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Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Schedule of information about MBS and CRT Securities
The following tables present certain information about the Company’s residential mortgage securities at June 30, 2021 and December 31, 2020:
 
June 30, 2021
(In Thousands)Principal/ Current
Face		Purchase
Premiums		Accretable
Purchase
Discounts
Discount
Designated
as Credit Reserve (1)
Gross Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Net
Unrealized
Gain/(Loss)		Fair 
Value
Total residential mortgage securities (2)(4)(5)
$103,757 $4,803 $(63)$(20,768)$87,729 $18,572 $(16)$18,556 $106,285 

December 31, 2020
(In Thousands)Principal/ Current
Face		Purchase
Premiums		Accretable
Purchase
Discounts
Discount
Designated
as Credit Reserve (1)
Gross Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Net
Unrealized
Gain/(Loss)		Fair Value
Total residential mortgage securities (2)(3)(4)(5)
$161,878 $3,022 $(8,206)$(21,437)$135,257 $26,926 $(1,183)$25,743 $161,000 
 
(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income.
(2)Based on management’s current estimates of future principal cash flows expected to be received.
(3)Includes RPL/NPL MBS, which at December 31, 2020 had a $55.0 million Principal/Current face, $46.9 million amortized cost and $53.9 million fair value.
(4)At December 31, 2020, the Company expected to recover approximately 99% of the then-current face amount of Non-Agency MBS.
(5)Amounts disclosed at June 30, 2021 includes CRT securities with a fair value of $67.6 million for which the fair value option has been elected. Such securities had $1.7 million gross unrealized gains and gross unrealized losses of approximately $16,000 at June 30, 2021. Amounts disclosed at December 31, 2020 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $551,000 and gross unrealized losses of approximately $322,000 at December 31, 2020.
Schedule of Sale of Residential Mortgage Securities
The following table presents information about the Company’s sales of its residential mortgage securities for the three and six months ended June 30, 2021 and 2020. The Company has no continuing involvement with any of the sold securities.

Three Months Ended
June 30, 2021		Three Months Ended
June 30, 2020
(In Thousands)Sales ProceedsGains/(Losses)Sales ProceedsGains/(Losses)
Agency MBS$— $— $535,742 $3,563 
Non-Agency MBS— — 1,054,980 151,095 
CRT Securities— — 207,379 (24,992)
Total$— $— $1,798,101 $129,666 

Six Months Ended
June 30, 2021		Six Months Ended
June 30, 2020
(In Thousands)Sales ProceedsGains/(Losses)Sales ProceedsGains/(Losses)
Agency MBS$— $— $1,500,875 $(19,291)
Non-Agency MBS— — 1,318,842 107,951 
CRT Securities— — 243,025 (27,011)
Total$— $— $3,062,742 $61,649 
Schedule of Credit Losses
The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets:

Three Months Ended June 30,Six Months Ended June 30,
(Dollars In Thousands)2021202020212020
Allowance for credit losses at beginning of period$— $— $— $— 
Current provision:
Securities with no prior loss allowance
— — — 344,269 
Securities with a prior loss allowance
— — — — 
Write-offs, including allowance related to securities the Company intended to sell — — — (344,269)
Allowance for credit losses at end of period$— $— $— $— 
Schedule of impact of AFS on AOCI
The following table presents the impact of the Company’s AFS securities on its AOCI for the three and six months ended June 30, 2021 and 2020:
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2021202020212020
AOCI from AFS securities:    
Unrealized gain on AFS securities at beginning of period$75,752 $148,910 $79,607 $392,722 
Unrealized (losses)/gains on securities available-for-sale(9,589)48,715 (13,444)393,503 
Reclassification adjustment for MBS sales included in net income— (144,736)— (389,067)
Reclassification adjustment for impairment included in net income— — — (344,269)
Change in AOCI from AFS securities(9,589)(96,021)(13,444)(339,833)
Balance at end of period$66,163 $52,889 $66,163 $52,889 
Schedule of interest income on MBS, CRT Securities and MSR Related Assets
The following table presents the components of interest income on the Company’s Securities, at fair value for the three and six months ended June 30, 2021 and 2020: 
 Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2021202020212020
Agency MBS
Coupon interest$— $402 $— $14,038 
Effective yield adjustment (1)
— (412)— (5,186)
Interest income$— $(10)$— $8,852 
Legacy Non-Agency MBS
Coupon interest$— $897 $14 $18,179 
Effective yield adjustment (2)(3)
— 1,153 670 10,560 
Interest income$— $2,050 $684 $28,739 
RPL/NPL MBS
Coupon interest$21 $1,228 $373 $6,811 
Effective yield adjustment (1)(4)
1 77 8,136 355 
Interest income$22 $1,305 $8,509 $7,166 
CRT securities
Coupon interest$923 $1,622 $1,844 $5,107 
Effective yield adjustment (2)
1,043 8 1,787 (515)
Interest income$1,966 $1,630 $3,631 $4,592 
MSR-related assets
Coupon interest$2,044 $6,133 $4,449 $20,340 
Effective yield adjustment (1)(2)(5)
11,313 3,608 14,531 3,608 
Interest income$13,357 $9,741 $18,980 $23,948 
 
(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 less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards.
(3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $670,000 during the six months ended June 30, 2021.
(4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $8.1 million and $277,000 during the six months ended June 30, 2021 and 2020, respectively.
(5) Includes $8.4 million of accretion income recognized during the three and six months ended June 30, 2021 due to the impact of the redemption at par of an MSR-related asset that had been held at amortized cost basis below par due to an impairment charge recorded in the first quarter of 2020.