At September 30, 2022 and December 31, 2021, the Company had $148.2 million and $153.8 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, 2022, these term notes had an amortized cost of $126.7 million, gross unrealized gains of approximately $21.4 million, a weighted average yield of 12.7% and a weighted average term to maturity of 0.9 years. At December 31, 2021, the term notes had an amortized cost of $121.4 million, gross unrealized gains of approximately $32.4 million, a weighted average yield of 10.3% and a weighted average term to maturity of 1.7 years.

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. 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).


(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)	$	81,138	$	4,907	$	(601)	$	(14,833)	$	70,611	$	9,885	$	(1,249)	$	8,636	$	79,247


(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

(3)Amounts disclosed at September 30, 2022 includes CRT securities with a fair value of $48.7 million for which the fair value option has been elected. Such securities had $240,000 gross unrealized gains and gross unrealized losses of approximately $1.2 million at September 30, 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.

During the three and nine months ended September 30, 2022, the Company sold CRT securities for approximately $15.3 million and $15.7 million, realizing gains of $70,000 and $84,000, respectively. The Company did not sell any of its residential mortgage securities during the nine months ended September 30, 2021.

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, 2022 and 2021.


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2022		2021		2022		2021
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	36,919	$	66,163	$	46,833	$	79,607
Unrealized (losses) on securities available-for-sale	(5,851)		(8,029)		(15,765)		(21,473)


Change in AOCI from AFS securities	(5,851)		(8,029)		(15,765)		(21,473)
Balance at end of period	$	31,068	$	58,134	$	31,068	$	58,134

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, 2022 and 2021:


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2022		2021		2022		2021
Residential Mortgage Securities
Coupon interest	$	1,308	$	931	$	3,258	$	3,161
Effective yield adjustment (1)(2)(3)	699		1,364		2,971		11,958
Interest income	$	2,007	$	2,295	$	6,229	$	15,119
















MSR-related assets
Coupon interest	$	2,015	$	1,595	$	4,591	$	6,044
Effective yield adjustment (2)(4)	1,590		6,739		5,361		21,270
Interest income	$	3,605	$	8,334	$	9,952	$	27,314

(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 securities that had been previously purchased at a discount of approximately $8.8 million during the nine months ended September 30, 2021.