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Securities, at Fair Value (Tables)
 12 Months Ended
Dec. 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 December 31, 2023:

December 31, 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
$76,360 100.2 %99.1 %$75,650 92.4 %
5.50% Coupon
277,885 100.4 100.7 279,851 115.2 
6.00% Coupon
177,842 100.0 101.7 180,841 74.2 
6.50% Coupon
22,213 100.1 102.7 22,802 41.4 
  Total$554,300 100.3 %100.9 %$559,144 94.3 %
(1) Reflects the average of the one month CPR for the number of months the security was held during the most recent three 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 December 31, 2023 and 2022:
 
December 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$554,300 $1,824 $(500)$— $555,624 $4,355 $(835)$3,520 $559,144 
Other Securities (2)(3)(4)
193,102 19,686 (5,637)(40,514)166,637 20,437 (128)20,309 186,946 
Total residential mortgage securities (2)(3)(4)
$747,402 $21,510 $(6,137)$(40,514)$722,261 $24,792 $(963)$23,829 $746,090 

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 December 31, 2023 include CRT securities with a fair value of $51.2 million for which the fair value option has been elected. Such securities had approximately $2.3 million gross unrealized gains and no gross unrealized losses at December 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 December 31, 2023 include Non-Agency MBS with a fair value of $23.8 million for which the fair value option has been elected. Such securities had $474,000 gross unrealized gains and $128,000 gross unrealized losses at December 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 Impairment and Other Net (Loss)/Gain on Securities and Other Portfolio Investments
Impairment and other net gain/(loss) on securities and other portfolio investments
 
The following table present the components of Impairment and other net gain/(loss) on securities and other portfolio investments for the years ended December 31, 2023, 2022 and 2021, which is presented in Other Income/(Loss), net in the consolidated statements of operations:

For the Year Ended December 31,
 (In Thousands)202320222021
Net unrealized gain/(loss) on securities$7,341 $(3,230)$1,607 
Net realized gain from the sale of securities908 84 — 
Total Impairment and other net gain/(loss) on securities$8,249 $(3,146)$1,607 
Net unrealized gain/(loss) on other portfolio investments$6,180 $(21,921)$— 
Net realized loss on other portfolio investments(5,869)— — 
Reversal of impairment/(impairment) other portfolio investments (1)
(2,335)— 33,956 
Gain on investment in Lima One common equity— — 38,933 
Total Impairment and other net gain/(loss) on securities and other portfolio investments$6,225 $(25,067)$74,496 

(1)Includes impairment in 2021 related to a preferred equity investment in a loan originator, which was restructured in December 2021 and subsequently assessed as debt for accounting purposes. Accordingly, subsequent impairments on this investment recorded in 2022 are reflected as “Provision for Credit Losses on Other Assets” in the Company’s consolidated statement of operations.
Schedule of Impact of AFS on AOCI
The following table presents the impact of the Company’s AFS securities on its AOCI for the years ended December 31, 2023, 2022 and 2021:
 
 For the Year Ended December 31,
(In Thousands)202320222021
AOCI from AFS securities:   
Unrealized gain on AFS securities at beginning of period$21,341 $46,833 $79,607 
Unrealized gains/(losses) on securities available-for-sale
(2,873)(25,492)(32,774)
Reclassification adjustment for MBS sales included in net income(770)— — 
Change in AOCI from AFS securities(3,643)(25,492)(32,774)
Balance at end of period$17,698 $21,341 $46,833 
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 years ended December 31, 2023, 2022 and 2021:
 
 For the Year Ended December 31,
(In Thousands)202320222021
Agency MBS
Coupon interest$20,676 $— $— 
Effective yield adjustment (1)(2)
(146)— — 
Interest income$20,529 $— $— 
Other MBS
Coupon interest$8,128 $4,793 $4,076 
Effective yield adjustment (1)(2)(3)
191 3,143 13,265 
Interest income$8,319 $7,936 $17,341 
Term notes backed by MSR collateral
Coupon interest$8,423 $6,610 $7,462 
Effective yield adjustment (2)(4)
$5,104 $14,374 $31,887 
Interest income$13,527 $20,984 $39,349 

(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.
(3)Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of $8.8 million during the year ended December 31, 2021.
(4)Includes $7.8 million and $20.5 million of accretion income recognized during the years ended December 31, 2022 and 2021, respectively, due to the impact of the redemption at par of MSR-related assets that had been held at amortized cost basis below par due to an impairment charge recorded in the first quarter of 2020.