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Securities, at Fair Value (Tables)

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Schedule of agency MBS portfolio

The following table presents certain information regarding the composition of our Agency MBS portfolio as of March 31, 2023:

March 31, 2023

(Dollars in Thousands)						Current Face						Weighted Average Purchase Price						Weighted Average Market Price						Fair Value						Weighted Average Loan Age (Months)
30-Year Fixed Rate:
5.00% Coupon						$	79,295					100.2		%				99.8		%				$	79,171					—
5.50% Coupon						220,213						100.5						101.1						222,669						3
Total						$	299,508					100.4		%				100.8		%				$	301,840					2

Schedule of information about MBS and CRT securities

The following tables present certain information about the Company’s Agency MBS and other Securities, at March 31, 2023 and December 31, 2022:

March 31, 2023

(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
Agency MBS						$	299,508					$	1,175					$	(65)					$	—					$	300,618					$	1,470					$	(248)					$	1,222					$	301,840
Other Securities (2)(3)(4)						215,103						19,576						(6,092)						(46,332)						182,255						20,859						(315)						20,544						202,799
Total residential mortgage securities (2)(3)(4)						$	514,611					$	20,751					$	(6,157)					$	(46,332)					$	482,873					$	22,329					$	(563)					$	21,766					$	504,639

December 31, 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
Agency MBS						$	131,165					$	860					$	—					$	—					$	132,025					$	—					$	(325)					$	(325)					$	131,700
Other Securities (2)(3)(4)						215,649						18,344						(6,272)						(46,332)						181,389						21,473						(1,198)						20,275						201,664
Total residential mortgage securities (2)(3)(4)						$	346,814					$	19,204					$	(6,272)					$	(46,332)					$	313,414					$	21,473					$	(1,523)					$	19,950					$	333,364

(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 March 31, 2023 includes CRT securities with a fair value of $49.4 million for which the fair value option has been elected. Such securities had approximately $195,000 gross unrealized gains and gross unrealized losses of approximately $315,000 at March 31, 2023. Amounts disclosed at December 31, 2022 includes CRT securities with a fair value of $48.6 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $131,000 and gross unrealized losses of approximately $1.2 million at December 31, 2022.

(4)Amounts disclosed at March 31, 2023 include Non-Agency MBS with a fair value of $24.8 million for which the fair value option had been elected. Such securities had approximately $437,000 gross unrealized gains and no gross unrealized losses at March 31, 2023. Amounts disclosed at December 31, 2022 include Non-Agency MBS with a fair value of $24.6 million for which the fair value option has been elected. Such securities had no gross unrealized gains and no gross unrealized losses at December 31, 2022.

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 months ended March 31, 2023 and 2022:

						Three Months Ended March 31,
(In Thousands)						2023						2022
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period						$	21,341					$	46,833
Unrealized (losses) on securities available-for-sale						(1,116)						(4,977)
Change in AOCI from AFS securities						(1,116)						(4,977)
Balance at end of period						$	20,225					$	41,856

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 months ended March 31, 2023 and 2022: 

						Three Months Ended March 31,
(In Thousands)						2023						2022
Agency MBS
Coupon interest						$	2,051					$	—
Effective yield adjustment (1)(2)						(31)						—
Interest income						$	2,020					$	—
Other MBS
Coupon interest						$	1,912					$	895
Effective yield adjustment (1)(2)						188						1,265
Interest income						$	2,100					$	2,160
Term notes backed by MSR collateral
Coupon interest						$	1,963					$	1,157
Effective yield adjustment (2)						1,225						1,958
Interest income						$	3,188					$	3,115

(1)Includes amortization of premium paid net of accretion of purchase discount.  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.

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