Loans Held for Investment (Tables)

3 Months Ended

Mar. 31, 2025

Investments, Debt and Equity Securities [Abstract]

Summary of Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2025 and December 31, 2024:

	For the Quarter Ended		For the Year Ended
	March 31, 2025		December 31, 2024
	(dollars in thousands)
Balance, beginning of period	$	11,196,678	$	11,397,046
Purchases	38,470		1,062,699
Principal paydowns	(347,749)		(1,309,843)
Sales and settlements	(53,090)		(116,652)
Net periodic accretion (amortization)	(2,399)		(39,236)
Change in fair value	151,930		202,664
Balance, end of period	$	10,983,840	$	11,196,678

Schedule of Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated

The loan portfolio for all residential mortgages were originated during the following periods:

Origination Year	March 31, 2025		December 31, 2024
2002 and prior	4.9	%	5.0	%
2003	4.4	%	4.4	%
2004	8.3	%	8.2	%
2005	14.3	%	14.1	%
2006	18.2	%	18.0	%
2007	20.1	%	20.9	%
2008	6.0	%	6.8	%
2009	1.4	%	1.7	%
2010 and later	22.4	%	20.9	%
Total	100.0	%	100.0	%

Schedule of Key Characteristics of Residential Loan Portfolio

The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2025 and December 31, 2024:

	March 31, 2025				December 31, 2024
Number of loans		102,392				103,571
Weighted average maturity (years)		20.52				20.4
Weighted average loan to value (1)		78.7		%		78.4		%
Weighted average FICO		670				667
Weighted average loan balance (in thousands)		$	110			$	108
Weighted average percentage owner occupied		82.5		%		85.0		%
Weighted average percentage single family residence		77.4		%		77.4		%
Weighted average geographic concentration of top five states	CA	15.9		%	CA	15.5		%
	FL	8.9		%	FL	8.8		%
	NY	8.7		%	NY	8.7		%
	NJ	4.3		%	PA	4.3		%
	PA	4.3		%	NJ	4.3		%

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

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, 2025	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total
% of Unpaid Principal Balance	4.1	%	1.5	%	2.5	%	1.3	%	3.1	%	0.6	%	13.0	%

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	%

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 Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total		Unpaid 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 Balance	6.3	%	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 Balance	6.3	%	2.0	%	2.5	%	1.5	%	2.6	%	0.3	%	15.2	%