
(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)	CPR (1)
30-Year Fixed Rate:
5.00% Coupon	$	71,277	100.2	%	98.2	%	$	69,967	24	0.6	%
5.50% Coupon	1,242,201		99.9	%	100.1	%	1,242,953		10	5.9	%
6.00% Coupon	304,195		100.1	%	101.9	%	310,007		17	8.2	%
6.50% Coupon	24,405		100.4	%	103.5	%	25,265		18	12.3	%
Total	$	1,642,078	100.0	%	100.4	%	$	1,648,193	12	6.2	%


(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)	CPR (1)
30-Year Fixed Rate:
5.00% Coupon	$	71,645	100.2	%	96.6	%	$	69,233	21	3.3	%
5.50% Coupon	993,466		100.2	%	98.8	%	981,796		9	8.2	%
6.00% Coupon	313,173		100.1	%	100.7	%	315,317		14	11.5	%
6.50% Coupon	25,607		100.4	%	102.7	%	26,289		15	36.1	%
Total	$	1,403,891	100.2	%	99.2	%	$	1,392,635	11	9.2	%

At March 31, 2025 and December 31, 2024, the Company had $54.7 million and $54.6 million, respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes.

At March 31, 2025, these term notes had an amortized cost of $51.6 million, gross unrealized gains of approximately $3.1 million, a weighted average yield of 17.8% and a weighted average term to maturity of 0.59 years. At December 31, 2024, the term notes had an amortized cost of $50.6 million, gross unrealized gains of approximately $3.9 million, a weighted average yield of 14.0% and a weighted average term to maturity of 0.83 years. The issuer of the notes had a one-time option to extend the maturity of the notes for an additional two years, subject to satisfaction of certain conditions, which was exercised in October 2023. The coupon stepped up by 0.75% at the time of the extension.

CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. At March 31, 2025 and December 31, 2024, the Company had $64.5 million and $67.6 million, respectively, of CRT securities. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 6).

Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. At March 31, 2025, and December 31, 2024, the Company had $22.9 million and $22.6 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans.


(In Thousands)	Principal/Current Face		Purchase Premiums		Accretable Purchase Discounts		Discount Designated as Credit Reserve (1)		Gross Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)		Fair Value
Agency MBS	$	1,642,078	$	5,431	$	(6,037)	$	—	$	1,641,472	$	11,619	$	(4,898)	$	6,721	$	1,648,193
Other Securities (2)(3)(4)	143,750		15,812		(5,410)		(23,691)		130,461		11,766		(135)		11,631		142,092

Total residential mortgage securities (2)(3)(4)	$	1,785,828	$	21,243	$	(11,447)	$	(23,691)	$	1,771,933	$	23,385	$	(5,033)	$	18,352	$	1,790,285


(In Thousands)	Principal/Current Face		Purchase Premiums		Accretable Purchase Discounts		Discount Designated as Credit Reserve (1)		Gross Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)		Fair Value
Agency MBS	$	1,403,891	$	5,534	$	(3,525)	$	—	$	1,405,900	$	2,318	$	(15,583)	$	(13,265)	$	1,392,635
Other Securities (2)(3)(4)	146,808		14,747		(5,662)		(23,691)		132,202		13,166		(490)		12,676		144,878

Total residential mortgage securities (2)(3)(4)	$	1,550,699	$	20,281	$	(9,187)	$	(23,691)	$	1,538,102	$	15,484	$	(16,073)	$	(589)	$	1,537,513

(3)Amounts disclosed at March 31, 2025 includes CRT securities with a fair value of $51.1 million for which the fair value option has been elected. Such securities had approximately $2.9 million gross unrealized gains and no gross unrealized losses at March 31, 2025. Amounts disclosed at December 31, 2024 include CRT securities with a fair value of $51.5 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $3.2 million and no gross unrealized losses at December 31, 2024.

(4)Amounts disclosed at March 31, 2025 include Non-Agency MBS with a fair value of $22.9 million for which the fair value option has been elected. Such securities had approximately $0.7 million gross unrealized gains and $0.1 million gross unrealized losses at March 31, 2025. Amounts disclosed at December 31, 2024 include Non-Agency MBS with a fair value of $22.6 million for which the fair value option has been elected. Such securities had $0.5 million gross unrealized gains and $0.5 million gross unrealized losses at December 31, 2024.

During the three months ended March 31, 2025, the Company sold a CRT security for approximately $2.6 million, realizing a gain of $0.2 million. During the three months ended March 31, 2024, there were no sales of residential mortgage securities.

The following table presents the components of Impairment and other net gain/(loss) on securities and other portfolio investments, which is presented in Other Income/(Loss), net in the consolidated statements of operations:


	Three Months Ended March 31,
(In Thousands)	2025		2024
Net unrealized gain/(loss) on securities	$	20,201	$	(4,112)
Net realized gain/(loss) from the sale of securities	234		—
Impairment of securities	—		—
Total Impairment and other net gain/(loss) on securities	20,435		(4,112)
Net unrealized gain/(loss) on other portfolio investments	753		(664)
Net realized gain/(loss) on other portfolio investments	(9)		—


Total Impairment and other net gain/(loss) on securities and other portfolio investments	$	21,179	$	(4,776)

There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three months ended March 31, 2025 and 2024.


	Three Months Ended March 31,
(In Thousands)	2025		2024
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	9,476	$	17,698
Unrealized gain/(loss) on securities available-for-sale	(1,034)		1,828
Reclassification adjustment for MBS sales included in net income	(226)		—

Change in AOCI from AFS securities	(1,260)		1,828
Balance at end of period	$	8,216	$	19,526


	Three Months Ended March 31,
(In Thousands)	2025		2024
Agency MBS
Coupon interest	$	20,919	$	7,730
Effective yield adjustment (1)(2)	1		(15)
Interest income	$	20,920	$	7,715










Other MBS
Coupon interest	$	1,528	$	2,085
Effective yield adjustment (1)(2)	127		30
Interest income	$	1,655	$	2,115
Term notes backed by MSR collateral
Coupon interest	$	1,093	$	1,951
Effective yield adjustment (2)	1,002		1,211
Interest income	$	2,095	$	3,162

(1)Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.