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Investments in RMBS, Unrealized Loss Positions (Details)
$ in Thousands
6 Months Ended 12 Months Ended
Jun. 30, 2021
USD ($)
Security
Dec. 31, 2020
USD ($)
Security
RMBS, Unrealized Loss Positions [Abstract]    
Carrying value $ 998,799 $ 1,228,251
RMBS [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value 1,225,005 1,411,705
Book value 984,441 1,192,539
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
RMBS [Member] | Unrealized Loss Positions [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value $ 437,608 $ 55,656
Book value 435,577 57,945
Gross unrealized losses (3,823) (121)
Carrying value [1] $ 431,754 $ 57,824
Number of securities | Security 39 4
Weighted average coupon 2.75% 3.00%
Weighted average yield [2] 2.60% 2.82%
Weighted average maturity 29 years 29 years
RMBS [Member] | Less than Twelve Months [Member] | Unrealized Loss Positions [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value $ 437,608 $ 55,656
Book value 435,577 57,945
Gross unrealized losses (3,823) (121)
Carrying value [1],[3] $ 431,754 $ 57,824
Number of securities | Security 39 4
Weighted average coupon 2.75% 3.00%
Weighted average yield [2] 2.60% 2.82%
Weighted average maturity 29 years 29 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. The Company’s private label RMBS are rated investment grade or better by at least one NRSRO as of December 31, 2020.