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v3.23.2

Securities, at Fair Value (Tables) | 6 Months Ended
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Jun. 30, 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 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.
Schedule of information about MBS and CRT securities | 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.
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, 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 |
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, 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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