
(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	$	76,360	100.2	%	99.1	%	$	75,650	9	2.4	%
5.50% Coupon	277,885		100.4		100.7		279,851		11	5.2
6.00% Coupon	177,842		100.0		101.7		180,841		7	4.2
6.50% Coupon	22,213		100.1		102.7		22,802		4	1.4
Total	$	554,300	100.3	%	100.9	%	$	559,144	9	4.3	%

At December 31, 2023 and 2022, the Company had $79.9 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 December 31, 2023, these term notes had an amortized cost of $74.2 million, gross unrealized gains of approximately $5.7 million, a weighted average yield of 17% and a weighted average term to maturity of 1.84 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. The coupon stepped up by 0.75% at the time of the extension.

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 December 31, 2023 and December 31, 2022, the Company had $83.2 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 December 31, 2023, and December 31, 2022, the Company had $23.8 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	$	554,300	$	1,824	$	(500)	$	—	$	555,624	$	4,355	$	(835)	$	3,520	$	559,144
Other Securities (2)(3)(4)	193,102		19,686		(5,637)		(40,514)		166,637		20,437		(128)		20,309		186,946
Total residential mortgage securities (2)(3)(4)	$	747,402	$	21,510	$	(6,137)	$	(40,514)	$	722,261	$	24,792	$	(963)	$	23,829	$	746,090


(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 December 31, 2023 include CRT securities with a fair value of $51.2 million for which the fair value option has been elected. Such securities had approximately $2.3 million gross unrealized gains and no gross unrealized losses at December 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 December 31, 2023 include Non-Agency MBS with a fair value of $23.8 million for which the fair value option has been elected. Such securities had $474,000 gross unrealized gains and $128,000 gross unrealized losses at December 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 year ended December 31, 2023, the Company sold MSR securities for approximately $18.2 million, realizing gains of $908,000. During the year ended December 31, 2022, the Company sold CRT securities for approximately $15.7 million, realizing gains of $84,000. The Company did not sell any of its residential mortgage securities during the year ended December 31, 2021.

The following table present the components of Impairment and other net gain/(loss) on securities and other portfolio investments for the years ended December 31, 2023, 2022 and 2021, which is presented in Other Income/(Loss), net in the consolidated statements of operations:


	For the Year Ended December 31,
(In Thousands)	2023		2022		2021
Net unrealized gain/(loss) on securities	$	7,341	$	(3,230)	$	1,607
Net realized gain from the sale of securities	908		84		—

Total Impairment and other net gain/(loss) on securities	$	8,249	$	(3,146)	$	1,607

Net unrealized gain/(loss) on other portfolio investments	$	6,180	$	(21,921)	$	—
Net realized loss on other portfolio investments	(5,869)		—		—
Reversal of impairment/(impairment) other portfolio investments (1)	(2,335)		—		33,956
Gain on investment in Lima One common equity	—		—		38,933
Total Impairment and other net gain/(loss) on securities and other portfolio investments	$	6,225	$	(25,067)	$	74,496

(1)Includes impairment in 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.


	For the Year Ended December 31,
(In Thousands)	2023		2022		2021
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	21,341	$	46,833	$	79,607
Unrealized gains/(losses) on securities available-for-sale	(2,873)		(25,492)		(32,774)
Reclassification adjustment for MBS sales included in net income	(770)		—		—

Change in AOCI from AFS securities	(3,643)		(25,492)		(32,774)
Balance at end of period	$	17,698	$	21,341	$	46,833


	For the Year Ended December 31,
(In Thousands)	2023		2022		2021
Agency MBS
Coupon interest	$	20,676	$	—	$	—
Effective yield adjustment (1)(2)	(146)		—		—
Interest income	$	20,529	$	—	$	—

Other MBS
Coupon interest	$	8,128	$	4,793	$	4,076
Effective yield adjustment (1)(2)(3)	191		3,143		13,265
Interest income	$	8,319	$	7,936	$	17,341

Term notes backed by MSR collateral
Coupon interest	$	8,423	$	6,610	$	7,462
Effective yield adjustment (2)(4)	$	5,104	$	14,374	$	31,887
Interest income	$	13,527	$	20,984	$	39,349

(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.

(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.