At December 31, 2022 and 2021, the Company had $97.9 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 December 31, 2022, these term notes had an amortized cost of $86.4 million, gross unrealized gains of approximately $11.5 million, a weighted average yield of 14.3% and a weighted average term to maturity of 0.8 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. During the three months ended March 31, 2020, the Company recognized an impairment loss related to its term notes of $280.8 million based on its intent to sell, or the likelihood it will be required to sell, such notes.

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).

Agency MBS: 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.

Non-Agency MBS: The Company’s 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.


(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)	$	241,814	$	6,306	$	(6,272)	$	(14,833)	$	227,015	$	9,974	$	(1,523)	$	8,451	$	235,466


(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 December 31, 2022 include CRT securities with a fair value of $48.6 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $131,000 and gross unrealized losses of approximately $1.2 million at December 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.

(4)Amounts disclosed at December 31, 2022 include Non-Agency MBS with a fair value of $24.6 million for which the fair value option has been elected. Such securities had no gross unrealized gains and no gross unrealized losses at December 31, 2022.

(5)Amounts disclosed at December 31, 2022 include Agency MBS with a fair value of $131.7 million for which the fair value option has been elected. Such securities had no gross unrealized gains and gross unrealized losses of approximately $325,000 at December 31, 2022.

The following table present the components of Impairment and other net (loss)/gain on securities and other portfolio investments for the years ended December 31, 2022, 2021 and 2020, which is presented in Other income in the consolidated statements of operations:


	For the Year Ended December 31,
(In Thousands)	2022		2021		2020
Net unrealized (loss)/gain on securities	$	(3,230)	$	1,607	$	(10,486)
Net realized gain from the sale of securities	84		—		90,408
Impairment of securities	—		—		(344,269)
Total Impairment and other net (loss)/gain on securities	$	(3,146)	$	1,607	$	(264,347)

Net unrealized loss on other portfolio investments	$	(21,921)	$	—	$	—
Net realized loss on other portfolio investments	—		—		(5,407)
Reversal of impairment/(Impairment) other portfolio investments (1)	—		33,956		(80,813)
Gain on investment in Lima One common equity	—		38,933		—
Total Impairment and other net (loss)/gain on securities and other portfolio investments	$	(25,067)	$	74,496	$	(350,567)

(1)Includes impairment in 2020 and 2021 related to a preferred equity investment in a loan originator, which was restructured in December 2021 and subsequently assessed as debt for accounting purposes. Accordingly, subsequent impairments on this investment recorded in 2022 are reflected as “Provision for Credit Losses on Other Assets” in the Company’s consolidated statement of operations.

The following table presents information about the Company’s sales of its securities for the years ended December 31, 2022, 2021 and 2020. The Company has no continuing involvement with any of the sold securities.


	For the Year Ended December 31,
	2022				2021				2020
(In Thousands)	Sales Proceeds		Gains/(Losses)		Sales Proceeds		Gains/(Losses)		Sales Proceeds		Gains/(Losses)
Agency MBS	$	—	$	—	$	—	$	—	$	1,500,875	$	(19,291)
Non-Agency MBS	—		—		—		—		1,318,958		107,999
CRT securities	15,660		84		—		—		243,025		(27,011)
MSR-related assets	—		—		—		—		711,698		28,711
Total	$	15,660	$	84	$	—	$	—	$	3,774,556	$	90,408

The Company did not recognize an allowance for credit losses (or other than temporary impairment in prior year periods) through earnings related to its MBS for the years ended December 31, 2022 and 2021. During the three months ended March 31, 2020, the Company recognized an aggregate impairment loss related to its MBS of $63.5 million based on its intent to sell, or the likelihood it will be required to sell, certain securities at such time.


	For the Year Ended December 31,
(In Thousands)	2022		2021		2020
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	46,833	$	79,607	$	392,722
Unrealized (losses)/gains on securities available-for-sale	(25,492)		(32,774)		420,281
Reclassification adjustment for MBS sales included in net income	—		—		(389,127)
Reclassification adjustment for impairment included in net income	—		—		(344,269)
Change in AOCI from AFS securities	(25,492)		(32,774)		(313,115)
Balance at end of period	$	21,341	$	46,833	$	79,607


	For the Year Ended December 31,
(In Thousands)	2022		2021		2020
Residential Mortgage Securities
Coupon interest	$	4,793	$	4,076	$	47,686
Effective yield adjustment (1)(2)(3)	3,143		13,265		6,450
Interest income	$	7,936	$	17,341	$	54,136

MSR-related assets
Coupon interest	$	6,610	$	7,462	$	25,970
Effective yield adjustment (1)(2)(4)	14,374		31,887		9,987
Interest income	$	20,984	$	39,349	$	35,957

(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 $8.8 million during the year ended December 31, 2021.