XML 54 R42.htm IDEA: XBRL DOCUMENT v3.21.2
Investments in RMBS (Details)
$ in Thousands
6 Months Ended 12 Months Ended
Jun. 30, 2021
USD ($)
Security
Dec. 31, 2020
USD ($)
Security
Residential Mortgage-Backed Securities [Abstract]    
Carrying value $ 998,799 $ 1,228,251
Carrying value of collateral for repurchase agreements 933,100 1,164,416
RMBS [Member]    
Residential Mortgage-Backed Securities [Abstract]    
Original face value 1,225,005 1,411,705
Book value 984,441 1,192,539
Gross unrealized gains 18,181 35,833
Gross unrealized losses (3,823) (121)
Carrying value [1] $ 998,799 $ 1,228,251
Number of securities | Security 119 135
Weighted average coupon 3.07% 3.18%
Weighted average yield [2] 2.94% 3.05%
Weighted average maturity 28 years 28 years
Carrying value of collateral for repurchase agreements $ 933,100 $ 1,164,400
RMBS [Member] | Fannie Mae [Member]    
Residential Mortgage-Backed Securities [Abstract]    
Original face value 776,856 840,175
Book value 606,853 692,665
Gross unrealized gains 11,739 22,530
Gross unrealized losses (1,548) (39)
Carrying value [1],[3] $ 617,044 $ 715,156
Number of securities | Security 76 81
Weighted average coupon 3.13% 3.31%
Weighted average yield [2] 2.99% 3.17%
Weighted average maturity 28 years 28 years
RMBS [Member] | Freddie Mac [Member]    
Residential Mortgage-Backed Securities [Abstract]    
Original face value $ 448,149 $ 549,530
Book value 377,588 493,930
Gross unrealized gains 6,442 13,106
Gross unrealized losses (2,275) (82)
Carrying value [1],[3] $ 381,755 $ 506,954
Number of securities | Security 43 49
Weighted average coupon 2.98% 2.99%
Weighted average yield [2] 2.85% 2.87%
Weighted average maturity 28 years 28 years
RMBS [Member] | Private Label MBS [Member]    
Residential Mortgage-Backed Securities [Abstract]    
Original face value   $ 22,000
Book value   5,944
Gross unrealized gains   197
Gross unrealized losses   0
Carrying value [1],[3]   $ 6,141
Number of securities | Security   5
Weighted average coupon   4.08%
Weighted average yield [2]   4.08%
Weighted average maturity   28 years
[1] See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2] 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.
[3] 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.