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Residential Mortgage Securities and MSR Related Assets | 12 Months Ended
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Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
Residential Mortgage Securities and MSR-Related Assets | Residential Mortgage Securities and MSR-Related Assets The following tables present certain information about the Company’s residential mortgage securities at December 31, 2019 and 2018: December 31, 2019
(In Thousands) |  | Principal/ Current Face |  | Purchase Premiums |  | Accretable Purchase Discounts |  | Discount Designated as Credit Reserve and OTTI (1) |  | Amortized Cost (2) |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Unrealized Gain/(Loss) |  | Fair Value
Agency MBS: (3) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | 1,119,708 |  |  | $ | 43,249 |  |  | $ | (22 | ) |  | $ | — |  |  | $ | 1,162,935 |  |  | $ | 9,799 |  |  | $ | (14,741 | ) |  | $ | (4,942 | ) |  | $ | 1,157,993 |
Freddie Mac |  | 480,879 |  |  | 19,468 |  |  | — |  |  | — |  |  | 500,961 |  |  | 5,475 |  |  | (3,968 | ) |  | 1,507 |  |  | 502,468 |
Ginnie Mae |  | 3,996 |  |  | 73 |  |  | — |  |  | — |  |  | 4,069 |  |  | 52 |  |  | — |  |  | 52 |  |  | 4,121 |
Total Agency MBS |  | 1,604,583 |  |  | 62,790 |  |  | (22 | ) |  | — |  |  | 1,667,965 |  |  | 15,326 |  |  | (18,709 | ) |  | (3,383 | ) |  | 1,664,582 |
Non-Agency MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expected to Recover Par (4)(5) |  | 722,477 |  |  | — |  |  | (16,661 | ) |  | — |  |  | 705,816 |  |  | 19,861 |  |  | (9 | ) |  | 19,852 |  |  | 725,668 |
Expected to Recover Less than Par (4) |  | 1,472,826 |  |  | — |  |  | (73,956 | ) |  | (436,598 | ) |  | 962,272 |  |  | 375,598 |  |  | (9 | ) |  | 375,589 |  |  | 1,337,861 |
Total Non-Agency MBS (6) |  | 2,195,303 |  |  | — |  |  | (90,617 | ) |  | (436,598 | ) |  | 1,668,088 |  |  | 395,459 |  |  | (18 | ) |  | 395,441 |  |  | 2,063,529 |
Total MBS |  | 3,799,886 |  |  | 62,790 |  |  | (90,639 | ) |  | (436,598 | ) |  | 3,336,053 |  |  | 410,785 |  |  | (18,727 | ) |  | 392,058 |  |  | 3,728,111 |
CRT securities (7) |  | 244,932 |  |  | 4,318 |  |  | (55 | ) |  | — |  |  | 249,195 |  |  | 6,304 |  |  | (91 | ) |  | 6,213 |  |  | 255,408 |
Total MBS and CRT securities |  | $ | 4,044,818 |  |  | $ | 67,108 |  |  | $ | (90,694 | ) |  | $ | (436,598 | ) |  | $ | 3,585,248 |  |  | $ | 417,089 |  |  | $ | (18,818 | ) |  | $ | 398,271 |  |  | $ | 3,983,519 |
December 31, 2018
(In Thousands) |  | Principal/ Current Face |  | Purchase Premiums |  | Accretable Purchase Discounts |  | Discount Designated as Credit Reserve and OTTI (1) |  | Amortized Cost (2) |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Unrealized Gain/(Loss) |  | Fair Value
Agency MBS: (3) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | 1,716,340 |  |  | $ | 65,930 |  |  | $ | (24 | ) |  | $ | — |  |  | $ | 1,782,246 |  |  | $ | 12,107 |  |  | $ | (32,321 | ) |  | $ | (20,214 | ) |  | $ | 1,762,032 |
Freddie Mac |  | 909,561 |  |  | 36,991 |  |  | — |  |  | — |  |  | 947,588 |  |  | 907 |  |  | (17,177 | ) |  | (16,270 | ) |  | 931,318 |
Ginnie Mae |  | 4,729 |  |  | 87 |  |  | — |  |  | — |  |  | 4,816 |  |  | 47 |  |  | — |  |  | 47 |  |  | 4,863 |
Total Agency MBS |  | 2,630,630 |  |  | 103,008 |  |  | (24 | ) |  | — |  |  | 2,734,650 |  |  | 13,061 |  |  | (49,498 | ) |  | (36,437 | ) |  | 2,698,213 |
Non-Agency MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expected to Recover Par (4)(5) |  | 1,536,485 |  |  | 40 |  |  | (21,725 | ) |  | — |  |  | 1,514,800 |  |  | 20,520 |  |  | (7,620 | ) |  | 12,900 |  |  | 1,527,700 |
Expected to Recover Less than Par (4) |  | 2,002,319 |  |  | — |  |  | (133,300 | ) |  | (516,116 | ) |  | 1,352,903 |  |  | 438,465 |  |  | (769 | ) |  | 437,696 |  |  | 1,790,599 |
Total Non-Agency MBS (6) |  | 3,538,804 |  |  | 40 |  |  | (155,025 | ) |  | (516,116 | ) |  | 2,867,703 |  |  | 458,985 |  |  | (8,389 | ) |  | 450,596 |  |  | 3,318,299 |
Total MBS |  | 6,169,434 |  |  | 103,048 |  |  | (155,049 | ) |  | (516,116 | ) |  | 5,602,353 |  |  | 472,046 |  |  | (57,887 | ) |  | 414,159 |  |  | 6,016,512 |
CRT securities (7) |  | 476,744 |  |  | 9,321 |  |  | 107 |  |  | — |  |  | 486,172 |  |  | 12,545 |  |  | (5,896 | ) |  | 6,649 |  |  | 492,821 |
Total MBS and CRT securities |  | $ | 6,646,178 |  |  | $ | 112,369 |  |  | $ | (154,942 | ) |  | $ | (516,116 | ) |  | $ | 6,088,525 |  |  | $ | 484,591 |  |  | $ | (63,783 | ) |  | $ | 420,808 |  |  | $ | 6,509,333 |
(1) | Discount designated as Credit Reserve and amounts related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at December 31, 2019 reflect Credit Reserve of $426.0 million and OTTI of $10.6 million. Amounts disclosed at December 31, 2018 reflect Credit Reserve of $503.3 million and OTTI of $12.8 million.
(2) | Includes principal payments receivable of $614,000 and $1.0 million at December 31, 2019 and 2018, respectively, which are not included in the Principal/Current Face.
(3) | Amounts disclosed at December 31, 2019 and 2018 include Agency MBS with a fair value of $280.3 million and $736.5 million, respectively, for which the fair value option has been elected. Such securities had $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019, and no unrealized gains and gross unrealized losses of approximately $3.3 million at December 31, 2018, respectively.
(4) | Based on management’s current estimates of future principal cash flows expected to be received.
(5) | Includes RPL/NPL MBS, which at December 31, 2019 had a $632.3 million Principal/Current face, $631.8 million amortized cost and $635.0 million fair value. At December 31, 2018, RPL/NPL MBS had a $1.4 billion Principal/Current face, $1.4 billion amortized cost and $1.4 billion fair value.
(6) | At December 31, 2019 and 2018, the Company expected to recover approximately 80% and 85% of the then-current face amount of Non-Agency MBS, respectively.
(7) Amounts disclosed at December 31, 2019 includes CRT securities with a fair value of $255.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $6.3 million and gross unrealized losses of approximately $91,000 at December 31, 2019. Amounts disclosed at December 31, 2018 includes CRT securities with a fair value of $477.4 million for which the fair value option had been elected. Such securities had gross unrealized gains of approximately $12.5 million and gross unrealized losses of approximately $5.6 million at December 31, 2018.Agency and Non-Agency MBS The Company’s MBS are comprised of Agency MBS and Non-Agency MBS which include MBS issued prior to 2008 (“Legacy Non-Agency MBS”). These MBS are secured by: (i) hybrid mortgages (“Hybrids”), which have interest rates that are fixed for a specified period of time and, thereafter, generally adjust annually to an increment over a specified interest rate index; (ii) adjustable-rate mortgages (“ARMs”), which have interest rates that reset annually or more frequently (collectively, “ARM-MBS”); and (iii) 15 and 30 year fixed-rate mortgages for Agency MBS and, for Non-Agency MBS, 30-year and longer-term fixed-rate mortgages. In addition, the Company’s MBS are also comprised of MBS backed by securitized re-performing/non-performing loans (“RPL/NPL MBS”), where the cash flows of the bond may not reflect the contractual cash flows of the underlying collateral. The Company’s RPL/NPL MBS are generally structured with a contractual coupon step-up feature where the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. The Company pledges a significant portion of its MBS as collateral against its borrowings under repurchase agreements and Swaps. (See Note 7) Agency MBS: Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae. The payment of principal and/or interest on Ginnie Mae MBS is explicitly backed by the full faith and credit of the U.S. Government. Since the third quarter of 2008, Fannie Mae and Freddie Mac have been under the conservatorship of the Federal Housing Finance Agency, which significantly strengthened the backing for these government-sponsored entities. Non-Agency MBS: The Company’s Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. Credit risk associated with Non-Agency MBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. CRT Securities CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements. (See Note 7) Sales of Residential Mortgage Securities The following tables present information about the Company’s sales of its residential mortgage securities for the years ended December 31, 2019, 2018 and 2017. The Company has no continuing involvement with any of the sold MBS.
|  | For the Year Ended December 31,
|  | 2019 |  | 2018 |  | 2017
(In Thousands) |  | Sales Proceeds |  | Gains/(Losses) |  | Sales Proceeds |  | Gains/(Losses) |  | Sales Proceeds |  | Gains/(Losses)
Agency MBS |  | $ | 360,634 |  |  | $ | 499 |  |  | $ | 122,027 |  |  | $ | (6,810 | ) |  | $ | — |  |  | $ | — |
Non-Agency MBS |  | 291,391 |  |  | 50,360 |  |  | 117,060 |  |  | 36,744 |  |  | 103,989 |  |  | 39,889 |
CRT Securities |  | 256,671 |  |  | 11,143 |  |  | 299,878 |  |  | 31,373 |  |  | — |  |  | — |
Total |  | $ | 908,696 |  |  | $ | 62,002 |  |  | $ | 538,965 |  |  | $ | 61,307 |  |  | $ | 103,989 |  |  | $ | 39,889 |
Unrealized Losses on Residential Mortgage Securities The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at December 31, 2019:
|  | Unrealized Loss Position For: |  |
|  | Less than 12 Months |  | 12 Months or more |  | Total
(Dollars in Thousands) |  | Fair Value |  | Unrealized Losses |  | Number of Securities |  | Fair Value |  | Unrealized Losses |  | Number of Securities |  | Fair Value |  | Unrealized Losses
Agency MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | 57,884 |  |  | $ | 341 |  |  | 44 |  |  | $ | 605,765 |  |  | $ | 14,400 |  |  | 275 |  |  | $ | 663,649 |  |  | $ | 14,741 |
Freddie Mac |  | 1,224 |  |  | 2 |  |  | 1 |  |  | 154,284 |  |  | 3,966 |  |  | 101 |  |  | 155,508 |  |  | 3,968 |
Total Agency MBS |  | 59,108 |  |  | 343 |  |  | 45 |  |  | 760,049 |  |  | 18,366 |  |  | 376 |  |  | 819,157 |  |  | 18,709 |
Non-Agency MBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expected to Recover Par (1) |  | — |  |  | — |  |  | — |  |  | 7,492 |  |  | 9 |  |  | 1 |  |  | 7,492 |  |  | 9 |
Expected to Recover Less than Par (1) |  | — |  |  | — |  |  | — |  |  | 242 |  |  | 9 |  |  | 1 |  |  | 242 |  |  | 9 |
Total Non-Agency MBS |  | — |  |  | — |  |  | — |  |  | 7,734 |  |  | 18 |  |  | 2 |  |  | 7,734 |  |  | 18 |
Total MBS |  | 59,108 |  |  | 343 |  |  | 45 |  |  | 767,783 |  |  | 18,384 |  |  | 378 |  |  | 826,891 |  |  | 18,727 |
CRT securities (2) |  | — |  |  | — |  |  | — |  |  | 25,004 |  |  | 91 |  |  | 7 |  |  | 25,004 |  |  | 91 |
Total MBS and CRT securities |  | $ | 59,108 |  |  | $ | 343 |  |  | 45 |  |  | $ | 792,787 |  |  | $ | 18,475 |  |  | 385 |  |  | $ | 851,895 |  |  | $ | 18,818 |
(1) Based on management’s current estimates of future principal cash flows expected to be received. (2) Amounts disclosed at December 31, 2019 include CRT securities with a fair value of $25.0 million for which the fair value option has been elected. Such securities had unrealized losses of $91,000 at December 31, 2019. At December 31, 2019, the Company did not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. Gross unrealized losses on the Company’s Agency MBS were $18.7 million at December 31, 2019. Agency MBS are issued by Government Sponsored Entities (“GSEs”) and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency MBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Given the credit quality inherent in Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2019 any unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency MBS were $18,000 at December 31, 2019. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads. The Company has reviewed its Non-Agency MBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent bond performance and, where possible, expected future performance of the underlying collateral. The Company recognized credit-related OTTI losses through earnings related to its Non-Agency MBS of $180,000, $1.3 million, and $1.0 million during the years ended December 31, 2019, 2018, and 2017, respectively. Non-Agency MBS on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for these Non-Agency MBS is based on its review of the underlying mortgage loans securing these MBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, LTVs, geographic concentrations, and dialogue with market participants. Changes in the Company’s evaluation of each of these factors impacts the cash flows expected to be collected at the OTTI assessment date. For Non-Agency MBS purchased at a discount to par that were assessed for and had no OTTI recorded this period, such cash flow estimates indicated that the amount of expected losses decreased compared to the previous OTTI assessment date. These positive cash flow changes are primarily driven by recent improvements in LTVs due to loan amortization and home price appreciation, which, in turn, positively impacts the Company’s estimates of default rates and loss severities for the underlying collateral. In addition, voluntary prepayments (i.e., loans that prepay in full with no loss) have generally trended higher relative to the Company’s assumptions for these MBS which also positively impacts the Company’s estimate of expected loss. Overall, the combination of higher voluntary prepayments and lower LTVs supports the Company’s assessment that such MBS are not other-than-temporarily impaired. The following table presents the composition of OTTI charges recorded by the Company for the years ended December 31, 2019, 2018 and 2017:
|  | For the Year Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
Total OTTI losses |  | $ | (264 | ) |  | $ | (1,259 | ) |  | $ | (63 | )
OTTI recognized in/(reclassified from) OCI |  | 84 |  |  | — |  |  | (969 | )
OTTI recognized in earnings |  | $ | (180 | ) |  | $ | (1,259 | ) |  | $ | (1,032 | )
The following table presents a roll-forward of the credit loss component of OTTI on the Company’s Non-Agency MBS for which a non-credit component of OTTI was previously recognized in OCI. Changes in the credit loss component of OTTI are presented based upon whether the current period is the first time OTTI was recorded on a security or a subsequent OTTI charge was recorded.
|  | For the Year Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
Credit loss component of OTTI at beginning of period |  | $ | 39,596 |  |  | $ | 38,337 |  |  | $ | 37,305 |
Additions for credit related OTTI not previously recognized |  | 180 |  |  | 1,259 |  |  | 63 |
Subsequent additional credit related OTTI recorded |  | — |  |  | — |  |  | 969 |
Credit loss component of OTTI at end of period |  | $ | 39,776 |  |  | $ | 39,596 |  |  | $ | 38,337 |
Purchase Discounts on Non-Agency MBS The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and OTTI and accretable purchase discount for the years ended December 31, 2019 and 2018:
|  | For the Year Ended December 31,
|  | 2019 |  | 2018
(In Thousands) |  | Discount Designated as Credit Reserve and OTTI |  | Accretable Discount (1) |  | Discount Designated as Credit Reserve and OTTI |  | Accretable Discount (1)
Balance at beginning of period |  | $ | (516,116 | ) |  | $ | (155,025 | ) |  | $ | (593,227 | ) |  | $ | (215,325 | )
Impact of RMBS Issuer settlement (2)(3) |  | — |  |  | (2,077 | ) |  | — |  |  | (14,822 | )
Accretion of discount |  | — |  |  | 51,696 |  |  | — |  |  | 70,750 |
Realized credit losses |  | 28,152 |  |  | — |  |  | 42,246 |  |  | — |
Purchases |  | (624 | ) |  | (4 | ) |  | (2,512 | ) |  | 1,685 |
Sales/Redemptions |  | 34,510 |  |  | 32,453 |  |  | 12,987 |  |  | 28,336 |
Net impairment losses recognized in earnings |  | (180 | ) |  | — |  |  | (1,259 | ) |  | — |
Transfers/release of credit reserve |  | 17,660 |  |  | (17,660 | ) |  | 25,649 |  |  | (25,649 | )
Balance at end of period |  | $ | (436,598 | ) |  | $ | (90,617 | ) |  | $ | (516,116 | ) |  | $ | (155,025 | )
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security.
(2) | Includes the impact of approximately $2.0 million and $12.1 million during the years ended December 31, 2019 and 2018, respectively, of cash proceeds (a one-time payment) received by the Company in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities.
(3) Includes the impact of approximately $2.7 million of cash proceeds (a one-time payment) received by the Company during the year ended December 31, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by Lehman Brothers Holdings Inc. MSR-Related Assets (a) Term Notes Backed by MSR-Related Collateral At December 31, 2019 and 2018, the Company had $1.2 billion and $538.5 million, respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At December 31, 2019, these term notes had an amortized cost of $1.2 billion, gross unrealized gains of approximately $5.2 million, a weighted average yield of 4.75% and a weighted average term to maturity of 5.3 years. At December 31, 2018, these term notes had an amortized cost of $538.5 million, gross unrealized losses of $7,000, a weighted average yield of 5.32% and a weighted average term to maturity of 4.7 years. (b) Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are secured by MSRs, as well as certain other unencumbered assets owned by the borrower. During the year ended December 31, 2018, the Company participated in a loan where the Company committed to lend $100.0 million of which approximately $59.5 million was drawn at December 31, 2019. At December 31, 2019, the coupon paid by the borrower on the drawn amount is 5.14%, the remaining term associated with the loan is 8 months and the remaining commitment period on any undrawn amount is 8 months. During the remaining commitment period, the Company receives a commitment fee between 0.25% and 1.0% based on the undrawn amount of the loan. In December 2016, the Company entered into a loan agreement under the terms of which it had committed to lend $130.0 million, of which approximately $124.2 million was drawn at March 31, 2018. This loan was paid in full during 2018, at which time any remaining commitment was extinguished. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the years ended December 31, 2019, 2018, and 2017:
|  | For the Year Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
AOCI from AFS securities: |  |  |  |  |  |  |  |  |
Unrealized gain on AFS securities at beginning of period |  | $ | 417,167 |  |  | $ | 620,648 |  |  | $ | 620,403 |
Unrealized gain/(loss) on Agency MBS, net |  | 21,844 |  |  | (17,891 | ) |  | (39,158 | )
Unrealized (loss)/gain on Non-Agency MBS, net |  | (6,682 | ) |  | (131,939 | ) |  | 78,337 |
Unrealized gain/(loss) on MSR term notes, net |  | 5,173 |  |  | (812 | ) |  | 805 |
Reclassification adjustment for MBS sales included in net income |  | (44,600 | ) |  | (51,580 | ) |  | (38,707 | )
Reclassification adjustment for OTTI included in net income |  | (180 | ) |  | (1,259 | ) |  | (1,032 | )
Change in AOCI from AFS securities |  | (24,445 | ) |  | (203,481 | ) |  | 245 |
Balance at end of period |  | $ | 392,722 |  |  | $ | 417,167 |  |  | $ | 620,648 |
Interest Income on Residential Mortgage Securities and MSR-Related Assets The following table presents the components of interest income on the Company’s residential mortgage securities and MSR-related assets for the years ended December 31, 2019, 2018 and 2017:
|  | For the Year Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
Agency MBS |  |  |  |  |  |
Coupon interest |  | $ | 82,446 |  |  | $ | 88,233 |  |  | $ | 96,678 |
Effective yield adjustment (1) |  | (26,545 | ) |  | (25,930 | ) |  | (31,323 | )
Interest income |  | $ | 55,901 |  |  | $ | 62,303 |  |  | $ | 65,355 |
Legacy Non-Agency MBS |  |  |  |  |  |
Coupon interest |  | $ | 87,024 |  |  | $ | 109,714 |  |  | $ | 127,645 |
Effective yield adjustment (2)(3) |  | 59,622 |  |  | 69,309 |  |  | 76,005 |
Interest income |  | $ | 146,646 |  |  | $ | 179,023 |  |  | $ | 203,650 |
RPL/NPL MBS |  |  |  |  |  |
Coupon interest |  | $ | 53,086 |  |  | $ | 46,339 |  |  | $ | 65,957 |
Effective yield adjustment (1)(4) |  | 338 |  |  | 1,434 |  |  | 1,505 |
Interest income |  | $ | 53,424 |  |  | $ | 47,773 |  |  | $ | 67,462 |
CRT securities |  |  |  |  |  |
Coupon interest |  | $ | 20,532 |  |  | $ | 30,628 |  |  | $ | 27,706 |
Effective yield adjustment (2) |  | (1,949 | ) |  | 2,748 |  |  | 4,009 |
Interest income |  | $ | 18,583 |  |  | $ | 33,376 |  |  | $ | 31,715 |
MSR-related assets |  |  |  |  |  |
Coupon interest |  | $ | 52,644 |  |  | $ | 27,174 |  |  | $ | 24,534 |
Effective yield adjustment (1) |  | 3 |  |  | 1,246 |  |  | 296 |
Interest income |  | $ | 52,647 |  |  | $ | 28,420 |  |  | $ | 24,830 |
(1) | Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.
(2) | The effective yield adjustment is the difference between the net income calculated using the net yield, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield.
(3) | Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $14.5 million, $2.7 million and $1.7 million during the years ended December 31, 2019, 2018 and 2017, respectively.
(4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $329,000, $1.4 million and $1.2 million during the years ended December 31, 2019, 2018 and 2017, respectively.

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