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

9 Months Ended

Sep. 30, 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 September 30, 2025 and December 31, 2024:

(in thousands)
		*September 30, 2025*												*December 31, 2024*
		*Par Value*				Cost⁽¹⁾				*Fair Value*				*Par Value*				Cost⁽¹⁾				*Fair Value*
Pass-Through RMBS Certificates:
Fixed-rate Mortgages		$	8,253,714			$	8,421,372			$	8,341,899			$	5,431,274			$	5,540,596			$	5,237,812
Total Pass-Through Certificates			8,253,714				8,421,372				8,341,899				5,431,274				5,540,596				5,237,812
Structured RMBS Certificates:
Interest-Only Securities⁽²⁾			n/a				15,868				13,975				n/a				17,334				15,308
Inverse Interest-Only Securities⁽³⁾			n/a				1,254				206				n/a				1,498				190
Total Structured RMBS Certificates							17,122				14,181								18,832				15,498
Total		$	8,253,714			$	8,438,494			$	8,356,080			$	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 $78.4 million and $85.8 million as of September 30, 2025 and December 31, 2024, respectively.

(3)	The notional balance for the inverse interest-only securities portfolio was $18.4 million and $22.0 million as of September 30, 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 nine months ended September 30, 2025 and 2024.

(in thousands)
		*Nine Months Ended September 30,*
		*2025*				*2024*
Proceeds from sales of RMBS⁽¹⁾		$	733,904			$	288,242
Carrying value of RMBS sold			(743,192	)			(287,732	)
Net (loss) gain on sales of RMBS		$	(9,288	)		$	510

Gross gain on sales of RMBS		$	-			$	510
Gross loss on sales of RMBS			(9,288	)			-
Net (loss) gain on sales of RMBS		$	(9,288	)		$	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.