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

12 Months Ended

Dec. 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 SECURITIES, AT FAIR VALUE

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

(in thousands)
	December 31, 2023						December 31, 2022
	Par Value		Cost (1)		Fair Value		Par Value		Cost (1)		Fair Value
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	4,051,145	$	4,198,424	$	3,877,082	$	3,848,367	$	4,088,165	$	3,519,906
Total Pass-Through Certificates		4,051,145		4,198,424		3,877,082		3,848,367		4,088,165		3,519,906
Structured RMBS Certificates:
Interest-Only Securities (2)		n/a		19,839		16,572		n/a		22,395		19,669
Inverse Interest-Only Securities (3)		n/a		1,825		358		n/a		2,147		427
Total Structured RMBS Certificates		-		21,664		16,930		-		24,542		20,096
Total	$	4,051,145	$	4,220,088	$	3,894,012	$	3,848,367	$	4,112,707	$	3,540,002

(1)	The cost information in the table above represents the aggregate current par value, multiplied by the purchase price of each security in the portfolio.
(2)	The notional balance for the interest-only securities portfolio was $98.6 million and $111.5 million as of December 31, 2023 and 2022, respectively.
(3)	The notional balance for the inverse interest-only securities portfolio was $26.8 million and $31.5 million as of December 31, 2023 and 2022, respectively.

As of December 31, 2022, the Company held U.S. Treasury securities with a fair value of approximately $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 mortgage-backed securities for the years ended December 31, 2023, 2022 and 2021.

(in thousands)
	2023			2022			2021
Proceeds from sales of RMBS	$	797,633		$	2,759,919		$	2,851,708
Carrying value of RMBS sold		(820,275	)		(2,893,614	)		(2,857,250	)
Net loss on sales of RMBS	$	(22,642	)	$	(133,695	)	$	(5,542	)
Gross gain on sales of RMBS	$	-		$	2,705		$	7,930
Gross loss on sales of RMBS		(22,642	)		(136,400	)		(13,472	)
Net loss on sales of RMBS	$	(22,642	)	$	(133,695	)	$	(5,542	)