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Securities, at Fair Value (Tables)
 3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Schedule of information about MBS and CRT Securities
The following tables present certain information about the Company’s residential mortgage securities at March 31, 2021 and December 31, 2020:
 
March 31, 2021
(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
Total residential mortgage securities (2)(3)(4)(5)
$105,487 $3,764 $(69)$(20,768)$88,414 $17,207 $(206)$17,001 $105,415 

December 31, 2020
(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
Total residential mortgage securities (2)(3)(4)(5)
$161,878 $3,022 $(8,206)$(21,437)$135,257 $26,926 $(1,183)$25,743 $161,000 
 
(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)Includes RPL/NPL MBS, which at March 31, 2021 had an $1.6 million Principal/Current face, $1.6 million amortized cost and $1.6 million fair value. At December 31, 2020, RPL/NPL MBS had a $55.0 million Principal/Current face, $46.9 million amortized cost and $53.9 million fair value.
(4)At March 31, 2021 and December 31, 2020, the Company expected to recover approximately 100% and 99% of the then-current face amount of Non-Agency MBS, respectively.
(5)Amounts disclosed at March 31, 2021 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had $535,000 gross unrealized gains and gross unrealized losses of approximately $206,000 at March 31, 2021. Amounts disclosed at December 31, 2020 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $551,000 and gross unrealized losses of approximately $322,000 at December 31, 2020.
Schedule of Sale of Residential Mortgage Securities
The following table presents information about the Company’s sales of its residential mortgage securities for the three months ended March 31, 2021 and 2020. The Company has no continuing involvement with any of the sold securities.

Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
(In Thousands)Sales ProceedsGains/(Losses)Sales ProceedsGains/(Losses)
Agency MBS$— $— $965,132 $(22,854)
Non-Agency MBS— — 264,385 (43,124)
CRT Securities— — 35,645 (2,017)
Total$— $— $1,265,162 $(67,995)
Schedule of Credit Losses
The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets:

Three Months Ended March 31,
(Dollars In Thousands)20212020
Allowance for credit losses at beginning of period$— $— 
Current provision:— — 
Securities with no prior loss allowance
— 344,269 
Securities with a prior loss allowance
— — 
Write-offs, including allowance related to securities the Company intended to sell — (344,269)
Allowance for credit losses at end of period$— $— 
Schedule of impact of AFS on AOCI
The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2021 and 2020:
Three Months Ended March 31,
(In Thousands)20212020
AOCI from AFS securities:  
Unrealized gain on AFS securities at beginning of period$79,607 $392,722 
Unrealized (losses)/gains on securities available-for-sale(3,855)124,410 
Reclassification adjustment for MBS sales included in net income— (23,953)
Reclassification adjustment for impairment included in net income— (344,269)
Change in AOCI from AFS securities(3,855)(243,812)
Balance at end of period$75,752 $148,910 
Schedule of interest income on MBS, CRT Securities and MSR Related Assets
The following table presents the components of interest income on the Company’s Securities, at fair value for the three months ended March 31, 2021 and 2020: 
 Three Months Ended March 31,
(In Thousands)20212020
Agency MBS
Coupon interest$— $13,636 
Effective yield adjustment (1)
— (4,775)
Interest income$— $8,861 
Legacy Non-Agency MBS
Coupon interest$14 $17,282 
Effective yield adjustment (2)(3)
670 9,406 
Interest income$684 $26,688 
RPL/NPL MBS
Coupon interest$352 $5,583 
Effective yield adjustment (1)(4)
8,135 280 
Interest income$8,487 $5,863 
CRT securities
Coupon interest$921 $3,485 
Effective yield adjustment (2)
744 (523)
Interest income$1,665 $2,962 
MSR-related assets
Coupon interest$2,405 $14,207 
Effective yield adjustment (1)(2)
3,218 — 
Interest income$5,623 $14,207 
 
(1)  Includes amortization of premium paid net of accretion of purchase discount.  For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, 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.
(3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $670,000 during the three months ended March 31, 2021.
(4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $8.1 million and $277,000 during the three months ended March 31, 2021 and 2020, respectively.