XML 54 R43.htm IDEA: XBRL DOCUMENT v3.22.1
Investments in RMBS, Assets by Maturity (Details)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2022
USD ($)
Security
Dec. 31, 2021
USD ($)
Security
RMBS, Assets by Maturity [Abstract]    
Carrying value $ 774,113 $ 953,496
RMBS [Member]    
RMBS, Assets by Maturity [Abstract]    
Original face value 1,100,572 1,257,086
Book value 811,003 945,851
Gross unrealized gains 1,052 14,536
Gross unrealized losses (37,942) (6,891)
Carrying value [1] $ 774,113 $ 953,496
Number of securities | Security 110 121
Weighted average coupon 3.09% 3.06%
Weighted average yield [2] 2.98% 2.93%
Weighted average maturity 28 years 28 years
RMBS [Member] | Over 10 Years [Member]    
RMBS, Assets by Maturity [Abstract]    
Original face value $ 1,100,572 $ 1,257,086
Book value 811,003 945,851
Gross unrealized gains 1,052 14,536
Gross unrealized losses (37,942) (6,891)
Carrying value [1],[3] $ 774,113 $ 953,496
Number of securities | Security 110 121
Weighted average coupon 3.09% 3.06%
Weighted average yield [2] 2.98% 2.93%
Weighted average maturity 28 years 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.