Note 2 - Mortgage-backed Securities and U.S. Treasury Securities, At Fair Value

9 Months Ended

Sep. 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 SECURITIES, AT FAIR VALUE

The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of September 30, 2023 and December 31, 2022:

(in thousands)
	September 30, 2023		December 31, 2022
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	4,502,115	$	3,519,906
Total Pass-Through Certificates		4,502,115		3,519,906
Structured RMBS Certificates:
Interest-Only Securities		17,833		19,669
Inverse Interest-Only Securities		277		427
Total Structured RMBS Certificates		18,110		20,096
Total	$	4,520,225	$	3,540,002

As of December 31, 2022, the Company held U.S. Treasury securities with a fair value of $36.4 million, that were accounted for under the fair value option.  U.S. Treasury securities are held primarily to satisfy collateral requirements of its repurchase and derivative counterparties.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the nine months ended September 30, 2023 and 2022.

(in thousands)
	Nine Months Ended September 30,
	2023		2022
Proceeds from sales of RMBS	$	-	$	2,731,497
Carrying value of RMBS sold		-		(2,864,169	)
Net loss on sales of RMBS	$	-	$	(132,672	)
Gross gain on sales of RMBS	$	-	$	2,705
Gross loss on sales of RMBS		-		(135,377	)
Net loss on sales of RMBS	$	-	$	(132,672	)