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Fair Value (Tables)

9 Months Ended

Sep. 30, 2025

Fair Value [Abstract]

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

September 30, 2025
		Level 1				Level 2				Level 3				Carrying Value
Assets
RMBS
Fannie Mae		$	-			$	509,839			$	-			$	509,839
Freddie Mac			-				681,639				-				681,639
RMBS total			-				1,191,478				-				1,191,478
Derivative assets
Interest rate swaps			-				15,314				-				15,314
Derivative assets total			-				15,314				-				15,314
Servicing related assets			-				-				218,688				218,688
Total Assets		$	-			$	1,206,792			$	218,688			$	1,425,480
Liabilities
Derivative liabilities
Interest rate swaps			-				1,638				-				1,638
TBAs, net			-				555				-				555
U.S. treasury futures			1,673				-				-				1,673
Derivative liabilities total			1,673				2,193				-				3,866
Total Liabilities		$	1,673			$	2,193			$	-			$	3,866

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								Nine Months Ended
		September 30, 2025				September 30, 2024				September 30, 2025				September 30, 2024
Balance at beginning of period		$	224,601			$	234,263			$	233,658			$	253,629
Purchases, sales and other changes:
Sales			-				-				-				(12,804	)
Other changes (A)			(1	)			(14	)			(2	)			(7	)
Total			(1	)			(14	)			(2	)			(12,811	)
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model			(2,121	)			(3,624	)			(4,154	)			(1,586	)
Other changes in fair value (B)			(3,791	)			(3,843	)			(10,814	)			(12,450	)
Unrealized gain (loss) included in Net Income			(5,912	)			(7,467	)			(14,968	)			(14,036	)
Balance at end of period		$	218,688			$	226,782			$	218,688			$	226,782

(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 September 30, 2025

		Fair Value			Valuation Technique		Unobservable Input (A)		Range				Weighted Average (B)
MSRs		$	218,688		Discounted cash flow		Constant prepayment speed			4.0% - 13.6	%			6.5	%
							Uncollected payments			0.6% - 6.4	%			0.8	%
							Discount rate							9.1	%
							Annual cost to service, per loan						$	87
TOTAL		$	218,688

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.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Topic 820
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-Name Accounting Standards Codification
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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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-Topic 820
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

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-Topic 820
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-Name Accounting Standards Codification
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