| 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
June 30, 2026
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1
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|
Level 2
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|
|
Level 3
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|
|
Carrying Value
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
$
|
-
|
|
|
$
|
472,299
|
|
|
$
|
-
|
|
|
$
|
472,299
|
|
|
Freddie Mac
|
|
|
-
|
|
|
|
607,503
|
|
|
|
-
|
|
|
|
607,503
|
|
|
RMBS total
|
|
|
-
|
|
|
|
1,079,802
|
|
|
|
-
|
|
|
|
1,079,802
|
|
|
Derivative assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBAs
|
|
|
- |
|
|
|
1,490 |
|
|
|
- |
|
|
|
1,490 |
|
| U.S. treasury futures |
|
|
132 |
|
|
|
- |
|
|
|
- |
|
|
|
132 |
|
|
Derivative assets total
|
|
|
132
|
|
|
|
1,490
|
|
|
|
-
|
|
|
|
1,622
|
|
|
Servicing related assets
|
|
|
-
|
|
|
|
-
|
|
|
|
211,105
|
|
|
|
211,105
|
|
|
Total Assets
|
|
$
|
132
|
|
|
$
|
1,081,292
|
|
|
$
|
211,105
|
|
|
$
|
1,292,529
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
- |
|
|
$ |
(2,211 |
) |
|
$ |
- |
|
|
$ |
(2,211 |
) |
|
|
|
|
(1,023 |
) |
|
|
-
|
|
|
|
- |
|
|
|
(1,023 |
) |
| Eris SOFR swap futures |
|
|
- |
|
|
|
(505 |
) |
|
|
- |
|
|
|
(505 |
) |
|
Derivative liabilities total
|
|
|
(1,023
|
)
|
|
|
(2,716
|
)
|
|
|
-
|
|
|
|
(3,739
|
)
|
|
Total Liabilities
|
|
$
|
(1,023
|
)
|
|
$
|
(2,716
|
)
|
|
$
|
-
|
|
|
$
|
(3,739
|
)
|
December 31, 2025
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|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Carrying Value
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RMBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
$
|
-
|
|
|
$
|
531,828
|
|
|
$
|
-
|
|
|
$
|
531,828
|
|
|
Freddie Mac
|
|
|
-
|
|
|
|
682,023
|
|
|
|
-
|
|
|
|
682,023
|
|
|
RMBS total
|
|
|
-
|
|
|
|
1,213,851
|
|
|
|
-
|
|
|
|
1,213,851
|
|
|
Derivative assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps
|
|
|
-
|
|
|
|
13,353
|
|
|
|
-
|
|
|
|
13,353
|
|
|
U.S. treasury futures
|
|
|
1,368 |
|
|
|
- |
|
|
|
- |
|
|
|
1,368 |
|
| Eris SOFR swap futures |
|
|
- |
|
|
|
36 |
|
|
|
- |
|
|
|
36 |
|
|
Derivative assets total
|
|
|
1,368
|
|
|
|
13,389
|
|
|
|
-
|
|
|
|
14,757
|
|
|
Servicing related assets
|
|
|
-
|
|
|
|
-
|
|
|
|
214,831
|
|
|
|
214,831
|
|
|
Total Assets
|
|
$
|
1,368
|
|
|
$
|
1,227,240
|
|
|
$
|
214,831
|
|
|
$
|
1,443,439
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps
|
|
$
|
-
|
|
|
$
|
(1,199
|
)
|
|
$
|
-
|
|
|
$
|
(1,199
|
)
|
| TBAs, net |
|
|
- |
|
|
|
(1,076 |
) |
|
|
- |
|
|
|
(1,076 |
) |
|
Derivative liabilities total
|
|
|
-
|
|
|
|
(2,275
|
)
|
|
|
-
|
|
|
|
(2,275
|
)
|
|
Total Liabilities
|
|
$
|
-
|
|
|
$
|
(2,275
|
)
|
|
$
|
-
|
|
|
$
|
(2,275
|
)
|
|
| 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
|
|
|
Six Months Ended
|
|
| |
|
June 30, 2026
|
|
|
June 30, 2025
|
|
|
June 30, 2026
|
|
|
June 30, 2025
|
|
|
Balance at beginning of period
|
|
$
|
213,455
|
|
|
$
|
227,333
|
|
|
$ |
214,831 |
|
|
$ |
233,658 |
|
|
Purchases, sales and other changes:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sales
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Other changes (A)
|
|
|
1 |
|
|
|
(1 |
) |
|
|
(15 |
) |
|
|
(1 |
) |
|
Purchases and sales:
|
|
$ |
1 |
|
|
$
|
(1
|
)
|
|
$ |
(15 |
) |
|
$ |
(1 |
) |
|
Changes in Fair Value due to:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in valuation inputs or assumptions used in valuation model
|
|
|
1,451 |
|
|
|
1,216 |
|
|
|
3,196 |
|
|
|
(2,033 |
) |
|
Other changes in fair value (B)
|
|
|
(3,802 |
) |
|
|
(3,947 |
) |
|
|
(6,908 |
) |
|
|
(7,023 |
) |
|
Unrealized loss included in Net Income
|
|
$ |
(2,351 |
) |
|
$ |
(2,731 |
) |
|
$ |
(3,712 |
) |
|
$ |
(9,056 |
) |
|
Balance at end of period
|
|
$ |
211,105 |
|
|
$ |
224,601 |
|
|
$ |
211,105 |
|
|
$ |
224,601 |
|
| (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 June 30, 2026
|
|
|
Fair Value
|
|
Valuation Technique
|
|
Unobservable Input (A)
|
|
Range
|
|
|
Weighted
Average (B)
|
|
|
MSRs
|
|
$
|
211,105
|
|
Discounted cash flow
|
|
Constant prepayment speed
|
|
|
3.0% - 12.5
|
%
|
|
|
6.4
|
%
|
|
|
|
|
|
|
|
|
Discount rate
|
|
|
|
|
|
|
9.5
|
%
|
|
|
|
|
|
|
|
Annual cost to service, per loan
|
|
|
|
|
|
$
|
87
|
|
TOTAL
|
|
$
|
211,105 |
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2025
|
|
|
Fair Value
|
|
Valuation Technique
|
|
Unobservable Input (A)
|
|
Range
|
|
|
Weighted
Average (B)
|
|
|
MSRs
|
|
$
|
214,831
|
|
Discounted cash flow
|
|
Constant prepayment speed
|
|
|
4.0% -13.3
|
%
|
|
|
6.5
|
%
|
|
|
|
|
|
|
|
|
Discount rate
|
|
|
|
|
|
|
9.2
|
%
|
|
|
|
|
|
|
|
|
Annual cost to service, per loan
|
|
|
|
|
|
$
|
87
|
|
|
TOTAL
|
|
$
|
214,831
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
|
|