XML 19 R9.htm IDEA: XBRL DOCUMENT

Mortgage-Backed Securities

6 Months Ended

Jun. 30, 2023

Investments, Debt and Equity Securities [Abstract]

The following tables present details of the Company's mortgage-backed securities portfolio at June 30, 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

June 30, 2023:


($ in thousands)			Unamortized Premium (Discount)				Gross Unrealized						Weighted Average
	Current Principal				Amortized Cost		Gains		Losses		Fair Value		Coupon(1)(2)	Yield	Life (Years)(3)
Agency RMBS:
15-year fixed-rate mortgages	$	32,920	$	187	$	33,107	$	10	$	(1,588)	$	31,529	3.45%	3.15%	3.21
20-year fixed-rate mortgages	11,040		667		11,707		—		(1,686)		10,021		3.16%	1.75%	6.30
30-year fixed-rate mortgages	880,519		(11,496)		869,023		913		(45,566)		824,370		3.93%	3.97%	7.60
Adjustable rate mortgages	7,282		794		8,076		—		(853)		7,223		4.06%	2.34%	4.44
Reverse mortgages	15,521		1,989		17,510		—		(1,625)		15,885		5.45%	2.65%	4.79
Interest only securities	n/a		n/a		6,913		640		(297)		7,256		3.02%	12.16%	6.36
Total Agency RMBS	947,282		(7,859)		946,336		1,563		(51,615)		896,284		3.93%	3.93%	7.35
Non-Agency RMBS:
Principal and interest securities	15,276		(2,674)		12,602		842		(431)		13,013		8.07%	8.88%	9.19
Interest only securities	n/a		n/a		9,065		2,352		—		11,417		0.22%	16.07%	9.12
Total Non-Agency RMBS	15,276		(2,674)		21,667		3,194		(431)		24,430		8.07%	11.89%	9.16
Total RMBS	$	962,558	$	(10,533)	$	968,003	$	4,757	$	(52,046)	$	920,714	4.00%	4.11%	7.39

(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)Total Agency RMBS, total Non-Agency RMBS, and total RMBS weighted average coupon excludes interest only securities.

(3)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)			Unamortized Premium (Discount)				Gross Unrealized						Weighted Average
	Current Principal				Amortized Cost		Gains		Losses		Fair Value		Coupon(1)(2)	Yield	Life (Years)(3)
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/a		n/a		9,212		581		(480)		9,313		3.89%	10.56%	6.63
Total Agency RMBS	926,290		12,539		948,041		1,897		(77,341)		872,597		3.63%	3.35%	7.99
Non-Agency RMBS:
Principal and interest securities	16,895		(4,481)		12,414		879		(727)		12,566		5.26%	6.65%	7.18
Interest only securities	n/a		n/a		6,289		1,849		—		8,138		0.24%	17.94%	9.58
Total Non-Agency RMBS	16,895		(4,481)		18,703		2,728		(727)		20,704		5.26%	10.45%	8.12
Total RMBS	$	943,185	$	8,058	$	966,744	$	4,625	$	(78,068)	$	893,301	3.66%	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)Conformed to current period presentation. Total Agency RMBS, total Non-Agency RMBS, and total RMBS weighted average coupon excludes interest only securities.

By Estimated Weighted Average Life

As of June 30, 2023:


($ in thousands)	Agency RMBS						Agency Interest Only Securities
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	32,861	$	33,912	4.43	%	$	476	$	585	4.09	%
Greater than three years and less than seven years	272,549		286,453		4.85	%	2,825		2,580		2.54	%
Greater than seven years and less than eleven years	583,522		618,955		3.51	%	3,955		3,748		3.54	%
Greater than eleven years	96		103		4.00	%	—		—		—	%
Total	$	889,028	$	939,423	3.93	%	$	7,256	$	6,913	3.02	%

(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.


($ in thousands)	Non-Agency RMBS						Non-Agency IOs
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	2,017	$	2,044	7.22	%	$	—	$	—	—	%
Greater than three years and less than seven years	524		351		5.21	%	—		—		—	%
Greater than seven years and less than eleven years	5,894		6,240		6.77	%	11,417		9,065		0.22	%
Greater than eleven years	4,578		3,967		11.04	%	—		—		—	%
Total	$	13,013	$	12,602	8.07	%	$	11,417	$	9,065	0.22	%

(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 RMBS						Agency Interest Only Securities
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	17,005	$	17,868	3.80	%	$	797	$	882	4.03	%
Greater than three years and less than seven years	204,858		221,291		4.10	%	3,937		3,827		4.13	%
Greater than seven years and less than eleven years	640,207		698,391		3.48	%	4,579		4,503		3.61	%
Greater than eleven years	1,214		1,279		4.50	%	—		—		—	%
Total	$	863,284	$	938,829	3.63	%	$	9,313	$	9,212	3.89	%

(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.


($ in thousands)	Non-Agency RMBS						Non-Agency IOs
Estimated Weighted Average Life(1)(2)	Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)
Less than three years	$	2,099	$	2,092	5.67	%	$	—	$	—	—	%
Greater than three years and less than seven years	1,889		1,763		4.67	%	—		—		—	%
Greater than seven years and less than eleven years	7,911		8,559		5.34	%	8,138		6,289		0.24	%
Greater than eleven years	667		—		4.71	%	—		—		—	%
Total	$	12,566	$	12,414	5.26	%	$	8,138	$	6,289	0.24	%

(1)Conformed to current period presentation.

(2)Average lives of RMBS are generally shorter than stated contractual maturities.

(3)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- and six-month period ended June 30, 2023 and 2022:


	Three-Month Period Ended June 30, 2023						Three-Month Period Ended June 30, 2022
($ in thousands)	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	9,587	$	(846)	$	8,741	$	8,990	$	(561)	$	8,429
Non-Agency RMBS	735		(130)		605		481		(57)		424
Total	$	10,322	$	(976)	$	9,346	$	9,471	$	(618)	$	8,853


	Six-Month Period Ended June 30, 2023						Six-Month Period Ended June 30, 2022
($ in thousands)	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	18,861	$	(1,930)	$	16,931	$	18,214	$	(3,579)	$	14,635
Non-Agency RMBS	1,394		(212)		1,182		903		(189)		714
Total	$	20,255	$	(2,142)	$	18,113	$	19,117	$	(3,768)	$	15,349

For the three-month periods ended June 30, 2023 and 2022, the Catch-up Premium Amortization Adjustment was $(0.4) million and $1.6 million, respectively. For the six-month periods ended June 30, 2023 and 2022, the Catch-up Premium Amortization Adjustment was $(0.7) million and $1.1 million, respectively.

At June 30, 2023, the Company had gross unrealized losses on RMBS of $(52.0) million, of which $(0.3) 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- and six-month periods ended June 30, 2023, the Company recognized realized losses on such securities of $(0.2) million and $(0.4) million, respectively. For each of the three- and six-month periods ended June 30, 2022, the Company recognized a realized loss of $(0.2) million and $(0.5) million. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.