Quarterly report pursuant to Section 13 or 15(d)


9 Months Ended
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]  
The following is a summary of the Company’s real estate securities at September 30, 2022, which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired.
    Amortized Cost Basis Gross Unrealized     Weighted Average
Asset Type Outstanding Face Amount Other-Than- Temporary Impairment (Discount) Premium After Impairment and (Discount) Premium Gains Losses
Carrying  Value (A)
Number of Securities
Rating (B)
Coupon Yield
Life (Years) (C)
Principal Subordination (D)
September 30, 2022
ABS - Non-Agency RMBS (E)
$ 4,000  $ (1,521) $ 396  $ 2,875  $ —  $ (834) $ 2,041  CCC 3.03  % 29.16  % 0.08 81.5  %
December 31, 2021
ABS - Non-Agency RMBS (E)
$ 4,000  $ (1,521) $ (156) $ 2,323  $ 1,163  $ —  $ 3,486  CCC 0.68  % 29.16  % 1.6 67.4  %
(A)See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities.
(B)Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the lowest rating is used. Ratings provided were determined by third-party rating agencies, represent the most recent credit ratings available as of the reporting date and may not be current.
(C)The weighted average life is based on the timing of expected cash flows on the assets.
(D)Percentage of the outstanding face amount of securities and residual interests that is subordinate to the Company’s investment.
(E)The ABS - Non-Agency RMBS is a floating rate security and the collateral securing it is located in various geographic regions in the United States. The Company does not have significant investments in any one geographic region.
The Company had one security in an unrealized loss position as of September 30, 2022.