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Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2024 and December 31, 2023:
June 30, 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
$73,941 100.2 %96.9 %$71,671 157.5 %
5.50% Coupon
267,221 100.4 98.9 264,251 178.6 
6.00% Coupon
332,320 100.1 100.6 334,221 810.6 
6.50% Coupon
30,473 100.4 102.3 31,170 911.3 
  Total$703,955 100.3 %99.6 %$701,313 129.6 %
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 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, 2024 and December 31, 2023:
 
June 30, 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$703,955 $2,403 $(480)$— $705,878 $2,060 $(6,625)$(4,565)$701,313 
Other Securities (2)(3)(4)
161,988 16,041 (5,587)(31,514)140,928 21,476 (428)21,048 161,976 
Total residential mortgage securities (2)(3)(4)
$865,943 $18,444 $(6,067)$(31,514)$846,806 $23,536 $(7,053)$16,483 $863,289 

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 June 30, 2024 includes CRT securities with a fair value of $52.0 million for which the fair value option has been elected. Such securities had approximately $3.4 million gross unrealized gains and no gross unrealized losses at June 30, 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 June 30, 2024 include Non-Agency MBS with a fair value of $23.1 million for which the fair value option had been elected. Such securities had approximately $0.5 million gross unrealized gains and $0.4 million gross unrealized losses at June 30, 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 and six months ended June 30, 2024 and 2023, which is presented in Other Income/(Loss), net in the consolidated statements of operations:

Three Months Ended June 30,Six Months Ended June 30,
 (In Thousands)2024202320242023
Net unrealized gain/(loss) on securities$(3,186)$(3,697)$(7,298)$(766)
Net realized gain/(loss) from the sale of securities2,668 — 2,668 — 
Impairment of securities— — — — 
Total Impairment and other net gain/(loss) on securities(518)(3,697)(4,630)(766)
Net unrealized gain/(loss) on other portfolio investments(2,324)(872)(2,988)(872)
Net realized gain/(loss) on other portfolio investments— — — — 
Total Impairment and other net gain/(loss) on securities and other portfolio investments$(2,842)$(4,569)$(7,618)$(1,638)
Schedule of Impact of AFS on AOCI
The following table presents the impact of the Company’s AFS securities (whose changes in fair value are recorded through OCI) on its AOCI for the three and six months ended June 30, 2024 and 2023:
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2024202320242023
AOCI from AFS securities:    
Unrealized gain on AFS securities at beginning of period$19,526 $20,225 $17,698 $21,341 
Unrealized gain/(loss) on securities available-for-sale
784 (6,805)2,612 (7,921)
Reclassification adjustment for MBS sales included in net income(2,658)— (2,658)— 
Change in AOCI from AFS securities(1,874)(6,805)(46)(7,921)
Balance at end of period$17,652 $13,420 $17,652 $13,420 
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, 2024 and 2023: 
 Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2024202320242023
Agency MBS
Coupon interest$8,682 $4,471 $16,412 $6,522 
Effective yield adjustment (1)(2)
(36)(45)(51)(76)
Interest income$8,646 $4,426 $16,361 $6,446 
Other MBS
Coupon interest$2,075 $2,025 $4,160 $3,936 
Effective yield adjustment (1)(2)
44 28 74 217 
Interest income$2,119 $2,053 $4,234 $4,153 
Term notes backed by MSR collateral
Coupon interest$1,810 $2,100 $3,761 $4,063 
Effective yield adjustment (2)
1,054 1,369 2,265 2,594 
Interest income$2,864 $3,469 $6,026 $6,657 
(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.