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v3.24.1.u1

Securities, at Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2024
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, 2024 and December 31, 2023: March 31, 2024
(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 |  | $ | 75,830 |  |  | 100.2 | % |  | 97.8 | % |  | $ | 74,137 |  |  | 12 |  | 1.4 | % |  |
5.50% Coupon |  | 274,733 |  |  | 100.4 |  |  | 99.7 |  |  | 273,975 |  |  | 14 |  | 3.2 |  |  |
6.00% Coupon |  | 175,301 |  |  | 100.0 |  |  | 101.2 |  |  | 177,471 |  |  | 10 |  | 4.0 |  |  |
6.50% Coupon |  | 20,783 |  |  | 100.1 |  |  | 102.7 |  |  | 21,336 |  |  | 7 |  | 21.1 |  |  |
Total |  | $ | 546,647 |  |  | 100.3 | % |  | 100.0 | % |  | $ | 546,919 |  |  | 12 |  | 3.9 | % |  |
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 |  |  | 9 |  | 2.4 | % |  |
5.50% Coupon |  | 277,885 |  |  | 100.4 |  |  | 100.7 |  |  | 279,851 |  |  | 11 |  | 5.2 |  |  |
6.00% Coupon |  | 177,842 |  |  | 100.0 |  |  | 101.7 |  |  | 180,841 |  |  | 7 |  | 4.2 |  |  |
6.50% Coupon |  | 22,213 |  |  | 100.1 |  |  | 102.7 |  |  | 22,802 |  |  | 4 |  | 1.4 |  |  |
Total |  | $ | 554,300 |  |  | 100.3 | % |  | 100.9 | % |  | $ | 559,144 |  |  | 9 |  | 4.3 | % |  |
(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 March 31, 2024 and December 31, 2023: March 31, 2024
(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 |  | $ | 546,647 |  |  | $ | 1,801 |  |  | $ | (493) |  |  | $ | — |  |  | $ | 547,955 |  |  | $ | 2,738 |  |  | $ | (3,774) |  |  | $ | (1,036) |  |  | $ | 546,919 |
Other Securities (2)(3)(4) |  | 192,671 |  |  | 20,865 |  |  | (5,571) |  |  | (40,514) |  |  | 167,451 |  |  | 22,865 |  |  | (285) |  |  | 22,580 |  |  | 190,031 |
Total residential mortgage securities (2)(3)(4) |  | $ | 739,318 |  |  | $ | 22,666 |  |  | $ | (6,064) |  |  | $ | (40,514) |  |  | $ | 715,406 |  |  | $ | 25,603 |  |  | $ | (4,059) |  |  | $ | 21,544 |  |  | $ | 736,950 |
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 |
(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, 2024 includes CRT securities with a fair value of $51.7 million for which the fair value option has been elected. Such securities had approximately $2.8 million gross unrealized gains and no gross unrealized losses at March 31, 2024. Amounts disclosed at December 31, 2023 includes CRT securities with a fair value of $51.2 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $2.3 million and no gross unrealized losses at December 31, 2023. (4)Amounts disclosed at March 31, 2024 include Non-Agency MBS with a fair value of $23.6 million for which the fair value option had been elected. Such securities had approximately $0.5 million gross unrealized gains and $0.3 million gross unrealized losses at March 31, 2024. 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 $0.5 million gross unrealized gains and $0.1 million gross unrealized losses at December 31, 2023.
Schedule of Impairment and Other Net (Loss)/Gain 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 three months ended March 31, 2024 and 2023, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
|  | Three Months Ended March 31, |
(In Thousands) |  | 2024 |  | 2023 |
Net unrealized gain/(loss) on securities |  | $ | (4,112) |  |  | $ | 2,931 |  |
Net realized gain/(loss) from the sale of securities |  | — |  |  | — |  |
Impairment of securities |  | — |  |  | — |  |
Total Impairment and other net gain/(loss) on securities |  | (4,112) |  |  | 2,931 |  |
Net unrealized gain/(loss) on other portfolio investments |  | (664) |  |  | — |  |
Net realized gain/(loss) on other portfolio investments |  | — |  |  | — |  |
Total Impairment and other net gain/(loss) on securities and other portfolio investments |  | $ | (4,776) |  |  | $ | 2,931 |  |
Schedule of Impact of AFS on AOCI | The following table presents the impact of the Company’s AFS securities (who se changes in fair value are recorded through O CI) on its AOCI for the three months ended March 31, 2024 and 2023:
|  | Three Months Ended March 31, |  |
(In Thousands) | 2024 |  | 2023 |  |  |  |
AOCI from AFS securities: |  |  |  |  |  |  |  |
Unrealized gain on AFS securities at beginning of period |  | $ | 17,698 |  |  | $ | 21,341 |  |  |  |  |
Unrealized gain/(loss) on securities available-for-sale |  | 1,828 |  |  | (1,116) |  |  |  |  |
Change in AOCI from AFS securities |  | 1,828 |  |  | (1,116) |  |  |  |  |
Balance at end of period |  | $ | 19,526 |  |  | $ | 20,225 |  |  |  |  |
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, 2024 and 2023:
|  | Three Months Ended March 31, |  |  |  |
(In Thousands) |  | 2024 |  | 2023 |  |  |  |  |  |
Agency MBS |  |  |  |  |  |  |  |  |  |
Coupon interest |  | $ | 7,730 |  |  | $ | 2,051 |  |  |  |  |  |  |
Effective yield adjustment (1)(2) |  | (15) |  |  | (31) |  |  |  |  |  |  |
Interest income |  | $ | 7,715 |  |  | $ | 2,020 |  |  |  |  |  |  |
Other MBS |  |  |  |  |  |  |  |  |  |
Coupon interest |  | $ | 2,085 |  |  | $ | 1,912 |  |  |  |  |  |  |
Effective yield adjustment (1)(2) |  | 30 |  |  | 188 |  |  |  |  |  |  |
Interest income |  | $ | 2,115 |  |  | $ | 2,100 |  |  |  |  |  |  |
Term notes backed by MSR collateral |  |  |  |  |  |  |  |  |  |
Coupon interest |  | $ | 1,951 |  |  | $ | 1,963 |  |  |  |  |  |  |
Effective yield adjustment (2) |  | 1,211 |  |  | 1,225 |  |  |  |  |  |  |
Interest income |  | $ | 3,162 |  |  | $ | 3,188 |  |  |  |  |  |  |
(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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