Investments in RMBS (Tables)
|
6 Months Ended |
Jun. 30, 2026 |
|---|
| Investments in RMBS [Abstract] |
|
| Summary of RMBS Investments |
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 Investments by Maturity |
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.
|
|
| 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 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.
|
|
| Summary of RMBS Realized Gain (Loss) |
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 |
) |
|