Securities, at Fair Value (Tables)

9 Months Ended

Sep. 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 September 30, 2023:

September 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	$	77,090	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	%

(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 September 30, 2023 and December 31, 2022:

September 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	$	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

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 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.

Schedule of impact of AFS on AOCI

The following table presents the impact of the Company’s AFS securities (held at carrying value) on its AOCI 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

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 nine months ended September 30, 2023 and 2022: 

	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.

(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.