $ (10,771) $ (88,250) Less: Dividends and undistributed earnings allocated to participating securities 39 32 101 62 Net loss allocable to common stockholders — basic and diluted $ (8,744) $ (40,042) $ (10,872) $ (88,312) Denominator : Weighted average common shares outstanding for basic earnings per share 6,049,559 6,038,012 6,041,946 6,036,876 Weighted average common shares outstanding for diluted earnings per share 6,049,559 6,038,012 6,041,946 6,036,876 Basic loss per common share $ (1.45) $ (6.63) $ (1.80) $ (14.63) Diluted loss per common share $ (1.45) $ (6.63) $ (1.80) $ (14.63)

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2023
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of September 30, 2023. The Company files U.S. federal and state income tax returns. As of September 30, 2023, U.S. federal tax retur ns 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 r elevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes. Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended September 30, 2023 and September 30, 2022, the Company recorded a federal and state tax benefit of zero and a tax provision of $266 thousand, respectively, which is recorded in "Income tax provision" in the Consolidated Statements of Operations. During the nine months ended September 30, 2023 and September 30, 2022, the Company recorded a federal and state tax provision of zero and a tax provision of $276 thousand respectively. Deferred Tax Asset As of September 30, 2023 and December 31, 2022, the Company recorded a deferred tax asset of approximately $13.8 million and $13.5 million, respectively, relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a full valuation allowance. In addition, the REIT generated net operating losses ("NOLs") during the year ended December 31, 2021 related to ordinary losses on its MBS portfolio and it generated NOLs for the years ended December 31, 2020 and December 31, 2017 , related to its interest rate swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred tax asset relating to the NOLs of $14.6 million and $14.5 million in the REIT and $1.7 million and $1.6 million in the TRS as of September 30, 2023 and December 31, 2022, respectively. The TRS can carryback the NOLs generated during the years ended December 31, 2020 and December 31, 2017 to each of the two preceding years to request a refund for taxes paid. As of September 30, 2023 and December 31, 2022, 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 $16.3 million and $16.1 million, respectively. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a).

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2023
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material commitments nor contingencies at September 30, 2023.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2023
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events On October 26, 2023, the Company announced that its Board of Directors declared an interim fourth quarter dividend of $0.14 per share of the Company’s common stock. The dividend is payable on November 8, 2023 to stockholders of record as of November 3, 2023. The interim fourth quarter dividend was made pursuant to the terms of the MITT Merger Agreement.

Basis of Presentation and Sum_2

Basis of Presentation and Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation and Consolidation The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split, which was effected on July 11, 2022. The results of operations for the period ended September 30, 2023 are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, filed with the SEC on March 13, 2023.
Consolidation	The consolidated financial statements include the accounts of the Company, its wholly-owned and majority-owned subsidiaries, and variable interest entities (“VIEs”) in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.
Variable Interest Entities	Variable Interest Entities VIEs are defined as entities, that by design, either lack sufficient equity for the entity to finance its activities without additional subordinated financial support, or are unable to direct the entity’s activities, or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include; the design of the VIE, including its capitalization structure, subordination of interests, payment priority, relative share of interests held across various classes within the VIE’s capital structure, and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.
Use of Estimates	Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates.
Recently Issued Accounting Pronouncements	Significant Accounting Policies There have been no significant changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2022. Recently Issued Accounting Pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 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 transactions. 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 is 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 to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of rate reform. December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management monitored if any legacy LIBOR reference rate contracts remained outstanding as of September 30, 2023 in the investment portfolio, as either they they terminated prior to the June 30, 2023 LIBOR cessation date, or the Company elected to 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. The Company adjusted the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occured. The variable-rate 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. As of September 30, 2023, the Company has fully transitioned away from any contracts, hedging relationships, or other transactions that reference LIBOR, which did 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)	9 Months Ended
	Sep. 30, 2023
Accounting Policies [Abstract]
Schedule of New Accounting Pronouncements and Changes in Accounting Principles	Recently Issued Accounting Pronouncements Description Effective Date Effect on Financial Statements In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. January 1, 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 transactions. 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 is 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 to all entities that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of rate reform. December 31, 2024 With additional time granted to apply the relief in Topic 848 extended through December 31, 2024, Management monitored if any legacy LIBOR reference rate contracts remained outstanding as of September 30, 2023 in the investment portfolio, as either they they terminated prior to the June 30, 2023 LIBOR cessation date, or the Company elected to 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. The Company adjusted the effective interest rate of all contracts, hedging relationships, and other transactions that reference LIBOR to revised reference rates and spreads as they occured. The variable-rate 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. As of September 30, 2023, the Company has fully transitioned away from any contracts, hedging relationships, or other transactions that reference LIBOR, which did not have a material impact on its financial statements and disclosures.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 2023
Fair Value Disclosures [Abstract]
Schedule of the Entity's Financial Instruments Carried at Fair Value Based Upon the Valuation Hierarchy	The following tables present the Company’s financial instruments carried at fair value as of September 30, 2023 and December 31, 2022, based upon the valuation hierarchy (dollars in thousands): September 30, 2023 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-only strips $ — $ — $ 61 $ 61 Agency RMBS Interest-only strips accounted for as derivatives, included in MBS — — 834 834 Subtotal Agency MBS — — 895 895 Non-Agency CMBS — 54,206 — 54,206 Non-Agency RMBS — 31,872 — 31,872 Non-Agency RMBS Interest-only strips — — 1,249 1,249 Subtotal Non-Agency MBS — 86,078 1,249 87,327 Other securities — 16,867 — 16,867 Total mortgage-backed securities and other securities — 102,945 2,144 105,089 Residential Whole Loans — — 986,978 986,978 Residential Bridge Loans — — 2,782 2,782 Securitized Commercial Loans — — 1,012,650 1,012,650 Commercial Loans — — 78,701 78,701 Total Assets $ — $ 102,945 $ 2,083,255 $ 2,186,200 Liabilities Derivative liabilities $ — $ 845 $ — $ 845 Securitized debt — 1,576,499 5,779 1,582,278 Total Liabilities $ — $ 1,577,344 $ 5,779 $ 1,583,123 December 31, 2022 Fair Value Level I Level II Level III Total Assets 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 Securitized Commercial Loan — — 1,085,103 1,085,103 Commercial Loans — — 90,002 90,002 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
Summary of Quantitative Information	The following tables present a summary of the available quantitative information about the significant unobse rvable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of September 30, 2023 and December 31, 2022 (dollars in thousands): Fair Value at Range September 30, 2023 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans $ 986,978 Discounted Cash Flow Market Discount Rate 6.4 % 8.4 % 6.8 % Weighted Average Life 1.4 10.5 6.4 Residential Bridge Loans $ 2,782 Discounted Cash Flow Market Discount Rate 12.2 % 20.0 % 15.1 % Weighted Average Life 1.3 5.2 3.4 Securitized Commercial Loan $ 1,012,650 Market Comparables, Vendor Pricing Weighted Average Life 2 2 2 Commercial Loans $ 78,701 Discounted Cash Flow Market Discount Rate 9.2 % 11.5 % 10.5 % Weighted Average Life 0 1.6 1.37 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 % (1) 22.4 % Weighted Average Life 0.4 4.1 2.0 Securitized Commercial Loan $ 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
Schedule of Financial Instruments Measured at Level III	The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 838 $ 1,608 $ 1,037,381 $ 2,782 $ 78,806 $ 1,025,321 $ 6,932 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Loan modifications / capitalized interest — — 87 — — — — Principal repayments — — (28,604) — (281) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (29) — — — — Unrealized gains/(losses), net on assets (1) 67 (251) (21,131) — 143 (19,735) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — 66 Premium and discount amortization, net (10) (108) (726) — 33 7,064 (1,219) Ending balance $ 895 $ 1,249 $ 986,978 $ 2,782 $ 78,701 $ 1,012,650 $ 5,779 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 67 $ (251) $ (22,085) $ — $ 143 $ (19,735) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ (66) Three months ended September 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 785 $ 1,181 $ 1,195,853 $ 5,095 $ 128,421 $ 1,243,371 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — (11,735) — — — — Loan modifications / capitalized interest — — 4 — — — — Principal repayments — — (37,036) — (20,588) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (33) — — — — Unrealized gains/(losses), net on assets (1) (63) 88 (46,545) 25 (17,730) (78,046) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (3,863) Premium and discount amortization, net (2) (96) (883) — — 6,589 (1,170) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (63) $ 88 $ (35,855) $ 25 $ (17,730) $ (78,046) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 3,863 Nine months ended September 30, 2023 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 767 $ 1,204 $ 1,091,145 $ 2,849 $ 90,002 $ 1,085,103 $ 8,927 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — — — — — — — Sales and settlements — — — — (8,776) — — Loan modifications / capitalized interest — — 129 — — — — Principal repayments — — (87,397) (74) (1,961) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (29) — (81,223) — — Unrealized gains/(losses), net on assets (1) 134 361 (14,593) 7 80,560 (93,785) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (35) Premium and discount amortization, net (6) (316) (2,277) — 99 21,332 (3,113) Ending balance $ 895 $ 1,249 $ 986,978 $ 2,782 $ 78,701 $ 1,012,650 $ 5,779 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 134 $ 361 $ (18,171) $ — $ (662) $ (93,785) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 35 Nine months ended September 30, 2022 $ in thousands Agency MBS Non-Agency MBS Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,172 $ 7,845 $ 1,023,502 $ 5,428 $ 130,572 $ 1,355,808 $ 14,919 Transfers into Level III from Level II — — — — — — — Transfers from Level III into Level II — (5,437) — — — — — Purchases — — 402,650 — — — — Sales and settlements — — (11,362) — — — — Loan modifications / capitalized interest — — 79 — — — — Principal repayments — — (184,683) (250) (20,593) — — Total net gains / losses included in net income Realized gains/(losses), net on assets — — (32) — — — — Unrealized gains/(losses), net on assets (1) (329) (998) (125,943) (58) (19,876) (203,828) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — (2,064) Premium and discount amortization, net (123) (237) (4,586) — — 19,934 (2,969) Ending balance $ 720 $ 1,173 $ 1,099,625 $ 5,120 $ 90,103 $ 1,171,914 $ 9,886 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (329) $ (644) $ (107,944) $ 17 $ (19,884) $ (203,828) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ 2,064 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
Schedule of Carrying Value and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of the Company’s convertible senior unsecured notes and securitized debt that are not carried at fair value as of September 30, 2023 and December 31, 2022 in the consolidated financial statements (dollars in thousands): September 30, 2023 December 31, 2022 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Convertible senior unsecured notes $ 84,750 $ 83,367 $ 83,522 $ 74,712 Securitized debt (1) 305,205 273,799 342,965 309,474 Total $ 389,955 $ 357,166 $ 426,487 $ 384,186 (1) Carrying value excludes $3.1 million and $4.1 million of deferred financing costs as of September 30, 2023 and December 31, 2022, respectively.

Mortgage-Backed Securities an_2

Mortgage-Backed Securities and Other Securities (Tables)	9 Months Ended
	Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]
Summary of Certain Information about the Company's Investment Portfolio	The following tables present certain information about the Company’s investment portfolio at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 68 $ — $ (7) $ 61 — % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 834 1.3 % Total Agency MBS — — 68 — (7) 895 1.1 % Non-Agency RMBS 50,507 (14,670) 35,837 572 (4,537) 31,872 4.9 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 4,888 — (3,639) 1,249 0.3 % Subtotal Non-Agency RMBS 50,507 (14,670) 40,725 572 (8,176) 33,121 1.6 % Non-Agency CMBS 88,559 (1,746) 86,813 65 (32,672) 54,206 8.0 % Total Non-Agency MBS 139,066 (16,416) 127,538 637 (40,848) 87,327 3.7 % Other securities (3) 25,613 (7,941) 18,740 813 (2,686) 16,867 7.1 % Total $ 164,679 $ (24,357) $ 146,346 $ 1,450 $ (43,541) $ 105,089 3.8 % December 31, 2022 Principal Unamortized Amortized Unrealized Unrealized 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 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2023, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs, and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $2.2 million, $132.0 million, and $12.2 million, respectively. 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. (2) Interest on these securities is reported as a component of "Gain on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in ABS which have no principal balance and an amortized cost of approximately $1.1 million and $5.0 million, as of September 30, 2023 and December 31, 2022, respectively. (4) The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts.
Schedule of the Fair Value and Contractual Maturities of the Company's Investment Securities	The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ 61 $ — $ — $ 61 Agency RMBS Interest-Only Strips accounted for as derivatives — 834 — — 834 Subtotal Agency — 895 — — 895 Non-Agency CMBS 37,134 7,418 9,654 — 54,206 Non-Agency RMBS — — 7,912 23,960 31,872 Non-Agency RMBS Interest-Only Strips — — 188 1,061 1,249 Subtotal Non-Agency 37,134 7,418 17,754 25,021 87,327 Other securities 3,006 — 7,117 6,744 16,867 Total $ 40,140 $ 8,313 $ 24,871 $ 31,765 $ 105,089 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
Schedule of Gross Unrealized Losses and Estimated Fair Value of the Company's MBS and Other Securities by Length of Time that Such Securities have been in a Continuous Unrealized Loss Position	The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 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 $ 61 $ (7) 1 $ — $ — — $ 61 $ (7) 1 Subtotal Agency 61 (7) 1 — — — 61 (7) 1 Non-Agency CMBS 7,188 (1,898) 1 46,953 (30,774) 9 54,141 (32,672) 10 Non-Agency RMBS 15,661 (519) 2 9,706 (4,018) 6 25,367 (4,537) 8 Non-Agency RMBS Interest-Only Strips — — — 1,249 (3,639) 4 1,249 (3,639) 4 Subtotal Non-Agency 22,849 (2,417) 3 57,908 (38,431) 19 80,757 (40,848) 22 Other securities — — — 5,521 (2,686) 1 5,521 (2,686) 1 Total $ 22,910 $ (2,424) 4 $ 63,429 $ (41,117) 20 $ 86,339 $ (43,541) 24 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
Summary of the Components of Interest Income on the Company's MBS and Other Securities	The following tables present components of interest income on the Company’s MBS and other securities for the three and nine months ended September 30, 2023 and September 30, 2022, respectively (dollars in thousands): Three months ended September 30, 2023 Three months ended September 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 4 $ 4 $ — $ 2 $ 2 Non-Agency CMBS 1,657 351 2,008 1,949 387 2,336 Non-Agency RMBS 756 (306) 450 446 26 472 Other securities 583 (144) 439 860 185 1,045 Total $ 2,996 $ (95) $ 2,901 $ 3,255 $ 600 $ 3,855 Nine months ended September 30, 2023 Nine months ended September 30, 2022 Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Accretion Interest Agency RMBS $ — $ 10 $ 10 $ 13 $ (4) $ 9 Non-Agency CMBS 5,234 1,006 6,240 7,050 386 7,436 Non-Agency RMBS 1,960 (651) 1,309 1,804 (141) 1,663 Other securities 2,079 (345) 1,734 2,515 223 2,738 Total $ 9,273 $ 20 $ 9,293 $ 11,382 $ 464 $ 11,846
Schedule of Sales and Realized Gain (Loss) of the Company's MBS and Other Securities	The following table presents the sales and realized gain (loss) of the Company’s MBS and other securities for the nine months ended September 30, 2023 and September 30, 2022, respectively (dollars in thousands): Nine months ended September 30, 2023 Nine months ended September 30, 2022 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Non-Agency CMBS $ — $ — $ (1,239) $ (1,239) $ 10,152 $ — $ (43,934) $ (43,934) Non-Agency RMBS — — (48) (48) 27,729 255 (1,425) (1,170) Other securities 15,324 649 (2,028) (1,379) 4,406 — (478) (478) Total $ 15,324 $ 649 $ (3,315) $ (2,666) $ 42,287 $ 255 $ (45,837) $ (45,582)

Residential Whole Loans and B_2

Residential Whole Loans and Bridge Loans (Tables)	9 Months Ended
	Sep. 30, 2023
Variable Interest Entities
Schedule of the Assets and Liabilities of the VIE Included in the Consolidated Balance Sheets	The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) $ 986,978 $ 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Investment related receivable 8,602 5,914 Interest receivable 4,580 4,871 Other assets — 509 Total assets $ 1,002,942 $ 1,105,288 Securitized debt, net $ 877,745 $ 981,073 Interest payable 2,892 3,139 Accounts payable and accrued expenses 12 34 Total liabilities $ 880,649 $ 984,246 two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Restricted cash $ — $ 248 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Interest receivable 5,151 5,311 Total assets $ 1,030,300 $ 1,105,024 Securitized debt, at fair value $ 1,006,630 $ 1,077,611 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities — 248 Total liabilities $ 1,011,634 $ 1,083,032
Schedule of Components of the Carrying Value of Residential Whole-Loans and Securitized Commercial Loan	The following table presents the components of the fair value of Residential Whole Loans and Residential Bridge Loans as of September 30, 2023 and December 31, 2022 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 Principal balance $ 1,078,005 $ 1,165,301 $ 3,091 $ 3,166 Unamortized premium 28,530 30,961 — — Unamortized discount (1,394) (1,536) — — Amortized cost 1,105,141 1,194,726 3,091 3,166 Gross unrealized gains 5,371 2,038 — — Gross unrealized losses (123,534) (105,619) (309) (317) Fair value $ 986,978 $ 1,091,145 $ 2,782 $ 2,849
Schedule of Certain Information about the Residential Whole Loans Investment Portfolio	The Residential Whole Loans have low LTV's and are comprised of 2,761 adjustable and fixed rate Non-QM and investor mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Weighted Average Current Coupon Rate Number of Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 39 $ 21,880 66.3 % 758 9.1 27.6 2.9 % 3.01% – 4.00% 361 196,884 67.0 % 760 8.2 28.0 3.7 % 4.01% – 5.00% 1,134 384,437 64.8 % 750 6.8 25.5 4.5 % 5.01% – 6.00% 813 322,376 66.0 % 743 6.1 26.2 5.5 % 6.01% – 7.00% 321 120,933 67.2 % 743 4.8 26.9 6.5 % 7.01% - 8.00% 69 23,865 60.6 % 734 4.1 23.1 7.4 % 8.01% - 9.00% 24 7,630 55.5 % 744 4.3 24.0 8.6 % Total 2,761 $ 1,078,005 65.7 % 749 6.6 26.3 4.9 % (1) The original FICO score is not available for 210 loans with a principal balance of approximately $64.6 million at September 30, 2023. The Company has excluded these loans from the weighted average computations. December 31, 2022 Weighted Average Current Coupon Rate Number of Principal Original LTV 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.
Schedule of the U.S. States Concentration and Principal Balance of Collateral Securing Residential Whole Loans	The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Whole Loans are located as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 State State Concentration Principal Balance State State Concentration Principal Balance California 67.8 % $ 731,058 California 66.8 % $ 778,732 New York 9.0 % 96,757 New York 9.3 % 108,108 Texas 4.8 % 51,407 Texas 4.8 % 56,126 Florida 3.9 % 42,157 Florida 4.1 % 47,681 Georgia 3.3 % 35,297 Georgia 3.5 % 40,845 Other 11.2 % 121,329 Other 11.5 % 133,809 Total 100.0 % $ 1,078,005 Total 100.0 % $ 1,165,301
Schedule of Residential Bridge Loans	The Company is no longer allocating capital to Residential Bridge Loans. The following tables present certain information about the remaining Residential Bridge Loans which are non-performing in the Company's investment portfolio at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 8.7 % 9.01% – 11.00% 1 849 90.5 % 0.0 10.0 % 11.01% – 13.00% 1 420 70.0 % 0.0 11.3 % Total 4 $ 3,091 74.2 % 0.0 9.4 % December 31, 2022 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 2 $ 1,822 67.5 % 0.0 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 % (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 geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Bridge Loans are located as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 State Concentration Principal Balance State Concentration Principal Balance California 56.7 % $ 1,754 California 55.4 % $ 1,754 New York 43.3 % 1,337 New York 42.2 % 1,337 Total 100.0 % $ 3,091 New Jersey 2.4 % 75 Total 100.0 % $ 3,166
Schedule of Financing Receivable, Past Due	The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of September 30, 2023 (dollars in thousands): Residential Whole Loans (1) Residential Bridge Loans (1) No of Loans Principal Fair Value No of Loans Principal Fair Value Current 2,707 $ 1,048,261 $ 959,343 — $ — $ — 1-30 days 23 10,407 9,617 — — — 31-60 days — — — — — — 61-90 days 11 8,155 7,696 — — — 90+ days 20 11,182 10,322 4 3,091 2,782 Total 2,761 $ 1,078,005 $ 986,978 4 $ 3,091 $ 2,782 (1) As of September 30, 2023, there were no loans in forbearance.

Commercial Loans (Tables)

Commercial Loans (Tables)	9 Months Ended
	Sep. 30, 2023
Noncontrolling Interest [Abstract]
Schedule of Commercial Real Estate Loans Held	The following table presents information about the Commercial Loans owned by CRE LLC as of September 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 4 September 2019 Interest-Only First Mortgage $ 22,204 $ 22,071 63% 1-Month SOFR plus 3.38% 8/6/2025 (1) None Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,061 62% 1-Month SOFR plus 4.20% 5/6/2025 (2) None Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,952 62% 1-Month SOFR plus 4.20% 5/6/2025 (2) None Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,118 62% 1-Month SOFR plus 4.20% 5/6/2025 (2) None Hotel $ 67,205 $ 66,202 (1) In August 2022, CRE 4 was extended three-years through August 6, 2025, with a principal paydown of $16.2 million . (2) In November 2023, CRE 5, 6, and 7 were each extended through May 6, 2025. The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of September 30, 2023 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate (1) Maturity Date (1) Extension Option Collateral SBC 3 January 2019 Interest-Only First Mortgage $ 12,500 $ 12,499 49% 1-Month SOFR plus 5.50% 10/4/2023 None Nursing Facilities $ 12,500 $ 12,499 (1) In January 2023, the SBC 3 loan was partially paid down by $862 thousand to bring the unpaid principal balance to $13.5 million, the maturity date was extended through May 5, 2023 for a 50 bps extension fee and the margin was increased from 4.47% to 5.00%. In May 2023, the SBC 3 loan was partially paid down by $750 thousand to bring the unpaid principal to $12.8 million, the maturity date was extended through August 4, 2023, and the margin was increased from 5.00% to 5.50%. In July 2023, the SBC 3 loan was partially paid down by $250 thousand to bring the unpaid principal balance to $12.5 million, and the maturity date was extended to October 4, 2023 for a 25 bps extension fee. In October 2023, the SBC 3 loan was partially paid down by $250 thousand to bring the unpaid principal to $12.3 million and the maturity date was extended to December 31, 2023 for a 25 bps extension fee.
Schedule of the Assets and Liabilities of the VIE Included in the Consolidated Balance Sheets	The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) $ 986,978 $ 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Investment related receivable 8,602 5,914 Interest receivable 4,580 4,871 Other assets — 509 Total assets $ 1,002,942 $ 1,105,288 Securitized debt, net $ 877,745 $ 981,073 Interest payable 2,892 3,139 Accounts payable and accrued expenses 12 34 Total liabilities $ 880,649 $ 984,246 two consolidated trusts included in the Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Restricted cash $ — $ 248 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Interest receivable 5,151 5,311 Total assets $ 1,030,300 $ 1,105,024 Securitized debt, at fair value $ 1,006,630 $ 1,077,611 Interest payable 4,995 5,164 Accounts payable and accrued expenses 9 9 Other liabilities — 248 Total liabilities $ 1,011,634 $ 1,083,032
Schedule of Carrying Value of the Commercial Real Estate Loans	The following table presents the components of the fair value of the Securitized Commercial Loan and Commercial Loans as of September 30, 2023 and December 31, 2022 (dollars in thousands): CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022 Principal balance $ 1,385,591 $ 1,385,591 $ 12,500 $ 14,362 $ 67,205 $ 157,205 Unamortized discount (62,799) (84,132) — — — — Amortized cost 1,322,792 1,301,459 12,500 14,362 67,205 157,205 Gross unrealized gains — — — — — — Gross unrealized losses (310,142) (216,356) (1) — (1,003) (81,565) Fair value $ 1,012,650 $ 1,085,103 $ 12,499 $ 14,362 $ 66,202 $ 75,640

Financings (Tables)

Financings (Tables)	9 Months Ended
	Sep. 30, 2023
Debt Disclosure [Abstract]
Summary of Certain Characteristics of the Company's Repurchase Agreements	The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-term borrowings: Agency RMBS $ 351 5.98 % 2 $ 293 4.78 % 32 Non-Agency RMBS (1) — — % 0 48,237 7.50 % 26 Other securities — — % 0 1,776 7.09 % 17 Total short-term borrowings 351 5.98 % 2 50,306 7.47 % 26 Long-term borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS (1) 31,621 7.79 % 215 55,154 6.30 % 122 Non-Agency RMBS 77,751 10.80 % 585 19,129 6.30 % 122 Other securities 8,860 8.09 % 215 16,863 6.30 % 122 Subtotal 118,232 9.79 % 458 91,146 6.30 % 122 Residential Whole Loan Facility Residential Whole Loans (2) 2,562 7.56 % 25 3,633 6.66 % 298 Residential Bridge Loans (2) 1,641 7.56 % 25 — — % 0 Commercial Whole Loan Facility Commercial Loans 48,032 7.56 % 34 48,032 6.13 % 307 Total long-term borrowings 170,467 9.11 % 328 142,811 6.25 % 189 Repurchase agreements borrowings $ 170,818 9.10 % 327 $ 193,117 6.57 % 146 Less unamortized debt issuance costs 908 N/A N/A — N/A N/A Repurchase agreements borrowings, net $ 169,910 9.10 % 327 $ 193,117 6.57 % 146 (1) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (2) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.
Schedule of Repurchase Agreements Collateralized by Investments	At September 30, 2023 and December 31, 2022, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2023 December 31, 2022 1 to 29 days $ 4,554 $ 50,013 30 to 59 days 48,032 293 60 to 89 days — — Greater than or equal to 90 days 118,232 142,811 Total $ 170,818 $ 193,117
Schedule of Amounts of Collateral at Risk Under its Repurchase Agreements Greater than 10% of the Company's Equity with any Counterparty	At September 30, 2023, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): September 30, 2023 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Goldman Sachs Bank USA $ 36,387 214 46.7 % Atlas Securitized Products Investments 2, L.P. 18,461 34 23.7 %
Summary of Collateral Positions, with Respect to Borrowings Under Repurchase Agreements, Securitized Debt, Derivatives and Clearing Margin Account	The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 297 $ 3 $ 300 $ 249 $ — $ 249 Non-Agency CMBS, at fair value (1) 53,038 386 53,424 83,925 483 84,408 Non-Agency RMBS, at fair value 83,029 456 83,485 104,487 533 105,020 Residential Whole Loans, at fair value (2) 4,343 11 4,354 3,229 3 3,232 Residential Bridge Loans (2) 2,782 32 2,814 — — — Commercial Loans, at fair value (2) 66,202 424 66,626 66,864 362 67,226 REO, at carrying value 2,255 — 2,255 2,255 — 2,255 Other securities, at fair value 15,645 67 15,712 27,262 78 27,340 Cash (3) 241 — 241 3,410 — 3,410 Total $ 227,832 $ 1,379 $ 229,211 $ 291,681 $ 1,459 $ 293,140 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.
Schedule of Commercial Mortgage Pass-through Certificates	The following table summarizes the issued Arroyo Trust 2019-2's residential mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 142,973 3.3% $ 142,973 4/25/2049 Class A-2 7,668 3.5% 7,668 4/25/2049 Class A-3 12,148 3.8% 12,148 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 187,844 $ 187,844 Less: Unamortized Deferred Financing Costs N/A 1,932 Total $ 187,844 $ 185,912 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 66,276 1.7% $ 66,276 3/25/2055 Class A-1B 7,865 2.1% 7,865 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 $ 117,361 $ 117,361 Less: Unamortized Deferred Financing Costs N/A 1,176 Total $ 117,361 $ 116,185 The following table summarizes the issued Arroyo Trust 2022-1's residential mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1A $ 196,149 2.5% $ 174,066 12/25/2056 Class A-1B 82,942 3.3% 68,578 12/25/2056 Class A-2 21,168 3.6% 15,527 12/25/2056 Class A-3 28,079 3.7% 19,864 12/25/2056 Class M-1 17,928 3.7% 11,374 12/25/2056 Total $ 346,266 $ 289,409 Classes Principal Balance Coupon Fair Value Contractual Maturity Offered Notes: Class A-1 $ 243,033 5.0% $ 230,646 7/25/2057 Class A-2 20,687 5.0% 19,097 7/25/2057 Class A-3 25,208 5.0% 23,219 7/25/2057 Class M-1 17,694 5.0% 13,277 7/25/2057 Total $ 306,622 $ 286,239 The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at September 30, 2023 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 100,388 9/11/2025 Class A-2 531,700 4.0 % 453,714 9/11/2025 Class B 136,400 4.2 % 107,723 9/11/2025 Class C 94,500 4.3 % 71,132 9/11/2025 Class D 153,950 4.4 % 109,772 9/11/2025 Class E 180,150 4.4 % 96,059 9/11/2025 Class F 153,600 4.4 % 62,063 9/11/2025 Class X-1 (1) n/a 0.5 % 4,785 9/11/2025 Class X-2 (1) n/a — % 994 9/11/2025 $ 1,370,691 $ 1,006,630 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of September 30, 2023, respectively.

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Summary of the Entity's Derivative Instruments	The following table summarizes the Company’s derivative instruments at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 December 31, 2022 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ — $ — $ 60,000 $ 1 Total derivative instruments, assets — 1 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value 82,000 (845) 98,000 (61) Total derivative instruments, liabilities (845) (61) Total derivative instruments, net $ (845) $ (60)
Summary of the effect of entity's Derivative Instruments Reported in Gain (Loss) on Derivative Instruments, Net on the Statements of Operations	The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2023 and September 30, 2022 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended September 30, 2023 Interest rate swaps $ — $ 1,008 $ — $ (777) $ 846 $ 1,077 Interest-Only Strips— accounted for as derivatives — — (14) 70 24 80 Total $ — $ 1,008 $ (14) $ (707) $ 870 $ 1,157 Three months ended September 30, 2022 Interest rate swaps $ (3,371) $ 3,423 $ — $ 4,790 $ 298 $ 5,140 Interest rate swaptions $ (161) $ — $ — $ — $ — $ (161) Interest-Only Strips— accounted for as derivatives — — (5) (54) 16 (43) Credit default swaps (273) — — 283 — 10 TBAs 1,319 — — (1,383) — (64) Total $ (2,486) $ 3,423 $ (5) $ 3,636 $ 314 $ 4,882 Realized Gain (Loss), net Description Other Settlements/ Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Nine months ended September 30, 2023 Interest rate swaps $ — $ (992) $ — $ (785) $ 2,832 $ 1,055 Interest-Only Strips— accounted for as derivatives — — (16) 135 47 166 Total $ — $ (992) $ (16) $ (650) $ 2,879 $ 1,221 Nine months ended September 30, 2022 Interest rate swaps $ (3,371) $ 14,744 $ — $ 3,670 $ (255) $ 14,788 Interest rate swaptions (161) — — — — (161) Interest-Only Strips— accounted for as derivatives — — (120) (270) 160 (230) Credit default swaps (242) — — 393 — 151 TBAs 2,051 — — — — 2,051 Total $ (1,723) $ 14,744 $ (120) $ 3,793 $ (95) $ 16,599
Summary of Interest Rate Swaps or Interest Rate Swaptions	The following tables provide additional information on the Company's fixed-pay interest rate swaps as of September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) 1 year or less $ 60,000 1.4 % 5.1 % 0.5 Greater than 5 years 22,000 1.2 % 5.3 % 8.0 Total $ 82,000 1.3 % 5.2 % 2.5 December 31, 2022 Fixed Pay Interest Rate Swap Remaining Term Notional Amount Average Average Variable Receive Rate Average Maturity (Years) Greater than 1 year and less than 3 years $ 60,000 1.4 % 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

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	9 Months Ended
	Sep. 30, 2023
Offsetting [Abstract]
Schedule of Gross and Net Information about the Company's Assets Subject to Master Netting Arrangements	The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 834 $ — $ 834 $ (236) $ — $ 598 Total assets $ 834 $ — $ 834 $ (236) $ — $ 598 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 845 $ — $ 845 $ — $ (845) $ — Repurchase Agreements (4) 169,910 — 169,910 (167,509) — 2,401 Total liability $ 170,755 $ — $ 170,755 $ (167,509) $ (845) $ 2,401 (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, securitized commercial loan collateral pledged, and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.0 million as of September 30, 2023. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $227.6 million as of September 30, 2023. December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2) 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, securitized commercial loan collateral pledged, and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022.
Schedule of Gross and Net Information about the Company's Liabilities Subject to Master Netting Arrangements	The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2023 and December 31, 2022 (dollars in thousands): September 30, 2023 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 834 $ — $ 834 $ (236) $ — $ 598 Total assets $ 834 $ — $ 834 $ (236) $ — $ 598 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 845 $ — $ 845 $ — $ (845) $ — Repurchase Agreements (4) 169,910 — 169,910 (167,509) — 2,401 Total liability $ 170,755 $ — $ 170,755 $ (167,509) $ (845) $ 2,401 (1) Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, securitized commercial loan collateral pledged, and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value, includes interest rate swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $1.0 million as of September 30, 2023. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $227.6 million as of September 30, 2023. December 31, 2022 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 714 $ — $ 714 $ (196) $ — $ 518 Derivative asset, at fair value (2) 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, securitized commercial loan collateral pledged, and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the cash collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps and credit default swaps. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $3.2 million as of December 31, 2022. (4) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022.

Share-Based Payments (Tables)

Share-Based Payments (Tables)	9 Months Ended
	Sep. 30, 2023
Share-Based Payment Arrangement, Noncash Expense [Abstract]
Summary of Restricted Common Stock Vesting Dates	The following is a summary of restricted equity awards vesting dates as of September 30, 2023 and December 31, 2022: September 30, 2023 December 31, 2022 Vesting Date Shares Vesting Shares Vesting June 2023 — 31,704 June 2024 43,151 10,000 Total 43,151 41,704
Schedule of Shares Issued Under the Company’s Equity Incentive Plans	The following table presents information with respect to shares issued under the Company’s Equity Incentive Plans for the nine months ended September 30, 2023 and September 30, 2022: September 30, 2023 September 30, 2022 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 81,914 $ 31.21 114,825 $ 131.85 Granted (2) 41,559 9.15 45,954 12.75 Issuance of common shares (11,547) 11.89 — — Outstanding at end of period 111,926 25.01 160,779 97.81 Unvested at end of period 43,151 $ 9.58 41,704 $ 12.52 (1) The grant date fair value of the awards is based on the closing market price of the Company’s common stock at the grant date. (2) Includes 10,375 and 4,250 shares attributed to dividends on restricted stock under the Director Deferred Fee Plan for the nine months ended September 30, 2023 and September 30, 2022, respectively.

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2023
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 2023 September 21, 2023 October 2, 2023 October 26, 2023 $ 0.35 Not yet determined June 21, 2023 July 3, 2023 July 26, 2023 $ 0.35 Not yet determined March 22, 2023 April 3, 2023 April 26, 2023 $ 0.35 Not yet determined 2022 December 21, 2022 January 3, 2023 January 26, 2023 $ 0.40 Not yet determined (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

Net Loss per Common Share (Tabl

Net Loss per Common Share (Tables)	9 Months Ended
	Sep. 30, 2023
Earnings Per Share [Abstract]
Schedule of Basic and Diluted Net Loss Per Share of Common Stock	The table below presents basic and diluted net loss per share of common stock using the two-class method for the three and nine months ended September 30, 2023 and September 30, 2022 (dollars, other than shares and per share amounts, in thousands), adjusted on a retroactive basis to reflect the Company's one-for-ten reverse stock split. For the three months ended September 30, 2023 For the three months ended September 30, 2022 For the nine months ended September 30, 2023 For the nine months ended September 30, 2022 Numerator : Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share $ (8,705) $ (40,010) $ (10,771) $ (88,250) Less: Dividends and undistributed earnings allocated to participating securities 39 32 101 62 Net loss allocable to common stockholders — basic and diluted $ (8,744) $ (40,042) $ (10,872) $ (88,312) Denominator : Weighted average common shares outstanding for basic earnings per share 6,049,559 6,038,012 6,041,946 6,036,876 Weighted average common shares outstanding for diluted earnings per share 6,049,559 6,038,012 6,041,946 6,036,876 Basic loss per common share $ (1.45) $ (6.63) $ (1.80) $ (14.63) Diluted loss per common share $ (1.45) $ (6.63) $ (1.80) $ (14.63)

Organization (Details)

Organization (Details) - MITT Merger Agreement $ in Millions	Aug. 08, 2023 USD ($) shares
Business Acquisition [Line Items]
Payment of termination fee	$ 3
Right to receive per share (in shares) | shares	1.498
Cash payment	$ 7
Percentage of share consideration	9.90%
Management fee waived	$ 2.4

Basis of Presentation and Sum_4

Basis of Presentation and Summary of Significant Accounting Policies (Details)			9 Months Ended
	Jul. 11, 2022 $ / shares shares	Jun. 30, 2022 $ / shares shares	Sep. 30, 2023 $ / shares shares	Dec. 31, 2022 $ / 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)	10,000,000	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		0.1
Common stock, shares issued (in shares)	6,038,012	60,380,105
Common stock, shares outstanding (in shares)	6,038,012	60,380,105	6,049,559	6,038,012
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 - Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Assets
Derivative assets	$ 834	$ 715
Liabilities
Derivative liabilities	845	61
Residential  Whole Loans
Assets
Fair value	986,978	1,091,145
Agency RMBS Interest-only strips
Assets
Estimated Fair Value	61	53
Agency RMBS Interest-only strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	834	714
Subtotal Agency MBS
Assets
Estimated Fair Value	895	767
Non-Agency CMBS
Assets
Estimated Fair Value	54,206	85,435
Non-Agency RMBS
Assets
Estimated Fair Value	31,872	22,483
Non-Agency RMBS Interest-only strips
Assets
Estimated Fair Value	1,249	1,204
Subtotal Non-Agency MBS
Assets
Estimated Fair Value	87,327	109,122
Other securities
Assets
Estimated Fair Value	16,867	27,262
Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	105,089	137,151
Fair Value, Measurements, Recurring
Assets
Derivative assets		1
Total Assets	2,186,200	2,406,251
Liabilities
Derivative liabilities	845	61
Securitized debt	1,582,278	1,719,865
Total Liabilities	1,583,123	1,719,926
Fair Value, Measurements, Recurring | Residential  Whole Loans
Assets
Fair value	986,978	1,091,145
Fair Value, Measurements, Recurring | Residential Bridge Loans
Assets
Fair value	2,782	2,849
Fair Value, Measurements, Recurring | Securitized Commercial Loans
Assets
Fair value	1,012,650	1,085,103
Fair Value, Measurements, Recurring | Commercial Loans
Assets
Fair value	78,701	90,002
Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips
Assets
Estimated Fair Value	61	53
Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	834	714
Fair Value, Measurements, Recurring | Subtotal Agency MBS
Assets
Estimated Fair Value	895	767
Fair Value, Measurements, Recurring | Non-Agency CMBS
Assets
Estimated Fair Value	54,206	85,435
Fair Value, Measurements, Recurring | Non-Agency RMBS
Assets
Estimated Fair Value	31,872	22,483
Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-only strips
Assets
Estimated Fair Value	1,249	1,204
Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	87,327	109,122
Fair Value, Measurements, Recurring | Other securities
Assets
Estimated Fair Value	16,867	27,262
Fair Value, Measurements, Recurring | Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	105,089	137,151
Level I | Fair Value, Measurements, Recurring
Assets
Derivative assets		0
Total Assets	0	0
Liabilities
Derivative liabilities	0	0
Securitized debt	0	0
Total Liabilities	0	0
Level I | Fair Value, Measurements, Recurring | Residential  Whole Loans
Assets
Fair value	0	0
Level I | Fair Value, Measurements, Recurring | Residential Bridge Loans
Assets
Fair value	0	0
Level I | Fair Value, Measurements, Recurring | Securitized Commercial Loans
Assets
Fair value	0	0
Level I | Fair Value, Measurements, Recurring | Commercial Loans
Assets
Fair value	0	0
Level I | Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Subtotal Agency MBS
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Non-Agency CMBS
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Non-Agency RMBS
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-only strips
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Other securities
Assets
Estimated Fair Value	0	0
Level I | Fair Value, Measurements, Recurring | Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	0	0
Level II | Fair Value, Measurements, Recurring
Assets
Derivative assets		1
Total Assets	102,945	135,181
Liabilities
Derivative liabilities	845	61
Securitized debt	1,576,499	1,710,938
Total Liabilities	1,577,344	1,710,999
Level II | Fair Value, Measurements, Recurring | Residential  Whole Loans
Assets
Fair value	0	0
Level II | Fair Value, Measurements, Recurring | Residential Bridge Loans
Assets
Fair value	0	0
Level II | Fair Value, Measurements, Recurring | Securitized Commercial Loans
Assets
Fair value	0	0
Level II | Fair Value, Measurements, Recurring | Commercial Loans
Assets
Fair value	0	0
Level II | Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips
Assets
Estimated Fair Value	0	0
Level II | Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	0	0
Level II | Fair Value, Measurements, Recurring | Subtotal Agency MBS
Assets
Estimated Fair Value	0	0
Level II | Fair Value, Measurements, Recurring | Non-Agency CMBS
Assets
Estimated Fair Value	54,206	85,435
Level II | Fair Value, Measurements, Recurring | Non-Agency RMBS
Assets
Estimated Fair Value	31,872	22,483
Level II | Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-only strips
Assets
Estimated Fair Value	0	0
Level II | Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	86,078	107,918
Level II | Fair Value, Measurements, Recurring | Other securities
Assets
Estimated Fair Value	16,867	27,262
Level II | Fair Value, Measurements, Recurring | Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	102,945	135,180
Level III | Residential  Whole Loans
Assets
Fair value	986,978	1,091,145
Level III | Residential Bridge Loans
Assets
Fair value	2,782	2,849
Level III | Securitized Commercial Loans
Assets
Fair value	1,012,650	1,085,103
Level III | Commercial Loans
Assets
Fair value	78,701	90,002
Level III | Fair Value, Measurements, Recurring
Assets
Derivative assets		0
Total Assets	2,083,255	2,271,070
Liabilities
Derivative liabilities	0	0
Securitized debt	5,779	8,927
Total Liabilities	5,779	8,927
Level III | Fair Value, Measurements, Recurring | Residential  Whole Loans
Assets
Fair value	986,978	1,091,145
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans
Assets
Fair value	2,782	2,849
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans
Assets
Fair value	1,012,650	1,085,103
Level III | Fair Value, Measurements, Recurring | Commercial Loans
Assets
Fair value	78,701	90,002
Level III | Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips
Assets
Estimated Fair Value	61	53
Level III | Fair Value, Measurements, Recurring | Agency RMBS Interest-only strips accounted for as derivatives, included in MBS
Assets
Estimated Fair Value	834	714
Level III | Fair Value, Measurements, Recurring | Subtotal Agency MBS
Assets
Estimated Fair Value	895	767
Level III | Fair Value, Measurements, Recurring | Non-Agency CMBS
Assets
Estimated Fair Value	0	0
Level III | Fair Value, Measurements, Recurring | Non-Agency RMBS
Assets
Estimated Fair Value	0	0
Level III | Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-only strips
Assets
Estimated Fair Value	1,249	1,204
Level III | Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS
Assets
Estimated Fair Value	1,249	1,204
Level III | Fair Value, Measurements, Recurring | Other securities
Assets
Estimated Fair Value	0	0
Level III | Fair Value, Measurements, Recurring | Total mortgage-backed securities and other securities
Assets
Estimated Fair Value	$ 2,144	$ 1,971

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Summary of Quantitative Information (Details) $ in Thousands	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)
Residential  Whole Loans
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 986,978	$ 1,091,145
Residential  Whole Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 986,978	$ 1,091,145
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.064	0.060
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 4 months 24 days	1 year 4 months 24 days
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.084	0.084
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	10 years 6 months	10 years 4 months 24 days
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.068	0.068
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	6 years 4 months 24 days	5 years 4 months 24 days
Residential Bridge Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 2,782	$ 2,849
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.122	0.129
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 3 months 18 days	4 months 24 days
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.200	0.357
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	5 years 2 months 12 days	4 years 1 month 6 days
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.151	0.224
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	3 years 4 months 24 days	2 years
Securitized Commercial Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 1,012,650	$ 1,085,103
Securitized Commercial Loans | Minimum | Market Comparables, Vendor Pricing | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years	2 years 8 months 12 days
Securitized Commercial Loans | Maximum | Market Comparables, Vendor Pricing | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years	2 years 8 months 12 days
Securitized Commercial Loans | Weighted Average | Market Comparables, Vendor Pricing | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	2 years	2 years 8 months 12 days
Commercial Loans | Level III
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Fair value	$ 78,701	$ 90,002
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.092	0.084
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	0 years	3 months 18 days
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.115	0.096
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 7 months 6 days	2 years 4 months 24 days
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, measurement input	0.105	0.092
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Loans held-for-sale, term	1 year 4 months 13 days	1 year 2 months 12 days

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
	Feb. 03, 2023	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Premium and discount amortization, net				$ (1,253)	$ (2,492)
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)
Level III | Fair Value, Measurements, Recurring | Securitized debt
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		$ 6,932	$ 14,919	8,927	14,919
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	0
Purchases					0
Sales and settlements			0	0	0
Loan modifications / capitalized interest		0	0	0	0
Principal repayments		0	0	0	0
Realized gains/(losses), net on assets		0	0	0	0
Unrealized gains/(losses), net on assets		0	0	0	0
Unrealized (gains)/losses, net on liabilities		66	(3,863)	(35)	(2,064)
Premium and discount amortization, net		(1,219)	(1,170)	(3,113)	(2,969)
Ending balance		5,779	9,886	5,779	9,886
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		(66)	3,863	35	2,064
Level III | Fair Value, Measurements, Recurring | Securitized debt | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Residential  Whole Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		1,037,381	1,195,853	1,091,145	1,023,502
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	0
Purchases					402,650
Sales and settlements			(11,735)	0	(11,362)
Loan modifications / capitalized interest		87	4	129	79
Principal repayments		(28,604)	(37,036)	(87,397)	(184,683)
Realized gains/(losses), net on assets		(29)	(33)	(29)	(32)
Unrealized gains/(losses), net on assets		(21,131)	(46,545)	(14,593)	(125,943)
Unrealized (gains)/losses, net on liabilities		0	0	0	0
Premium and discount amortization, net		(726)	(883)	(2,277)	(4,586)
Ending balance		986,978	1,099,625	986,978	1,099,625
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Residential  Whole Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		(22,085)	(35,855)	(18,171)	(107,944)
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		2,782	5,095	2,849	5,428
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	0
Purchases					0
Sales and settlements			0	0	0
Loan modifications / capitalized interest		0	0	0	0
Principal repayments		0	0	(74)	(250)
Realized gains/(losses), net on assets		0	0	0	0
Unrealized gains/(losses), net on assets		0	25	7	(58)
Unrealized (gains)/losses, net on liabilities		0	0	0	0
Premium and discount amortization, net		0	0	0	0
Ending balance		2,782	5,120	2,782	5,120
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	25	0	17
Level III | Fair Value, Measurements, Recurring | Commercial Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		78,806	128,421	90,002	130,572
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	0
Purchases					0
Sales and settlements			0	(8,776)	0
Loan modifications / capitalized interest		0	0	0	0
Principal repayments		(281)	(20,588)	(1,961)	(20,593)
Realized gains/(losses), net on assets	$ (81,200)	0	0	(81,223)	0
Unrealized gains/(losses), net on assets		143	(17,730)	80,560	(19,876)
Unrealized (gains)/losses, net on liabilities		0	0	0	0
Premium and discount amortization, net		33	0	99	0
Ending balance		78,701	90,103	78,701	90,103
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Commercial Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		143	(17,730)	(662)	(19,884)
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		1,025,321	1,243,371	1,085,103	1,355,808
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	0
Purchases					0
Sales and settlements			0	0	0
Loan modifications / capitalized interest		0	0	0	0
Principal repayments		0	0	0	0
Realized gains/(losses), net on assets		0	0	0	0
Unrealized gains/(losses), net on assets		(19,735)	(78,046)	(93,785)	(203,828)
Unrealized (gains)/losses, net on liabilities		0	0	0	0
Premium and discount amortization, net		7,064	6,589	21,332	19,934
Ending balance		1,012,650	1,171,914	1,012,650	1,171,914
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Securitized Commercial Loans | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		(19,735)	(78,046)	(93,785)	(203,828)
Level III | Fair Value, Measurements, Recurring | Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		838	785	767	1,172
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	0
Purchases					0
Sales and settlements			0	0	0
Loan modifications / capitalized interest		0	0	0	0
Principal repayments		0	0	0	0
Realized gains/(losses), net on assets		0	0	0	0
Unrealized gains/(losses), net on assets		67	(63)	134	(329)
Unrealized (gains)/losses, net on liabilities		0	0	0	0
Premium and discount amortization, net		(10)	(2)	(6)	(123)
Ending balance		895	720	895	720
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Agency MBS | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		67	(63)	134	(329)
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Beginning balance		1,608	1,181	1,204	7,845
Transfers into Level III from Level II		0	0	0	0
Transfers from Level III into Level II		0	0	0	(5,437)
Purchases					0
Sales and settlements			0	0	0
Loan modifications / capitalized interest		0	0	0	0
Principal repayments		0	0	0	0
Realized gains/(losses), net on assets		0	0	0	0
Unrealized gains/(losses), net on assets		(251)	88	361	(998)
Unrealized (gains)/losses, net on liabilities		0	0	0	0
Premium and discount amortization, net		(108)	(96)	(316)	(237)
Ending balance		1,249	1,173	1,249	1,173
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		0	0	0	0
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | Assets
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value
Unrealized gains/(losses), net on assets and liabilities held at the end of the period		$ (251)	$ 88	$ 361	$ (644)

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt	$ 1,582,278	$ 1,719,865
Total Liabilities	1,583,123	1,719,926
Carrying Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Convertible senior unsecured notes	84,750	83,522
Securitized debt	305,205	342,965
Total Liabilities	389,955	426,487
Debt issuance costs	3,100	4,100
Estimated Fair Value
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Convertible senior unsecured notes	83,367	74,712
Securitized debt	273,799	309,474
Total Liabilities	$ 357,166	$ 384,186

Mortgage-Backed Securities an_3

Mortgage-Backed Securities and Other Securities - Company's Investment Portfolio (Details) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 68,000	$ 58,000
Unrealized Gain	0	0
Unrealized Loss	(7,000)	(5,000)
Estimated Fair Value	$ 61,000	$ 53,000
Net Weighted Average Coupon	0%	0%
Notional balance	$ 2,200,000	$ 2,400,000
Agency RMBS Interest-Only Strips, accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 834,000	$ 714,000
Net Weighted Average Coupon	1.30%	0.10%
Notional balance	$ 12,200,000	$ 13,100,000
Total Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	0	0
Unamortized Premium (Discount), net	0	0
Amortized Cost	68,000	58,000
Unrealized Gain	0	0
Unrealized Loss	(7,000)	(5,000)
Estimated Fair Value	$ 895,000	$ 767,000
Net Weighted Average Coupon	1.10%	0.10%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 50,507,000	$ 39,873,000
Unamortized Premium (Discount), net	(14,670,000)	(14,423,000)
Amortized Cost	35,837,000	25,450,000
Unrealized Gain	572,000	928,000
Unrealized Loss	(4,537,000)	(3,895,000)
Estimated Fair Value	$ 31,872,000	$ 22,483,000
Net Weighted Average Coupon	4.90%	4.20%
Non-Agency RMBS Interest-Only Strips
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 4,888,000	$ 5,204,000
Unrealized Gain	0	0
Unrealized Loss	(3,639,000)	(4,000,000)
Estimated Fair Value	$ 1,249,000	$ 1,204,000
Net Weighted Average Coupon	0.30%	0.30%
Notional balance	$ 132,000,000	$ 143,200,000
Subtotal Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	50,507,000	39,873,000
Unamortized Premium (Discount), net	(14,670,000)	(14,423,000)
Amortized Cost	40,725,000	30,654,000
Unrealized Gain	572,000	928,000
Unrealized Loss	(8,176,000)	(7,895,000)
Estimated Fair Value	$ 33,121,000	$ 23,687,000
Net Weighted Average Coupon	1.60%	1.10%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 88,559,000	$ 109,266,000
Unamortized Premium (Discount), net	(1,746,000)	(2,763,000)
Amortized Cost	86,813,000	106,503,000
Unrealized Gain	65,000	636,000
Unrealized Loss	(32,672,000)	(21,704,000)
Estimated Fair Value	$ 54,206,000	$ 85,435,000
Net Weighted Average Coupon	8%	8.10%
Total Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 139,066,000	$ 149,139,000
Unamortized Premium (Discount), net	(16,416,000)	(17,186,000)
Amortized Cost	127,538,000	137,157,000
Unrealized Gain	637,000	1,564,000
Unrealized Loss	(40,848,000)	(29,599,000)
Estimated Fair Value	$ 87,327,000	$ 109,122,000
Net Weighted Average Coupon	3.70%	3.80%
Other securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 25,613,000	$ 34,691,000
Unamortized Premium (Discount), net	(7,941,000)	(8,581,000)
Amortized Cost	18,740,000	31,112,000
Unrealized Gain	813,000	543,000
Unrealized Loss	(2,686,000)	(4,393,000)
Estimated Fair Value	$ 16,867,000	$ 27,262,000
Net Weighted Average Coupon	7.10%	7.20%
Total
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 164,679,000	$ 183,830,000
Unamortized Premium (Discount), net	(24,357,000)	(25,767,000)
Amortized Cost	146,346,000	168,327,000
Unrealized Gain	1,450,000	2,107,000
Unrealized Loss	(43,541,000)	(33,997,000)
Estimated Fair Value	$ 105,089,000	$ 137,151,000
Net Weighted Average Coupon	3.80%	3.90%
Weighted average expected remaining term to the expected maturity of investment portfolio	7 years 9 months 18 days	6 years 8 months 12 days
Residual interests in asset-backed securities
Debt Securities, Available-for-sale [Line Items]
Principal Balance	$ 0	$ 0
Amortized Cost	$ 1,100,000	$ 5,000,000

Mortgage-Backed Securities an_4

Mortgage-Backed Securities and Other Securities - Type of Security (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 61	$ 53
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	61	53
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	0
Agency RMBS Interest-only strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	834	714
Agency RMBS Interest-Only Strips accounted for as derivatives | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	834	714
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Subtotal Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	895	767
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	895	767
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	0
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	54,206	85,435
Non-Agency CMBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	37,134	64,484
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	7,418	10,469
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	9,654	10,482
Non-Agency CMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	0	0
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	31,872	22,483
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	7,912	8,667
Non-Agency RMBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	23,960	13,816
Non-Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,249	1,204
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	188	230
Non-Agency RMBS Interest-only strips | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	1,061	974
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	87,327	109,122
Subtotal Non-Agency MBS | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	37,134	64,484
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	7,418	10,469
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	17,754	19,379
Subtotal Non-Agency MBS | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	25,021	14,790
Other securities
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	16,867	27,262
Other securities | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	3,006	6,735
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	0
Other securities | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	7,117	13,020
Other securities | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	6,744	7,507
Total
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	105,089	137,151
Total | Less than or equal to 10 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	40,140	71,219
Total | More than 10 years and less than or equal to 20 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	8,313	11,236
Total | More than 20 years and less than or equal to 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	24,871	32,399
Total | More than 30 years
Debt Securities, Available-for-sale [Line Items]
Estimated Fair Value	$ 31,765	$ 22,297

Mortgage-Backed Securities an_5

Mortgage-Backed Securities and Other Securities - FV and Unrealized Loss (Details) $ in Thousands	Sep. 30, 2023 USD ($) security	Dec. 31, 2022 USD ($) security
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 22,910	$ 31,589
Fair value, 12 months or more	63,429	88,593
Fair Value	86,339	120,182
Unrealized Losses
Unrealized losses, less than 12 Months	(2,424)	(5,224)
Unrealized losses, 12 months or more	(41,117)	(28,773)
Unrealized Losses	$ (43,541)	$ (33,997)
Number  of Securities
Number of securities, less than 12 months | security	4	9
Number of securities, 12 months or more | security	20	19
Number  of Securities | security	24	28
Subtotal Agency
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 61	$ 52
Fair value, 12 months or more	0	0
Fair Value	61	52
Unrealized Losses
Unrealized losses, less than 12 Months	(7)	(5)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (7)	$ (5)
Number  of Securities
Number of securities, less than 12 months | security	1	1
Number of securities, 12 months or more | security	0	0
Number  of Securities | security	1	1
Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 61	$ 52
Fair value, 12 months or more	0	0
Fair Value	61	52
Unrealized Losses
Unrealized losses, less than 12 Months	(7)	(5)
Unrealized losses, 12 months or more	0	0
Unrealized Losses	$ (7)	$ (5)
Number  of Securities
Number of securities, less than 12 months | security	1	1
Number of securities, 12 months or more | security	0	0
Number  of Securities | security	1	1
Subtotal Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 22,849	$ 19,054
Fair value, 12 months or more	57,908	79,125
Fair Value	80,757	98,179
Unrealized Losses
Unrealized losses, less than 12 Months	(2,417)	(2,794)
Unrealized losses, 12 months or more	(38,431)	(26,805)
Unrealized Losses	$ (40,848)	$ (29,599)
Number  of Securities
Number of securities, less than 12 months | security	3	5
Number of securities, 12 months or more | security	19	17
Number  of Securities | security	22	22
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 7,188	$ 0
Fair value, 12 months or more	46,953	76,365
Fair Value	54,141	76,365
Unrealized Losses
Unrealized losses, less than 12 Months	(1,898)	0
Unrealized losses, 12 months or more	(30,774)	(21,704)
Unrealized Losses	$ (32,672)	$ (21,704)
Number  of Securities
Number of securities, less than 12 months | security	1	0
Number of securities, 12 months or more | security	9	11
Number  of Securities | security	10	11
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 15,661	$ 19,054
Fair value, 12 months or more	9,706	1,557
Fair Value	25,367	20,611
Unrealized Losses
Unrealized losses, less than 12 Months	(519)	(2,794)
Unrealized losses, 12 months or more	(4,018)	(1,101)
Unrealized Losses	$ (4,537)	$ (3,895)
Number  of Securities
Number of securities, less than 12 months | security	2	5
Number of securities, 12 months or more | security	6	2
Number  of Securities | security	8	7
Non-Agency RMBS Interest-only strips
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 0
Fair value, 12 months or more	1,249	1,203
Fair Value	1,249	1,203
Unrealized Losses
Unrealized losses, less than 12 Months	0	0
Unrealized losses, 12 months or more	(3,639)	(4,000)
Unrealized Losses	$ (3,639)	$ (4,000)
Number  of Securities
Number of securities, less than 12 months | security	0	0
Number of securities, 12 months or more | security	4	4
Number  of Securities | security	4	4
Other securities
Debt Securities, Available-for-sale [Line Items]
Fair value, less than 12 months	$ 0	$ 12,483
Fair value, 12 months or more	5,521	9,468
Fair Value	5,521	21,951
Unrealized Losses
Unrealized losses, less than 12 Months	0	(2,425)
Unrealized losses, 12 months or more	(2,686)	(1,968)
Unrealized Losses	$ (2,686)	$ (4,393)
Number  of Securities
Number of securities, less than 12 months | security	0	3
Number of securities, 12 months or more | security	1	2
Number  of Securities | security	1	5

Mortgage-Backed Securities an_6

Mortgage-Backed Securities and Other Securities - Financing Receivables (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Components of interest income
Net (Premium Amortization/Amortization Basis) Discount Accretion			$ (1,253)	$ (2,492)
Interest Income	$ 40,138	$ 41,406	121,217	116,625
Agency RMBS, at fair value
Components of interest income
Coupon Interest	0	0	0	13
Net (Premium Amortization/Amortization Basis) Discount Accretion	4	2	10	(4)
Interest Income	4	2	10	9
Non-Agency CMBS
Components of interest income
Coupon Interest	1,657	1,949	5,234	7,050
Net (Premium Amortization/Amortization Basis) Discount Accretion	351	387	1,006	386
Interest Income	2,008	2,336	6,240	7,436
Non-Agency RMBS
Components of interest income
Coupon Interest	756	446	1,960	1,804
Net (Premium Amortization/Amortization Basis) Discount Accretion	(306)	26	(651)	(141)
Interest Income	450	472	1,309	1,663
Other securities
Components of interest income
Coupon Interest	583	860	2,079	2,515
Net (Premium Amortization/Amortization Basis) Discount Accretion	(144)	185	(345)	223
Interest Income	439	1,045	1,734	2,738
Total
Components of interest income
Coupon Interest	2,996	3,255	9,273	11,382
Net (Premium Amortization/Amortization Basis) Discount Accretion	(95)	600	20	464
Interest Income	$ 2,901	$ 3,855	$ 9,293	$ 11,846

Mortgage-Backed Securities an_7

Mortgage-Backed Securities and Other Securities - Gross Gains and Losses (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Net Gain  (Loss)	$ (29)	$ (35)	$ (83,946)	$ (33,551)
Non-Agency CMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			0	10,152
Gross Gains			0	0
Gross Losses			(1,239)	(43,934)
Net Gain  (Loss)			(1,239)	(43,934)
Non-Agency RMBS
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			0	27,729
Gross Gains			0	255
Gross Losses			(48)	(1,425)
Net Gain  (Loss)			(48)	(1,170)
Other securities
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			15,324	4,406
Gross Gains			649	0
Gross Losses			(2,028)	(478)
Net Gain  (Loss)			(1,379)	(478)
Total
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]
Proceeds			15,324	42,287
Gross Gains			649	255
Gross Losses			(3,315)	(45,837)
Net Gain  (Loss)			$ (2,666)	$ (45,582)

Mortgage-Backed Securities an_8

Mortgage-Backed Securities and Other Securities - Unconsolidated CMBS VIEs (Details) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) loan trust	Dec. 31, 2022 USD ($) trust loan
Variable Interest Entity [Line Items]
Number of commercial loans trusts | trust	2	2
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $	$ 15.1	$ 15.5
VIE, Non Primary
Variable Interest Entity [Line Items]
Number of commercial loans trusts | loan	2	2

Residential Whole Loans and B_3

Residential Whole Loans and Bridge Loans - Narrative (Details)	1 Months Ended	3 Months Ended	9 Months Ended	12 Months Ended
	May 31, 2019 USD ($)	Sep. 30, 2023 USD ($) loan property	Sep. 30, 2023 USD ($) loan property trust	Dec. 31, 2022 USD ($) loan trust property	Jul. 31, 2022 USD ($)	Feb. 28, 2022 USD ($)	Jun. 30, 2020 USD ($)
Variable Interest Entity [Line Items]
Repurchase agreements, net		$ 169,910,000	$ 169,910,000	$ 193,117,000
Number of real estate properties owned | property		1	1	1
Residential Bridge Loans | 90+ days
Variable Interest Entity [Line Items]
Mortgage Loans on Real Estate, Number of Loans, Nonperforming | loan			4
Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of  Loans | loan			2,761	2,943
Fair value		$ 986,978,000	$ 986,978,000	$ 1,091,145,000
Residential Bridge Loans
Variable Interest Entity [Line Items]
Fair value		2,782,000	$ 2,782,000
Mortgage Loans on Real Estate, Number of Loans, Nonperforming | loan			4
Principal		3,091,000	$ 3,091,000
Residential Bridge Loans | 90+ days
Variable Interest Entity [Line Items]
Fair value		2,782,000	$ 2,782,000
Mortgage Loans on Real Estate, Number of Loans, Nonperforming | loan			4	5
Principal		$ 3,091,000	$ 3,091,000
Non-Qualifying Adjustable Rate Mortgage Loan | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of  Loans | loan		4		5
Fair value		$ 2,800,000	$ 2,800,000	$ 2,800,000
Non-Qualifying Adjustable Rate Mortgage Loan | Residential  Whole Loans
Variable Interest Entity [Line Items]
Number of  Loans | loan			2,761
Investor Fixed Rate Mortgage Loan | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of  Loans | loan			3	3
Investor Fixed Rate Mortgage Loan | Estimated Fair Value | Residential Bridge Loans
Variable Interest Entity [Line Items]
Fair value		991,700	$ 991,700	$ 1,200,000
RMI 2015 Trust | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of  Loans | trust			9	6
RMI 2015 Trust | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair value		4,300,000	$ 4,300,000	$ 3,200,000
Arroyo Trust 2019 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net	$ 919,000,000
Arroyo Trust 2019 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Transferred of non-qm residential whole loans	$ 945,500,000
Arroyo Trust 2019 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of  Loans | loan			684,000	766,000
Arroyo Trust 2019 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust | Estimated Fair Value
Variable Interest Entity [Line Items]
Fair value		214,000,000	$ 214,000,000	$ 237,600,000
Arroyo Mortgage Trust 2020 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net							$ 341,700,000
Arroyo Mortgage Trust 2020 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Line of credit facility, maximum borrowing capacity							$ 355,800,000
Long-term debt, fair value		127,700,000	$ 127,700,000	$ 135,100,000
Arroyo Mortgage Trust 2020 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of  Loans | loan			406,000	432
Arroyo Mortgage Trust 2022 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net						$ 398,900,000
Arroyo Mortgage Trust 2022 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net		324,600,000	$ 324,600,000	$ 350,700,000
Line of credit facility, maximum borrowing capacity						$ 432,000,000
Arroyo Mortgage Trust 2022 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of  Loans | loan			682	705,000
Arroyo Mortgage Trust 2022-2 | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net					$ 351,900,000
Arroyo Mortgage Trust 2022-2 | Arroyo Trust | Residential  Whole Loans
Variable Interest Entity [Line Items]
Repurchase agreements, net		316,300,000	$ 316,300,000	$ 363,300,000
Line of credit facility, maximum borrowing capacity					$ 402,200,000
Arroyo Mortgage Trust 2022-2 | Non-Qualifying Adjustable Rate Mortgage Loan | Arroyo Trust
Variable Interest Entity [Line Items]
Number of  Loans | loan			980	1,029,000
VIE | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of  Loans | loan			4	5
Principal		3,100,000	$ 3,100,000
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan				$ 3,200,000
Foreclosed other real estate owned		2,300,000	$ 2,300,000	$ 2,300,000
VIE | Residential  Whole Loans
Variable Interest Entity [Line Items]
Mortgage Loans on Real Estate, Number of Loans, Nonperforming | loan			20	13
Mortgage loans on real estate, principal amount of delinquent loans		11,200,000	$ 11,200,000	$ 8,700,000
Mortgage loans on real estate, number of loans, nonperforming, percentage			1%	0.80%
Original LTV, collateral dependent			61.60%	60%
VIE | Estimated Fair Value | Residential Bridge Loans
Variable Interest Entity [Line Items]
Fair value		2,800,000	$ 2,800,000	$ 2,800,000
VIE | Estimated Fair Value | Residential  Whole Loans
Variable Interest Entity [Line Items]
Fair value		$ 10,300,000	$ 10,300,000	$ 8,000,000

Residential Whole Loans and B_4

Residential Whole Loans and Bridge Loans - Summary of the Assets and Liabilities of the Residential and Commercial Loan Trusts (Details) - USD ($)		Sep. 30, 2023	Dec. 31, 2022
Variable Interest Entity [Line Items]
Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively)		$ 986,978,000	$ 1,091,145,000
Investment related receivable		8,648,000	5,960,000
Interest receivable		10,913,000	11,330,000
Other assets		4,145,000	4,860,000
Total assets	[1]	2,235,776,000	2,453,234,000
Securitized debt, net		1,884,375,000	2,058,684,000
Interest payable		8,638,000	12,794,000
Accounts payable and accrued expenses		6,021,000	3,201,000
Total liabilities	[2]	2,157,786,000	2,358,422,000
VIE
Variable Interest Entity [Line Items]
Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively)		986,978,000	1,091,145,000
Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively)		2,782,000	0
Investment related receivable		8,602,000	5,914,000
Interest receivable		9,731,000	10,182,000
Other assets		0	509,000
Total assets		2,033,242,000	2,210,312,000
Securitized debt, net		1,884,375,000	2,058,684,000
Interest payable		7,887,000	8,303,000
Accounts payable and accrued expenses		21,000	43,000
Total liabilities		1,892,283,000	2,067,278,000
Fair value of collateral, residential home loans		986,978,000	1,089,914,000
Residential Whole-Loan And Residential Bridge Loan | VIE
Variable Interest Entity [Line Items]
Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively)		986,978,000	1,091,145,000
Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively)		2,782,000	2,849,000
Investment related receivable		8,602,000	5,914,000
Interest receivable		4,580,000	4,871,000
Other assets		0	509,000
Total assets		1,002,942,000	1,105,288,000
Securitized debt, net		877,745,000	981,073,000
Interest payable		2,892,000	3,139,000
Accounts payable and accrued expenses		12,000	34,000
Total liabilities		$ 880,649,000	$ 984,246,000
[1] September 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) 986,978 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Investment related receivable 8,602 5,914 Interest receivable 9,731 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,033,242 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively) $ 1,884,375 $ 2,058,684 Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively) 7,887 8,303 Accounts payable and accrued expenses 21 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,892,283 $ 2,067,278 September 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) 986,978 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Investment related receivable 8,602 5,914 Interest receivable 9,731 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,033,242 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively) $ 1,884,375 $ 2,058,684 Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively) 7,887 8,303 Accounts payable and accrued expenses 21 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,892,283 $ 2,067,278

Residential Whole Loans and B_5

Residential Whole Loans and Bridge Loans - Components of the Fair Value of Residential Whole Loans (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Residential Whole Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	$ 1,078,005	$ 1,165,301
Unamortized premium	28,530	30,961
Unamortized discount	(1,394)	(1,536)
Amortized cost	1,105,141	1,194,726
Gross unrealized gains	5,371	2,038
Gross unrealized losses	(123,534)	(105,619)
Fair value	986,978	1,091,145
Residential Bridge Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal  Balance	3,091	3,166
Unamortized premium	0	0
Unamortized discount	0	0
Amortized cost	3,091	3,166
Gross unrealized gains	0	0
Gross unrealized losses	(309)	(317)
Fair value	$ 2,782	$ 2,849

Residential Whole Loans and B_6

Residential Whole Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($) loan
2.01% – 3.00%
Variable Interest Entity [Line Items]
Coupon  Rate	2.90%	2.90%
Number of  Loans | loan	39	39
Principal  Balance | $	$ 21,880	$ 22,277
Original LTV	66.30%	66.30%
Original FICO score	758	758
Expected  Life (years)	9 years 1 month 6 days	8 years 10 months 24 days
Contractual  Maturity  (years)	27 years 7 months 6 days	28 years 3 months 18 days
2.01% – 3.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	2.01%	2.01%
2.01% – 3.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	3%	3%
3.01% – 4.00%
Variable Interest Entity [Line Items]
Coupon  Rate	3.70%	3.70%
Number of  Loans | loan	361	402
Principal  Balance | $	$ 196,884	$ 214,402
Original LTV	67%	66.30%
Original FICO score	760	759
Expected  Life (years)	8 years 2 months 12 days	7 years 3 months 18 days
Contractual  Maturity  (years)	28 years	28 years 6 months
3.01% – 4.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	3.01%	3.01%
3.01% – 4.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	4%	400%
4.01% – 5.00%
Variable Interest Entity [Line Items]
Coupon  Rate	4.50%	4.60%
Number of  Loans | loan	1,134	1,337
Principal  Balance | $	$ 384,437	$ 453,811
Original LTV	64.80%	64.10%
Original FICO score	750	749
Expected  Life (years)	6 years 9 months 18 days	5 years 6 months
Contractual  Maturity  (years)	25 years 6 months	26 years
4.01% – 5.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	4.01%	4.01%
4.01% – 5.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	5%	5%
5.01% – 6.00%
Variable Interest Entity [Line Items]
Coupon  Rate	5.50%	5.40%
Number of  Loans | loan	813	901
Principal  Balance | $	$ 322,376	$ 363,197
Original LTV	66%	65.60%
Original FICO score	743	742
Expected  Life (years)	6 years 1 month 6 days	4 years 8 months 12 days
Contractual  Maturity  (years)	26 years 2 months 12 days	26 years 8 months 12 days
5.01% – 6.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	5.01%	5.01%
5.01% – 6.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	6%	6%
6.01% – 7.00%
Variable Interest Entity [Line Items]
Coupon  Rate	6.50%	6.40%
Number of  Loans | loan	321	249
Principal  Balance | $	$ 120,933	$ 105,933
Original LTV	67.20%	69.90%
Original FICO score	743	742
Expected  Life (years)	4 years 9 months 18 days	3 years 7 months 6 days
Contractual  Maturity  (years)	26 years 10 months 24 days	28 years 4 months 24 days
6.01% – 7.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	6.01%	6.01%
6.01% – 7.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	7%	7%
7.01% - 8.00%
Variable Interest Entity [Line Items]
Coupon  Rate	7.40%	7.40%
Number of  Loans | loan	69	15
Principal  Balance | $	$ 23,865	$ 5,681
Original LTV	60.60%	75.20%
Original FICO score	734	730
Expected  Life (years)	4 years 1 month 6 days	3 years
Contractual  Maturity  (years)	23 years 1 month 6 days	29 years 2 months 12 days
7.01% - 8.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	7.01%	7.01%
7.01% - 8.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	8%	8%
8.01% - 9.00%
Variable Interest Entity [Line Items]
Coupon  Rate	8.60%
Number of  Loans | loan	24
Principal  Balance | $	$ 7,630
Original LTV	55.50%
Original FICO score	744
Expected  Life (years)	4 years 3 months 18 days
Contractual  Maturity  (years)	24 years
8.01% - 9.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	8.01%
8.01% - 9.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	9%
Residential  Whole Loans
Variable Interest Entity [Line Items]
Coupon  Rate	4.90%	4.80%
Number of  Loans | loan	2,761	2,943
Principal  Balance | $	$ 1,078,005	$ 1,165,301
Original LTV	65.70%	65.60%
Original FICO score	749	748
Expected  Life (years)	6 years 7 months 6 days	5 years 6 months
Contractual  Maturity  (years)	26 years 3 months 18 days	27 years
Residential portfolio segment with no FICO score
Variable Interest Entity [Line Items]
Number of  Loans | loan	210	231
Principal  Balance | $	$ 64,600	$ 76,600
7.01% – 9.00%
Variable Interest Entity [Line Items]
Coupon  Rate	8.70%	8.70%
Number of  Loans | loan	2	2
Principal  Balance | $	$ 1,822	$ 1,822
Original LTV	67.50%	67.50%
Contractual  Maturity  (years)	0 years	0 years
7.01% – 9.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	7.01%	7.01%
7.01% – 9.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	9%	9%
9.01% – 11.00%
Variable Interest Entity [Line Items]
Coupon  Rate	10%	10%
Number of  Loans | loan	1	1
Principal  Balance | $	$ 849	$ 849
Original LTV	90.50%	90.50%
Contractual  Maturity  (years)	0 years	0 years
9.01% – 11.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	9.01%	9.01%
9.01% – 11.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	11%	11%
11.01% – 13.00%
Variable Interest Entity [Line Items]
Coupon  Rate	11.30%	11.40%
Number of  Loans | loan	1	2
Principal  Balance | $	$ 420	$ 495
Original LTV	70%	69.70%
Contractual  Maturity  (years)	0 years	0 years
11.01% – 13.00% | Minimum
Variable Interest Entity [Line Items]
Coupon  Rate	11.01%	11.01%
11.01% – 13.00% | Maximum
Variable Interest Entity [Line Items]
Coupon  Rate	13%	13%
Residential Bridge Loans | VIE
Variable Interest Entity [Line Items]
Coupon  Rate	9.40%	9.50%
Number of  Loans | loan	4	5
Principal  Balance | $	$ 3,091	$ 3,166
Original LTV	74.20%	74%
Contractual  Maturity  (years)	0 years	0 years

Residential Whole Loans and B_7

Residential Whole Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Residential  Whole Loans
Variable Interest Entity [Line Items]
Principal  Balance	$ 1,078,005	$ 1,165,301
Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	100%	100%
Principal  Balance	$ 1,078,005	$ 1,165,301
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	100%	100%
Principal  Balance	$ 3,091	$ 3,166
California | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	67.80%	66.80%
Principal  Balance	$ 731,058	$ 778,732
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	56.70%	55.40%
Principal  Balance	$ 1,754	$ 1,754
New York | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	9%	9.30%
Principal  Balance	$ 96,757	$ 108,108
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration	43.30%	42.20%
Principal  Balance	$ 1,337	$ 1,337
Texas | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	4.80%	4.80%
Principal  Balance	$ 51,407	$ 56,126
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	3.90%	4.10%
Principal  Balance	$ 42,157	$ 47,681
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	3.30%	3.50%
Principal  Balance	$ 35,297	$ 40,845
Other | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans
Variable Interest Entity [Line Items]
State Concentration	11.20%	11.50%
Principal  Balance	$ 121,329	$ 133,809
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans
Variable Interest Entity [Line Items]
State Concentration		2.40%
Principal  Balance		$ 75

Residential Whole Loans and B_8

Residential Whole Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 loan
Residential whole-loans
Variable Interest Entity [Line Items]
Number of loans | loan	2,761
Principal	$ 1,078,005
Fair value	$ 986,978
Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan	4
Principal	$ 3,091
Fair value	$ 2,782
Non-QM Loans
Variable Interest Entity [Line Items]
Number of loans in forbearance | loan	0
Current | Residential whole-loans
Variable Interest Entity [Line Items]
Number of loans | loan	2,707
Principal	$ 1,048,261
Fair value	$ 959,343
Current | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan	0
Principal	$ 0
Fair value	$ 0
1-30 days | Residential whole-loans
Variable Interest Entity [Line Items]
Number of loans | loan	23
Principal	$ 10,407
Fair value	$ 9,617
1-30 days | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan	0
Principal	$ 0
Fair value	$ 0
31-60 days | Residential whole-loans
Variable Interest Entity [Line Items]
Number of loans | loan	0
Principal	$ 0
Fair value	$ 0
31-60 days | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan	0
Principal	$ 0
Fair value	$ 0
61-90 days | Residential whole-loans
Variable Interest Entity [Line Items]
Number of loans | loan	11
Principal	$ 8,155
Fair value	$ 7,696
61-90 days | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan	0
Principal	$ 0
Fair value	$ 0
90+ days | Residential whole-loans
Variable Interest Entity [Line Items]
Number of loans | loan	20
Principal	$ 11,182
Fair value	$ 10,322
90+ days | Residential Bridge Loans
Variable Interest Entity [Line Items]
Number of loans | loan	4	5
Principal	$ 3,091
Fair value	$ 2,782

Commercial Loans - Commercial L

Commercial Loans - Commercial Loans Held (Details) - USD ($) $ in Thousands	1 Months Ended					9 Months Ended		12 Months Ended
	Oct. 31, 2023	Jul. 31, 2023	May 31, 2023	Jan. 31, 2023	Aug. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal repayments on commercial loan						$ 1,962	$ 20,593
Repayments of secured debt						83,042	$ 207,799
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						67,205
Fair Value						66,202
RSBC Trust | Securitized Commercial Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance						12,500
Fair Value						12,499
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						$ 22,071
Coupon  Rate						63%
Option to extend term					3 years
Principal repayments on commercial loan					$ 16,200
Retail | SOFR | 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%
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						$ 24,061
Coupon  Rate						62%
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						$ 12,952
Coupon  Rate						62%
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						$ 7,118
Coupon  Rate						62%
Hotel | SOFR | 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						4.20%
Hotel | SOFR | 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						4.20%
Hotel | SOFR | 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						4.20%
Nursing Facilities | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance		$ 12,500	$ 12,800	$ 13,500		$ 12,500
Fair Value						$ 12,499
Coupon  Rate						49%
Repayments of secured debt		$ 250	$ 750	$ 862
Nursing Facilities | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | Subsequent Event
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Principal  Balance	$ 12,300
Repayments of secured debt	$ 250
Nursing Facilities | SOFR | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Coupon  Rate			5.50%	5%		5.50%		4.47%
BPS extension fee		0.25%		0.50%
Nursing Facilities | SOFR | RSBC Trust | Securitized Commercial Loans | Interest-Only First Mortgage | SBC 3 | Subsequent Event
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
BPS extension fee	0.25%

Commercial Loans - Narrative (D

Commercial Loans - Narrative (Details) $ in Thousands		3 Months Ended		9 Months Ended		12 Months Ended
	Feb. 03, 2023 USD ($)	Sep. 30, 2023 USD ($) loan	Sep. 30, 2022 USD ($)	Sep. 30, 2023 USD ($) loan entity trust	Sep. 30, 2022 USD ($)	Dec. 31, 2022 USD ($) trust	Jul. 31, 2023 USD ($)	May 31, 2023 USD ($)	Jan. 31, 2023 USD ($)
Variable Interest Entity [Line Items]
Variable interest entity, number of entity | entity				1
Number of commercial loans trusts | trust				2		2
CSMC Trust
Variable Interest Entity [Line Items]
Principal		$ 1,385,591		$ 1,385,591		$ 1,385,591
CSMC Trust | Class F | Secured Debt
Variable Interest Entity [Line Items]
Debt instrument, debt default, amount		$ 14,900		$ 14,900
CSMC Trust
Variable Interest Entity [Line Items]
Variable interest entity, amount acquired, interest rate		8.80%		8.80%
Debt instrument, basis spread on variable rate				4.38%
Securitized Commercial Loans | CSMC Trust
Variable Interest Entity [Line Items]
Principal		$ 1,400,000		$ 1,400,000
Securitized Commercial Loans | RSBC Trust
Variable Interest Entity [Line Items]
Principal  Balance		12,500		12,500
Securitized Commercial Loans | Level III | Fair Value, Measurements, Recurring
Variable Interest Entity [Line Items]
Realized loss		0	$ 0	$ 0	$ 0
Commercial Loans
Variable Interest Entity [Line Items]
Number of commercial loans trusts | trust				2
Commercial Loans | Level III | Fair Value, Measurements, Recurring
Variable Interest Entity [Line Items]
Realized loss	$ (81,200)	0	$ 0	$ (81,223)	$ 0
CRE 3 | Securitized Commercial Loans
Variable Interest Entity [Line Items]
Principal  Balance						$ 8,800
SBC 3 | Securitized Commercial Loans | Interest-Only First Mortgage | Nursing Facilities | RSBC Trust
Variable Interest Entity [Line Items]
Principal  Balance		$ 12,500		$ 12,500			$ 12,500	$ 12,800	$ 13,500
Number of commercial loans | loan		1		1

Commercial Loans - Consolidated

Commercial Loans - Consolidated Commercial Loan Trusts Included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022	Sep. 30, 2022
Noncontrolling Interest [Line Items]
Restricted cash		$ 0	$ 248	$ 251
Securitized Commercial Loan, at fair value		1,012,650	1,085,103
Commercial Loans, at fair value		66,202	66,864
Interest receivable		10,913	11,330
Total assets	[1]	2,235,776	2,453,234
Interest payable		8,638	12,794
Accounts payable and accrued expenses		6,021	3,201
Other liabilities		25	300
Total liabilities	[2]	2,157,786	2,358,422
VIE
Noncontrolling Interest [Line Items]
Restricted cash		0	248
Securitized Commercial Loan, at fair value		1,012,650	1,085,103
Interest receivable		9,731	10,182
Total assets		2,033,242	2,210,312
Interest payable		7,887	8,303
Accounts payable and accrued expenses		21	43
Other liabilities		0	248
Total liabilities		1,892,283	2,067,278
Securitized Commercial Loans | VIE
Noncontrolling Interest [Line Items]
Restricted cash		0	248
Securitized Commercial Loan, at fair value		1,012,650	1,085,103
Commercial Loans, at fair value		12,499	14,362
Interest receivable		5,151	5,311
Total assets		1,030,300	1,105,024
Securitized debt, at fair value		1,006,630	1,077,611
Interest payable		4,995	5,164
Accounts payable and accrued expenses		9	9
Other liabilities		0	248
Total liabilities		$ 1,011,634	$ 1,083,032
[1] September 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) 986,978 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Investment related receivable 8,602 5,914 Interest receivable 9,731 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,033,242 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively) $ 1,884,375 $ 2,058,684 Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively) 7,887 8,303 Accounts payable and accrued expenses 21 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,892,283 $ 2,067,278 September 30, 2023 December 31, 2022 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ — $ 248 Residential Whole Loans, at fair value ($986,978 and $1,089,914 pledged as collateral, at fair value, respectively) 986,978 1,091,145 Residential Bridge Loans, at fair value ($2,782 and none pledged as collateral, at fair value, respectively) 2,782 2,849 Securitized Commercial Loan, at fair value 1,012,650 1,085,103 Commercial Loans, at fair value 12,499 14,362 Investment related receivable 8,602 5,914 Interest receivable 9,731 10,182 Other assets — 509 Total assets of consolidated VIEs $ 2,033,242 $ 2,210,312 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,278 and $1,719,865 at fair value and $110,081 and $128,217 held by affiliates, respectively) $ 1,884,375 $ 2,058,684 Interest payable (includes $615 and $655 on securitized debt held by affiliates, respectively) 7,887 8,303 Accounts payable and accrued expenses 21 43 Other liabilities — 248 Total liabilities of consolidated VIEs $ 1,892,283 $ 2,067,278

Commercial Loans - Components o

Commercial Loans - Components of the Carrying Value of Commercial Real Estate Loans (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal	$ 67,205	$ 157,205
Unamortized discount	0	0
Amortized cost	67,205	157,205
Gross unrealized gains	0	0
Gross unrealized losses	(1,003)	(81,565)
Fair value	66,202	75,640
CSMC USA Trust Securitized Commercial Loan, at Fair Value
Variable Interest Entity [Line Items]
Principal	1,385,591	1,385,591
Unamortized discount	(62,799)	(84,132)
Amortized cost	1,322,792	1,301,459
Gross unrealized gains	0	0
Gross unrealized losses	(310,142)	(216,356)
Fair value	1,012,650	1,085,103
RSBC Trust Commercial Loans, at Fair Value
Variable Interest Entity [Line Items]
Principal	12,500	14,362
Unamortized discount	0	0
Amortized cost	12,500	14,362
Gross unrealized gains	0	0
Gross unrealized losses	(1)	0
Fair value	$ 12,499	$ 14,362

Financings - Narrative (Details

Financings - Narrative (Details)			1 Months Ended		9 Months Ended
	Oct. 12, 2023	Jul. 25, 2023 USD ($)	Sep. 30, 2021 USD ($)	May 31, 2019 USD ($)	Sep. 30, 2023 USD ($) agreement property $ / shares	Dec. 31, 2022 USD ($) property	Jul. 31, 2022 USD ($)	Feb. 28, 2022 USD ($)	Jun. 30, 2020 USD ($)
Debt Instrument [Line Items]
Number of real estate properties owned | property					1	1
Commercial loans, at fair value					$ 66,202,000	$ 66,864,000
Number of counterparties from whom entity borrowed under repurchase agreement | agreement					4
Securities loaned, collateral, right to reclaim cash					$ 241,000	3,400,000
Securities purchased under agreements to resell, collateral, obligation to return cash					103,000	300,000
Repurchase agreements, net					169,910,000	193,117,000
Affiliated Entity
Debt Instrument [Line Items]
Securitized debt, at fair value					1,582,278,000	1,719,865,000
Repurchase agreements
Debt Instrument [Line Items]
Assets Pledged					227,600,000	288,300,000
Repurchase agreements
Debt Instrument [Line Items]
Debt instrument, term		2 years
Commercial loans, at fair value					134,700,000
Debt outstanding					62,400,000
Debt instrument, face amount		$ 65,000,000
Arroyo Trust | Secured Debt
Debt Instrument [Line Items]
Debt outstanding					185,912,000
Debt instrument, face amount					187,844,000
Arroyo Mortgage Trust 2020 | Secured Debt
Debt Instrument [Line Items]
Debt outstanding					116,185,000
Debt instrument, face amount					117,361,000
VIE
Debt Instrument [Line Items]
Assets Pledged					2,782,000	0
Arroyo Mortgage Trust 2022 | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount					346,266,000
Arroyo Mortgage Trust 2022-2 | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount					$ 306,622,000
Redemption of offering notes period					3 years
Securitized debt, at fair value					$ 286,239,000
CSMC Trust
Debt Instrument [Line Items]
Trust certificates issued					1,400,000,000
Principal					1,385,591,000	1,385,591,000
CSMC Trust | Affiliated Entity
Debt Instrument [Line Items]
Trust certificates issued					174,700,000
CSMC Trust | Third parties
Debt Instrument [Line Items]
Trust certificates issued					1,200,000,000
CSMC Trust | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount					1,370,691,000
Securitized debt, at fair value					1,006,630,000
Non-QM Loans | Arroyo Trust
Debt Instrument [Line Items]
Borrowing amount					4,200,000
Non-QM Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust
Debt Instrument [Line Items]
Line of credit facility, remaining borrowing capacity					4,300,000
Non-QM Loans | SOFR | Arroyo Trust | Subsequent Event
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate	2.25%
Residential Bridge Loans
Debt Instrument [Line Items]
Line of credit facility, remaining borrowing capacity					2,800,000
Residential Bridge Loans | VIE
Debt Instrument [Line Items]
Foreclosed other real estate owned					2,300,000	2,300,000
Principal					3,100,000
Residential  Whole Loans | Arroyo Trust | Secured Debt
Debt Instrument [Line Items]
Debt outstanding					$ 212,300,000
Redemption of offering notes period					3 years
Maximum aggregate collateral balance over original principal balance percentage					20%
Residential  Whole Loans | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Repurchase agreements, net									$ 341,700,000
Residential  Whole Loans | Arroyo Mortgage Trust 2020 | Secured Debt
Debt Instrument [Line Items]
Debt outstanding					$ 130,400,000
Redemption of offering notes period					3 years
Maximum aggregate collateral balance over original principal balance percentage					30%
Residential  Whole Loans | Arroyo Mortgage Trust 2020 | Arroyo Trust
Debt Instrument [Line Items]
Line of credit facility, maximum borrowing capacity									$ 355,800,000
Residential  Whole Loans | Arroyo Trust 2019
Debt Instrument [Line Items]
Repurchase agreements, net				$ 919,000,000
Residential  Whole Loans | Arroyo Trust 2019 | Arroyo Trust
Debt Instrument [Line Items]
Transferred of non-qm residential whole loans				$ 945,500,000
Residential  Whole Loans | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Repurchase agreements, net								$ 398,900,000
Residential  Whole Loans | Arroyo Mortgage Trust 2022 | Secured Debt
Debt Instrument [Line Items]
Debt outstanding					$ 378,000,000
Redemption of offering notes period					3 years
Residential  Whole Loans | Arroyo Mortgage Trust 2022 | Arroyo Trust
Debt Instrument [Line Items]
Repurchase agreements, net					$ 324,600,000	350,700,000
Line of credit facility, maximum borrowing capacity								$ 432,000,000
Residential  Whole Loans | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Debt outstanding					$ 353,100,000
Repurchase agreements, net							$ 351,900,000
Residential  Whole Loans | Arroyo Mortgage Trust 2022-2 | Secured Debt
Debt Instrument [Line Items]
Maximum aggregate collateral balance over original principal balance percentage					30%
Residential  Whole Loans | Arroyo Mortgage Trust 2022-2 | Arroyo Trust
Debt Instrument [Line Items]
Repurchase agreements, net					$ 316,300,000	363,300,000
Line of credit facility, maximum borrowing capacity							$ 402,200,000
Securitized Commercial Loans | VIE
Debt Instrument [Line Items]
Commercial loans, at fair value					12,499,000	14,362,000
Securitized debt, at fair value					1,006,630,000	$ 1,077,611,000
Securitized Commercial Loans | CSMC Trust
Debt Instrument [Line Items]
Principal					1,400,000,000
Non-Agency CMBS and Non-Agency RMBS Facility
Debt Instrument [Line Items]
Line of credit facility, remaining borrowing capacity					54,900,000
Commercial loans, at fair value					$ 90,800,000
Non-Agency CMBS and Non-Agency RMBS Facility | SOFR
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate					2.50%
Commercial Whole Loan Facility | Estimated Fair Value
Debt Instrument [Line Items]
Commercial loans, at fair value					$ 66,200,000
Commercial Whole Loan Facility | Repurchase agreements
Debt Instrument [Line Items]
Debt outstanding					$ 48,000,000
Commercial Whole Loan Facility | SOFR | Repurchase agreements
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate					2.25%
6.75% Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes due 2024
Debt Instrument [Line Items]
Interest rate stated percentage					6.75%
Debt instrument, face amount			$ 86,300,000
Proceeds from notes payable			$ 83,300,000
Redemption price, percentage			100%
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares					$ 29.59
Debt instrument, convertible, conversion ratio			0.0337952
Class F | CSMC Trust | Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount					$ 153,600,000
Debt instrument, debt default, amount					14,900,000
Securitized debt, at fair value					62,063,000
Class F | CSMC Trust | Secured Debt | Estimated Fair Value
Debt Instrument [Line Items]
Securitized debt, at fair value					$ 1,000,000,000
Minimum | Non-QM Loans | SOFR | Arroyo Trust | Subsequent Event
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate	0.25%
Minimum | Repurchase Agreements
Debt Instrument [Line Items]
Debt instrument, term					1 month
Maximum | Repurchase Agreements
Debt Instrument [Line Items]
Debt instrument, term					12 months

Financings - Borrowings Under R

Financings - Borrowings Under Repurchase Agreements (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 170,818	$ 193,117
Less unamortized debt issuance costs	908	0
Repurchase agreements, net	$ 169,910	$ 193,117
Weighted Average Interest Rate on Borrowings Outstanding at end of period	9.10%	6.57%
Weighted average interest rate on borrowings outstanding at end of period, total	9.10%	6.57%
Weighted Average Remaining Maturity (days)	327 days	146 days
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 170,467	$ 142,811
Weighted Average Interest Rate on Borrowings Outstanding at end of period	9.11%	6.25%
Weighted Average Remaining Maturity (days)	328 days	189 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 77,751	$ 19,129
Weighted Average Interest Rate on Borrowings Outstanding at end of period	10.80%	6.30%
Weighted Average Remaining Maturity (days)	585 days	122 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 8,860	$ 16,863
Weighted Average Interest Rate on Borrowings Outstanding at end of period	8.09%	6.30%
Weighted Average Remaining Maturity (days)	215 days	122 days
Repurchase agreements | Non-Agency CMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 31,621	$ 55,154
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.79%	6.30%
Weighted Average Remaining Maturity (days)	215 days	122 days
Repurchase agreements | Non-Agency CMBS and Non-Agency RMBS Facility
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 118,232	$ 91,146
Weighted Average Interest Rate on Borrowings Outstanding at end of period	9.79%	6.30%
Weighted Average Remaining Maturity (days)	458 days	122 days
Repurchase agreements | Residential Whole Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 2,562	$ 3,633
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.56%	6.66%
Weighted Average Remaining Maturity (days)	25 days	298 days
Repurchase agreements | Residential Bridge Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 1,641	$ 0
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.56%	0%
Weighted Average Remaining Maturity (days)	25 days	0 days
Repurchase agreements | Commercial Loans
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 48,032	$ 48,032
Weighted Average Interest Rate on Borrowings Outstanding at end of period	7.56%	6.13%
Weighted Average Remaining Maturity (days)	34 days	307 days
Repurchase agreements
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 351	$ 50,306
Weighted Average Interest Rate on Borrowings Outstanding at end of period	5.98%	7.47%
Weighted Average Remaining Maturity (days)	2 days	26 days
Repurchase agreements | Agency RMBS, at fair value
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 351	$ 293
Weighted Average Interest Rate on Borrowings Outstanding at end of period	5.98%	4.78%
Weighted Average Remaining Maturity (days)	2 days	32 days
Repurchase agreements | Non-Agency RMBS
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 0	$ 48,237
Weighted Average Interest Rate on Borrowings Outstanding at end of period	0%	7.50%
Weighted Average Remaining Maturity (days)	0 days	26 days
Repurchase agreements | Other securities
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 0	$ 1,776
Weighted Average Interest Rate on Borrowings Outstanding at end of period	0%	7.09%
Weighted Average Remaining Maturity (days)	0 days	17 days

Financings - Borrowings under_2

Financings - Borrowings under Repurchase Agreements Maturity Dates (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 170,818	$ 193,117
1 to 29 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	4,554	50,013
30 to 59 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	48,032	293
60 to 89 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	0	0
Greater than or equal to 90 days
Certain characteristics of the Company's repurchase agreements
Repurchase Agreement Borrowings	$ 118,232	$ 142,811

Financings - Borrowings under_3

Financings - Borrowings under Repurchase Agreements Risk by Counterparty (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2023 USD ($)
Goldman Sachs Bank USA
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	$ 36,387
Weighted Average Remaining Maturity (days)	214 days
Percentage of  Stockholders’  Equity	46.70%
Atlas Securitized Products Investments 2, L.P.
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	$ 18,461
Weighted Average Remaining Maturity (days)	34 days
Percentage of  Stockholders’  Equity	23.70%

Financings - Collateral Positio

Financings - Collateral Positions (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets pledged- fair value	$ 227,832	$ 291,681
Accrued Interest	1,379	1,459
Assets Pledged and Accrued Interest	229,211	293,140
Cash
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	241	3,410
Accrued Interest	0	0
Assets Pledged and Accrued Interest	241	3,410
Repurchase agreements
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	227,600	288,300
Repurchase agreements | Agency RMBS, at fair value
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	297	249
Accrued Interest	3	0
Assets Pledged and Accrued Interest	300	249
Repurchase agreements | Non-Agency CMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	53,038	83,925
Accrued Interest	386	483
Assets Pledged and Accrued Interest	53,424	84,408
Repurchase agreements | Non-Agency RMBS
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	83,029	104,487
Accrued Interest	456	533
Assets Pledged and Accrued Interest	83,485	105,020
Repurchase agreements | Residential Whole Loans, at fair value
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	4,343	3,229
Accrued Interest	11	3
Assets Pledged and Accrued Interest	4,354	3,232
Repurchase agreements | Residential Bridge Loans
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	2,782	0
Accrued Interest	32	0
Assets Pledged and Accrued Interest	2,814	0
Repurchase agreements | Commercial Loans, at fair value
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	66,202	66,864
Accrued Interest	424	362
Assets Pledged and Accrued Interest	66,626	67,226
Repurchase agreements | REO, at carrying value
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	2,255	2,255
Assets Pledged and Accrued Interest	2,255	2,255
Repurchase agreements | Other securities
Financial Instruments Owned and Pledged as Collateral [Line Items]
Assets Pledged	15,645	27,262
Accrued Interest	67	78
Assets Pledged and Accrued Interest	$ 15,712	$ 27,340

Financings - Commercial Mortgag

Financings - Commercial Mortgage Pass Through Certificates (Details) - Secured Debt $ in Thousands	9 Months Ended
	Sep. 30, 2023 USD ($)
Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 187,844
Carrying Value	187,844
Less: Unamortized Deferred Financing Costs	1,932
Total	185,912
Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	117,361
Carrying Value	117,361
Less: Unamortized Deferred Financing Costs	1,176
Total	116,185
Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	346,266
Carrying Value	289,409
Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	306,622
Fair Value	286,239
CSMC Trust
Debt Instrument [Line Items]
Principal Balance	1,370,691
Fair Value	1,006,630
Class A-1A | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 66,276
Coupon	1.70%
Carrying Value	$ 66,276
Class A-1A | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 196,149
Coupon	2.50%
Carrying Value	$ 174,066
Class A-1B | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 7,865
Coupon	2.10%
Carrying Value	$ 7,865
Class A-1B | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 82,942
Coupon	3.30%
Carrying Value	$ 68,578
Class A-1 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 142,973
Coupon	3.30%
Carrying Value	$ 142,973
Class A-1 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 243,033
Coupon	5%
Fair Value	$ 230,646
Class A-1 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 120,391
Coupon	3.30%
Fair Value	$ 100,388
Class A-2 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 7,668
Coupon	3.50%
Carrying Value	$ 7,668
Class A-2 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 13,518
Coupon	2.90%
Carrying Value	$ 13,518
Class A-2 | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 21,168
Coupon	3.60%
Carrying Value	$ 15,527
Class A-2 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 20,687
Coupon	5%
Fair Value	$ 19,097
Class A-2 | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 531,700
Coupon	4%
Fair Value	$ 453,714
Class A-3 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 12,148
Coupon	3.80%
Carrying Value	$ 12,148
Class A-3 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 17,963
Coupon	3.30%
Carrying Value	$ 17,963
Class A-3 | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 28,079
Coupon	3.70%
Carrying Value	$ 19,864
Class A-3 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 25,208
Coupon	5%
Fair Value	$ 23,219
Class B | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 136,400
Coupon	4.20%
Fair Value	$ 107,723
Class C | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 94,500
Coupon	4.30%
Fair Value	$ 71,132
Class D | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,950
Coupon	4.40%
Fair Value	$ 109,772
Class E | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 180,150
Coupon	4.40%
Fair Value	$ 96,059
Class F | CSMC Trust
Debt Instrument [Line Items]
Principal Balance	$ 153,600
Coupon	4.40%
Fair Value	$ 62,063
Class M-1 | Arroyo Trust
Debt Instrument [Line Items]
Principal Balance	$ 25,055
Coupon	4.80%
Carrying Value	$ 25,055
Class M-1 | Arroyo Mortgage Trust 2020
Debt Instrument [Line Items]
Principal Balance	$ 11,739
Coupon	4.30%
Carrying Value	$ 11,739
Class M-1 | Arroyo Mortgage Trust 2022
Debt Instrument [Line Items]
Principal Balance	$ 17,928
Coupon	3.70%
Carrying Value	$ 11,374
Class M-1 | Arroyo Mortgage Trust 2022-2
Debt Instrument [Line Items]
Principal Balance	$ 17,694
Coupon	5%
Fair Value	$ 13,277
Class X-1 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0.50%
Fair Value	$ 4,785
Notional amount	$ 652,100
Class X-2 | CSMC Trust
Debt Instrument [Line Items]
Coupon	0%
Fair Value	$ 994
Notional amount	$ 733,500

Derivative Instruments - Summar

Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Fair Value
Derivative assets	$ 834	$ 715
Derivative liabilities	(845)	(61)
Derivative instruments not accounted as hedges under GAAP
Fair Value
Derivative assets	0	1
Derivative liabilities	(845)	(61)
Total derivative instruments	(845)	(60)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Notional Amount
Notional amount, assets	0	60,000
Notional amount, liabilities	82,000	98,000
Fair Value
Derivative assets	0	1
Derivative liabilities	$ (845)	$ (61)

Derivative Instruments - Gain o

Derivative Instruments - Gain or Loss (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Amounts recognized on the statements of operations related to the Company's derivatives
Return (Recovery) of Basis			$ (650)	$ 3,793
Total	$ 1,157	$ 4,882	1,221	16,599
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	(2,486)	0	(1,723)
Variation Margin Settlement	1,008	3,423	(992)	14,744
Return (Recovery) of Basis	(14)	(5)	(16)	(120)
Mark-to-Market	(707)	3,636	(650)	3,793
Contractual interest income (expense), net	870	314	2,879	(95)
Total	1,157	4,882	1,221	16,599
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements/ Expirations	0	(3,371)	0	(3,371)
Variation Margin Settlement	1,008	3,423	(992)	14,744
Return (Recovery) of Basis	0	0	0	0
Mark-to-Market	(777)	4,790	(785)	3,670
Contractual interest income (expense), net	846	298	2,832	(255)
Total	1,077	5,140	1,055	14,788
Interest-Only Strips— accounted for as derivatives | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements/ Expirations	0	0	0	0
Variation Margin Settlement	0	0	0	0
Return (Recovery) of Basis	(14)	(5)	(16)	(120)
Mark-to-Market	70	(54)	135	(270)
Contractual interest income (expense), net	24	16	47	160
Total	$ 80	(43)	$ 166	(230)
Interest rate swaptions | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements/ Expirations		(161)		(161)
Variation Margin Settlement		0		0
Return (Recovery) of Basis		0		0
Mark-to-Market		0		0
Contractual interest income (expense), net		0		0
Total		(161)		(161)
Credit default swaps | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements/ Expirations		(273)		(242)
Variation Margin Settlement		0		0
Return (Recovery) of Basis		0		0
Mark-to-Market		283		393
Contractual interest income (expense), net		0		0
Total		10		151
TBAs | Derivative instruments not accounted as hedges under GAAP
Amounts recognized on the statements of operations related to the Company's derivatives
Other Settlements/ Expirations		1,319		2,051
Variation Margin Settlement		0		0
Return (Recovery) of Basis		0		0
Mark-to-Market		(1,383)		0
Contractual interest income (expense), net		0		0
Total		$ (64)		$ 2,051

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($) $ in Millions	Sep. 30, 2023	Dec. 31, 2022
Due From Counterparties
Interest rate swaps and interest rate swaptions
Collateral already posted, aggregate fair value	$ 1	$ 3.2

Derivative Instruments - Swap o

Derivative Instruments - Swap of Terms (Details) - Interest rate swaps - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Interest rate swaps and interest rate swaptions
Notional Amount	$ 82,000,000	$ 158,000,000
Average  Fixed Pay Rate	1.30%	1.40%
Average Variable Receive Rate	5.20%	2.20%
Average Maturity (Years)	2 years 6 months	3 years 10 months 24 days
1 year or less
Interest rate swaps and interest rate swaptions
Notional Amount	$ 60,000,000
Average  Fixed Pay Rate	1.40%
Average Variable Receive Rate	5.10%
Average Maturity (Years)	6 months
Greater than 1 year and less than 3 years
Interest rate swaps and interest rate swaptions
Notional Amount		$ 60,000,000
Average  Fixed Pay Rate		1.40%
Average Variable Receive Rate		2%
Average Maturity (Years)		1 year 3 months 18 days
Greater than 3 years and less than 5 years
Interest rate swaps and interest rate swaptions
Notional Amount		$ 70,000,000
Average  Fixed Pay Rate		1.40%
Average Variable Receive Rate		1.80%
Average Maturity (Years)		4 years 1 month 6 days
Greater than 5 years
Interest rate swaps and interest rate swaptions
Notional Amount	$ 22,000,000	$ 28,000,000
Average  Fixed Pay Rate	1.20%	1.70%
Average Variable Receive Rate	5.30%	3.60%
Average Maturity (Years)	8 years	9 years

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Derivative Assets
Gross  Amounts	$ 834	$ 715
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	834	715
Gross amounts not offset in the consolidated balance sheets, financial instruments	(236)	(197)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	598	518
Derivative Liabilities and Repurchase Agreements
Gross amounts, derivative liability, at fair value	845	61
Gross amounts offset in the consolidated balance sheets , derivative liability, at fair value	0	0
Derivative liability, at fair value	845	61
Gross amounts not offset in the consolidated balance sheets, financial instruments, derivative liability, at fair value	0	(1)
Gross amounts not offset in the consolidated balance sheets, cash collateral, derivative liability, at fair value	(845)	(60)
Derivative liability, at fair value, net amount	0	0
Gross amounts, repurchase agreements	169,910	193,117
Gross amounts offset in the consolidated balance sheets, repurchase agreements	0	0
Repurchase agreements, net	169,910	193,117
Gross amounts not offset in the consolidated balance sheets, financial instruments, repurchase agreements	(167,509)	(193,073)
Gross amounts not offset in the consolidated balance sheets, cash collateral, repurchase agreements	0	(44)
Repurchase agreements, net amount	2,401	0
Gross amounts of total liabilities	170,755	193,178
Gross amounts offset in the consolidated balance sheets, total liabilities	0	0
Net amounts of assets presented in consolidated balance sheets, total liabilities	170,755	193,178
Gross amounts not offset in the consolidated balance sheets, financial instruments, total liabilities	(167,509)	(193,074)
Gross amounts not offset in the consolidated balance sheets, cash collateral, total liability	(845)	(104)
Net amount, total liabilities	2,401	0
Fair value of investments pledged against repurchase agreements	227,600	288,300
Derivative Counterparties
Derivative Liabilities and Repurchase Agreements
Gross amounts not offset in the consolidated balance sheets, cash collateral, total liability	(1,000)	(3,200)
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
Derivative Assets
Gross  Amounts	834	714
Gross  Amounts  Offset in the Consolidated Balance  Sheets	0	0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets	834	714
Gross amounts not offset in the consolidated balance sheets, financial instruments	(236)	(196)
Gross amounts not offset in the consolidated balance sheets, cash collateral	0	0
Net Amount	$ 598	518
Derivative asset, at fair value
Derivative Assets
Gross  Amounts		1
Gross  Amounts  Offset in the Consolidated Balance  Sheets		0
Net Amounts of Assets  presented in  the Consolidated Balance  Sheets		1
Gross amounts not offset in the consolidated balance sheets, financial instruments		(1)
Gross amounts not offset in the consolidated balance sheets, cash collateral		0
Net Amount		$ 0

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022	Dec. 31, 2021
Related Party Transactions
Management fees	$ 974	$ 850	$ 2,908	$ 2,952
Payable to affiliate	1,002		$ 1,002		$ 4,028
Related Party
Related Party Transactions
Management fees percentage			1.50%
Renewal term of management agreement period			1 year
Notice period to terminate the management agreement following initial term			180 days
Termination fee of management agreement			3
Prior period over which management fees were incurred used to calculate the termination fee under the management agreement			24 months
Notice period to terminate the management agreement for cause			30 days
Management fee waived, percent						25%
Management fees	974	850	$ 2,900	3,000
Reimbursable employee costs	67	$ 64	217	$ 511
Related Party | Management Fees
Related Party Transactions
Payable to affiliate	1,000		1,000		3,900
Related Party | Reimbursable Costs
Related Party Transactions
Payable to affiliate	$ 49		$ 49		$ 86
Related Party | Minimum
Related Party Transactions
Proportion of affirmative votes by the entity's independent directors to terminate the management agreement percentage			67%
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage			67%

Share-Based Payments - Narrativ

Share-Based Payments - Narrative (Details) $ in Thousands				3 Months Ended		6 Months Ended	9 Months Ended
	Jun. 23, 2023 director shares	Jun. 30, 2022 shares	Jun. 24, 2022 director shares	Sep. 30, 2023 USD ($)	Sep. 30, 2022 USD ($)	Jun. 30, 2023 shares	Sep. 30, 2023 USD ($) shares	Sep. 30, 2022 USD ($) shares	Dec. 31, 2022 USD ($)	Jul. 11, 2022 shares	Jun. 28, 2022 shares
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Stock-based compensation expense recognized | $				$ 101	$ 100		$ 301	$ 335
Restricted stock units
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Vested (in shares)							31,704	11,716
Restricted stock units | Scenario 1
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	31,184		21,704
Restricted stock units | Director | Scenario 1
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)	7,796		5,426
Number of independent directors to whom awards were granted | director	4		4
Restricted stock units | Chief Financial Officer
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Granted (in shares)		20,000
Vested (in shares)						10,000
Issuance of common shares (in shares)							11,547
Dividend equivalent units | Chief Financial Officer
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Vested (in shares)						1,547
Equity awards
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Unamortized compensation expense | $				$ 277			$ 277		$ 298
Common Stock
Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items]
Number of shares remained available for issuance (in shares)										100,000	1,000,000

Share-Based Payments - Restrict

Share-Based Payments - Restricted Common Stock Vesting Dates (Details) - Restricted common stock - shares	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Summary of restricted common stock vesting dates
Vested (in shares)	43,151	41,704
June 2023
Summary of restricted common stock vesting dates
Vested (in shares)	0	31,704
June 2024
Summary of restricted common stock vesting dates
Vested (in shares)	43,151	10,000

Share-Based Payments - Shares I

Share-Based Payments - Shares Issued Under the Company’s Equity Incentive Plans (Details) - Restricted common stock - $ / shares	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022
Restricted Stock Units
Outstanding, beginning of period (in shares)	81,914	114,825
Granted (in shares)	41,559	45,954
Issuance of common shares (in shares)	(11,547)	0
Outstanding, end of period (in shares)	111,926	160,779
Unvested at the end of period (in shares)	43,151	41,704
Weighted Average Grant Date Fair Value
Outstanding at beginning of period (in dollars per share)	$ 31.21	$ 131.85
Granted (in dollars per share)	9.15	12.75
Issuance of common shares (in dollars per share)	11.89	0
Outstanding at end of year (in dollars per share)	25.01	97.81
Weighted average grant date fair  value, unvested at end of year (in dollars per share)	$ 9.58	$ 12.52
Director Deferred Fee Plan
Weighted Average Grant Date Fair Value
Exchange of phantom stock to common stock (in shares)	10,375	4,250

Stockholders' Equity (Details)

Stockholders' Equity (Details)																9 Months Ended
	Oct. 26, 2023 $ / shares	Sep. 21, 2023 $ / shares	Jul. 26, 2023 $ / shares	Jun. 21, 2023 $ / shares	Apr. 26, 2023 $ / shares	Mar. 22, 2023 $ / shares	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	Sep. 30, 2023 $ / shares shares	Jun. 30, 2023 shares	Dec. 31, 2022 $ / shares shares	Sep. 30, 2022 shares	Jun. 30, 2022 $ / shares shares	Dec. 31, 2021 shares	Jun. 05, 2020 USD ($)
Shareholders equity
Common stock, shares authorized (in shares)												50,000,000				50,000,000		50,000,000		500,000,000
Preferred stock, shares authorized (in shares)												10,000,000				10,000,000		10,000,000		100,000,000
Common stock, shares issued (in shares)												6,038,012								60,380,105
Common stock, shares outstanding (in shares)												6,038,012				6,049,559		6,038,012		60,380,105
Common stock, par value (in dollars per share) | $ / shares												$ 0.01				$ 0.01		$ 0.01		$ 0.01
Shares authorized to be repurchased (in shares)																					300,000
Stock repurchased during period (in shares)																0
Stockholders' equity note, stock split, conversion ratio												0.1				0.1
Dividends, cash paid per share of common stock (in dollars per share) | $ / shares			$ 0.35		$ 0.35		$ 0.40		$ 0.40		$ 0.04			$ 0.04
Dividends, declared per share of common stock (in dollars per share) | $ / shares		$ 0.35		$ 0.35		$ 0.35		$ 0.40		$ 0.40			$ 0.04		$ 0.04
Subsequent Event
Shareholders equity
Dividends, cash paid per share of common stock (in dollars per share) | $ / shares	$ 0.35
Dividends, declared per share of common stock (in dollars per share) | $ / shares	$ 0.14
Common Stock Outstanding
Shareholders equity
Common stock, shares outstanding (in shares)																6,049,559	6,038,012	6,038,012	6,038,012	6,038,012	6,038,012
Common Stock Outstanding | At The Market Offering
Shareholders equity
Equity offering amount, maximum | $																						$ 100,000,000
Sale of stock (in shares)																0

Net Loss per Common Share (Deta

Net Loss per Common Share (Details) $ / shares in Units, $ in Thousands		3 Months Ended		9 Months Ended
	Jul. 11, 2022	Sep. 30, 2023 USD ($) $ / shares shares	Sep. 30, 2022 USD ($) $ / shares shares	Sep. 30, 2023 USD ($) $ / shares shares	Sep. 30, 2022 USD ($) $ / shares shares
Earnings Per Share [Abstract]
Stockholders' equity note, stock split, conversion ratio	0.1			0.1
Numerator:
Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share		$ (8,705)	$ (40,010)	$ (10,771)	$ (88,250)
Dividends and undistributed earnings allocated to participating securities		39	32	101	62
Dividends and undistributed earnings allocated to participating securities		39	32	101	62
Net loss allocable to common stockholders — basic		(8,744)	(40,042)	(10,872)	(88,312)
Net loss allocable to common stockholders — diluted		$ (8,744)	$ (40,042)	$ (10,872)	$ (88,312)
Denominator:
Weighted average common shares outstanding for basic earnings per share (in shares) | shares		6,049,559	6,038,012	6,041,946	6,036,876
Weighted average common shares outstanding for diluted earnings per share (in shares) | shares		6,049,559	6,038,012	6,041,946	6,036,876
Basic loss per common share (in dollars per share) | $ / shares		$ (1.45)	$ (6.63)	$ (1.80)	$ (14.63)
Diluted loss per common share (in dollars per share) | $ / shares		$ (1.45)	$ (6.63)	$ (1.80)	$ (14.63)

Income Taxes (Details)

Income Taxes (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Valuation Allowance [Line Items]
Current federal, state and local, tax (benefit) expense	$ 0	$ 266,000	$ 0	$ 276,000
Operating Loss Carryforwards
Valuation Allowance [Line Items]
Valuation allowances balance	16,300,000		16,300,000		$ 16,100,000
State Jurisdiction
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	14,600,000		14,600,000		14,500,000
Taxable REIT Subsidiary
Valuation Allowance [Line Items]
Deferred tax assets, capital loss carryforwards	13,800,000		13,800,000		13,500,000
Taxable REIT Subsidiary | State Jurisdiction
Valuation Allowance [Line Items]
Deferred tax asset, net operating losses	$ 1,700,000		$ 1,700,000		$ 1,600,000

Subsequent Events (Details)

Subsequent Events (Details) - $ / shares	Oct. 26, 2023	Sep. 21, 2023	Jun. 21, 2023	Mar. 22, 2023	Dec. 21, 2022	Sep. 22, 2022	Jun. 21, 2022	Mar. 23, 2022
Subsequent Event [Line Items]
Dividends, declared per share of common stock (in dollars per share)		$ 0.35	$ 0.35	$ 0.35	$ 0.40	$ 0.40	$ 0.04	$ 0.04
Subsequent Event
Subsequent Event [Line Items]
Dividends, declared per share of common stock (in dollars per share)	$ 0.14