Investments in RMBS

6 Months Ended

Jun. 30, 2025

Note 4 — Investments in RMBS

At June 30, 2025, the Company’s investments in RMBS consist solely of Agency RMBS. The Company’s investments in RMBS may also include, from time to time, any of the following: Collateralized mortgage obligations (“CMOs”), which are either loss share securities issued by Fannie Mae or Freddie Mac; or non-Agency RMBS, sometimes called “private label MBS”, which are structured debt instruments representing interests in specified pools of mortgage loans subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles and different ratings by one or more nationally recognized statistical rating organizations.

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 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.

At June 30, 2025 and December 31, 2024, the Company pledged Agency RMBS with a carrying value of approximately $1,133.2 million and $1,103.6 million, respectively, as collateral for borrowings under repurchase agreements. At June 30, 2025 and December 31, 2024, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.

Based on management’s analysis of the Company’s available-for-sale designated securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company’s available-for-sale designated securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment. The Company performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding periods. Such market factors include changes in market interest rates and credit spreads and certain macroeconomic events, none of which will directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this analysis for available-for-sale designated investments in RMBS that are not guaranteed by an Agency or U.S. government sponsored enterprises. All of the Company’s available-for-sale designated investments in RMBS are guaranteed by Agencies or U.S. government sponsored enterprises.

Both credit related and non-credit related unrealized losses on available-for-sale securities that the Company (i) intends to sell, or (ii) will more likely than not be required to sell before recovering their cost basis, are recognized in earnings. The Company did not record an allowance for credit losses on the balance sheet at June 30, 2025 and December 31, 2024, nor any impairment charges in earnings during the six-month periods ended June 30, 2025 and June 30, 2024.

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.