Investments in RMBS (Tables)

9 Months Ended

Sep. 30, 2025

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 Investments by Maturity

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.

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 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.