Valuation

6 Months Ended

Jun. 30, 2025

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Valuation

The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024:

June 30, 2025:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	259,624	$	8,883	$	268,507
Non-Agency RMBS	—		106,031		258,932		364,963
CMBS	—		13,713		21,615		35,328
CLOs	—		23,367		20,794		44,161
Asset-backed securities, backed by consumer loans	—		—		55,186		55,186
Other ABS	—		—		21,999		21,999
Corporate debt securities	—		—		13,607		13,607
Corporate equity securities	290		—		9,039		9,329
U.S. Treasury securities	—		125,374		—		125,374
Loans, at fair value:
Residential mortgage loans	—		—		3,107,555		3,107,555
Commercial mortgage loans	—		—		435,222		435,222
Consumer loans	—		—		271		271
Corporate loans	—		—		19,709		19,709
Reverse mortgage loans	—		—		11,105,608		11,105,608
Forward MSR-related investments, at fair value					81,256		81,256
MSRs, at fair value	—		—		29,276		29,276
Loan purchase commitments, at fair value	—		—		4,064		4,064
Loan commitments, at fair value	—		—		8,785		8,785
Investment in unconsolidated entities, at fair value	—		—		307,722		307,722
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed indices	—		2,252		—		2,252
Credit default swaps on corporate bond indices	—		4,231		—		4,231
Interest rate swaps	—		148,125		—		148,125
TBAs	—		857		—		857
Futures	799		—		—		799
Options	4,320		—		—		4,320
Total assets	$	5,409	$	683,574	$	15,509,523	$	16,198,506

Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(264,511)	$	—	$	(264,511)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities	—		—		(3)		(3)
Credit default swaps on corporate bonds	—		(188)		—		(188)
Credit default swaps on corporate bond indices	—		(38,511)		—		(38,511)
Interest rate swaps	—		(37,952)		—		(37,952)
TBAs	—		(2,311)		—		(2,311)
Futures	(2,578)		—		—		(2,578)
Forwards	—		(269)		—		(269)
Other secured borrowings, at fair value	—		—		(2,127,225)		(2,127,225)
HMBS-related obligations, at fair value	—		—		(9,814,811)		(9,814,811)
Unsecured borrowings, at fair value	—		—		(249,036)		(249,036)
Total liabilities	$	(2,578)	$	(343,742)	$	(12,191,075)	$	(12,537,395)

December 31, 2024:

Description	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets:
Securities, at fair value:
Agency RMBS	$	—	$	286,057	$	10,660	$	296,717
Non-Agency RMBS	—		56,455		153,188		209,643
CMBS	—		17,807		21,399		39,206
CLOs	—		44,740		22,678		67,418
Asset-backed securities, backed by consumer loans	—		—		60,227		60,227
Other ABS	—		—		35,483		35,483
Corporate debt securities	—		—		14,352		14,352
Corporate equity securities	2,926		—		9,759		12,685
U.S. Treasury securities	—		226,523		—		226,523
Loans, at fair value:
Residential mortgage loans	—		—		3,539,534		3,539,534
Commercial mortgage loans	—		—		350,515		350,515
Consumer loans	—		—		477		477
Corporate loans	—		—		11,767		11,767
Reverse mortgage loans	—		—		10,097,279		10,097,279
Forward MSR-related investments, at fair value	—		—		77,848		77,848
MSRs, at fair value	—		—		29,766		29,766
Loan commitments, at fair value	—		—		6,692		6,692
Investment in unconsolidated entities, at fair value	—		—		220,078		220,078

Description	Level 1		Level 2		Level 3		Total
(continued)	(In thousands)
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed indices	—		1,825		—		1,825
Credit default swaps on corporate bonds	—		83		—		83
Interest rate swaps	—		175,450		—		175,450
TBAs	—		2,381		—		2,381
Warrants	—		9		—		9
Futures	900		—		—		900
Forwards	—		320		—		320
Options	3,427		—		—		3,427
Total assets	$	7,253	$	811,650	$	14,661,702	$	15,480,605
Liabilities:
Securities sold short, at fair value:
Government debt	$	—	$	(293,574)	$	—	$	(293,574)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities	—		—		(3)		(3)
Credit default swaps on corporate bonds	—		(225)		—		(225)
Credit default swaps on corporate bond indices	—		(33,207)		—		(33,207)
Interest rate swaps	—		(35,039)		—		(35,039)
TBAs	—		(2,417)		—		(2,417)
Futures	(130)		—		—		(130)
Forwards	—		(3)		—		(3)
Loan purchase commitments, at fair value	—		—		(1,602)		(1,602)
Other secured borrowings, at fair value	—		—		(1,934,309)		(1,934,309)
HMBS-related obligations, at fair value	—		—		(9,150,883)		(9,150,883)
Unsecured borrowings, at fair value	—		—		(281,912)		(281,912)
Total liabilities	$	(130)	$	(364,465)	$	(11,368,709)	$	(11,733,304)

The tables below include roll-forwards of the Company's financial instruments for the three- and six-month periods ended June 30, 2025 and 2024 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Three-Month Period Ended June 30, 2025

(In thousands)	Beginning Balance as of  March 31, 2025		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/ Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  June 30, 2025
Assets:
Securities, at fair value:
Agency RMBS	$	10,753	$	(396)	$	6	$	133	$	250	$	—	$	1,889	$	(3,752)	$	8,883
Non-Agency RMBS	191,474		(12,116)		1,813		10,432		123,775		(23,695)		1,883		(34,634)		258,932
CMBS	17,687		289		(780)		1,022		—		(812)		4,209		—		21,615
CLOs	12,116		(886)		63		(511)		10,502		(490)		—		—		20,794
Asset-backed securities backed by consumer loans	56,348		(1,758)		(2,448)		1,644		6,767		(5,367)		—		—		55,186
Other ABS	24,481		(136)		2,246		(871)		1,028		(4,749)		—		—		21,999
Corporate debt securities	13,388		—		(123)		18		2,919		(2,595)		—		—		13,607
Corporate equity securities	9,310		—		(984)		622		528		(437)		—		—		9,039
Loans, at fair value:
Residential mortgage loans	3,325,164		(2,848)		13,742		20,041		998,311		(1,246,855)		—		—		3,107,555
Commercial mortgage loans	356,178		3		376		7		96,763		(18,105)		—		—		435,222
Consumer loans	370		(44)		—		(2)		4		(57)		—		—		271
Corporate loans	11,117		—		(1,644)		1,636		45,888		(37,288)		—		—		19,709
Reverse mortgage loans(3)	10,581,329		(133)		—		192,895		560,405		(228,888)		—		—		11,105,608
Forward MSR-related investments, at fair value	87,203		2,927		—		(2,752)		—		(6,122)		—		—		81,256
MSRs, at fair value(3)	29,536		—		—		(260)		—		—		—		—		29,276
Loan commitments, at fair value	7,215		—		—		1,570		—		—		—		—		8,785
Loan purchase commitments, at fair value	1,342		—		—		2,722		—		—		—		—		4,064
Investments in unconsolidated entities, at fair value	269,093		—		2,688		14,384		112,310		(90,753)		—		—		307,722
Total assets, at fair value	$	15,004,104	$	(15,098)	$	14,955	$	242,730	$	1,959,450	$	(1,666,213)	$	7,981	$	(38,386)	$	15,509,523
Liabilities:
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities	$	(3)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(3)
Other secured borrowings, at fair value	(1,926,711)		(1,834)		—		(30,771)		54,745		(222,654)		—		—		(2,127,225)
Unsecured borrowings, at fair value	(247,337)		—		—		(1,699)		—		—		—		—		(249,036)
HMBS-related obligations, at fair value	(9,495,132)		—		—		(142,212)		216,573		(394,040)		—		—		(9,814,811)
Total liabilities, at fair value	$	(11,669,183)	$	(1,834)	$	—	$	(174,682)	$	271,318	$	(616,694)	$	—	$	—	$	(12,191,075)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025.

(In thousands)	Three-Month Period Ended June 30, 2025
Securities, at fair value	$	12,254
Loans, at fair value	210,725
Forward MSR-related investments, at fair value	(2,752)
MSRs, at fair value	(260)
Loan purchase commitments, at fair value	3,206
Loan commitments, at fair value	8,275
Investments in unconsolidated entities, at fair value	11,797
Other secured borrowings, at fair value	(30,771)
Unsecured borrowings, at fair value	(1,699)
HMBS-related obligations, at fair value	(142,212)

At June 30, 2025, the Company transferred $38.4 million of assets from Level 3 to Level 2 and $8.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

Three-Month Period Ended June 30, 2024

(In thousands)	Beginning Balance as of  March 31, 2024		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/ Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  June 30, 2024
Assets:
Securities, at fair value:
Agency RMBS	$	6,722	$	(232)	$	(33)	$	(182)	$	—	$	—	$	1,302	$	(95)	$	7,482
Non-Agency RMBS	100,777		(540)		(8,650)		15,412		16,898		(35,002)		998		(5,082)		84,811
CMBS	14,695		203		—		(1,300)		4,069		—		578		—		18,245
CLOs	23,377		(866)		(3,882)		1,477		61,855		(43,057)		2,500		(5,707)		35,697
Asset-backed securities backed by consumer loans	71,545		(1,755)		(913)		(481)		7,808		(7,280)		—		—		68,924
Other ABS	14,689		(214)		—		2,003		15,401		(683)		—		—		31,196
Corporate debt securities	12,929		—		(511)		50		4,252		(1,654)		—		—		15,066
Corporate equity securities	10,428		—		(189)		(50)		164		(191)		—		—		10,162
Loans, at fair value:
Residential mortgage loans	3,160,176		(1,572)		(2,970)		14,691		679,169		(747,879)		—		—		3,101,615
Commercial mortgage loans	294,100		—		(43)		2,928		109,453		(140,218)		—		—		266,220
Consumer loans	1,289		(112)		53		(17)		31		(295)		—		—		949
Corporate loans	6,219		—		—		—		143		(1,429)		—		—		4,933
Reverse mortgage loans(3)	9,182,448		—		—		152,146		421,712		(283,917)		—		—		9,472,389
Forward MSR-related investments, at fair value	160,009		3,646		—		1,330		—		(6,954)		—		—		158,031
MSRs, at fair value(3)	29,889		—		—		(351)		—		—		—		—		29,538
Servicing asset, at fair value	324		—		—		(324)		—		—		—		—		—
Loan commitments, at fair value	3,917		—		—		1,706		—		—		—		—		5,623
Loan purchase commitments, at fair value	—		—		—		275		—		—		—		—		275
Investments in unconsolidated entities, at fair value	125,366		—		6,776		5,266		153,072		(127,298)		—		—		163,182
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	8		—		(1)		—		1		—		—		—		8
Total return swaps	6		—		17		(3)		—		(17)		—		—		3
Total assets, at fair value	$	13,218,913	$	(1,442)	$	(10,346)	$	194,576	$	1,474,028	$	(1,395,874)	$	5,378	$	(10,884)	$	13,474,349
Liabilities:
Servicing liability, at fair value	$	—	$	—	$	—	$	(232)	$	—	$	—	$	—	$	—	$	(232)
Other secured borrowings, at fair value	(1,569,149)		10		—		(1,516)		43,012		(58,195)		—		—		(1,585,838)
Unsecured borrowings, at fair value	(270,936)		—		—		1,867		—		—		—		—		(269,069)
HMBS-related obligations, at fair value	(8,619,463)		—		—		(127,671)		273,098		(358,022)		—		—		(8,832,058)
Total liabilities, at fair value	$	(10,459,548)	$	10	$	—	$	(127,552)	$	316,110	$	(416,217)	$	—	$	—	$	(10,687,197)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2024, as well as Level 3 financial instruments disposed of by the

Company during the three-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024.

(In thousands)	Three-Month Period Ended June 30, 2024
Securities, at fair value	$	(3,622)
Loans, at fair value	169,607
Forward MSR-related investments, at fair value	1,330
MSRs, at fair value	(351)
Servicing asset, at fair value	(556)
Loan commitments, at fair value	1,706
Loan purchase commitments, at fair value	275
Investments in unconsolidated entities, at fair value	2,949
Financial derivatives-assets, at fair value	(2)
Other secured borrowings, at fair value	(1,516)
Unsecured borrowings, at fair value	1,867
HMBS-related obligations, at fair value	(127,671)

At June 30, 2024, the Company transferred $10.9 million of assets from Level 3 to Level 2 and $5.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

Six-Month Period Ended June 30, 2025

(In thousands)	Beginning Balance as of  December 31, 2024		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/ Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  June 30, 2025
Assets:
Securities, at fair value:
Agency RMBS	$	10,660	$	(745)	$	43	$	499	$	1,003	$	(848)	$	2,275	$	(4,004)	$	8,883
Non-Agency RMBS	153,188		(19,141)		1,754		8,547		169,579		(31,031)		7,491		(31,455)		258,932
CMBS	21,399		560		(323)		(12)		—		(4,017)		9,388		(5,380)		21,615
CLOs	22,678		(2,299)		146		(1,686)		11,124		(9,169)		—		—		20,794
Asset-backed securities backed by consumer loans	60,227		(3,471)		(4,456)		976		13,624		(11,714)		—		—		55,186
Other ABS	35,483		(4)		3,315		(1,998)		2,049		(16,846)		—		—		21,999
Corporate debt securities	14,352		—		259		(496)		6,263		(6,771)		—		—		13,607
Corporate equity securities	9,759		—		(348)		689		1,021		(2,082)		—		—		9,039
Loans, at fair value:
Residential mortgage loans	3,539,534		(532)		11,284		43,839		1,916,015		(2,402,585)		—		—		3,107,555
Commercial mortgage loans	350,515		48		(9,699)		11,724		155,510		(72,876)		—		—		435,222
Consumer loans	477		(79)		26		(24)		17		(146)		—		—		271
Corporate loans	11,767		—		(1,644)		1,751		68,089		(60,254)		—		—		19,709
Reverse mortgage loans(3)	10,097,279		(133)		—		389,274		1,024,883		(405,695)		—		—		11,105,608
Forward MSR-related investments, at fair value	77,848		5,581		—		11,996		—		(14,169)		—		—		81,256
MSRs, at fair value(3)	29,766		—		—		(490)		—		—		—		—		29,276
Loan commitments, at fair value	6,692		—		—		2,093		—		—		—		—		8,785
Loan purchase commitments, at fair value	—		—		—		4,064		—		—		—		—		4,064
Investments in unconsolidated entities, at fair value	220,078		—		(2,380)		27,756		241,077		(178,809)		—		—		307,722
Total assets, at fair value	$	14,661,702	$	(20,215)	$	(2,023)	$	498,502	$	3,610,254	$	(3,217,012)	$	19,154	$	(40,839)	$	15,509,523
Liabilities:
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities	$	(3)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(3)
Loan purchase commitments, at fair value	(1,602)		—		—		1,602		—		—		—		—		—
Other secured borrowings, at fair value	(1,934,309)		(3,292)		—		(61,330)		94,360		(222,654)		—		—		(2,127,225)
Unsecured borrowings, at fair value	(281,912)		—		(1,383)		(673)		34,932		—		—		—		(249,036)
HMBS-related obligations, at fair value	(9,150,883)		—		—		(289,682)		403,296		(777,542)		—		—		(9,814,811)
Total liabilities, at fair value	$	(11,368,709)	$	(3,292)	$	(1,383)	$	(350,083)	$	532,588	$	(1,000,196)	$	—	$	—	$	(12,191,075)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025.

(In thousands)	Six-Month Period Ended June 30, 2025
Securities, at fair value	$	7,321
Loans, at fair value	420,369
Forward MSR-related investments, at fair value	11,996
MSRs, at fair value	(490)
Loan purchase commitments, at fair value	4,064
Loan commitments, at fair value	8,781
Investments in unconsolidated entities, at fair value	15,839
Other secured borrowings, at fair value	(61,330)
Unsecured borrowings, at fair value	(1,827)
HMBS-related obligations, at fair value	(289,682)

At June 30, 2025, the Company transferred $40.8 million of assets from Level 3 to Level 2 and $19.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

Six-Month Period Ended June 30, 2024

(In thousands)	Beginning Balance as of  December 31, 2023		Accreted Discounts / (Amortized Premiums)		Net Realized Gain/ (Loss)		Change in Net Unrealized Gain/(Loss)		Purchases/Payments(1)		Sales/Issuances(2)		Transfers Into Level 3		Transfers Out of Level 3		Ending Balance as of  June 30, 2024
Assets:
Securities, at fair value:
Agency RMBS	$	5,512	$	(441)	$	(32)	$	(320)	$	315	$	(131)	$	2,673	$	(94)	$	7,482
Non-Agency RMBS	155,240		(1,502)		(3,874)		20,616		20,755		(101,831)		2,320		(6,913)		84,811
CMBS	14,143		390		136		(643)		4,405		(1,097)		911		—		18,245
CLOs	20,439		(982)		(3,616)		1,222		64,498		(45,497)		5,340		(5,707)		35,697
Asset-backed securities backed by consumer loans	74,226		(3,824)		(2,266)		80		16,099		(15,391)		—		—		68,924
Other ABS	7,696		154		—		1,646		22,394		(694)		—		—		31,196
Corporate debt securities	8,041		—		(477)		680		9,409		(2,587)		—		—		15,066
Corporate equity securities	12,294		—		549		(507)		164		(2,338)		—		—		10,162
Loans, at fair value:
Residential mortgage loans	3,093,912		(1,824)		(5,465)		20,776		1,195,243		(1,201,027)		—		—		3,101,615
Commercial mortgage loans	266,595		—		(44)		1,818		215,409		(217,558)		—		—		266,220
Consumer loans	1,759		(234)		26		3		140		(745)		—		—		949
Corporate loans	5,819		—		—		(101)		729		(1,514)		—		—		4,933
Reverse mortgage loans(3)	8,938,551		—		—		351,452		738,763		(556,377)		—		—		9,472,389
Forward MSR-related investments, at fair value	163,336		7,243		—		2,943		—		(15,491)		—		—		158,031
MSRs, at fair value(3)	29,580		—		—		(42)		—		—		—		—		29,538
Servicing asset, at fair value	1,327		—		—		(1,327)		—		—		—		—		—
Loan commitments, at fair value	2,584		—		—		3,039		—		—		—		—		5,623
Loan purchase commitments, at fair value	—		—		—		275		—		—		—		—		275
Investments in unconsolidated entities, at fair value	116,414		—		7,948		6,320		187,331		(154,831)		—		—		163,182
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed securities	8		—		(1)		—		1		—		—		—		8
Total return swaps	6		—		37		(3)		—		(37)		—		—		3
Total assets, at fair value	$	12,917,482	$	(1,020)	$	(7,079)	$	407,927	$	2,475,655	$	(2,317,146)	$	11,244	$	(12,714)	$	13,474,349
Liabilities:
Servicing liability, at fair value	—		—		—		(232)		—		—		—		—		(232)
Other secured borrowings, at fair value	(1,424,668)		(642)		—		(14,040)		74,196		(220,684)		—		—		(1,585,838)
Unsecured borrowings, at fair value	(272,765)		—		—		3,696		—		—		—		—		(269,069)
HMBS-related obligations, at fair value	(8,423,235)		—		—		(305,654)		547,555		(650,724)		—		—		(8,832,058)
Total liabilities, at fair value	$	(10,120,668)	$	(642)	$	—	$	(316,230)	$	621,751	$	(871,408)	$	—	$	—	$	(10,687,197)

(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.

(2)For Investments in unconsolidated entities, at fair value, amount represents distributions received.

(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024.

(In thousands)	Six-Month Period Ended June 30, 2024
Securities, at fair value	$	1,063
Loans, at fair value	373,679
Forward MSR-related investments, at fair value	2,943
MSRs, at fair value	(42)
Servicing asset, at fair value	(1,559)
Loan purchase commitments, at fair value	275
Loan commitments, at fair value	3,039
Investments in unconsolidated entities, at fair value	3,419
Financial derivatives-assets, at fair value	(3)
Other secured borrowings, at fair value	(14,040)
Unsecured borrowings, at fair value	3,696
HMBS-related obligations, at fair value	(305,654)

At June 30, 2024, the Company transferred $12.7 million of assets from Level 3 to Level 2 and $11.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.

The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024:

	June 30, 2025				December 31, 2024
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	211,013	$	211,013	$	192,387	$	192,387
Restricted cash	19,617		19,617		16,561		16,561
Due from brokers	45,973		45,973		22,186		22,186
Reverse repurchase agreements	348,389		348,389		336,743		336,743
Liabilities:
Repurchase agreements	2,347,458		2,347,458		2,584,040		2,584,040
Other secured borrowings	340,289		340,289		253,300		253,300
Due to brokers	30,098		30,098		55,429		55,429

Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature.

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2025:

June 30, 2025:

	Fair Value		Valuation  Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	109,629	Market Quotes	Non Binding Third-Party Valuation	$	0.37		$	120.60		$	79.17
	149,303		Discounted Cash Flows
	258,932			Yield	0.0		%	108.0		%	10.6		%
				Projected Collateral Prepayments	0.0		%	100.0		%	47.0		%
				Projected Collateral Losses	0.0		%	53.6		%	3.5		%
				Projected Collateral Recoveries	0.0		%	18.9		%	9.3		%
Non-Agency CMBS	17,736		Market Quotes	Non Binding Third-Party Valuation	$	5.81		$	95.52		$	58.73
	3,879		Discounted Cash Flows
	21,615			Yield	7.5		%	22.3		%	12.8		%
				Projected Collateral Losses	0.0		%	90.0		%	5.5		%
				Projected Collateral Recoveries	10.0		%	100.0		%	93.8		%
CLOs	14,234		Market Quotes	Non Binding Third-Party Valuation	$	7.00		$	99.90		$	75.47
	6,560		Discounted Cash Flows
	20,794			Yield	7.0		%	95.8		%	22.3		%
Agency interest only RMBS	1,563		Market Quotes	Non Binding Third-Party Valuation	$	1.94		$	15.03		$	6.56
	7,320		Option Adjusted Spread ("OAS")
	8,883			LIBOR OAS(1)	137			3,287			572
				Projected Collateral Prepayments	12.9		%	89.6		%	48.8		%
ABS	17,527		Market Quotes	Non Binding Third-Party Valuation	$	4.38		$	97.32		$	53.76
	59,658		Discounted Cash Flows
	77,185			Yield	1.4		%	27.6		%	11.3		%
				Projected Collateral Prepayments	0.0		%	82.8		%	18.8		%
				Projected Collateral Losses	0.0		%	35.7		%	22.5		%
Corporate debt and equity	22,646		Discounted Cash Flows	Yield	0.0		%	58.3		%	20.9		%
Performing and re-performing residential mortgage loans	1,465,592		Discounted Cash Flows	Yield	0.5		%	33.7		%	7.7		%
Securitized residential mortgage loans(2)(3)	1,390,932		Market Quotes	Non Binding Third-Party Valuation	$	0.53		$	106.92		$	88.32
	65,209		Discounted Cash Flows
	1,456,141			Yield	0.4		%	8.9		%	4.4		%
Non-performing residential mortgage loans	185,822		Discounted Cash Flows	Yield	0.1		%	79.9		%	15.8		%
				Recovery Amount	0.3		%	246.0		%	104.2		%
				Months to Resolution	0.0			115.1			18.5
Performing commercial mortgage loans	380,542		Discounted Cash Flows	Yield	8.5		%	13.3		%	9.9		%
Non-performing commercial mortgage loans	54,680		Discounted Cash Flows	Yield	10.1		%	12.1		%	11.4		%
				Recovery Amount	100.0		%	100.0		%	100.0		%
				Months to Resolution	1.1			8.0			4.9

	Fair Value	Valuation  Technique	Unobservable Input	Range						Weighted Average
Description				Min			Max
(continued)	(In thousands)
Consumer loans	271	Discounted Cash Flows	Yield	8.8		%	13.3		%	12.0		%
			Projected Collateral Prepayments	—		%	14.1		%	8.7		%
			Projected Collateral Losses	0.3		%	84.1		%	26.8		%
Corporate loans	19,709	Discounted Cash Flows	Yield	6.9		%	25.3		%	13.1		%
Reverse Mortgage Loans—HECM	10,016,456	Discounted Cash Flows	Yield	2.2		%	6.4		%	4.3		%
			Conditional Prepayment Rate	1.8		%	38.2		%	7.6		%
Reverse Mortgage Loans—HECM buyouts	29,551	Discounted Cash Flows	Yield	7.7		%	11.4		%	9.7		%
			Months to Resolution	0.3			96.0			22.2
Reverse Mortgage Loans—Unsecuritized Proprietary	228,691	Discounted Cash Flows	Yield	6.3		%	8.7		%	7.2		%
			Conditional Prepayment Rate	11.9		%	42.0		%	14.4		%
Reverse Mortgage Loans—Securitized Proprietary(2)	830,910	Market Quotes	Non Binding Third-Party Valuation	$	93.76		$	115.81		$	110.14
			Yield	5.6		%	7.7		%	5.9		%
Forward MSR-related investments	81,256	Discounted Cash Flows	Yield	8.8		%	8.8		%	8.8		%
			Conditional Prepayment Rate	5.0		%	5.0		%	5.0		%
MSRs	29,276	Discounted Cash Flows	Yield	17.4		%	17.4		%	17.4		%
			Conditional Prepayment Rate	10.2		%	55.5		%	15.2		%
Loan Purchase Commitments	4,064	Transaction Price	Yield	6.3		%	6.8		%	6.7		%
Loan Commitments	8,785	Discounted Cash Flows	Pull-through rate	60.0		%	100.0		%	65.9		%
			Cost to originate	3.6		%	7.4		%	4.4		%
Investment in unconsolidated entities—Loan origination and mortgage-related entities	63,892	Enterprise Value	Equity Price-to-Book(4)	0.5x			2.0x			1.8x
Investment in unconsolidated entities—Other	242,330	Enterprise Value	Net Asset Value	n/a			n/a			n/a
Investment in unconsolidated entities—Loan origination-related entities	1,500	Recent Transactions	Transaction Price	n/a			n/a			n/a
	307,722
Credit default swaps on asset-backed securities	(3)	Net Discounted Cash Flows	Projected Collateral Prepayments	22.9		%	22.9		%	22.9		%
			Projected Collateral Losses	8.6		%	8.6		%	8.6		%
			Projected Collateral Recoveries	12.3		%	12.3		%	12.3		%
Other secured borrowings, at fair value(2)	(2,127,225)	Market Quotes	Non Binding Third-Party Valuation	$	50.00		$	106.92		$	91.94
			Yield	5.6%			11.6%			6.0%
			Projected Collateral Prepayments	10.1%			100.0%			86.7%
HMBS-related obligations, at fair value	(9,814,811)	Discounted Cash Flows	Yield	2.0%			6.3%			4.2%
			Conditional Prepayment Rate	6.8%			38.2%			7.6%
Unsecured borrowings, at fair value	(249,036)	Market Quotes	Non Binding Third-Party Valuation	$	79.00		$	95.57		$	94.88

(1)Shown in basis points.

(2)Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2.

(3)Includes $53.7 million of non-performing securitized residential mortgage loans.

(4)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $1.8 million. Including such investments, the weighted average price-to-book ratio was 1.7x.

Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party models and, when available, to recent trading activity in the same or similar instruments.

For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates (which are calculated by using an assumed spread over projected SOFR rates) implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.