Note 2 - Mortgage-backed Securities, At Fair Value

6 Months Ended

Jun. 30, 2024

Notes to Financial Statements

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

NOTE 2. MORTGAGE-BACKED SECURITIES, AT FAIR VALUE

The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of June 30, 2024 and December 31, 2023:

(in thousands)
	June 30, 2024						December 31, 2023
	Par Value		Cost(1)		Fair Value		Par Value		Cost(1)		Fair Value
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	4,753,603	$	4,860,307	$	4,509,084	$	4,051,145	$	4,198,424	$	3,877,082
Total Pass-Through Certificates		4,753,603		4,860,307		4,509,084		4,051,145		4,198,424		3,877,082
Structured RMBS Certificates:
Interest-Only Securities(2)		n/a		18,568		16,447		n/a		19,839		16,572
Inverse Interest-Only Securities(3)		n/a		1,707		224		n/a		1,825		358
Total Structured RMBS Certificates				20,275		16,671				21,664		16,930
Total	$	4,753,603	$	4,880,582	$	4,525,755	$	4,051,145	$	4,220,088	$	3,894,012

(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 $92.0 million and $98.6 million as of June 30, 2024 and December 31, 2023, respectively.

(3) The notional balance for the inverse interest-only securities portfolio was $25.0 million and $26.8 million as of June 30, 2024 and December 31, 2023, respectively.

During the six months ended  June 30, 2024, the Company resecuritized RMBS with a fair value of $221.7 million by transferring the RMBS into a larger RMBS that is backed by the transferred RMBS. The Company retained the entire larger RMBS. No gain or loss was recorded on this resecuritization. There were no sales of RMBS during the three months ended June 30, 2024, or the three and six months ended June 30, 2023.