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Securities, at Fair Value | 6 Months Ended
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Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Securities, at Fair Value | Securities, at Fair Value MSR-Related Assets Term Notes Backed by MSR-Related Collateral At June 30, 2022 and December 31, 2021, the Company had $152.9 million and $153.8 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 June 30, 2022, these term notes had an amortized cost of $125.1 million, gross unrealized gains of approximately $27.8 million, a weighted average yield of 10.84% and a weighted average term to maturity of 1.2 years. At December 31, 2021, the term notes had an amortized cost of $121.4 million, gross unrealized gains of approximately $32.4 million, a weighted average yield of 10.3% and a weighted average term to maturity of 1.7 years. 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 6). The following tables present certain information about the Company’s residential mortgage securities at June 30, 2022 and December 31, 2021: June 30, 2022
(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) |  | $ | 97,190 |  |  | $ | 4,523 |  |  | $ | (773) |  |  | $ | (14,834) |  |  | $ | 86,106 |  |  | $ | 9,323 |  |  | $ | (2,743) |  |  | $ | 6,580 |  |  | $ | 92,686 |
December 31, 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)(3) |  | $ | 99,999 |  |  | $ | 7,466 |  |  | $ | (55) |  |  | $ | (20,768) |  |  | $ | 86,642 |  |  | $ | 16,282 |  |  | $ | (10) |  |  | $ | 16,272 |  |  | $ | 102,914 |
(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)Amounts disclosed at June 30, 2022 includes CRT securities with a fair value of $62.8 million for which the fair value option has been elected. Such securities had $184,000 gross unrealized gains and gross unrealized losses of approximately $2.7 million at June 30, 2022. Amounts disclosed at December 31, 2021 includes CRT securities with a fair value of $67.5 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $1.8 million and gross unrealized losses of approximately $10,000 at December 31, 2021. Sales of Residential Mortgage Securities During the six months ended June 30, 2022, the Company sold a CRT security for approximately $369,000, realizing a gain of $13,000. The Company did not sell any of its residential mortgage securities during the six months ended June 30, 2021. Unrealized Losses on Residential Mortgage Securities There were no gross unrealized losses on the Company’s AFS securities at June 30, 2022. There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three and six months ended June 30, 2022 and 2021. Impact of AFS Securities 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, 2022 and 2021:
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) | 2022 |  | 2021 |  | 2022 |  | 2021
AOCI from AFS securities: |  |  |  |  |  |  |  |
Unrealized gain on AFS securities at beginning of period |  | $ | 41,856 |  |  | $ | 75,752 |  |  | $ | 46,833 |  |  | $ | 79,607 |
Unrealized (losses) on securities available-for-sale |  | (4,937) |  |  | (9,589) |  |  | (9,914) |  |  | (13,444) |
Change in AOCI from AFS securities |  | (4,937) |  |  | (9,589) |  |  | (9,914) |  |  | (13,444) |
Balance at end of period |  | $ | 36,919 |  |  | $ | 66,163 |  |  | $ | 36,919 |  |  | $ | 66,163 |
Interest Income on Securities, at Fair Value 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, 2022 and 2021:
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Residential Mortgage Securities |  |  |  |  |  |  |  |
Coupon interest |  | $ | 1,055 |  |  | $ | 944 |  |  | $ | 1,950 |  |  | $ | 2,231 |
Effective yield adjustment (1)(2)(3) |  | 1,006 |  |  | 1,044 |  |  | 2,272 |  |  | 10,593 |
Interest income |  | $ | 2,061 |  |  | $ | 1,988 |  |  | $ | 4,222 |  |  | $ | 12,824 |
MSR-related assets |  |  |  |  |  |  |  |
Coupon interest |  | $ | 1,419 |  |  | $ | 2,044 |  |  | $ | 2,576 |  |  | $ | 4,449 |
Effective yield adjustment (2)(4) |  | 1,814 |  |  | 11,313 |  |  | 3,771 |  |  | 14,531 |
Interest income |  | $ | 3,233 |  |  | $ | 13,357 |  |  | $ | 6,347 |  |  | $ | 18,980 |
(1)Includes amortization of premium paid net of accretion of purchase discount. For RPL/NPL MBS, 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 Non-Agency securities that had been previously purchased at a discount of approximately $8.1 million during the six months ended June 30, 2021. (4)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.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI https://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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