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Investments in RMBS | 9 Months Ended
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Sep. 30, 2025
Investments in RMBS [Abstract] |
Investments in RMBS | Note 4 — Investments in RMBS At September 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 September 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 |  |  | $ | 112,513 |  |  | $ | 2,539 |  |  | $ | (341 | ) |  | $ | 114,711 |  |  |  | 10 |  | (B) |  |  | 4.67 | % |  |  | 4.83 | % |  |  | 26 |
Freddie Mac |  |  | 125,240 |  |  |  | 95,466 |  |  |  | 970 |  |  |  | (589 | ) |  |  | 95,847 |  |  |  | 10 |  | (B) |  |  | 4.68 | % |  |  | 4.76 | % |  |  | 26 |
RMBS, measured at fair value through earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae |  |  | 440,028 |  |  |  | 387,339 |  |  |  | 8,354 |  |  |  | (565 | ) |  |  | 395,128 |  |  |  | 32 |  | (B) |  |  | 5.05 | % |  |  | 5.15 | % |  |  | 28 |
Freddie Mac |  |  | 662,978 |  |  |  | 574,254 |  |  |  | 12,316 |  |  |  | (778 | ) |  |  | 585,792 |  |  |  | 51 |  | (B) |  |  | 5.05 | % |  |  | 5.15 | % |  |  | 28 |
Total/weighted average RMBS |  | $ | 1,379,028 |  |  | $ | 1,169,572 |  |  | $ | 24,179 |  |  | $ | (2,273 | ) |  | $ | 1,191,478 |  |  |  | 103 |  |  |  |  | 4.98 | % |  |  | 5.08 | % |  |  | 27 |
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 September 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 |  | $ | 276,023 |  |  | $ | 207,979 |  |  | $ | 3,509 |  |  | $ | (930 | ) |  | $ | 210,558 |  |  |  | 20 |  | (B) |  |  | 4.68 | % |  |  | 4.80 | % |  |  | 26 |
RMBS, measured at fair value through earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over 10 Years |  |  | 1,103,005 |  |  |  | 961,593 |  |  |  | 20,670 |  |  |  | (1,343 | ) |  |  | 980,920 |  |  |  | 83 |  | (B) |  |  | 5.05 | % |  |  | 5.15 | % |  |  | 28 |
Total/weighted average RMBS |  | $ | 1,379,028 |  |  | $ | 1,169,572 |  |  | $ | 24,179 |  |  | $ | (2,273 | ) |  | $ | 1,191,478 |  |  |  | 103 |  |  |  |  | 4.98 | % |  |  | 5.08 | % |  |  | 27 |
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 September 30, 2025 and December 31, 2024, the Company pledged Agency RMBS with a carrying value of approximately $1,153.3 million and $1,103.6 million, respectively, as collateral for borrowings under repurchase agreements. At September 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 September 30, 2025 and December 31, 2024, nor any impairment charges in earnings during the nine-month periods ended September 30, 2025 and September 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 September 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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Twelve or More Months |  | $ | 99,846 |  |  | $ | 74,056 |  |  | $ | (930 | ) |  | $ | 73,126 |  |  |  | 6 |  | (B) |  |  | 3.99 | % |  |  | 4.13 | % |  |  | 26 |
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI |  | $ | 99,846 |  |  | $ | 74,056 |  |  | $ | (930 | ) |  | $ | 73,126 |  |  |  | 6 |  |  |  |  | 3.99 | % |  |  | 4.13 | % |  |  | 26 |
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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