Investments in RMBS (Tables)

12 Months Ended

Dec. 31, 2023

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 December 31, 2023

					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, available-for-sale, measured at fair value through OCI
Fannie Mae	$	211,773	$	187,746	$	2,970	$	(1,607	)	$	189,109		15	(B)		4.55	%		4.70	%		28
Freddie Mac		262,695		235,260		1,075		(4,865	)		231,470		19	(B)		4.45	%		4.50	%		28
RMBS, measured at fair value through earnings
Fannie Mae		221,965		208,487		4,606		(1,076	)		212,017		17	(B)		4.78	%		4.94	%		28
Freddie Mac		401,287		373,310		7,515		(1,291	)		379,534		29	(B)		4.72	%		4.88	%		29
Total/weighted average RMBS	$	1,097,720	$	1,004,803	$	16,166	$	(8,839	)	$	1,012,130		80			4.64	%		4.77	%		28

As of December 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, available-for-sale, measured at fair value through OCI
Fannie Mae	$	550,740	$	497,038	$	2,843	$	(16,484	)	$	483,397		45	(B)		4.27	%		4.34	%		29
Freddie Mac		500,873		463,380		1,384		(16,730	)		448,034		38	(B)		4.18	%		4.24	%		29
Total/weighted average RMBS	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83			4.23	%		4.29	%		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.

Summary of RMBS Investments by Maturity

Summary of RMBS Assets by Maturity

As of December 31, 2023

					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)
RMBS, available-for-sale, measured at fair value through OCI
Over 10 Years	$	474,467	$	423,007	$	4,045	$	(6,472	)	$	420,579		34	(B)		4.49	%		4.59	%		28
RMBS, measured at fair value through earnings
Over 10 Years		623,253		581,796		12,121		(2,367	)		591,551		46	(B)		4.74	%		4.90	%		28
Total/weighted average RMBS	$	1,097,720	$	1,004,803	$	16,166	$	(8,839	)	$	1,012,130		80			4.64	%		4.77	%		28

As of December 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)
RMBS, available-for-sale, measured at fair value through OCI
Over 10 Years	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83	(B)		4.23	%		4.29	%		29
Total/weighted average RMBS	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83			4.23	%		4.29	%		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.

Summary of RMBS Securities in an Unrealized Loss Position

The following tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands):

Available-For-Sale RMBS Unrealized Loss Positions

As of December 31, 2023

												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)
RMBS, available-for-sale, measured at fair value through OCI
Less than Twelve Months	$	126,949	$	109,425	$	(813	)	$	108,612		8	(B)		4.23	%		4.35	%		28
Twelve or More Months		163,190		148,241		(5,659	)		142,582		12	(B)		4.08	%		4.10	%		28
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI	$	290,139	$	257,666	$	(6,472	)	$	251,194		20			4.14	%		4.21	%		28

As of December 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)
RMBS, available-for-sale, measured at fair value through OCI
Less than Twelve Months	$	848,768	$	767,412	$	(33,214	)	$	734,198		67	(B)		4.06	%		4.10	%		29
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI	$	848,768	$	767,412	$	(33,214	)	$	734,198		67			4.06	%		4.10	%		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.