XML 22 R10.htm IDEA: XBRL DOCUMENT
v3.22.4

Mortgage-Backed Securities | 12 Months Ended
--- | ---
Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract] |
Mortgage-Backed Securities | Mortgage-Backed Securities The following tables present details of the Company's mortgage-backed securities portfolio at December 31, 2022 and 2021. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or government-sponsored enterprise, or "GSE." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk. By RMBS Type December 31, 2022:
($ in thousands) |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
| Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1) |  | Yield |  | Life (Years)(2)
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed-rate mortgages | $ | 47,453 |  |  | $ | 1,446 |  |  | $ | 48,899 |  |  | $ | — |  |  | $ | (3,575) |  |  | $ | 45,324 |  |  | 3.23% |  | 2.31% |  | 3.71
20-year fixed-rate mortgages | 10,812 |  |  | 696 |  |  | 11,508 |  |  | — |  |  | (1,817) |  |  | 9,691 |  |  | 2.84% |  | 1.77% |  | 6.72
30-year fixed-rate mortgages | 841,823 |  |  | 7,345 |  |  | 849,168 |  |  | 1,316 |  |  | (68,730) |  |  | 781,754 |  |  | 3.65% |  | 3.38% |  | 8.38
Adjustable rate mortgages | 8,696 |  |  | 899 |  |  | 9,595 |  |  | — |  |  | (932) |  |  | 8,663 |  |  | 3.58% |  | 2.37% |  | 4.50
Reverse mortgages | 17,506 |  |  | 2,153 |  |  | 19,659 |  |  | — |  |  | (1,807) |  |  | 17,852 |  |  | 4.06% |  | 2.73% |  | 4.70
Interest only securities | n/a |  | n/a |  | 9,212 |  |  | 581 |  |  | (480) |  |  | 9,313 |  |  | 3.89% |  | 10.56% |  | 6.63
Total Agency RMBS | 926,290 |  |  | 12,539 |  |  | 948,041 |  |  | 1,897 |  |  | (77,341) |  |  | 872,597 |  |  | 3.65% |  | 3.35% |  | 7.99
Non-Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal and interest securities | 16,895 |  |  | (4,481) |  |  | 12,414 |  |  | 879 |  |  | (727) |  |  | 12,566 |  |  | 5.26% |  | 6.65% |  | 7.18
Interest only securities | n/a |  | n/a |  | 6,289 |  |  | 1,849 |  |  | — |  |  | 8,138 |  |  | 0.24% |  | 17.94% |  | 9.58
Total Non-Agency RMBS | 16,895 |  |  | (4,481) |  |  | 18,703 |  |  | 2,728 |  |  | (727) |  |  | 20,704 |  |  | 0.36% |  | 10.45% |  | 8.12
Total RMBS | $ | 943,185 |  |  | $ | 8,058 |  |  | $ | 966,744 |  |  | $ | 4,625 |  |  | $ | (78,068) |  |  | $ | 893,301 |  |  | 2.26% |  | 3.49% |  | 7.99
(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. (2)Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. December 31, 2021:
($ in thousands) |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
| Current Principal |  | Unamortized Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1) |  | Yield |  | Life (Years)(2)
Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed-rate mortgages | $ | 125,033 |  |  | $ | 5,066 |  |  | $ | 130,099 |  |  | $ | 1,488 |  |  | $ | (877) |  |  | $ | 130,710 |  |  | 2.78% |  | 1.69% |  | 4.18
20-year fixed-rate mortgages | 35,732 |  |  | 1,479 |  |  | 37,211 |  |  | 34 |  |  | (898) |  |  | 36,347 |  |  | 2.31% |  | 1.50% |  | 5.96
30-year fixed-rate mortgages | 1,027,843 |  |  | 38,504 |  |  | 1,066,347 |  |  | 13,672 |  |  | (7,115) |  |  | 1,072,904 |  |  | 3.03% |  | 2.37% |  | 4.97
Adjustable rate mortgages | 11,491 |  |  | 543 |  |  | 12,034 |  |  | 59 |  |  | (133) |  |  | 11,960 |  |  | 2.82% |  | 2.21% |  | 4.23
Reverse mortgages | 35,313 |  |  | 2,339 |  |  | 37,652 |  |  | 242 |  |  | (597) |  |  | 37,297 |  |  | 3.33% |  | 2.27% |  | 4.24
Interest only securities | n/a |  | n/a |  | 12,983 |  |  | 95 |  |  | (2,789) |  |  | 10,289 |  |  | 3.36% |  | 5.34% |  | 3.87
Total Agency RMBS | 1,235,412 |  |  | 47,931 |  |  | 1,296,326 |  |  | 15,590 |  |  | (12,409) |  |  | 1,299,507 |  |  | 3.02% |  | 2.31% |  | 4.81
Non-Agency RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal and interest securities | 10,672 |  |  | (3,438) |  |  | 7,234 |  |  | 1,822 |  |  | — |  |  | 9,056 |  |  | 1.47% |  | 6.25% |  | 7.49
Interest only securities | n/a |  | n/a |  | 2,684 |  |  | 114 |  |  | — |  |  | 2,798 |  |  | 0.27% |  | 11.58% |  | 6.79
Total Non-Agency RMBS | 10,672 |  |  | (3,438) |  |  | 9,918 |  |  | 1,936 |  |  | — |  |  | 11,854 |  |  | 0.30% |  | 7.69% |  | 6.82
Total RMBS | $ | 1,246,084 |  |  | $ | 44,493 |  |  | $ | 1,306,244 |  |  | $ | 17,526 |  |  | $ | (12,409) |  |  | $ | 1,311,361 |  |  | 2.48% |  | 2.33% |  | 5.21
(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. (2)Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. By Estimated Weighted Average Life As of December 31, 2022
($ in thousands) |  | Agency RMBS |  | Agency Interest Only Securities |  | Non-Agency RMBS
Estimated Weighted Average Life(1) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2)
Less than three years |  | $ | 17,005 |  |  | $ | 17,868 |  |  | 3.80 | % |  | $ | 797 |  |  | $ | 882 |  |  | 4.03 | % |  | $ | 2,099 |  |  | $ | 2,092 |  |  | 5.67 | %
Greater than three years and less than seven years |  | 204,858 |  |  | 221,291 |  |  | 4.10 | % |  | 3,937 |  |  | 3,827 |  |  | 4.13 | % |  | 1,889 |  |  | 1,763 |  |  | 4.67 | %
Greater than seven years and less than eleven years |  | 640,207 |  |  | 698,391 |  |  | 3.48 | % |  | 4,579 |  |  | 4,503 |  |  | 3.61 | % |  | 16,049 |  |  | 14,848 |  |  | 0.32 | %
Greater than eleven years |  | 1,214 |  |  | 1,279 |  |  | 4.50 | % |  | — |  |  | — |  |  | — | % |  | 667 |  |  | — |  |  | 4.71 | %
Total |  | $ | 863,284 |  |  | $ | 938,829 |  |  | 3.63 | % |  | $ | 9,313 |  |  | $ | 9,212 |  |  | 3.89 | % |  | $ | 20,704 |  |  | $ | 18,703 |  |  | 0.36 | %
(1)Average lives of RMBS are generally shorter than stated contractual maturities. (2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. As of December 31, 2021:
($ in thousands) |  | Agency RMBS |  | Agency Interest Only Securities |  | Non-Agency RMBS
Estimated Weighted Average Life(1) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2)
Less than three years |  | $ | 28,443 |  |  | $ | 28,273 |  |  | 3.75 | % |  | $ | 1,628 |  |  | $ | 2,027 |  |  | 2.10 | % |  | $ | 561 |  |  | $ | 457 |  |  | 6.00 | %
Greater than three years and less than seven years |  | 724,996 |  |  | 718,318 |  |  | 3.53 | % |  | 7,820 |  |  | 10,095 |  |  | 4.38 | % |  | 1,773 |  |  | 1,571 |  |  | 0.35 | %
Greater than seven years and less than eleven years |  | 280,147 |  |  | 281,786 |  |  | 2.50 | % |  | 841 |  |  | 861 |  |  | 2.39 | % |  | 9,520 |  |  | 7,890 |  |  | 0.25 | %
Greater than eleven years |  | 255,632 |  |  | 254,966 |  |  | 2.00 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 1,289,218 |  |  | $ | 1,283,343 |  |  | 2.99 | % |  | $ | 10,289 |  |  | $ | 12,983 |  |  | 3.36 | % |  | $ | 11,854 |  |  | $ | 9,918 |  |  | 0.30 | %
(1)Average lives of RMBS are generally shorter than stated contractual maturities. (2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. The following tables reflect the components of interest income on the Company's RMBS for the years ended December 31, 2022 and 2021:
|  | Year Ended December 31, 2022 |  | Year Ended December 31, 2021
($ in thousands) |  | Coupon Interest |  | Net Amortization |  | Interest Income |  | Coupon Interest |  | Net Amortization |  | Interest Income
Agency RMBS |  | $ | 35,721 |  |  | $ | (3,855) |  |  | $ | 31,866 |  |  | $ | 39,159 |  |  | $ | (11,662) |  |  | $ | 27,497 |
Non-Agency RMBS |  | 1,887 |  |  | (329) |  |  | 1,558 |  |  | 210 |  |  | 547 |  |  | 757 |
Total |  | $ | 37,608 |  |  | $ | (4,184) |  |  | $ | 33,424 |  |  | $ | 39,369 |  |  | $ | (11,115) |  |  | $ | 28,254 |
For the years ended December 31, 2022 and 2021, the Catch-up Premium Amortization Adjustment was $3.1 million and $1.7 million, respectively. At December 31, 2022, the Company had gross unrealized losses on RMBS of $(78.1) million, of which $(0.2) million relates primarily to adverse changes in estimated future cash flows on Agency IOs. At December 31, 2021, the Company had gross unrealized losses on RMBS of $(12.4) million, of which $(2.2) million relates to adverse changes in estimated future cash flows on Agency IOs, primarily resulting from an increase in expected prepayments. The Company determined for certain securities that a portion of such securities' cost basis is not collectible; for the years ended December 31, 2022 and 2021, the Company recognized realized losses on such securities of $(1.6) million and $(1.2) million, respectively. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration