
(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	$	77,090	100.2	%	94.5	%	$	72,830	6	1.6	%
5.50% Coupon	282,748		100.4		96.8		273,796		8	8.6
6.00% Coupon	180,481		100.0		98.8		178,386		4	6.2
Total	$	540,319	100.3	%	97.2	%	$	525,012	6	6.8	%

At September 30, 2023 and December 31, 2022, the Company had $92.9 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 September 30, 2023, these term notes had an amortized cost of $90.4 million, gross unrealized gains of $2.6 million and gross unrealized losses of $135,000, a weighted average yield of 15.9% and a weighted average term to maturity of 0.04 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. The issuer of the notes had a one-time option to extend the maturity of the notes for an additional two years, subject to satisfaction of certain conditions, which was exercised in October 2023, bringing the weighted average term to maturity to 2.04 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. At September 30, 2023 and December 31, 2022, the Company had $83.1 million and $79.2 million, respectively, of CRT securities. 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 September 30, 2023, and December 31, 2022, the Company had $23.0 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	$	540,319	$	1,824	$	(508)	$	—	$	541,635	$	—	$	(16,623)	$	(16,623)	$	525,012
Other Securities (2)(3)(4)	213,672		22,015		(5,787)		(46,332)		183,568		16,474		(1,095)		15,379		198,947

Total residential mortgage securities (2)(3)(4)	$	753,991	$	23,839	$	(6,295)	$	(46,332)	$	725,203	$	16,474	$	(17,718)	$	(1,244)	$	723,959


(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 September 30, 2023 includes CRT securities with a fair value of $51.0 million for which the fair value option has been elected. Such securities had approximately $1.9 million gross unrealized gains and no gross unrealized losses at September 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 September 30, 2023 include Non-Agency MBS with a fair value of $23.0 million for which the fair value option had been elected. Such securities had approximately $111,000 gross unrealized gains and $960,000 gross unrealized losses at September 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.

During the nine months ended September 30, 2023, the Company did not sell any of its residential mortgage securities. 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.

Gross unrealized losses on the Company’s AFS securities (held at carrying value) at September 30, 2023 were $135,000. The Company has no plans to dispose of any securities that were in an unrealized loss position and has determined that such losses are not indicative of impairment for the securities.

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, 2023 and 2022.


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2023		2022		2023		2022
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	13,420	$	36,919	$	21,341	$	46,833
Unrealized gain/(loss) on securities available-for-sale	933		(5,851)		(6,988)		(15,765)


Change in AOCI from AFS securities	933		(5,851)		(6,988)		(15,765)
Balance at end of period	$	14,353	$	31,068	$	14,353	$	31,068


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2023		2022		2023		2022
Agency MBS
Coupon interest	$	6,353	$	—	12,874		—
Effective yield adjustment (1)(2)	(50)		—		(126)		—
Interest income	$	6,303	$	—	$	12,748	$	—











Other MBS
Coupon interest	$	2,082	$	1,308	$	6,019	$	3,258
Effective yield adjustment (1)(2)	(32)		699		185		2,971
Interest income	$	2,050	$	2,007	$	6,204	$	6,229

Term notes backed by MSR collateral
Coupon interest	$	2,216	$	2,015	$	6,279	$	4,591
Effective yield adjustment (2)	1,376		1,590		3,970		5,361
Interest income	$	3,592	$	3,605	$	10,249	$	9,952

(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.