XML 32 R8.htm IDEA: XBRL DOCUMENT v3.22.0.1
MORTGAGE-BACKED SECURITIES
 12 Months Ended
Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities
NOTE 2.
 
MORTGAGE-BACKED SECURITIES AND U.S. TREASURY NOTES
The following
 
table presents
 
the Company’s
 
RMBS portfolio
 
as of December
 
31, 2021
 
and December
 
31, 2020:
(in thousands)
December 31, 2021
December 31, 2020
Pass-Through RMBS Certificates:
Fixed-rate Mortgages
 
$
6,298,189
$
3,560,746
Fixed-rate CMOs
-
137,453
Total Pass-Through
 
Certificates
6,298,189
3,698,199
Structured RMBS Certificates:
Interest-Only Securities
210,382
28,696
Inverse Interest-Only Securities
2,524
-
Total Structured
 
RMBS Certificates
212,906
28,696
Total
$
6,511,095
$
3,726,895
As of December
 
31, 2021,
 
the Company
 
held U.S.
 
Treasury Notes
 
with a fair
 
value of approximately
 
$37.2 million,
 
primarily
 
to satisfy
collateral
 
requirements
 
of one of
 
its derivative
 
counterparties.
 
The Company
 
did not hold
 
any U.S.
 
Treasury Notes
 
as of December
 
31,
2020.
The following
 
table is a
 
summary of
 
our net gain
 
(loss) from
 
the sale of
 
mortgage-backed
 
securities
 
for the years
 
ended December
 
31,
2021, 2020
 
and 2019.
(in thousands)
2021
2020
2019
Total
Total
Total
Carrying value of RMBS sold
$
2,857,250
$
4,225,522
$
3,332,083
Proceeds from sales of RMBS
2,851,708
4,200,536
3,321,206
Net (loss) gain on sales of RMBS
$
(5,542)
$
(24,986)
$
(10,877)
Gross gain on sales of RMBS
$
7,930
$
8,678
$
2,177
Gross loss on sales of RMBS
(13,472)
(33,664)
(13,054)
Net gain (loss) on sales of RMBS
$
(5,542)
$
(24,986)
$
(10,877)