Investments in RMBS (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022

					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	$	678,445	$	476,781	$	669	$	(22,459	)	$	454,991		68	(B)		3.10	%		2.99	%		27
Freddie Mac		422,127		334,222		383		(15,483	)		319,122		42	(B)		3.08	%		2.97	%		28
Total/Weighted Average	$	1,100,572	$	811,003	$	1,052	$	(37,942	)	$	774,113		110			3.09	%		2.98	%		28

As of December 31, 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)
RMBS
Fannie Mae	$	772,607	$	554,151	$	9,276	$	(3,650	)	$	559,777		76	(B)		3.09	%		2.96	%		27
Freddie Mac		484,479		391,700		5,260		(3,241	)		393,719		45	(B)		3.02	%		2.89	%		28
Total/Weighted Average	$	1,257,086	$	945,851	$	14,536	$	(6,891	)	$	953,496		121			3.06	%		2.93	%		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.

(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 March 31, 2022

					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	$	1,100,572	$	811,003	$	1,052	$	(37,942	)	$	774,113		110	(B)		3.09	%		2.98	%		28
Total/Weighted Average	$	1,100,572	$	811,003	$	1,052	$	(37,942	)	$	774,113		110			3.09	%		2.98	%		28

As of December 31, 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)
Over 10 Years	$	1,257,086	$	945,851	$	14,536	$	(6,891	)	$	953,496		121	(B)		3.06	%		2.93	%		28
Total/Weighted Average	$	1,257,086	$	945,851	$	14,536	$	(6,891	)	$	953,496		121			3.06	%		2.93	%		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.

(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 March 31, 2022

													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	$	833,308	$	704,077	$	(37,942	)	$	666,135		78	(B)		2.97	%		2.85	%		28
Total/Weighted Average	$	833,308	$	704,077	$	(37,942	)	$	666,135		78			2.97	%		2.85	%		28

As of December 31, 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)
Less than Twelve Months	$	612,547	$	611,306	$	(6,783	)	$	604,523		56	(B)		2.76	%		2.62	%		29
Twelve or More Months		6,629		6,022		(108	)		5,914		1	(B)		3.00	%		2.83	%		28
Total/Weighted Average	$	619,176	$	617,328	$	(6,891	)	$	610,437		57			2.77	%		2.62	%		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.

(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.