Note 2 - Mortgage-backed Securities, At Fair Value

9 Months Ended

Sep. 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 September 30, 2024 and December 31, 2023:

(in thousands)
	September 30, 2024						December 31, 2023
	Par Value		Cost(1)		Fair Value		Par Value		Cost(1)		Fair Value
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	5,487,831	$	5,613,352	$	5,427,069	$	4,051,145	$	4,198,424	$	3,877,082
Total Pass-Through Certificates		5,487,831		5,613,352		5,427,069		4,051,145		4,198,424		3,877,082
Structured RMBS Certificates:
Interest-Only Securities(2)		n/a		17,922		15,382		n/a		19,839		16,572
Inverse Interest-Only Securities(3)		n/a		1,598		353		n/a		1,825		358
Total Structured RMBS Certificates				19,520		15,735				21,664		16,930
Total	$	5,487,831	$	5,632,872	$	5,442,804	$	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 $88.8 million and $98.6 million as of September 30, 2024 and December 31, 2023, respectively.

(3) The notional balance for the inverse interest-only securities portfolio was $23.4 million and $26.8 million as of September 30, 2024 and December 31, 2023, respectively.

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, 2024 and 2023.

(in thousands)
	Nine Months Ended September 30,
	2024			2023
Proceeds from sales of RMBS (1)	$	288,242		$	-
Carrying value of RMBS sold		(287,732	)		-
Net gain on sales of RMBS	$	510		$	-
Gross gain on sales of RMBS	$	510		$	-
Gross loss on sales of RMBS		-			-
Net gain on sales of RMBS	$	510		$	-

(1) During the nine months ended  September 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.