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Securities, at Fair Value | 9 Months Ended
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Sep. 30, 2024
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 September 30, 2024 and December 31, 2023: September 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 |  | $ | 72,522 |  |  | 100.2 | % |  | 100.1 | % |  | $ | 72,595 |  |  | 18 |  | 5.5 | % |  |
5.50% Coupon |  | 548,652 |  |  | 100.7 |  |  | 101.3 |  |  | 555,773 |  |  | 11 |  | 7.2 |  |  |
6.00% Coupon |  | 325,792 |  |  | 100.1 |  |  | 102.4 |  |  | 333,694 |  |  | 11 |  | 5.8 |  |  |
6.50% Coupon |  | 30,319 |  |  | 100.4 |  |  | 103.6 |  |  | 31,409 |  |  | 12 |  | 1.0 |  |  |
Total |  | $ | 977,285 |  |  | 100.5 | % |  | 101.7 | % |  | $ | 993,471 |  |  | 11 |  | 6.4 | % |  |
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. Term Notes Backed by MSR Collateral At September 30, 2024 and December 31, 2023, the Company had $54.5 million and $79.9 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 September 30, 2024, these term notes had an amortized cost of $50.0 million, gross unrealized gains of approximately $4.5 million, a weighted average yield of 14.4% and a weighted average term to maturity of 1.08 years. At December 31, 2023, the term notes had an amortized cost of $74.2 million, gross unrealized gains of approximately $5.7 million, a weighted average yield of 17.0% and a weighted average term to maturity of 1.84 years. The issuer of the notes had a one-time option to extend the maturity of the notes for an additional two years, subject to satisfaction of certain conditions, which was exercised in October 2023. The coupon stepped up by 0.75% at the time of the extension. 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 September 30, 2024 and December 31, 2023, the Company had $68.2 million and $83.2 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 September 30, 2024, and December 31, 2023, the Company had $23.8 million and $23.8 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 September 30, 2024 and December 31, 2023: September 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 |  | $ | 977,285 |  |  | $ | 5,268 |  |  | $ | (460) |  |  | $ | — |  |  | $ | 982,093 |  |  | $ | 11,601 |  |  | $ | (223) |  |  | $ | 11,378 |  |  | $ | 993,471 |
Other Securities (2)(3)(4) |  | 147,318 |  |  | 14,099 |  |  | (5,627) |  |  | (23,691) |  |  | 132,099 |  |  | 14,471 |  |  | (5) |  |  | 14,466 |  |  | 146,565 |
Total residential mortgage securities (2)(3)(4) |  | $ | 1,124,603 |  |  | $ | 19,367 |  |  | $ | (6,087) |  |  | $ | (23,691) |  |  | $ | 1,114,192 |  |  | $ | 26,072 |  |  | $ | (228) |  |  | $ | 25,844 |  |  | $ | 1,140,036 |
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 September 30, 2024 includes CRT securities with a fair value of $51.8 million for which the fair value option has been elected. Such securities had approximately $3.3 million gross unrealized gains and no gross unrealized losses at September 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 September 30, 2024 include Non-Agency MBS with a fair value of $23.8 million for which the fair value option had been elected. Such securities had approximately $1.0 million gross unrealized gains and no gross unrealized losses at September 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. Sales of Residential Mortgage Securities During the three months ended September 30, 2024, the Company sold a CRT security for approximately $16.0 million, realizing a gain of $7.3 million. During the nine months ended September 30, 2024, the Company sold residential mortgage securities for approximately $45.6 million, realizing gains of $10.0 million. During the three and nine months ended September 30, 2023, there were no sales of residential mortgage securities. 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 three and nine months ended September 30, 2024 and 2023, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2024 |  | 2023 |  | 2024 |  | 2023
Net unrealized gain/(loss) on securities |  | $ | 16,890 |  |  | $ | (13,439) |  |  | $ | 9,591 |  |  | $ | (14,205) |
Net realized gain/(loss) from the sale of securities |  | 7,324 |  |  | — |  |  | 9,992 |  |  | — |
Impairment of securities |  | — |  |  | — |  |  | — |  |  | — |
Total Impairment and other net gain/(loss) on securities |  | 24,214 |  |  | (13,439) |  |  | 19,583 |  |  | (14,205) |
Net unrealized gain/(loss) on other portfolio investments |  | (1,286) |  |  | 7,482 |  |  | (4,273) |  |  | 6,610 |
Net realized gain/(loss) on other portfolio investments |  | — |  |  | (5,869) |  |  | — |  |  | (5,869) |
Reversal/(Impairment) for other portfolio investments (1) |  | — |  |  | (2,335) |  |  | — |  |  | (2,335) |
Total Impairment and other net gain/(loss) on securities and other portfolio investments |  | $ | 22,928 |  |  | $ | (14,161) |  |  | $ | 15,310 |  |  | $ | (15,799) |
Unrealized Losses on Residential Mortgage Securities There wer e no gross unrealized losses on the Company’s AFS securities (whose changes in fair value are recorded through OCI) at September 30, 2024. 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 nine months ended September 30, 2024 and 2023. Impact of AFS Securities 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 and nine months ended September 30, 2024 and 2023:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) | 2024 |  | 2023 |  | 2024 |  | 2023
AOCI from AFS securities: |  |  |  |  |  |  |  |
Unrealized gain on AFS securities at beginning of period |  | $ | 17,652 |  |  | $ | 13,420 |  |  | $ | 17,698 |  |  | $ | 21,341 |
Unrealized gain/(loss) on securities available-for-sale |  | (202) |  |  | 933 |  |  | 2,410 |  |  | (6,988) |
Reclassification adjustment for MBS sales included in net income |  | (7,328) |  |  | — |  |  | (9,986) |  |  | — |
Change in AOCI from AFS securities |  | (7,530) |  |  | 933 |  |  | (7,576) |  |  | (6,988) |
Balance at end of period |  | $ | 10,122 |  |  | $ | 14,353 |  |  | $ | 10,122 |  |  | $ | 14,353 |
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 nine months ended September 30, 2024 and 2023:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2024 |  | 2023 |  | 2024 |  | 2023
Agency MBS |  |  |  |  |  |  |  |
Coupon interest |  | $ | 10,967 |  |  | $ | 6,353 |  |  | $ | 27,379 |  |  | $ | 12,874 |
Effective yield adjustment (1)(2) |  | (28) |  |  | (50) |  |  | (80) |  |  | (126) |
Interest income |  | $ | 10,939 |  |  | $ | 6,303 |  |  | $ | 27,299 |  |  | $ | 12,748 |
Other MBS |  |  |  |  |  |  |  |
Coupon interest |  | $ | 2,009 |  |  | $ | 2,082 |  |  | $ | 6,170 |  |  | $ | 6,019 |
Effective yield adjustment (1)(2) |  | 13 |  |  | (32) |  |  | 87 |  |  | 185 |
Interest income |  | $ | 2,022 |  |  | $ | 2,050 |  |  | $ | 6,257 |  |  | $ | 6,204 |
Term notes backed by MSR collateral |  |  |  |  |  |  |  |
Coupon interest |  | $ | 1,265 |  |  | $ | 2,216 |  |  | $ | 5,026 |  |  | $ | 6,279 |
Effective yield adjustment (2) |  | 516 |  |  | 1,376 |  |  | 2,781 |  |  | 3,970 |
Interest income |  | $ | 1,781 |  |  | $ | 3,592 |  |  | $ | 7,807 |  |  | $ | 10,249 |
(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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