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Residential Mortgage Loans (Tables)

3 Months Ended

Mar. 31, 2025

Discontinued Operations and Disposal Groups [Abstract]

Schedule of Derivative Instruments Used to Hedge Mortgage Loan Activity

The following table reflects the outstanding derivative instruments related to our mortgage loan activity as of the dates indicated.


Derivative instruments


	March 31, 2025						December 31, 2024
			Fair Value						Fair Value
(In thousands)	Notional (1)		Derivative Assets		Derivative Liabilities		Notional (1)		Derivative Assets		Derivative Liabilities


Forward mortgage loan purchase commitments	$	366,176	$	1,400	$	—	$	51,732	$	65	$	—
Hedging instruments (2)
Forward RMBS purchase contracts	$	318,000	$	856	$	108	$	394,000	$	2,492	$	40
Interest rate swap futures contracts		57,000		1,286		—		58,500		1,717		—

(1)

Notional amounts provide an indication of the volume of the Company’s derivative capacity. For our hedging instruments, the notional amount is the face amount of our contracts and does not represent our exposure to credit loss and therefore is not reflected on our condensed consolidated balance sheets.

(2)

All of the derivatives used for hedging purposes are interest rate derivatives subject to master netting agreements and are considered economic hedges.

Schedule of Net Gains (Losses) on Residential Mortgage Loans Held for Sale, Net of Hedging Activities

The impact to net gains (losses) on investments and other financial instruments from our residential mortgage loans held for sale and related hedging activities is as follows.


Net gains (losses) on residential mortgage loans held for sale, net of hedging activities


	Three Months Ended March 31,

(In thousands)	2025			2024

Net realized gains (losses) on residential mortgage loans held for sale
Mortgage loans held for sale (1)	$	(5,982	)	$	63
Mortgage servicing and other related rights resulting from residential mortgage loan sales		1,543			310
Total realized gains (losses) on residential mortgage loans held for sale		(4,439	)		373
Change in unrealized gains (losses) on residential mortgage loans sold		5,328			(1,097	)
Unrealized gains (losses) on residential mortgage loans held for sale still held (2)		4,208			1,078
Total net gains (losses) on residential mortgage loans held for sale		5,097			354
Net gains (losses) on mortgage loans held for sale hedging activities		(3,810	)		30
Net gains (losses) on residential mortgage loans held for sale, net of hedging activities	$	1,287		$	384

(1)

Includes net gains (losses) on residential mortgage loans held for sale through the date of transfer to a securitization trust, if applicable. See “Securitized Residential Mortgage Loans Held for Investment” below for information on subsequent gains (losses) for those securitized loans.

(2)

Includes net gains (losses) on mortgage loan commitments accounted for as derivatives prior to settlement.

Net investment income earned on our residential mortgage loans held for sale and interest expense incurred on our mortgage loan financing facilities consists of the following.


Net interest on residential mortgage loans held for sale


	Three Months Ended March 31,

(In thousands)	2025			2024


Interest income	$	6,273		$	1,793
Interest expense		(6,010	)		(1,438	)
Net interest on residential mortgage loans held for sale	$	263		$	355

Schedule of Components of Consolidated VIE Assets and Liability by Securitization

The following table details the components of our consolidated VIE assets and liabilities by securitization as of the dates indicated.


Consolidated VIE assets and liabilities


(In thousands)		March 31, 2025						December 31, 2024
VIE	Closing Date	Consolidated VIE Assets		Consolidated VIE Liabilities		Net Retained Interest		Consolidated VIE Assets		Consolidated VIE Liabilities		Net Retained Interest


RMCT 2024-J1	July 2024	$	312,014	$	305,534	$	6,480	$	317,782	$	311,751	$	6,031
RMCT 2024-J2	October 2024		380,429		374,146		6,283		403,525		397,844		5,681
RMCT 2025-J1	February 2025		372,098		360,035		12,063		—		—		—
Total		$	1,064,541	$	1,039,715	$	24,826	$	721,307	$	709,595	$	11,712

Schedule of Components of Income (Loss) on Consolidated VIEs

The following table details the components of income (loss) on consolidated VIEs for the three months ended March 31, 2025. There was no activity for the three months ended March 31, 2024.


Income (loss) on consolidated VIEs


	Three Months Ended March 31,

(In thousands)	2025


Net change in fair value of VIE assets and liabilities reported under the fair value option	$	(313	)
Interest income		14,859
Interest expense		(13,569	)
Other expenses		(549	)
Total income (loss) on consolidated VIEs	$	428

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References + Details

- Definition

Tabular disclosure of information related to a disposal group. Includes, but is not limited to, a discontinued operation, disposal classified as held-for-sale or disposed of by means other than sale or disposal of an individually significant component.

+ References

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+ Details

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details