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.


(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)
30-Year Fixed Rate:
5.00% Coupon	$	79,295	100.2	%	99.8	%	$	79,171	—
5.50% Coupon	220,213		100.5		101.1		222,669		3
Total	$	299,508	100.4	%	100.8	%	$	301,840	2

At March 31, 2023 and December 31, 2022, the Company had $97.2 million and $97.9 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 March 31, 2023, these term notes had an amortized cost of $87.6 million, gross unrealized gains of approximately $9.6 million, a weighted average yield of 15.5% and a weighted average term to maturity of 0.6 years. At December 31, 2022, the 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.

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).

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. At March 31, 2023, and December 31, 2022, the Company had $24.8 million and $24.6 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans.


(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
Agency MBS	$	299,508	$	1,175	$	(65)	$	—	$	300,618	$	1,470	$	(248)	$	1,222	$	301,840
Other Securities (2)(3)(4)	215,103		19,576		(6,092)		(46,332)		182,255		20,859		(315)		20,544		202,799

Total residential mortgage securities (2)(3)(4)	$	514,611	$	20,751	$	(6,157)	$	(46,332)	$	482,873	$	22,329	$	(563)	$	21,766	$	504,639


(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
Agency MBS	$	131,165	$	860	$	—	$	—	$	132,025	$	—	$	(325)	$	(325)	$	131,700
Other Securities (2)(3)(4)	215,649		18,344		(6,272)		(46,332)		181,389		21,473		(1,198)		20,275		201,664

Total residential mortgage securities (2)(3)(4)	$	346,814	$	19,204	$	(6,272)	$	(46,332)	$	313,414	$	21,473	$	(1,523)	$	19,950	$	333,364

(3)Amounts disclosed at March 31, 2023 includes CRT securities with a fair value of $49.4 million for which the fair value option has been elected. Such securities had approximately $195,000 gross unrealized gains and gross unrealized losses of approximately $315,000 at March 31, 2023. Amounts disclosed at December 31, 2022 includes 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.

(4)Amounts disclosed at March 31, 2023 include Non-Agency MBS with a fair value of $24.8 million for which the fair value option had been elected. Such securities had approximately $437,000 gross unrealized gains and no gross unrealized losses at March 31, 2023. 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.

During the three months ended March 31, 2023, the Company did not sell any of its residential mortgage securities. During the three months ended March 31, 2022, the Company sold a CRT security for approximately $369,000, realizing a gain of $13,000.

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 months ended March 31, 2023 and 2022.


	Three Months Ended March 31,
(In Thousands)	2023		2022
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	21,341	$	46,833
Unrealized (losses) on securities available-for-sale	(1,116)		(4,977)


Change in AOCI from AFS securities	(1,116)		(4,977)
Balance at end of period	$	20,225	$	41,856


	Three Months Ended March 31,
(In Thousands)	2023		2022
Agency MBS
Coupon interest	$	2,051	$	—
Effective yield adjustment (1)(2)	(31)		—
Interest income	$	2,020	$	—











Other MBS
Coupon interest	$	1,912	$	895
Effective yield adjustment (1)(2)	188		1,265
Interest income	$	2,100	$	2,160

Term notes backed by MSR collateral
Coupon interest	$	1,963	$	1,157
Effective yield adjustment (2)	1,225		1,958
Interest income	$	3,188	$	3,115

(1)Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.