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Investments in RMBS (Tables) | 6 Months Ended
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Jun. 30, 2025
Investments in RMBS [Abstract] |
Summary of RMBS Investments | The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in thousands): Summary of RMBS Assets As of June 30, 2025
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  |  |  |  |  | Weighted Average |
Asset Type |  | Original Face Value |  |  | Book Value |  |  | Gains |  |  | Losses |  |  | Carrying Value(A) |  |  | Number of Securities |  | Rating |  | Coupon |  |  | Yield(C) |  |  | Maturity (Years) |
RMBS, available-for-sale, measured at fair value through OCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | 150,782 |  |  | $ | 117,473 |  |  | $ | 1,705 |  |  | $ | (877 | ) |  | $ | 118,301 |  |  |  | 10 |  | (B) |  |  | 4.68 | % |  |  | 4.84 | % |  |  | 27 |
Freddie Mac |  |  | 125,240 |  |  |  | 98,000 |  |  |  | 512 |  |  |  | (1,407 | ) |  |  | 97,105 |  |  |  | 10 |  | (B) |  |  | 4.68 | % |  |  | 4.76 | % |  |  | 27 |
RMBS, measured at fair value through earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  |  | 404,885 |  |  |  | 359,318 |  |  |  | 5,009 |  |  |  | (1,556 | ) |  |  | 362,771 |  |  |  | 29 |  | (B) |  |  | 5.02 | % |  |  | 5.14 | % |  |  | 28 |
Freddie Mac |  |  | 647,778 |  |  |  | 569,122 |  |  |  | 7,887 |  |  |  | (2,743 | ) |  |  | 574,266 |  |  |  | 50 |  | (B) |  |  | 5.05 | % |  |  | 5.15 | % |  |  | 28 |
Total/weighted average RMBS |  | $ | 1,328,685 |  |  | $ | 1,143,913 |  |  | $ | 15,113 |  |  | $ | (6,583 | ) |  | $ | 1,152,443 |  |  |  | 99 |  |  |  |  | 4.97 | % |  |  | 5.08 | % |  |  | 28 |
As of December 31, 2024
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  |  |  |  |  | Weighted Average |
Asset Type |  | Original Face Value |  |  | Book Value |  |  | Gains |  |  | Losses |  |  | Carrying Value(A) |  |  | Number of Securities |  | Rating |  | Coupon |  |  | Yield(C) |  |  | Maturity (Years) |
RMBS, available-for-sale, measured at fair value through OCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  | $ | 160,092 |  |  | $ | 131,441 |  |  | $ | 492 |  |  | $ | (2,282 | ) |  | $ | 129,651 |  |  |  | 11 |  | (B) |  |  | 4.62 | % |  |  | 4.79 | % |  |  | 27 |
Freddie Mac |  |  | 157,618 |  |  |  | 127,839 |  |  |  | - |  |  |  | (5,362 | ) |  |  | 122,477 |  |  |  | 12 |  | (B) |  |  | 4.34 | % |  |  | 4.44 | % |  |  | 27 |
RMBS, measured at fair value through earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  |  | 335,927 |  |  |  | 299,453 |  |  |  | 1,870 |  |  |  | (5,375 | ) |  |  | 295,948 |  |  |  | 24 |  | (B) |  |  | 4.81 | % |  |  | 4.94 | % |  |  | 28 |
Freddie Mac |  |  | 648,523 |  |  |  | 580,529 |  |  |  | 3,134 |  |  |  | (9,319 | ) |  |  | 574,344 |  |  |  | 48 |  | (B) |  |  | 4.93 | % |  |  | 5.03 | % |  |  | 28 |
Total/weighted average RMBS |  | $ | 1,302,160 |  |  | $ | 1,139,262 |  |  | $ | 5,496 |  |  | $ | (22,338 | ) |  | $ | 1,122,420 |  |  |  | 95 |  |  |  |  | 4.80 | % |  |  | 4.91 | % |  |  | 28 |
(A) | See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B) | The Company used an implied AAA rating for the Agency RMBS.
(C) | The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
Summary of RMBS Investments by Maturity | Summary of RMBS Assets by Maturity As of June 30, 2025
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  |  |  |  |  | Weighted Average |
Years to Maturity |  | Original Face Value |  |  | Book Value |  |  | Gains |  |  | Losses |  |  | Carrying Value(A) |  |  | Number of Securities |  | Rating |  | Coupon |  |  | Yield(C) |  |  | Maturity (Years) |
RMBS, available-for-sale, measured at fair value through OCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over 10 Years |  | $ | 276,022 |  |  | $ | 215,474 |  |  | $ | 2,216 |  |  | $ | (2,284 | ) |  | $ | 215,406 |  |  |  | 20 |  | (B) |  |  | 4.68 | % |  |  | 4.81 | % |  |  | 27 |
RMBS, measured at fair value through earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over 10 Years |  |  | 1,052,663 |  |  |  | 928,439 |  |  |  | 12,897 |  |  |  | (4,299 | ) |  |  | 937,037 |  |  |  | 79 |  | (B) |  |  | 5.04 | % |  |  | 5.14 | % |  |  | 28 |
Total/weighted average RMBS |  | $ | 1,328,685 |  |  | $ | 1,143,913 |  |  | $ | 15,113 |  |  | $ | (6,583 | ) |  | $ | 1,152,443 |  |  |  | 99 |  |  |  |  | 4.97 | % |  |  | 5.08 | % |  |  | 28 |
As of December 31, 2024
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  |  |  |  |  | Weighted Average |
Years to Maturity |  | Original Face Value |  |  | Book Value |  |  | Gains |  |  | Losses |  |  | Carrying Value(A) |  |  | Number of Securities |  | Rating |  | Coupon |  |  | Yield(C) |  |  | Maturity (Years) |
RMBS, available-for-sale, measured at fair value through OCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over 10 Years |  | $ | 317,711 |  |  | $ | 259,280 |  |  | $ | 492 |  |  | $ | (7,644 | ) |  | $ | 252,128 |  |  |  | 23 |  | (B) |  |  | 4.48 | % |  |  | 4.62 | % |  |  | 27 |
RMBS, measured at fair value through earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over 10 Years |  |  | 984,449 |  |  |  | 879,982 |  |  |  | 5,004 |  |  |  | (14,694 | ) |  |  | 870,292 |  |  |  | 72 |  | (B) |  |  | 4.89 | % |  |  | 5.00 | % |  |  | 28 |
Total/weighted average RMBS |  | $ | 1,302,160 |  |  | $ | 1,139,262 |  |  | $ | 5,496 |  |  | $ | (22,338 | ) |  | $ | 1,122,420 |  |  |  | 95 |  |  |  |  | 4.80 | % |  |  | 4.91 | % |  |  | 28 |
(A) | See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B) | The Company used an implied AAA rating for the Agency RMBS.
(C) | The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
Summary of RMBS Securities in an Unrealized Loss Position | The following tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands): Available-For-Sale RMBS Unrealized Loss Positions As of June 30, 2025
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Weighted Average |
Duration in Loss Position |  | Original Face Value |  |  | Book Value |  |  | Gross Unrealized Losses |  |  | Carrying Value(A) |  |  | Number of Securities |  | Rating |  | Coupon |  |  | Yield(C) |  |  | Maturity (Years) |
RMBS, available-for-sale, measured at fair value through OCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Less than Twelve Months |  | $ | 98,782 |  |  | $ | 73,820 |  |  | $ | (1,049 | ) |  | $ | 72,771 |  |  |  | 7 |  | (B) |  |  | 4.69 | % |  |  | 4.75 | % |  |  | 27 |
Twelve or More Months |  |  | 46,906 |  |  |  | 36,132 |  |  |  | (1,235 | ) |  |  | 34,897 |  |  |  | 3 |  | (B) |  |  | 3.72 | % |  |  | 3.89 | % |  |  | 26 |
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI |  | $ | 145,688 |  |  | $ | 109,952 |  |  | $ | (2,284 | ) |  | $ | 107,668 |  |  |  | 10 |  |  |  |  | 4.38 | % |  |  | 4.47 | % |  |  | 27 |
As of December 31, 2024
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Weighted Average |
Duration in Loss Position |  | Original Face Value |  |  | Book Value |  |  | Gross Unrealized Losses |  |  | Carrying Value(A) |  |  | Number of Securities |  | Rating |  | Coupon |  |  | Yield(C) |  |  | Maturity (Years) |
RMBS, available-for-sale, measured at fair value through OCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Less than Twelve Months |  | $ | 174,646 |  |  | $ | 142,337 |  |  | $ | (2,993 | ) |  | $ | 139,344 |  |  |  | 13 |  | (B) |  |  | 4.76 | % |  |  | 4.86 | % |  |  | 27 |
Twelve or More Months |  |  | 79,284 |  |  |  | 63,297 |  |  |  | (4,651 | ) |  |  | 58,646 |  |  |  | 5 |  | (B) |  |  | 3.44 | % |  |  | 3.59 | % |  |  | 27 |
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI |  | $ | 253,930 |  |  | $ | 205,634 |  |  | $ | (7,644 | ) |  | $ | 197,990 |  |  |  | 18 |  |  |  |  | 4.35 | % |  |  | 4.47 | % |  |  | 27 |
(A) | See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B) | The Company used an implied AAA rating for the Agency RMBS.
(C) | The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

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