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Securities, at Fair Value (Tables)
 9 Months Ended
Sep. 30, 2022
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 September 30, 2022 and December 31, 2021:
 
September 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)
$81,138 $4,907 $(601)$(14,833)$70,611 $9,885 $(1,249)$8,636 $79,247 

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 September 30, 2022 includes CRT securities with a fair value of $48.7 million for which the fair value option has been elected. Such securities had $240,000 gross unrealized gains and gross unrealized losses of approximately $1.2 million at September 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.
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 nine months ended September 30, 2022 and 2021:
Three Months Ended September 30,Nine Months Ended September 30,
(In Thousands)2022202120222021
AOCI from AFS securities:    
Unrealized gain on AFS securities at beginning of period$36,919 $66,163 $46,833 $79,607 
Unrealized (losses) on securities available-for-sale(5,851)(8,029)(15,765)(21,473)
Change in AOCI from AFS securities(5,851)(8,029)(15,765)(21,473)
Balance at end of period$31,068 $58,134 $31,068 $58,134 
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 nine months ended September 30, 2022 and 2021: 
 Three Months Ended September 30,Nine Months Ended September 30,
(In Thousands)2022202120222021
Residential Mortgage Securities
Coupon interest$1,308 $931 $3,258 $3,161 
Effective yield adjustment (1)(2)(3)
699 1,364 2,971 11,958 
Interest income$2,007 $2,295 $6,229 $15,119 
MSR-related assets
Coupon interest$2,015 $1,595 $4,591 $6,044 
Effective yield adjustment (2)(4)
1,590 6,739 5,361 21,270 
Interest income$3,605 $8,334 $9,952 $27,314 

(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 securities that had been previously purchased at a discount of approximately $8.8 million during the nine months ended September 30, 2021.
(4)Includes $4.0 million and $12.4 million of accretion income recognized during the three and nine months ended September 30, 2021, respectively, 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.