Securities, at Fair Value (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022 and December 31, 2021:

March 31, 2022

(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)	$	98,172	$	8,722	$	(44)	$	(20,768)	$	86,082	$	11,699	$	(1,381)	$	10,318	$	96,400

December 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)	$	99,999	$	7,466	$	(55)	$	(20,768)	$	86,642	$	16,282	$	(10)	$	16,272	$	102,914

(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 March 31, 2022 includes CRT securities with a fair value of $64.2 million for which the fair value option has been elected. Such securities had $281.0 thousand gross unrealized gains and gross unrealized losses of approximately $1.38 million at March 31, 2022. Amounts disclosed at December 31, 2021 includes CRT securities with a fair value of $67.5 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $1.8 million and gross unrealized losses of approximately $10,000 at December 31, 2021.

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, 2022 and 2021:

	Three Months Ended March 31,
(In Thousands)	2022		2021
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	46,833	$	79,607
Unrealized (losses) on securities available-for-sale	(4,977)		(3,855)
Change in AOCI from AFS securities	(4,977)		(3,855)
Balance at end of period	$	41,856	$	75,752

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, 2022 and 2021: 

	Three Months Ended March 31,
(In Thousands)	2022		2021
Residential Mortgage Securities
Coupon interest	$	895	$	1,287
Effective yield adjustment (1)(2)(3)	1,265		9,549
Interest income	$	2,160	$	10,836
MSR-related assets
Coupon interest	$	1,157	$	2,405
Effective yield adjustment (2)	1,958		3,218
Interest income	$	3,115	$	5,623

(1)Includes amortization of premium paid net of accretion of purchase discount.  For RPL/NPL MBS, 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 Non-Agency securities that had been previously purchased at a discount of approximately $8.8 million during the three months ended March 31, 2021.