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Mortgage-Backed Securities
 3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities Mortgage-Backed Securities
The following tables present details of the Company's mortgage-backed securities portfolio at March 31, 2023 and December 31, 2022. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or government-sponsored enterprise, or "GSE." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk.
By RMBS Type
March 31, 2023:
($ in thousands)
Gross UnrealizedWeighted Average
Current PrincipalUnamortized Premium (Discount)
Amortized Cost
GainsLossesFair Value
Coupon(1)
Yield
Life
(Years)(2)
Agency RMBS:
15-year fixed-rate mortgages
$32,671 $350 $33,021 $156 $(1,229)$31,948 3.47%2.41%3.15
20-year fixed-rate mortgages
10,463 670 11,133 — (1,642)9,491 2.85%1.77%6.53
30-year fixed-rate mortgages
870,847 (2,922)867,925 3,482 (46,396)825,011 3.79%3.67%7.71
Adjustable rate mortgages
7,797 873 8,670 — (852)7,818 3.76%2.36%4.50
Reverse mortgages
16,222 2,105 18,327 — (1,664)16,663 4.18%2.70%4.92
Interest only securities
 n/a  n/a 9,438 617 (351)9,704 3.22%12.62%6.04
Total Agency RMBS 938,000 1,076 948,514 4,255 (52,134)900,635 3.73%3.66%7.44
Non-Agency RMBS:
Principal and interest securities18,801 (4,426)14,375 985 (636)14,724 6.13%7.30%7.15
Interest only securities
 n/a  n/a 8,099 2,076 (3)10,172 0.20%16.72%9.22
Total Non-Agency RMBS18,801 (4,426)22,474 3,061 (639)24,896 0.30%10.70%8.00
Total RMBS$956,801 $(3,350)$970,988 $7,316 $(52,773)$925,531 1.97%3.83%7.46
(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
(2)Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
December 31, 2022:
($ in thousands)
Gross UnrealizedWeighted Average
Current PrincipalUnamortized Premium (Discount)
Amortized Cost
Gains
LossesFair Value
Coupon(1)
Yield
Life
(Years)(2)
Agency RMBS:
15-year fixed-rate mortgages
$47,453 $1,446 $48,899 $— $(3,575)$45,324 3.23%2.31%3.71
20-year fixed-rate mortgages
10,812 696 11,508 — (1,817)9,691 2.84%1.77%6.72
30-year fixed-rate mortgages
841,823 7,345 849,168 1,316 (68,730)781,754 3.65%3.38%8.38
Adjustable rate mortgages
8,696 899 9,595 — (932)8,663 3.58%2.37%4.50
Reverse mortgages
17,506 2,153 19,659 — (1,807)17,852 4.06%2.73%4.70
Interest only securities
n/an/a9,212 581 (480)9,313 3.89%10.56%6.63
Total Agency RMBS926,290 12,539 948,041 1,897 (77,341)872,597 3.65%3.35%7.99
Non-Agency RMBS:
Principal and interest securities16,895 (4,481)12,414 879 (727)12,566 5.26%6.65%7.18
Interest only securities
n/an/a6,289 1,849 — 8,138 0.24%17.94%9.58
Total Non-Agency RMBS16,895 (4,481)18,703 2,728 (727)20,704 0.36%10.45%8.12
Total RMBS$943,185 $8,058 $966,744 $4,625 $(78,068)$893,301 2.26%3.49%7.99
(1)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
(2)Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
By Estimated Weighted Average Life
As of March 31, 2023
($ in thousands)
Agency RMBSAgency Interest Only SecuritiesNon-Agency RMBS
Estimated Weighted Average Life(1)
Fair
Value		Amortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$22,174 $22,606 3.61 %$852 $989 4.07 %$3,070 $3,020 6.67 %
Greater than three years and less than seven years294,032 305,961 4.61 %5,077 4,887 2.97 %1,994 1,728 5.02 %
Greater than seven years and less than eleven years574,725 610,509 3.39 %3,775 3,562 3.55 %18,270 16,728 0.25 %
Greater than eleven years— — — %— — — %1,562 998 8.50 %
Total$890,931 $939,076 3.78 %$9,704 $9,438 3.22 %$24,896 $22,474 0.30 %
(1)Average lives of RMBS are generally shorter than stated contractual maturities.
(2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
As of December 31, 2022:
($ in thousands)
Agency RMBSAgency Interest Only SecuritiesNon-Agency RMBS
Estimated Weighted Average Life(1)
Fair
Value		Amortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$17,005 $17,868 3.80 %$797 $882 4.03 %$2,099 $2,092 5.67 %
Greater than three years and less than seven years204,858 221,291 4.10 %3,937 3,827 4.13 %1,889 1,763 4.67 %
Greater than seven years and less than eleven years640,207 698,391 3.48 %4,579 4,503 3.61 %16,049 14,848 0.32 %
Greater than eleven years1,214 1,279 4.50 %— — — %667 — 4.71 %
Total$863,284 $938,829 3.63 %$9,313 $9,212 3.89 %$20,704 $18,703 0.36 %
(1)Average lives of RMBS are generally shorter than stated contractual maturities.
(2)Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral.
The following tables reflect the components of interest income on the Company's RMBS for the three-month period ended March 31, 2023 and 2022:
Three-Month Period Ended
March 31, 2023		Three-Month Period Ended
March 31, 2022
($ in thousands)
Coupon
Interest		Net AmortizationInterest
Income		Coupon
Interest		Net AmortizationInterest
Income
Agency RMBS$9,274 $(1,084)$8,190 $9,224 $(3,018)$6,206 
Non-Agency RMBS659 (82)577 422 (132)290 
Total$9,933 $(1,166)$8,767 $9,646 $(3,150)$6,496 
For the three-month periods ended March 31, 2023 and 2022, the Catch-up Premium Amortization Adjustment was $(0.3) million and $(0.5) million, respectively.
At March 31, 2023, the Company had gross unrealized losses on RMBS of $(52.8) million, of which $(0.2) million relates primarily to adverse changes in estimated future cash flows on Agency IOs. At December 31, 2022, the Company had gross unrealized losses on RMBS of $(78.1) million, of which $(0.2) million relates primarily to adverse changes in estimated future cash flows on Agency IOs, primarily resulting from an increase in expected prepayments.
The Company determined for certain securities that a portion of such securities' cost basis is not collectible; for the three-month periods ended March 31, 2023 and 2022, the Company recognized realized losses on such securities of $(0.2) million and $(0.3) million, respectively. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.