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

12 Months Ended

Dec. 31, 2024

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, 2024 and December 31, 2023:

(in thousands)
	December 31, 2024						December 31, 2023
	Par Value		Cost (1)		Fair Value		Par Value		Cost (1)		Fair Value
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	5,431,274	$	5,540,596	$	5,237,812	$	4,051,145	$	4,198,424	$	3,877,082
Total Pass-Through Certificates		5,431,274		5,540,596		5,237,812		4,051,145		4,198,424		3,877,082
Structured RMBS Certificates:
Interest-Only Securities (2)		n/a		17,334		15,308		n/a		19,839		16,572
Inverse Interest-Only Securities (3)		n/a		1,498		190		n/a		1,825		358
Total Structured RMBS Certificates		-		18,832		15,498		-		21,664		16,930
Total	$	5,431,274	$	5,559,428	$	5,253,310	$	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 $85.8 million and $98.6 million as of December 31, 2024 and 2023, respectively.
(3)	The notional balance for the inverse interest-only securities portfolio was $22.0 million and $26.8 million as of December 31, 2024 and 2023, respectively.

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, 2024, 2023 and 2022.

(in thousands)
	2024			2023			2022
Proceeds from sales of RMBS	$	454,272		$	797,633		$	2,759,919
Carrying value of RMBS sold		(458,874	)		(820,275	)		(2,893,614	)
Net loss on sales of RMBS	$	(4,602	)	$	(22,642	)	$	(133,695	)
Gross gain on sales of RMBS	$	510		$	-		$	2,705
Gross loss on sales of RMBS		(5,112	)		(22,642	)		(136,400	)
Net loss on sales of RMBS	$	(4,602	)	$	(22,642	)	$	(133,695	)

During the year ended December 31, 2024, the Company resecuritized RMBS with a fair value of $221.7 million by transferring the RMBS into a larger RMBS backed by the transferred RMBS. The Company retained the larger RMBS. No gain or loss was recorded on this resecuritization.