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Securities, at Fair Value | 6 Months Ended
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Jun. 30, 2023
Investments, Debt and Equity Securities [Abstract] |
Securities, at Fair Value | Securities, at Fair Value 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 following table presents certain information regarding the composition of our Agency MBS portfolio as of June 30, 2023: June 30, 2023
(Dollars in Thousands) |  | Current Face |  | Weighted Average Purchase Price |  | Weighted Average Market Price |  | Fair Value |  | Weighted Average Loan Age (Months) |  | CPR (1) |  |
30-Year Fixed Rate: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00% Coupon |  | $ | 77,662 |  |  | 100.2 | % |  | 98.0 | % |  | $ | 76,147 |  |  | 3 |  | 6.0 | % |  |
5.50% Coupon |  | 290,178 |  |  | 100.4 |  |  | 99.7 |  |  | 289,196 |  |  | 5 |  | 8.6 |  |  |
6.00% Coupon |  | 30,629 |  |  | 100.8 |  |  | 101.0 |  |  | 30,948 |  |  | 0 |  | — |  |  |
Total |  | $ | 398,469 |  |  | 100.4 | % |  | 99.5 | % |  | $ | 396,291 |  |  | 4 |  | 8.0 | % |  |
(1) Reflects the average of the 1 month CPR for the number of months the security was held during the most recent 3 month period. Term Notes Backed by MSR Collateral At June 30, 2023 and December 31, 2022, the Company had $91.2 million and $97.9 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, 2023, these term notes had an amortized cost of $89.0 million, gross unrealized gains of $2.9 million and gross unrealized losses of $688,000, a weighted average yield of 16.2% and a weighted average term to maturity of 0.3 years. At December 31, 2022, the term notes had an amortized cost of $86.4 million, gross unrealized gains of approximately $11.5 million, a weighted average yield of 14.3% and a weighted average term to maturity of 0.8 years. The issuer of the notes has a one-time option to extend the maturity of the notes for an additional two years, subject to satisfaction of certain conditions. If the notes are extended, the issuer would also be subject to a step-up fee that would increase the return on the notes. 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. At June 30, 2023 and December 31, 2022, the Company had $82.5 million and $79.2 million, respectively, of CRT securities. 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). Non-Agency MBS 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. At June 30, 2023, and December 31, 2022, the Company had $24.3 million and $24.6 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans. The following tables present certain information about the Company’s Agency MBS and other Securities, at June 30, 2023 and December 31, 2022: June 30, 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 |  | $ | 398,469 |  |  | $ | 1,723 |  |  | $ | (67) |  |  | $ | — |  |  | $ | 400,125 |  |  | $ | 64 |  |  | $ | (3,898) |  |  | $ | (3,834) |  |  | $ | 396,291 |
Other Securities (2)(3)(4) |  | 214,358 |  |  | 20,815 |  |  | (5,934) |  |  | (46,330) |  |  | 182,909 |  |  | 15,864 |  |  | (770) |  |  | 15,094 |  |  | 198,003 |
Total residential mortgage securities (2)(3)(4) |  | $ | 612,827 |  |  | $ | 22,538 |  |  | $ | (6,001) |  |  | $ | (46,330) |  |  | $ | 583,034 |  |  | $ | 15,928 |  |  | $ | (4,668) |  |  | $ | 11,260 |  |  | $ | 594,294 |
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 June 30, 2023 includes CRT securities with a fair value of $50.9 million for which the fair value option has been elected. Such securities had approximately $1.5 million gross unrealized gains and no gross unrealized losses at June 30, 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 June 30, 2023 include Non-Agency MBS with a fair value of $24.3 million for which the fair value option had been elected. Such securities had approximately $275,000 gross unrealized gains and $82,000 gross unrealized losses at June 30, 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. Sales of Residential Mortgage Securities During the six months ended June 30, 2023, the Company did not sell any of its 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. Unrealized Losses on Residential Mortgage Securities Gross unrealized losses on the Company’s AFS securities at June 30, 2023 were $688,000. The Company has no plans to dispose of any securities that were in an unrealized loss position and has determined that such losses are not indicative of impairment for the securities. 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, 2023 and 2022. 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, 2023 and 2022:
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) | 2023 |  | 2022 |  | 2023 |  | 2022
AOCI from AFS securities: |  |  |  |  |  |  |  |
Unrealized gain on AFS securities at beginning of period |  | $ | 20,225 |  |  | $ | 41,856 |  |  | $ | 21,341 |  |  | $ | 46,833 |
Unrealized (losses) on securities available-for-sale |  | (6,805) |  |  | (4,937) |  |  | (7,921) |  |  | (9,914) |
Change in AOCI from AFS securities |  | (6,805) |  |  | (4,937) |  |  | (7,921) |  |  | (9,914) |
Balance at end of period |  | $ | 13,420 |  |  | $ | 36,919 |  |  | $ | 13,420 |  |  | $ | 36,919 |
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, 2023 and 2022:
|  | Three Months Ended June 30, |  | Six Months Ended June 30, |  |
(In Thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022 |  |
Agency MBS |  |  |  |  |  |  |  |  |  |
Coupon interest |  | $ | 4,471 |  |  | $ | — |  |  | 6,522 |  |  | — |  |  |
Effective yield adjustment (1)(2) |  | (45) |  |  | — |  |  | (76) |  |  | — |  |  |
Interest income |  | $ | 4,426 |  |  | $ | — |  |  | $ | 6,446 |  |  | $ | — |  |  |
Other MBS |  |  |  |  |  |  |  |  |  |
Coupon interest |  | $ | 2,025 |  |  | $ | 1,055 |  |  | $ | 3,936 |  |  | $ | 1,950 |  |  |
Effective yield adjustment (1)(2) |  | 28 |  |  | 1,006 |  |  | 217 |  |  | 2,272 |  |  |
Interest income |  | $ | 2,053 |  |  | $ | 2,061 |  |  | $ | 4,153 |  |  | $ | 4,222 |  |  |
Term notes backed by MSR collateral |  |  |  |  |  |  |  |  |  |
Coupon interest |  | $ | 2,100 |  |  | $ | 1,419 |  |  | $ | 4,063 |  |  | $ | 2,576 |  |  |
Effective yield adjustment (2) |  | 1,369 |  |  | 1,814 |  |  | 2,594 |  |  | 3,771 |  |  |
Interest income |  | $ | 3,469 |  |  | $ | 3,233 |  |  | $ | 6,657 |  |  | $ | 6,347 |  |  |
(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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