| Investments in RMBS |
Note 4 — Investments in RMBS
At
June 30, 2026 and December 31, 2025, the Company’s investments in RMBS consisted 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 June 30, 2026
|
|
|
|
|
|
|
|
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
|
|
$
|
125,830
|
|
|
$
|
88,167
|
|
|
$
|
1,799
|
|
|
$
|
(72
|
)
|
|
$
|
89,894
|
|
|
|
9
|
|
(B)
|
|
|
5.00
|
%
|
|
|
5.12
|
%
|
|
|
26
|
|
|
Freddie Mac
|
|
|
99,397
|
|
|
|
70,346
|
|
|
|
588
|
|
|
|
(503
|
)
|
|
|
70,431
|
|
|
|
8
|
|
(B)
|
|
|
4.94
|
%
|
|
|
4.99
|
%
|
|
|
26
|
|
|
RMBS, measured at fair value through earnings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
457,173 |
|
|
|
377,824 |
|
|
|
5,913 |
|
|
|
(1,332 |
) |
|
|
382,405 |
|
|
|
34 |
|
(B) |
|
|
5.04 |
% |
|
|
5.13 |
% |
|
|
27 |
|
Freddie Mac
|
|
|
655,179 |
|
|
|
529,062 |
|
|
|
9,084 |
|
|
|
(1,074 |
) |
|
|
537,072 |
|
|
|
51 |
|
(B) |
|
|
5.13 |
% |
|
|
5.21 |
% |
|
|
27 |
|
|
Total/weighted average RMBS
|
|
$
|
1,337,579
|
|
|
$
|
1,065,399
|
|
|
$
|
17,384
|
|
|
$
|
(2,981
|
)
|
|
$
|
1,079,802
|
|
|
|
102
|
|
|
|
|
5.08
|
%
|
|
|
5.16
|
%
|
|
|
27
|
|
As of December 31,
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
|
|
|
$
|
110,321
|
|
|
$
|
3,094
|
|
|
$
|
(232
|
)
|
|
$
|
113,183
|
|
|
|
10
|
|
(B)
|
|
|
4.67
|
%
|
|
|
4.83
|
%
|
|
|
26
|
|
|
Freddie Mac
|
|
|
125,240
|
|
|
|
92,829
|
|
|
|
1,149
|
|
|
|
(259
|
)
|
|
|
93,719
|
|
|
|
10
|
|
(B)
|
|
|
4.67
|
%
|
|
|
4.76
|
%
|
|
|
26
|
|
| RMBS, measured at fair value through earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
469,667 |
|
|
|
408,260 |
|
|
|
10,506 |
|
|
|
(121 |
) |
|
|
418,645 |
|
|
|
35 |
|
(B) |
|
|
5.04 |
% |
|
|
5.14 |
% |
|
|
28 |
|
|
Freddie Mac
|
|
|
676,854 |
|
|
|
572,802 |
|
|
|
15,578 |
|
|
|
(76 |
) |
|
|
588,304 |
|
|
|
52 |
|
(B)
|
|
|
5.05 |
% |
|
|
5.14 |
% |
|
|
27 |
|
| Total/weighted average RMBS |
|
$ |
1,422,543 |
|
|
$ |
1,184,212 |
|
|
$ |
30,327 |
|
|
$ |
(688 |
) |
|
$ |
1,213,851 |
|
|
|
107 |
|
|
|
|
4.98 |
% |
|
|
5.08 |
% |
|
|
27 |
|
| (A) |
See Note 8 regarding the estimation of
fair value, which approximates carrying value for all securities.
|
| (B) |
The Company used an implied AA+ 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 June 30, 2026
| |
|
|
|
|
|
|
|
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
|
|
$
|
225,227
|
|
|
$
|
158,514
|
|
|
$
|
2,387
|
|
|
$
|
(575
|
)
|
|
$
|
160,326
|
|
|
|
17
|
|
(B)
|
|
|
4.97
|
%
|
|
|
5.07
|
%
|
|
|
26
|
|
|
RMBS,
measured at fair value through earnings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over 10 Years
|
|
|
1,112,352
|
|
|
|
906,885
|
|
|
|
14,997
|
|
|
|
(2,406
|
)
|
|
|
919,476
|
|
|
|
85
|
|
(B)
|
|
|
5.09
|
%
|
|
|
5.18
|
%
|
|
|
27
|
|
|
Total/weighted average RMBS
|
|
$
|
1,337,579
|
|
|
$
|
1,065,399
|
|
|
$
|
17,384
|
|
|
$
|
(2,981
|
)
|
|
$
|
1,079,802
|
|
|
|
102
|
|
|
|
|
5.08
|
%
|
|
|
5.16
|
%
|
|
|
27
|
|
As of December 31, 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
|
|
$
|
276,022
|
|
|
$
|
203,150
|
|
|
$
|
4,243
|
|
|
$
|
(491
|
)
|
|
$
|
206,902
|
|
|
|
20
|
|
(B)
|
|
|
4.67
|
%
|
|
|
4.79
|
%
|
|
|
26
|
|
RMBS, measured at fair
value through earnings
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over 10 Years
|
|
|
1,146,521 |
|
|
|
981,062 |
|
|
|
26,084 |
|
|
|
(197 |
) |
|
|
1,006,949 |
|
|
|
87 |
|
(B) |
|
|
5.05 |
% |
|
|
5.14 |
% |
|
|
28 |
|
| Total/weighted average RMBS |
|
$ |
1,422,543 |
|
|
$ |
1,184,212 |
|
|
$ |
30,327 |
|
|
$ |
(688 |
) |
|
$ |
1,213,851 |
|
|
|
107 |
|
|
|
|
4.98 |
% |
|
|
5.08 |
% |
|
|
27 |
|
| (A) |
See Note 8 regarding the estimation of fair value, which approximates carrying value for all securities.
|
| (B) |
The Company used an implied AA+ 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
June 30, 2026 and December 31, 2025, the Company pledged Agency RMBS with a carrying value of approximately $1,054.0 million and $1,189.7 million, respectively, as collateral for borrowings under repurchase agreements. At June 30, 2026 and December 31, 2025, 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. 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 June 30, 2026 and December 31, 2025, nor any impairment charges in earnings related to its available-for-sale securities during the six-month periods ended June 30, 2026 and June 30,
2025.
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 June 30,
2026
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
60,182 |
|
|
$ |
43,225 |
|
|
$ |
(575 |
) |
|
$ |
42,650 |
|
|
|
4 |
|
(B)
|
|
|
4.75 |
% |
|
|
4.77 |
% |
|
|
26 |
|
|
Total/weighted
average RMBS, available-for-sale,
measured at fair value through OCI
|
|
$
|
60,182
|
|
|
$
|
43,225
|
|
|
$
|
(575
|
)
|
|
$
|
42,650
|
|
|
|
4
|
|
|
|
|
4.75
|
%
|
|
|
4.77
|
%
|
|
|
26
|
|
As of December 31, 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
|
|
$
|
64,386 |
|
|
$
|
46,482 |
|
|
$
|
(491 |
) |
|
$
|
45,991 |
|
|
|
4 |
|
(B) |
|
|
3.55 |
% |
|
|
3.75 |
% |
|
|
26 |
|
|
Total/weighted
average RMBS,
available-for-sale, measured at fair value through OCI
|
|
$
|
64,386
|
|
|
$
|
46,482
|
|
|
$
|
(491
|
)
|
|
$
|
45,991
|
|
|
|
4
|
|
|
|
|
3.55
|
%
|
|
|
3.75
|
%
|
|
|
26
|
|
| (A) |
See Note 8 regarding the estimation of fair value, which approximates carrying value for all securities.
|
|
(B)
|
The Company used an implied AA+ 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.
|
The following table summarizes the Company’s realized gains and
losses from the sale of available-for-sale securities which are recorded within the realized loss on RMBS, net line item in the Company’s consolidated statements of income (loss) as of the dates indicated (dollars in thousands):
| |
|
Three Months Ended June 30,
|
|
|
Six Months Ended June 30,
|
|
| |
|
2026
|
|
|
2025
|
|
|
2026 |
|
|
2025 |
|
|
Proceeds from sales of available-for-sale securities
|
|
$
|
34,416
|
|
|
$
|
-
|
|
|
$ |
34,416 |
|
|
$ |
29,844 |
|
|
Amortized cost of available-for-sale securities sold
|
|
|
(34,914
|
)
|
|
|
-
|
|
|
|
(34,914 |
) |
|
|
(32,918 |
) |
|
Total realized losses on sales, net
|
|
$
|
(498
|
)
|
|
$
|
-
|
|
|
$ |
(498 |
) |
|
$ |
(3,074 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross realized gains, RMBS available-for-sale
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$ |
- |
|
|
$ |
- |
|
|
Gross realized losses, RMBS available-for-sale
|
|
|
(498
|
)
|
|
|
-
|
|
|
|
(498 |
) |
|
|
(3,074 |
) |
|
Realized loss on RMBS, available-for-sale, net
|
|
$
|
(498
|
)
|
|
$
|
-
|
|
|
$ |
(498 |
) |
|
$ |
(3,074 |
) |
|