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.


(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	%


(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	%

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 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 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.


(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


(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

(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.

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.

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)

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.

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 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

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.