v3.25.2
Securities, at Fair Value
 6 Months Ended
Jun. 30, 2025
Investments, Debt and Equity Securities [Abstract]  
Securities, at Fair Value Securities, at Fair Value
Agency MBS

Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae.

The following table presents certain information regarding the composition of the Company’s Agency MBS portfolio:
June 30, 2025
(Dollars in Thousands)Current FaceWeighted Average Purchase PriceWeighted Average Market PriceFair ValueWeighted Average Loan Age (Months)
CPR (1)
30-Year Fixed Rate:  
5.00% Coupon
$68,912 100.2 %98.3 %$67,740 2710.3 %
5.50% Coupon
1,347,974 99.8 %100.2 %1,351,071 126.7 %
6.00% Coupon
297,043 100.1 %102.0 %303,046 206.8 %
6.50% Coupon
23,374 100.4 %103.6 %24,215 219.8 %
  Total$1,737,303 99.9 %100.5 %$1,746,072 146.9 %
December 31, 2024
(Dollars in Thousands)Current FaceWeighted Average Purchase PriceWeighted Average Market PriceFair ValueWeighted Average Loan Age (Months)
CPR (1)
30-Year Fixed Rate:  
5.00% Coupon
$71,645 100.2 %96.6 %$69,233 213.3 %
5.50% Coupon
993,466 100.2 %98.8 %981,796 98.2 %
6.00% Coupon
313,173 100.1 %100.7 %315,317 1411.5 %
6.50% Coupon
25,607 100.4 %102.7 %26,289 1536.1 %
  Total$1,403,891 100.2 %99.2 %$1,392,635 119.2 %
(1) Reflects the average of the one month CPR for the number of months the security was held during the most recent three month period.

Term Notes Backed by MSR Collateral

During the second quarter of 2025, the Term Notes Backed by MSR Collateral were repaid in full. At December 31, 2024, the Company had $54.6 million of term notes issued by SPVs that had acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes was considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes.
CRT Securities

CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. At June 30, 2025 and December 31, 2024, the Company had $61.2 million and $67.6 million, respectively, of CRT securities. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 6).

Non-Agency MBS

Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. At June 30, 2025, and December 31, 2024, the Company had $22.5 million and $22.6 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans.
The following tables present certain information about the Company’s Agency MBS and other Securities:
 
June 30, 2025
(In Thousands)Principal/Current FacePurchase PremiumsAccretable Purchase Discounts
Discount Designated as Credit Reserve (1)
Gross Amortized CostGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)Fair Value
Agency MBS$1,737,303 $5,322 $(7,849)$— $1,734,776 $15,161 $(3,865)$11,296 $1,746,072 
Other Securities (2)(3)(4)
85,560 2,885 (5,252)(7,191)76,002 8,013 (278)7,735 83,737 
Total residential mortgage securities (2)(3)(4)
$1,822,863 $8,207 $(13,101)$(7,191)$1,810,778 $23,174 $(4,143)$19,031 $1,829,809 

December 31, 2024
(In Thousands)Principal/Current FacePurchase PremiumsAccretable Purchase Discounts
Discount Designated as Credit Reserve (1)
Gross Amortized CostGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)Fair Value
Agency MBS$1,403,891 $5,534 $(3,525)$— $1,405,900 $2,318 $(15,583)$(13,265)$1,392,635 
Other Securities (2)(3)(4)
146,808 14,747 (5,662)(23,691)132,202 13,166 (490)12,676 144,878 
Total residential mortgage securities (2)(3)(4)
$1,550,699 $20,281 $(9,187)$(23,691)$1,538,102 $15,484 $(16,073)$(589)$1,537,513 
(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income.
(2)Based on management’s current estimates of future principal cash flows expected to be received.
(3)Amounts disclosed at June 30, 2025 includes CRT securities with a fair value of $47.9 million for which the fair value option has been elected. Such securities had approximately $2.5 million gross unrealized gains and no gross unrealized losses at June 30, 2025. Amounts disclosed at December 31, 2024 include CRT securities with a fair value of $51.5 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $3.2 million and no gross unrealized losses at December 31, 2024.
(4)Amounts disclosed at June 30, 2025 include Non-Agency MBS with a fair value of $22.5 million for which the fair value option has been elected. Such securities had approximately $0.6 million gross unrealized gains and $0.3 million gross unrealized losses at June 30, 2025. Amounts disclosed at December 31, 2024 include Non-Agency MBS with a fair value of $22.6 million for which the fair value option has been elected. Such securities had $0.5 million gross unrealized gains and $0.5 million gross unrealized losses at December 31, 2024.
Sales of Residential Mortgage Securities
 
During the three months ended March 31, 2025, the Company sold a CRT security for approximately $2.6 million, realizing a gain of $0.2 million. During the three months ended June 30, 2025, there were no sales of residential mortgage securities. During the three and six months ended June 30, 2024, the Company sold MSR-related assets for approximately $29.6 million, realizing gains of $2.7 million.
Impairment and Other Net Gain/(Loss) on Securities and Other Portfolio Investments

The following table presents the components of Impairment and other net gain/(loss) on securities and other portfolio investments, which is presented in Other Income/(Loss), net in the consolidated statements of operations:

Three Months Ended
June 30,		Six Months Ended
June 30,
 (In Thousands)2025202420252024
Net unrealized gain/(loss) on securities$4,008 $(3,186)$24,208 $(7,298)
Net realized gain/(loss) from the sale of securities— 2,668 234 2,668 
Impairment of securities— — — — 
Total Impairment and other net gain/(loss) on securities4,008 (518)24,442 (4,630)
Net unrealized gain/(loss) on other portfolio investments2,636 (2,324)3,389 (2,988)
Net realized gain/(loss) on other portfolio investments1 — (7)— 
Total Impairment and other net gain/(loss) on securities and other portfolio investments$6,645 $(2,842)$27,824 $(7,618)
Unrealized Losses on Residential Mortgage Securities

There were no gross unrealized losses on the Company’s AFS securities (whose changes in fair value are recorded through OCI) at June 30, 2025.
  
There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three and six months ended June 30, 2025 and 2024.
Impact of AFS Securities on AOCI
 
The following table presents the impact of the Company’s AFS securities (whose changes in fair value are recorded through OCI) on its AOCI:
Three Months Ended
June 30,		Six Months Ended
June 30,
(In Thousands)2025202420252024
AOCI from AFS securities:    
Unrealized gain on AFS securities at beginning of period$8,216 $19,526 $9,476 $17,698 
Unrealized gain/(loss) on securities available-for-sale(3,327)784 (4,361)2,612 
Reclassification adjustment for MBS sales included in net income— (2,658)(226)(2,658)
Change in AOCI from AFS securities(3,327)(1,874)(4,587)(46)
Balance at end of period$4,889 $17,652 $4,889 $17,652 
 
Interest Income on Securities, at Fair Value
 
The following table presents the components of interest income on the Company’s Securities, at fair value: 
 Three Months Ended
June 30,		Six Months Ended
June 30,
(In Thousands)2025202420252024
Agency MBS
Coupon interest$22,856 $8,682 $43,776 $16,412 
Effective yield adjustment (1)(2)
60 (36)61 (51)
Interest income$22,916 $8,646 $43,837 $16,361 
Other MBS
Coupon interest$1,435 $2,075 $2,963 $4,160 
Effective yield adjustment (1)(2)
371 44 498 74 
Interest income$1,806 $2,119 $3,461 $4,234 
Term notes backed by MSR collateral
Coupon interest$696 $1,810 $1,789 $3,761 
Effective yield adjustment (2) (3)
3,360 1,054 4,361 2,265 
Interest income$4,056 $2,864 $6,150 $6,026 
(1)Includes amortization of premium paid net of accretion of purchase discount.  Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.
(2)The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards.
(3)The effective yield adjustment for the second quarter of 2025 includes $2.6 million of accelerated discount accretion for MSR-related assets that were repaid in full during the quarter.