XML 57 R46.htm IDEA: XBRL DOCUMENT v3.24.3
Investments in RMBS, Unrealized Loss Positions (Details)
$ in Thousands
9 Months Ended 12 Months Ended
Sep. 30, 2024
USD ($)
Security
Dec. 31, 2023
USD ($)
Security
RMBS, Unrealized Loss Positions [Abstract]    
Carrying value $ 1,214,123 $ 1,012,130
RMBS [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value 1,332,600 1,097,720
Book value 1,188,458 1,004,803
Gross unrealized losses (2,475) (8,839)
Carrying value [1] $ 1,214,123 $ 1,012,130
Number of securities | Security 98 80
Weighted average coupon 4.81% 4.64%
Weighted average yield [2] 4.93% 4.77%
Weighted average maturity 28 years 28 years
RMBS [Member] | Unrealized Loss Positions [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value $ 116,799 $ 290,139
Book value 95,566 257,666
Gross unrealized losses (1,962) (6,472)
Carrying value [1] $ 93,604 $ 251,194
Number of securities | Security 8 20
Weighted average coupon 3.68% 4.14%
Weighted average yield [2] 3.80% 4.21%
Weighted average maturity 27 years 28 years
RMBS [Member] | Less than Twelve Months [Member] | Unrealized Loss Positions [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value   $ 126,949
Book value   109,425
Gross unrealized losses   (813)
Carrying value [1],[3]   $ 108,612
Number of securities | Security   8
Weighted average coupon   4.23%
Weighted average yield [2]   4.35%
Weighted average maturity   28 years
RMBS [Member] | Twelve or More Months [Member] | Unrealized Loss Positions [Member]    
RMBS, Unrealized Loss Positions [Abstract]    
Original face value $ 116,799 $ 163,190
Book value 95,566 148,241
Gross unrealized losses (1,962) (5,659)
Carrying value [1],[3] $ 93,604 $ 142,582
Number of securities | Security 8 12
Weighted average coupon 3.68% 4.08%
Weighted average yield [2] 3.80% 4.10%
Weighted average maturity 27 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.