Note 2 - Mortgage-backed Securities and U.S. Treasury Notes

3 Months Ended

Mar. 31, 2023

Notes to Financial Statements

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

NOTE 2. MORTGAGE-BACKED SECURITIES AND U.S. TREASURY NOTES

The following table presents the Company’s RMBS portfolio as of March 31, 2023 and December 31, 2022:

(in thousands)
	March 31, 2023		December 31, 2022
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	3,980,462	$	3,519,906
Total Pass-Through Certificates		3,980,462		3,519,906
Structured RMBS Certificates:
Interest-Only Securities		18,962		19,669
Inverse Interest-Only Securities		482		427
Total Structured RMBS Certificates		19,444		20,096
Total	$	3,999,906	$	3,540,002

As of March 31, 2023 and December 31, 2022, the Company held U.S. Treasury Notes with a fair value of approximately $36.8 million and $36.4 million, respectively, primarily to satisfy collateral requirements of one of its derivative counterparties.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the three months ended March 31, 2023 and 2022.

	Three Months Ended March 31,
	2023		2022
Proceeds from sales of RMBS	$	-	$	1,413,039
Carrying value of RMBS sold		-		(1,464,125	)
Net loss on sales of RMBS	$	-	$	(51,086	)
Gross gain on sales of RMBS	$	-	$	709
Gross loss on sales of RMBS		-		(51,795	)
Net loss on sales of RMBS	$	-	$	(51,086	)