Investments in RMBS (Tables)

6 Months Ended

Jun. 30, 2021

Investments in RMBS [Abstract]

Summary of RMBS Investments

The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in thousands):

Summary of RMBS Assets

As of June 30, 2021

					Gross Unrealized										Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value(A)		Number of Securities		Rating	Coupon			Yield(C)			Maturity (Years)(D)
RMBS
Fannie Mae	$	776,856	$	606,853	$	11,739	$	(1,548	)	$	617,044		76	(B)		3.13	%		2.99	%		28
Freddie Mac		448,149		377,588		6,442		(2,275	)		381,755		43	(B)		2.98	%		2.85	%		28
Total/Weighted Average	$	1,225,005	$	984,441	$	18,181	$	(3,823	)	$	998,799		119			3.07	%		2.94	%		28

As of December 31, 2020

					Gross Unrealized										Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value(A)		Number of Securities		Rating	Coupon			Yield(C)			Maturity (Years)
RMBS
Fannie Mae	$	840,175	$	692,665	$	22,530	$	(39	)	$	715,156		81	(B)		3.31	%		3.17	%		28
Freddie Mac		549,530		493,930		13,106		(82	)		506,954		49	(B)		2.99	%		2.87	%		28
Private Label MBS		22,000		5,944		197		-			6,141		5	(B)		4.08	%		4.08	%		28
Total/Weighted Average	$	1,411,705	$	1,192,539	$	35,833	$	(121	)	$	1,228,251		135			3.18	%		3.05	%		28

(A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B) The Company used an implied AAA rating for the Agency RMBS. Private label RMBS are rated investment grade or better by at least one NRSRO as of December 31, 2020.

(C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Summary of RMBS Investments by Maturity

Summary of RMBS Assets by Maturity

As of June 30, 2021

					Gross Unrealized										Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value(A)		Number of Securities		Rating	Coupon			Yield(C)			Maturity (Years)(D)
Over 10 Years		1,225,005		984,441		18,181		(3,823	)		998,799		119	(B)		3.07	%		2.94	%		28
Total/Weighted Average	$	1,225,005	$	984,441	$	18,181	$	(3,823	)	$	998,799		119			3.07	%		2.94	%		28

As of December 31, 2020

					Gross Unrealized										Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value(A)		Number of Securities		Rating	Coupon			Yield(C)			Maturity (Years)
Over 10 Years		1,411,705		1,192,539		35,833		(121	)		1,228,251		135	(B)		3.18	%		3.05	%		28
Total/Weighted Average	$	1,411,705	$	1,192,539	$	35,833	$	(121	)	$	1,228,251		135			3.18	%		3.05	%		28

(A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B) The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS are rated investment grade or better by at least one NRSRO as of December 31, 2020.

(C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Summary of RMBS Securities in an Unrealized Loss Position

The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):

RMBS Unrealized Loss Positions

As of June 30, 2021

													Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value(A)		Number of Securities		Rating	Coupon			Yield(C)			Maturity (Years)(D)
Less than Twelve Months	$	437,608	$	435,577	$	(3,823	)	$	431,754		39	(B)		2.75	%		2.60	%		29
Total/Weighted Average	$	437,608	$	435,577	$	(3,823	)	$	431,754		39			2.75	%		2.60	%		29

As of December 31, 2020

													Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value(A)		Number of Securities		Rating	Coupon			Yield(C)			Maturity (Years)
Less than Twelve Months	$	55,656	$	57,945	$	(121	)	$	57,824		4	(B)		3.00	%		2.82	%		29
Total/Weighted Average	$	55,656	$	57,945	$	(121	)	$	57,824		4			3.00	%		2.82	%		29

(A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B) The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS are rated investment grade or better by at least one NRSRO as of December 31, 2020.

(C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.