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Mortgage-Backed Securities (Tables)
 3 Months Ended
Mar. 31, 2025
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 March 31, 2025 and December 31, 2024.
March 31, 2025
(dollars in thousands)
Principal or Notional ValueTotal PremiumTotal DiscountAmortized CostAllowance for Credit LossFair ValueGross Unrealized GainsGross Unrealized LossesNet Unrealized Gain/(Loss)
Non-Agency RMBS       
Senior$994,386 $23,978 $(544,135)$474,229 $(29,016)$601,108 $161,398 $(5,503)$155,895 
Subordinated643,316 3,122 (261,119)385,319 (2,769)377,585 21,178 (26,143)(4,965)
Interest-only2,589,059 151,549 — 151,549 — 81,147 14,364 (84,766)(70,402)
Agency RMBS       
Pass-through149,420 808 — 150,228 — 149,497 — (731)(731)
CMO451,023 — (179)450,844 — 449,446 25 (1,423)(1,398)
Interest-only379,113 19,267 — 19,267 — 15,852 682 (4,097)(3,415)
Agency CMBS
Project loans40,875 619 — 41,494 — 35,002 — (6,492)(6,492)
Interest-only294,363 5,895 — 5,895 — 6,538 1,351 (708)643 
Total$5,541,555 $205,238 $(805,433)$1,678,825 $(31,785)$1,716,175 $198,998 $(129,863)$69,135 
December 31, 2024
(dollars in thousands)
Principal or Notional ValueTotal PremiumTotal DiscountAmortized CostAllowance for Credit LossesFair ValueGross Unrealized GainsGross Unrealized LossesNet 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 
Subordinated648,977 3,234 (265,211)387,000 (2,925)376,341 20,167 (27,901)(7,734)
Interest-only2,644,741 153,571 — 153,571 — 73,335 13,164 (93,400)(80,236)
Agency RMBS        
CMO464,640 5 (123)464,522 — 461,656 106 (2,972)(2,866)
Interest-only380,311 19,594 — 19,594 — 16,784 1,410 (4,220)(2,810)
Agency CMBS
Project loans40,882 620 — 41,502 — 34,370 — (7,132)(7,132)
Interest-only449,437 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 
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 March 31, 2025 and December 31, 2024. 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.

March 31, 2025
(dollars in thousands)
 Unrealized Loss Position for Less than 12 MonthsUnrealized Loss Position for 12 Months or MoreTotal
 Estimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of Positions
Non-Agency RMBS         
Senior$26,293 $(589)5 $33,595 $(4,914)6 $59,889 $(5,503)11 
Subordinated27,081 (1,202)6 168,468 (24,941)29195,549 (26,143)35
Interest-only6,167 (388)842,135 (84,378)12548,302 (84,766)133
Agency RMBS       
Pass-through149,497 (731)5— — — 149,497 (731)5
CMO371,940 (1,423)6— — — 371,940 (1,423)6
Interest-only5,427 (169)24,150 (3,928)6 9,576 (4,097)8
Agency CMBS
Project loans5,283 (852)4 29,718 (5,640)3235,001 (6,492)36
Interest-only— — — 1,840 (708)3 1,840 (708)3
Total$591,688 $(5,354)36$279,906 $(124,509)201$871,594 $(129,863)237 
December 31, 2024
(dollars in thousands)
 Unrealized Loss Position for Less than 12 MonthsUnrealized Loss Position for 12 Months or MoreTotal
 Estimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of PositionsEstimated Fair ValueUnrealized LossesNumber of Positions
Non-Agency RMBS         
Senior$65,051 $(757)13 $35,492 $(5,010)6 $100,544 $(5,767)19 
Subordinated27,799 (1,135)7 167,742 (26,766)29195,541 (27,901)36 
Interest-only6,061 (1,118)12 35,734 (92,282)12441,795 (93,400)136 
Agency RMBS         
CMO399,502 (2,972)7 — — — 399,502 (2,972)7 
Interest-only1,614 (69)1 8,269 (4,151)7 9,882 (4,220)8 
Agency CMBS
Project loans5,234 (901)4 29,136 (6,231)3234,370 (7,132)36 
Interest-only1,775 (83)1 2,039 (592)33,814 (675)4 
Total$507,036 $(7,035)45$278,412 $(135,032)201$785,448 $(142,067)246 
Schedule of Summary of Credit Loss Allowance A summary of the credit losses allowance on available-for-sale securities for the quarters ended March 31, 2025 and March 31, 2024 is presented below.
For the Quarters Ended
March 31, 2025March 31, 2024
(dollars in thousands)
Beginning allowance for credit losses$28,397 $18,560 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded193 705 
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 period3,480 448 
Write-offs charged against the allowance(305)(302)
Recoveries of amounts previously written off20 496 
Ending allowance for credit losses$31,785 $19,907 
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 March 31, 2025 and December 31, 2024.
March 31, 2025
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior$137,357 6.8%1.6%32.6%
Subordinated$58,318 6.2%0.3%44.5%

December 31, 2024
(dollars in thousands)
  Prepay RateCDRLoss Severity
  Amortized CostWeighted AverageWeighted AverageWeighted Average
Non-Agency RMBS
Senior$130,669 7.5%1.8%32.6%
Subordinated$58,914 6.2%0.3%44.5%
Summary of Unrealized Gains and Losses on MBS
The following tables present a summary of unrealized gains and losses at March 31, 2025 and December 31, 2024.
March 31, 2025
  (dollars in thousands) 
Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized Loss
Non-Agency RMBS      
Senior$161,398 $— $161,398 $(4,446)$(1,058)$(5,503)
Subordinated10,179 10,999 21,178 (9,361)(16,782)(26,143)
Interest-only— 14,364 14,364 — (84,766)(84,766)
Agency RMBS    
Pass-through— — — — (731)(731)
CMO— 25 25 — (1,423)(1,423)
Interest-only— 682 682 — (4,097)(4,097)
Agency CMBS
Project loans— — — — (6,492)(6,492)
Interest-only— 1,351 1,351 — (708)(708)
Total$171,577 $27,421 $198,998 $(13,807)$(116,056)$(129,863)

December 31, 2024
   (dollars in thousands)  
Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized Loss
Non-Agency RMBS      
Senior$164,600 $— $164,600 $(4,483)$(1,285)$(5,767)
Subordinated9,774 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)
Residential Mortgage Backed Securities Collateral Characteristics
The following tables provide a summary of the Company’s MBS portfolio at March 31, 2025 and December 31, 2024.
 March 31, 2025
 Principal or Notional Value
at Period-End
(dollars in thousands)		Weighted Average Amortized
Cost Basis		Weighted Average Fair ValueWeighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS    
Senior$994,386 $44.77 60.45 5.7 %18.1 %
Subordinated643,316 59.47 58.69 4.5 %8.1 %
Interest-only2,589,059 5.85 3.13 0.7 %4.3 %
Agency RMBS     
Pass-through149,420 100.54 100.05 5.5 %5.4 %
CMO451,023 99.96 99.65 5.5 %5.6 %
Interest-only379,113 5.08 4.18 0.9 %7.6 %
Agency CMBS
Project loans40,875 101.52 85.63 3.5 %3.4 %
Interest-only294,363 2.00 2.22 0.6 %9.4 %
(1) Bond Equivalent Yield at period end.
 December 31, 2024
 Principal or Notional Value at Period-End
(dollars in thousands)		Weighted Average Amortized
Cost Basis		Weighted Average Fair ValueWeighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS    
Senior$1,010,128 $45.11 $60.83 5.7 %17.6 %
Subordinated648,977 59.18 57.99 4.5 %8.0 %
Interest-only2,644,741 5.81 2.77 0.7 %6.6 %
Agency RMBS     
CMO464,640 99.97 99.36 5.8 %5.8 %
Interest-only380,311 5.15 4.41 0.7 %6.9 %
Agency CMBS
Project loans40,882 101.51 84.07 3.5 %3.4 %
Interest-only449,437 1.36 1.43 0.5 %8.9 %
(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 March 31, 2025 and December 31, 2024 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.
March 31, 2025
 (dollars in thousands) 
 Weighted Average Life
Less than one yearGreater than one year and less
than five years		Greater than five years and less
than ten years		Greater than ten yearsTotal
Fair value     
Non-Agency RMBS     
Senior$13,056 $78,471 $222,488 $287,093 $601,108 
Subordinated297 85,223 133,978 158,087 377,585 
Interest-only169 29,169 49,252 2,557 81,147 
Agency RMBS     
Pass-through— — 126,245 23,252 149,497 
CMO— — 449,446 — 449,446 
Interest-only3,838 12,014 — — 15,852 
Agency CMBS
Project loans— — — 35,002 35,002 
Interest-only10 5,551 977 — 6,538 
Total fair value$17,370 $210,428 $982,386 $505,991 $1,716,175 
Amortized cost     
Non-Agency RMBS     
Senior$12,056 $79,310 $174,713 $208,150 $474,229 
Subordinated606 80,327 136,268 168,119 385,319 
Interest-only15,094 65,914 66,173 4,368 151,549 
Agency RMBS     
Pass-through— — — 150,228 150,228 
CMO— — 60,913 389,931 450,844 
Interest-only3,938 15,329 — — 19,267 
Agency CMBS
Project loans— — — 41,494 41,494 
Interest-only189 5,706 — — 5,895 
Total amortized cost$31,884 $246,585 $438,067 $962,290 $1,678,825 
December 31, 2024
(dollars in thousands)
 Weighted Average Life
Less than one yearGreater than one year and less
than five years		Greater than five years and less
than ten years		Greater than ten yearsTotal
Fair value     
Non-Agency RMBS     
Senior$16,171 $66,384 $251,104 $280,834 $614,493 
Subordinated494 81,838 132,286 161,723 376,341 
Interest-only171 25,717 44,751 2,696 73,335 
Agency RMBS     
CMO— — 62,156 399,500 461,656 
Interest-only4,708 12,076 — — 16,784 
Agency CMBS
Project loans— — — 34,370 34,370 
Interest-only17 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 
Subordinated784 77,210 135,147 173,859 387,000 
Interest-only18,060 61,959 68,306 5,246 153,571 
Agency RMBS     
CMO— — 62,050 402,472 464,522 
Interest-only6,101 13,493 — — 19,594 
Agency CMBS
Project loans— — — 41,502 41,502 
Interest-only189 5,945 — — 6,134 
Total amortized cost$38,895 $219,293 $470,032 $825,235 $1,553,455 
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 March 31, 2025 and December 31, 2024. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
March 31, 202530 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance4.1 %1.5 %2.5 %1.3 %3.1 %0.6 %13.0 %

December 31, 202430 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance4.3 %1.5 %2.5 %1.4 %2.9 %0.6 %13.2 %
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 March 31, 2025 and December 31, 2024, respectively.
 30 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotalUnpaid Principal Balance
(dollars in thousands)
March 31, 2025$708,565$232,938$254,573$193,934$315,528$37,369$1,742,907$11,292,225
% of Unpaid Principal Balance6.3 %2.1 %2.3 %1.7 %2.8 %0.3 %15.5 %
December 31, 2024$733,298$233,982$294,078$177,592$300,575$36,811$1,776,336$11,659,420
% of Unpaid Principal Balance6.3 %2.0 %2.5 %1.5 %2.6 %0.3 %15.2 %
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 March 31, 2025 and December 31, 2024.
 March 31, 2025December 31, 2024
Weighted average maturity (years) 17.3 17.5
Weighted average amortized loan to value (1)
 55.7 % 56.1 %
Weighted average FICO (2)
 706 706
Weighted average loan balance (in thousands) $245  $247 
Weighted average percentage owner-occupied 67.7 % 67.6 %
Weighted average percentage single family residence 60.3 % 60.3 %
Weighted average current credit enhancement 1.3 % 1.3 %
Weighted average geographic concentration of top four statesCA32.9 %CA32.9 %
NY11.9 %NY11.8 %
FL7.6 %FL7.6 %
NJ4.7 %NJ4.6 %
(1) Value represents appraised value of the collateral at the time of loan origination.
(2) FICO as determined at the time of loan origination.
Schedule of Percentage of Non-Agency RMBS by Year Originated
The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at March 31, 2025 and December 31, 2024.
Origination YearMarch 31, 2025December 31, 2024
2003 and prior1.0 %0.9 %
20040.7 %0.7 %
20056.4 %7.0 %
200639.5 %39.0 %
200729.4 %29.4 %
2008 and later23.0 %23.0 %
Total100.0 %100.0 %
Schedule of Gains and Losses from Sales of Investments The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2025 and 2024 are as follows:
 For the Quarters Ended
 March 31, 2025March 31, 2024
 (dollars in thousands)
Proceeds from sales:
Agency CMBS— 34,672 
Gross realized losses:
Agency CMBS— (3,750)
Net realized gain (loss)$— $(3,750)