MORTGAGE-BACKED SECURITIES

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021:

(in thousands)

June 30, 2022

December 31, 2021

Pass-Through RMBS Certificates:

Fixed-rate Mortgages 

$

3,766,151

$

6,298,189

Total Pass-Through Certificates

3,766,151

6,298,189

Structured RMBS Certificates:

Interest-Only Securities

173,754

210,382

Inverse Interest-Only Securities

955

2,524

Total Structured RMBS Certificates

174,709

212,906

Total

$

3,940,860

$

6,511,095

As of June 30, 2022 and December 31, 2021, the Company held U.S. Treasury Notes with a fair value of approximately $

36.3

 million

and $

37.2

 million, respectively, primarily to satisfy collateral requirements of one of its derivative counterparties.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the six months ended June 30, 2022

and 2021.

Six Months Ended June 30,

2022

2021

Proceeds from sales of RMBS

$

1,934,606

$

1,680,903

Carrying value of RMBS sold

(2,001,135)

(1,686,948)

Net (loss) gain on sales of RMBS

$

(66,529)

$

(6,045)

Gross gain on sales of RMBS

$

2,705

$

4,890

Gross loss on sales of RMBS

(69,234)

(10,935)

Net (loss) gain on sales of RMBS

$

(66,529)

$

(6,045)