Mortgage-Backed Securities (Tables)

12 Months Ended

Dec. 31, 2024

Investments, Debt and Equity Securities [Abstract]

Schedule of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments

The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of December 31, 2024 and December 31, 2023.

December 31, 2024
(dollars in thousands)
	Principal or Notional Value		Total Premium		Total Discount		Amortized Cost		Allowance for credit losses		Fair Value		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)
Non-Agency RMBS
Senior	$	1,010,128	$	21,356	$	(550,352)	$	481,132	$	(25,472)	$	614,493	$	164,600	$	(5,767)	$	158,833
Subordinated	648,977		3,234		(265,211)		387,000		(2,925)		376,341		20,167		(27,901)		(7,734)
Interest-only	2,644,741		153,571		—		153,571		—		73,335		13,164		(93,400)		(80,236)
Agency RMBS
CMO	464,640		5		(123)		464,522		—		461,656		106		(2,972)		(2,866)
Interest-only	380,311		19,594		—		19,594		—		16,784		1,410		(4,220)		(2,810)
Agency CMBS
Project loans	40,882		620		—		41,502		—		34,370		—		(7,132)		(7,132)
Interest-only	449,437		6,134		—		6,134		—		6,408		949		(675)		274
Total	$	5,639,116	$	204,514	$	(815,686)	$	1,553,455	$	(28,397)	$	1,583,387	$	200,396	$	(142,067)	$	58,329

December 31, 2023
(dollars in thousands)
	Principal or Notional Value		Total Premium		Total Discount		Amortized Cost		Allowance for credit losses		Fair Value		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)
Non-Agency RMBS
Senior	$	1,073,632	$	14,641	$	(582,640)	$	505,633	$	(15,052)	$	676,128	$	192,528	$	(6,981)	$	185,547
Subordinated	583,049		3,609		(286,247)		300,411		(3,508)		276,903		16,548		(36,548)		(20,000)
Interest-only	2,874,680		157,871		—		157,871		—		90,775		14,394		(81,490)		(67,096)
Agency RMBS
Interest-only	392,284		19,238		—		19,238		—		15,023		862		(5,077)		(4,215)
Agency CMBS
Project loans	86,572		1,248		—		87,820		—		79,179		—		(8,641)		(8,641)
Interest-only	478,239		7,766		—		7,766		—		8,282		1,307		(791)		516
Total	$	5,488,456	$	204,373	$	(868,887)	$	1,078,739	$	(18,560)	$	1,146,290	$	225,639	$	(139,528)	$	86,111

Schedule of Investments in Unrealized Loss Position

The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2024 and December 31, 2023. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.

	December 31, 2024
	(dollars in thousands)
	Unrealized Loss Position for Less than 12 Months					Unrealized Loss Position for 12 Months or More					Total
	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions
Non-Agency RMBS
Senior	$	65,051	$	(757)	13	$	35,492	$	(5,010)	6	$	100,544	$	(5,767)	19
Subordinated	27,799		(1,135)		7	167,742		(26,766)		29	195,541		(27,901)		36
Interest-only	6,061		(1,118)		12	35,734		(92,282)		124	41,795		(93,400)		136
Agency RMBS
CMO	399,502		(2,972)		7	—		—		—	399,502		(2,972)		7
Interest-only	1,614		(69)		1	8,269		(4,151)		7	9,882		(4,220)		8
Agency CMBS
Project loans	5,234		(901)		4	29,136		(6,231)		32	34,370		(7,132)		36
Interest-only	1,775		(83)		1	2,039		(592)		3	3,814		(675)		4
Total	$	507,036	$	(7,035)	45	$	278,412	$	(135,032)	201	$	785,448	$	(142,067)	246

	December 31, 2023
	(dollars in thousands)
	Unrealized Loss Position for Less than 12 Months					Unrealized Loss Position for 12 Months or More					Total
	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions
Non-Agency RMBS
Senior	$	51,476	$	(281)	13	$	42,859	$	(6,700)	6	$	94,335	$	(6,981)	19
Subordinated	19,382		(1,467)		5	181,822		(35,081)		33	201,204		(36,548)		38
Interest-only	19,263		(4,035)		27	36,731		(77,455)		105	55,994		(81,490)		132
Agency RMBS
Interest-only	—		—		—	9,151		(5,077)		8	9,151		(5,077)		8
Agency CMBS
Project loans	43,827		(4,040)		5	35,353		(4,601)		32	79,180		(8,641)		37
Interest-only	2,601		(529)		2	158		(262)		2	2,759		(791)		4
Total	$	136,549	$	(10,352)	52	$	306,074	$	(129,176)	186	$	442,623	$	(139,528)	238

Schedule of Summary of Credit Loss Allowance

A summary of the credit losses allowance on available-for-sale securities for the years ended December 31, 2024 and 2023 is presented below.

	For the Years Ended
	December 31, 2024		December 31, 2023
	(dollars in thousands)
Beginning allowance for credit losses	$	18,560	$	7,188
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	1,840		1,938
Allowance on purchased financial assets with credit deterioration	—		—
Reductions for the securities sold during the period	—		—
Increase/(decrease) on securities with an allowance in the prior period	6,041		12,261
Write-offs charged against the allowance	(499)		(2,860)
Recoveries of amounts previously written off	2,455		33
Ending allowance for credit losses	$	28,397	$	18,560

Schedule of Significant Credit Quality Indicators

The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2024 and December 31, 2023.

	December 31, 2024
	(dollars in thousands)
			Prepay Rate	CDR	Loss Severity
	Amortized Cost		Weighted Average	Weighted Average	Weighted Average
Non-Agency RMBS
Senior	$	130,669	7.5%	1.8%	32.6%
Subordinated	$	58,914	6.2%	0.3%	44.5%

	December 31, 2023
	(dollars in thousands)
			Prepay Rate	CDR	Loss Severity
	Amortized Cost		Weighted Average	Weighted Average	Weighted Average
Non-Agency RMBS
Senior	$	98,394	6.2%	2.3%	35.3%
Subordinated	$	75,005	6.2%	0.7%	38.9%

Summary of Unrealized Gains and Losses on MBS

The following tables present a summary of unrealized gains and losses at December 31, 2024 and December 31, 2023.

	December 31, 2024
	(dollars in thousands)
	Gross Unrealized Gain Included in Accumulated Other Comprehensive Income		Gross Unrealized Gain Included in Cumulative Earnings		Total Gross Unrealized Gain		Gross Unrealized Loss Included in Accumulated Other Comprehensive Income		Gross Unrealized Loss Included in Cumulative Earnings		Total Gross Unrealized Loss
Non-Agency RMBS
Senior	$	164,600	$	—	$	164,600	$	(4,483)	$	(1,285)	$	(5,767)
Subordinated	9,774		10,393		20,167		(10,442)		(17,459)		(27,901)
Interest-only	—		13,164		13,164		—		(93,400)		(93,400)
Agency RMBS
CMO	—		106		106		—		(2,972)		(2,972)
Interest-only	—		1,410		1,410		—		(4,220)		(4,220)
Agency CMBS
Project loans	—		—		—		—		(7,132)		(7,132)
Interest-only	—		949		949		—		(675)		(675)
Total	$	174,374	$	26,022	$	200,396	$	(14,925)	$	(127,142)	$	(142,067)

	December 31, 2023
	(dollars in thousands)
	Gross Unrealized Gain Included in Accumulated Other Comprehensive Income		Gross Unrealized Gain Included in Cumulative Earnings		Total Gross Unrealized Gain		Gross Unrealized Loss Included in Accumulated Other Comprehensive Income		Gross Unrealized Loss Included in Cumulative Earnings		Total Gross Unrealized Loss
Non-Agency RMBS
Senior	$	192,528	$	—	$	192,528	$	(5,396)	$	(1,585)	$	(6,981)
Subordinated	10,757		5,791		16,548		(12,198)		(24,350)		(36,548)
Interest-only	—		14,394		14,394		—		(81,490)		(81,490)
Agency RMBS
Interest-only	—		862		862		—		(5,077)		(5,077)
Agency CMBS
Project loans	—		—		—		(23)		(8,618)		(8,641)
Interest-only	—		1,307		1,307		—		(791)		(791)
Total	$	203,285	$	22,354	$	225,639	$	(17,617)	$	(121,911)	$	(139,528)

Residential Mortgage Backed Securities Collateral Characteristics

The following tables provide a summary of the Company’s MBS portfolio at December 31, 2024 and December 31, 2023.

	December 31, 2024
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value	Weighted Average Coupon		Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	1,010,128	$	45.11	60.83	5.7	%	17.6	%
Subordinated	648,977		59.18		57.99	4.5	%	8.0	%
Interest-only	2,644,741		5.81		2.77	0.7	%	6.6	%
Agency RMBS
CMO	464,640		99.97		99.36	5.8	%	5.8	%
Interest-only	380,311		5.15		4.41	0.7	%	6.9	%
Agency CMBS
Project loans	40,882		101.51		84.07	3.5	%	3.4	%
Interest-only	449,437		1.36		1.43	0.5	%	8.9	%

(1) Bond Equivalent Yield at period end.

	December 31, 2023
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value		Weighted Average Coupon		Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	1,073,632	$	45.69	$	62.98	5.7	%	17.3	%
Subordinated	583,049		50.92		47.49		3.3	%	6.7	%
Interest-only	2,874,680		5.49		3.16		0.5	%	4.2	%
Agency RMBS
Interest-only	392,284		4.90		3.83		0.1	%	5.7	%
Agency CMBS
Project loans	86,572		101.44		91.46		4.0	%	3.8	%
Interest-only	478,239		1.62		1.73		0.5	%	8.2	%

(1) Bond Equivalent Yield at period end.

Schedule of MBS by Estimated Weighted Average Life Classification

The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2024 and December 31, 2023 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.

	December 31, 2024
	(dollars in thousands)
	Weighted Average Life
	Less than one year		Greater than one year and less than five years		Greater than five years and less than ten years		Greater than ten years		Total
Fair value
Non-Agency RMBS
Senior	$	16,171	$	66,384	$	251,104	$	280,834	$	614,493
Subordinated	494		81,838		132,286		161,723		376,341
Interest-only	171		25,717		44,751		2,696		73,335
Agency RMBS
CMO	—		—		62,156		399,500		461,656
Interest-only	4,708		12,076		—		—		16,784
Agency CMBS
Project loans	—		—		—		34,370		34,370
Interest-only	17		6,391		—		—		6,408
Total fair value	$	21,561	$	192,406	$	490,297	$	879,123	$	1,583,387
Amortized cost
Non-Agency RMBS
Senior	$	13,760	$	60,686	$	204,530	$	202,156	$	481,132
Subordinated	784		77,210		135,147		173,859		387,000
Interest-only	18,060		61,959		68,306		5,246		153,571
Agency RMBS
CMO	—		—		62,050		402,472		464,522
Interest-only	6,101		13,493		—		—		19,594
Agency CMBS
Project loans	—		—		—		41,502		41,502
Interest-only	189		5,945		—		—		6,134
Total amortized cost	$	38,895	$	219,293	$	470,032	$	825,235	$	1,553,455

	December 31, 2023
	(dollars in thousands)
	Weighted Average Life
	Less than one year		Greater than one year and less than five years		Greater than five years and less than ten years		Greater than ten years		Total
Fair value
Non-Agency RMBS
Senior	$	12,086	$	100,330	$	288,283	$	275,429	$	676,128
Subordinated	3,727		16,221		100,541		156,414		276,903
Interest-only	269		24,858		62,934		2,714		90,775
Agency RMBS
Interest-only	15,023		—		—		—		15,023
Agency CMBS
Project loans	7,797		—		—		71,382		79,179
Interest-only	614		7,668		—		—		8,282
Total fair value	$	39,516	$	149,077	$	451,758	$	505,939	$	1,146,290
Amortized cost
Non-Agency RMBS
Senior	$	4,072	$	95,442	$	202,295	$	203,824	$	505,633
Subordinated	2,301		12,672		104,432		181,006		300,411
Interest-only	9,527		46,578		98,632		3,134		157,871
Agency RMBS
Interest-only	19,238		—		—		—		19,238
Agency CMBS
Project loans	7,820		—		—		80,000		87,820
Interest-only	775		6,991		—		—		7,766
Total amortized cost	$	43,733	$	161,683	$	405,359	$	467,964	$	1,078,739

Schedule of Various Characteristics of Residential Loan Portfolio

The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses.

December 31, 2024	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total
% of Unpaid Principal Balance	4.3	%	1.5	%	2.5	%	1.4	%	2.9	%	0.6	%	13.2	%

December 31, 2023	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total
% of Unpaid Principal Balance	3.4	%	1.4	%	2.6	%	1.3	%	3.0	%	0.5	%	12.2	%

The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at December 31, 2024 and December 31, 2023, respectively.

December 31, 2024
(dollars in thousands)
Loan Balance	Number of Loans	Interest Rate	Maturity Date	Total Principal	30-89 Days Delinquent	90+ Days Delinquent
Held-for-Investment at fair value:
Adjustable rate loans:
$1 to $250	5,014	0.00% to 22.49%	10/1/2003 - 10/1/2061	378,205	32,937	21,166
$250 to $500	453	2.38% to 15.25%	12/15/2030 - 10/1/2061	155,312	11,578	9,224
$500 to $750	115	3.13% to 11.75%	8/1/2034 - 9/1/2056	68,427	2,237	5,272
$750 to $1,000	37	2.88% to 12.38%	11/1/2035 - 2/1/2059	32,087	2,703	—
Over $1,000	49	2.38% to 10.75%	10/1/2034 - 8/1/2059	77,869	2,666	7,450
	5,668			711,900	52,121	43,112
Fixed loans:
$1 to $250	89,619	0.00% to 20.80%	7/1/2000 - 1/1/2099	6,732,889	634,115	417,529
$250 to $500	6,400	0.00% to 13.00%	12/1/2005 - 4/1/2063	2,135,750	217,893	154,989
$500 to $750	1,000	1.99% to 12.99%	3/1/2013 - 5/1/2063	598,390	36,395	53,842
$750 to $1,000	423	2.00% to 11.10%	3/1/2021 - 10/1/2062	366,673	22,139	15,374
Over $1,000	461	1.73% to 11.25%	1/1/2021 - 6/1/2062	674,329	34,388	43,327
	97,903			10,508,031	944,931	685,062
Total	103,571			11,219,931	997,052	728,174

December 31, 2023 (1)
(dollars in thousands)
Loan Balance	Number of Loans	Interest Rate	Maturity Date	Total Principal	30-89 Days Delinquent	90+ Days Delinquent
Held-for-Investment at fair value:
Adjustable rate loans:
$1 to $250	5,516	0.00% to 22.99%	11/1/2001 - 10/1/2061	419,527	35,474	23,685
$250 to $500	487	2.38% to 14.50%	11/1/2028 - 10/1/2061	169,269	9,648	7,137
$500 to $750	121	3.00% to 10.00%	3/1/2034 - 9/1/2056	72,531	2,973	5,357
$750 to $1,000	37	2.88% to 10.50%	5/1/2035 - 2/1/2059	31,910	2,685	—
Over $1,000	54	2.38% to 9.25%	10/1/2034 - 8/1/2059	84,180	4,318	5,392
	6,215			777,417	55,098	41,571
Fixed loans:
$1 to $250	97,952	0.00% to 20.90%	7/1/2000 - 1/1/2099	7,365,418	694,682	477,229
$250 to $500	6,612	0.00% to 13.00%	12/1/2005 - 11/1/2062	2,203,285	216,451	174,653
$500 to $750	1,000	1.99% to 12.00%	3/1/2013 - 11/1/2062	598,053	30,687	55,958
$750 to $1,000	386	2.00% to 11.99%	3/1/2021 - 11/1/2062	333,086	18,285	21,000
Over $1,000	407	1.73% to 11.99%	1/1/2021 - 11/1/2061	599,099	19,104	36,170
	106,357			11,098,941	979,209	765,010
Total	112,572			11,876,358	1,034,307	806,581

(1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date and settled subsequent to the reporting date.

Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio

The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2024 and December 31, 2023.

	December 31, 2024				December 31, 2023
Weighted average maturity (years)		17.5				19.5
Weighted average amortized loan to value (1)		56.1		%		57.1		%
Weighted average FICO (2)		706				707
Weighted average loan balance (in thousands)		$	247			$	252
Weighted average percentage owner-occupied		67.6		%		84.5		%
Weighted average percentage single family residence		60.3		%		61.4		%
Weighted average current credit enhancement		1.3		%		1.3		%
Weighted average geographic concentration of top four states	CA	32.9		%	CA	33.1		%
	NY	11.8		%	NY	11.6		%
	FL	7.6		%	FL	7.6		%
	NJ	4.6		%	NJ	4.5		%

(1) Value represents appraised value of the collateral at the time of loan origination.

(2) FICO as determined at the time of loan origination.

Schedule of Percentage of Non-Agency RMBS by Year Originated

The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2024 and December 31, 2023.

Origination Year	December 31, 2024		December 31, 2023
2003 and prior	0.9	%	1.2	%
2004	0.7	%	0.8	%
2005	7.0	%	8.2	%
2006	39.0	%	43.3	%
2007	29.4	%	32.5	%
2008 and later	23.0	%	14.0	%
Total	100.0	%	100.0	%

Schedule of Gains and Losses from Sales of Investments

The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2024, 2023 and 2022 are as follows:

	For the Years Ended
	December 31, 2024		December 31, 2023		December 31, 2022
	(dollars in thousands)
Proceeds from sales:
Non-Agency RMBS	$	—	$	—	$	23,056
Agency RMBS	534,717		—		42,502
Agency CMBS	34,672		313,094		—
Gross realized gains:
Non-Agency RMBS	—		—		—
Agency RMBS	34		—		—
Agency CMBS	—		—		—
Gross realized losses:
Non-Agency RMBS	—		—		(15,595)
Agency RMBS	(1,503)		—		(60,878)
Agency CMBS	(3,750)		(31,234)		—
Net realized gain (loss)	$	(5,219)	$	(31,234)	$	(76,473)