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Fair Value (Tables)

6 Months Ended

Jun. 30, 2025

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.

- 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.

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