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

3 Months Ended

Mar. 31, 2025

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 March 31, 2025 and December 31, 2024:

(in thousands)
	March 31, 2025						December 31, 2024
	Par Value		Cost(1)		Fair Value		Par Value		Cost(1)		Fair Value
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	6,768,926	$	6,899,413	$	6,723,011	$	5,431,274	$	5,540,596	$	5,237,812
Total Pass-Through Certificates		6,768,926		6,899,413		6,723,011		5,431,274		5,540,596		5,237,812
Structured RMBS Certificates:
Interest-Only Securities(2)		n/a		16,846		14,850		n/a		17,334		15,308
Inverse Interest-Only Securities(3)		n/a		1,455		233		n/a		1,498		190
Total Structured RMBS Certificates				18,301		15,083				18,832		15,498
Total	$	6,768,926	$	6,917,714	$	6,738,094	$	5,431,274	$	5,559,428	$	5,253,310

(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 $83.4 million and $85.8 million as of March 31, 2025 and December 31, 2024, respectively.

(3) The notional balance for the inverse interest-only securities portfolio was $21.3 million and $22.0 million as of March 31, 2025 and December 31, 2024, respectively.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the three months ended March 31, 2025 and 2024.

(in thousands)
	Three Months Ended March 31,
	2025			2024
Proceeds from sales of RMBS (1)	$	168,634		$	221,733
Carrying value of RMBS sold		(169,932	)		(221,733	)
Net (loss) gain on sales of RMBS	$	(1,298	)	$	-
Gross gain on sales of RMBS	$	-		$	-
Gross loss on sales of RMBS		(1,298	)		-
Net (loss) gain on sales of RMBS	$	(1,298	)	$	-

(1) During the three months ended  March 31, 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.