XML 37 R27.htm IDEA: XBRL DOCUMENT v3.23.2
Securities, at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2023
Investments, Debt and Equity Securities [Abstract]  
Schedule of agency MBS portfolio
The following table presents certain information regarding the composition of our Agency MBS portfolio as of June 30, 2023:

June 30, 2023
(Dollars in Thousands)Current
Face		Weighted
Average
Purchase
Price		Weighted
Average
Market
Price		Fair
Value		Weighted
Average
Loan Age
(Months)
CPR (1)
30-Year Fixed Rate:  
5.00% Coupon
$77,662 100.2 %98.0 %$76,147 36.0 %
5.50% Coupon
290,178 100.4 99.7 289,196 58.6 
6.00% Coupon
30,629 100.8 101.0 30,948 0— 
  Total$398,469 100.4 %99.5 %$396,291 48.0 %
(1) Reflects the average of the 1 month CPR for the number of months the security was held during the most recent 3 month period.
Schedule of information about MBS and CRT securities
The following tables present certain information about the Company’s Agency MBS and other Securities, at June 30, 2023 and December 31, 2022:
 
June 30, 2023
(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$398,469 $1,723 $(67)$— $400,125 $64 $(3,898)$(3,834)$396,291 
Other Securities (2)(3)(4)
214,358 20,815 (5,934)(46,330)182,909 15,864 (770)15,094 198,003 
Total residential mortgage securities (2)(3)(4)
$612,827 $22,538 $(6,001)$(46,330)$583,034 $15,928 $(4,668)$11,260 $594,294 

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
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 
 
(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 June 30, 2023 includes CRT securities with a fair value of $50.9 million for which the fair value option has been elected. Such securities had approximately $1.5 million gross unrealized gains and no gross unrealized losses at June 30, 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 June 30, 2023 include Non-Agency MBS with a fair value of $24.3 million for which the fair value option had been elected. Such securities had approximately $275,000 gross unrealized gains and $82,000 gross unrealized losses at June 30, 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.
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 and six months ended June 30, 2023 and 2022:
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2023202220232022
AOCI from AFS securities:    
Unrealized gain on AFS securities at beginning of period$20,225 $41,856 $21,341 $46,833 
Unrealized (losses) on securities available-for-sale(6,805)(4,937)(7,921)(9,914)
Change in AOCI from AFS securities(6,805)(4,937)(7,921)(9,914)
Balance at end of period$13,420 $36,919 $13,420 $36,919 
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 and six months ended June 30, 2023 and 2022: 
 Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2023202220232022
Agency MBS
Coupon interest$4,471 $— 6,522 — 
Effective yield adjustment (1)(2)
(45)— (76)— 
Interest income$4,426 $— $6,446 $— 
Other MBS
Coupon interest$2,025 $1,055 $3,936 $1,950 
Effective yield adjustment (1)(2)
28 1,006 217 2,272 
Interest income$2,053 $2,061 $4,153 $4,222 
Term notes backed by MSR collateral
Coupon interest$2,100 $1,419 $4,063 $2,576 
Effective yield adjustment (2)
1,369 1,814 2,594 3,771 
Interest income$3,469 $3,233 $6,657 $6,347 

(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.
(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.