XML 45 R34.htm IDEA: XBRL DOCUMENT
v3.25.2

Fair Value (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2025
Fair Value [Abstract] |
Company's Assets and Liabilities Measured at Fair Value on Recurring Basis | The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands): Recurring Fair Value Measurements
June 30, 2025 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Carrying Value |
Assets |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | - |  |  | $ | 481,072 |  |  | $ | - |  |  | $ | 481,072 |
Freddie Mac |  |  | - |  |  |  | 671,371 |  |  |  | - |  |  |  | 671,371 |
RMBS total |  |  | - |  |  |  | 1,152,443 |  |  |  | - |  |  |  | 1,152,443 |
Derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | - |  |  |  | 12,105 |  |  |  | - |  |  |  | 12,105 |
Derivative assets total |  |  | - |  |  |  | 12,105 |  |  |  | - |  |  |  | 12,105 |
Servicing related assets |  |  | - |  |  |  | - |  |  |  | 224,601 |  |  |  | 224,601 |
Total Assets |  | $ | - |  |  | $ | 1,164,548 |  |  | $ | 224,601 |  |  | $ | 1,389,149 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | - |  |  |  | 1,531 |  |  |  | - |  |  |  | 1,531 |
TBAs, net |  |  | - |  |  |  | 7,707 |  |  |  | - |  |  |  | 7,707 |
U.S. treasury futures |  |  | 1,664 |  |  |  | - |  |  |  | - |  |  |  | 1,664 |
Derivative liabilities total |  |  | 1,664 |  |  |  | 9,238 |  |  |  | - |  |  |  | 10,902 |
Total Liabilities |  | $ | 1,664 |  |  | $ | 9,238 |  |  | $ | - |  |  | $ | 10,902 |
December 31, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Carrying Value |
Assets |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | - |  |  | $ | 425,599 |  |  | $ | - |  |  | $ | 425,599 |
Freddie Mac |  |  | - |  |  |  | 696,821 |  |  |  | - |  |  |  | 696,821 |
RMBS total |  |  | - |  |  |  | 1,122,420 |  |  |  | - |  |  |  | 1,122,420 |
Derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | - |  |  |  | 17,244 |  |  |  | - |  |  |  | 17,244 |
TBAs, net |  |  | - |  |  |  | 10,434 |  |  |  | - |  |  |  | 10,434 |
U.S. treasury futures |  |  | 2,337 |  |  |  | - |  |  |  |  |  |  |  | 2,337 |
U.S. treasury futures options |  |  | 33 |  |  |  | - |  |  |  | - |  |  |  | 33 |
Derivative assets total |  |  | 2,370 |  |  |  | 27,678 |  |  |  | - |  |  |  | 30,048 |
Servicing related assets |  |  | - |  |  |  | - |  |  |  | 233,658 |  |  |  | 233,658 |
Total Assets |  | $ | 2,370 |  |  | $ | 1,150,098 |  |  | $ | 233,658 |  |  | $ | 1,386,126 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | - |  |  |  | 3,869 |  |  |  | - |  |  |  | 3,869 |
Derivative liabilities total |  |  | - |  |  |  | 3,869 |  |  |  | - |  |  |  | 3,869 |
Total Liabilities |  | $ | - |  |  | $ | 3,869 |  |  | $ | - |  |  | $ | 3,869 |
Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis | The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands): Level 3 Fair Value Measurements
|  | Three Months Ended |  |  | Six Months Ended |
|  | June 30, 2025 |  |  | June 30, 2024 |  |  | June 30, 2025 |  |  | June 30, 2024 |
Balance at beginning of period |  | $ | 227,333 |  |  | $ | 250,380 |  |  | $ | 233,658 |  |  | $ | 253,629 |
Purchases and sales: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Sales |  |  | - |  |  |  | (12,803 | ) |  |  | - |  |  |  | (12,803 | )
Other changes (A) |  |  | (1 | ) |  |  | (2 | ) |  |  | (1 | ) |  |  | 6 |
Total purchases and sales |  |  | (1 | ) |  |  | (12,805 | ) |  |  | (1 | ) |  |  | (12,797 | )
Changes in Fair Value due to: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions used in valuation model |  |  | 1,216 |  |  |  | 1,761 |  |  |  | (2,033 | ) |  |  | 2,038 |
Other changes in fair value (B) |  |  | (3,947 | ) |  |  | (5,073 | ) |  |  | (7,023 | ) |  |  | (8,607 | )
Unrealized gain (loss) included in Net Income |  |  | (2,731 | ) |  |  | (3,312 | ) |  |  | (9,056 | ) |  |  | (6,569 | )
Balance at end of period |  | $ | 224,601 |  |  | $ | 234,263 |  |  | $ | 224,601 |  |  | $ | 234,263 |
(A) | Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.
(B) | Represents changes due to realization of expected cash flows and estimated MSR runoff.
Significant Unobservable Inputs Used in Fair Value Measurement | The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands): Fair Value Measurements As of June 30, 2025
|  | Fair Value |  | Valuation Technique |  | Unobservable Input (A) |  | Range |  |  | Weighted Average (B) |
MSRs |  | $ | 224,601 |  | Discounted cash flow |  | Constant prepayment speed |  |  | 4.5% - 12.7 | % |  |  | 6.4 | %
|  |  |  |  |  |  | Uncollected payments |  |  | 0.6% - 5.9 | % |  |  | 0.8 | %
|  |  |  |  |  |  | Discount rate |  |  |  |  |  |  | 9.2 | %
|  |  |  |  |  |  | Annual cost to service, per loan |  |  |  |  |  | $ | 88 |
TOTAL |  | $ | 224,601 |  |  |  |  |  |  |  |  |  |  |  |
As of December 31, 2024
|  | Fair Value |  | Valuation Technique |  | Unobservable Input (A) |  | Range |  |  | Weighted Average (B) |
MSRs |  | $ | 233,658 |  | Discounted cash flow |  | Constant prepayment speed |  |  | 3.8% -13.5 | % |  |  | 6.3 | %
|  |  |  |  |  |  | Uncollected payments |  |  | 0.6% - 6.6 | % |  |  | 0.8 | %
|  |  |  |  |  |  | Discount rate |  |  |  |  |  |  | 9.6 | %
|  |  |  |  |  |  | Annual cost to service, per loan |  |  |  |  |  | $ | 88 |
TOTAL |  | $ | 233,658 |  |  |  |  |  |  |  |  |  |  |  |
| (A) | Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.
| (B) | Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.

X
- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 103 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-103 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 101 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-101 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-3 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration