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Securities, at Fair Value (Tables)
 12 Months Ended
Dec. 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 Agency, Non-Agency and CRT securities at December 31, 2022 and 2021:
 
December 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)(4)(5)
$241,814 $6,306 $(6,272)$(14,833)$227,015 $9,974 $(1,523)$8,451 $235,466 

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 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
Schedule of Impairment and Other Net (Loss)/Gain on Securities and Other Portfolio Investments
Impairment and other net (loss)/gain on securities and other portfolio investments
 
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)202220212020
Net unrealized (loss)/gain on securities$(3,230)$1,607 $(10,486)
Net realized gain from the sale of securities84 — 90,408 
Impairment of securities— — (344,269)
Total Impairment and other net (loss)/gain on securities$(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.
Schedule of Sale of Residential Mortgage Securities
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,
202220212020
(In Thousands)Sales ProceedsGains/(Losses)Sales ProceedsGains/(Losses)Sales ProceedsGains/(Losses)
Agency MBS$— $— $— $— $1,500,875 $(19,291)
Non-Agency MBS— — — — 1,318,958 107,999 
CRT securities15,660 84 — — 243,025 (27,011)
MSR-related assets— — — — 711,698 28,711 
Total$15,660 $84 $— $— $3,774,556 $90,408 
Schedule of Impact of AFS on AOCI
The following table presents the impact of the Company’s AFS securities on its AOCI for the years ended December 31, 2022, 2021, and 2020:
 
 For the Year Ended December 31,
(In Thousands)202220212020
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 
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 years ended December 31, 2022, 2021 and 2020:
 
 For the Year Ended December 31,
(In Thousands)202220212020
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.
(4)Includes $7.8 million and $20.5 million of accretion income recognized during the years ended December 31, 2022 and 2021, respectively, due to the impact of the redemption at par of MSR-related assets that had been held at amortized cost basis below par due to an impairment charge recorded in the first quarter of 2020.