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

6 Months Ended

Jun. 30, 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 June 30, 2023 and December 31, 2022:

(in thousands)
	June 30, 2023		December 31, 2022
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	4,356,203	$	3,519,906
Total Pass-Through Certificates		4,356,203		3,519,906
Structured RMBS Certificates:
Interest-Only Securities		17,448		19,669
Inverse Interest-Only Securities		321		427
Total Structured RMBS Certificates		17,769		20,096
Total	$	4,373,972	$	3,540,002

As of June 30, 2023 and December 31, 2022, the Company held U.S. Treasury Notes with a fair value of approximately $37.2 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 six months ended June 30, 2023 and 2022.

	Six Months Ended June 30,
	2023		2022
Proceeds from sales of RMBS	$	-	$	1,934,606
Carrying value of RMBS sold		-		(2,001,135	)
Net loss on sales of RMBS	$	-	$	(66,529	)
Gross gain on sales of RMBS	$	-	$	2,705
Gross loss on sales of RMBS		-		(69,234	)
Net loss on sales of RMBS	$	-	$	(66,529	)