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Investment in Securities

6 Months Ended

Jun. 30, 2025

Investments, Debt and Equity Securities [Abstract]

The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of June 30, 2025 and December 31, 2024.

June 30, 2025:


							Gross Unrealized						Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)(2)		Yield		Life (Years)(3)
Long:
Agency RMBS:
15-year fixed-rate mortgages	$	5,944	$	(32)	$	5,912	$	29	$	(118)	$	5,823	3.50	%	3.80	%	2.64
30-year fixed-rate mortgages	268,301		(3,752)		264,549		1,908		(17,819)		248,638		3.93	%	3.88	%	7.57
Reverse mortgages	1,175		36		1,211		—		(52)		1,159		4.39	%	2.61	%	2.17
Interest only securities	n/a		n/a		11,617		1,562		(292)		12,887		1.11	%	11.90	%	6.86
Non-Agency RMBS	280,730		(75,451)		205,279		23,806		(5,617)		223,468		4.99	%	8.18	%	4.47
CMBS	77,504		(31,476)		46,028		1,347		(13,578)		33,797		3.89	%	10.48	%	4.34
Non-Agency interest only securities	n/a		n/a		141,396		11,579		(9,949)		143,026		0.65	%	14.91	%	3.30
CLOs	n/a		n/a		51,401		1,438		(8,678)		44,161		2.18	%	13.94	%	6.04
ABS	170,752		(153,980)		16,772		5,487		(260)		21,999		2.50	%	29.36	%	2.63
ABS backed by consumer loans	154,653		(91,737)		62,916		563		(8,293)		55,186		12.00	%	9.29	%	1.61
Corporate debt	52,738		(38,913)		13,825		833		(1,051)		13,607		0.10	%	—	%	2.40
Corporate equity	n/a		n/a		9,598		1,922		(2,191)		9,329		n/a		n/a		n/a
U.S. Treasury securities	124,522		(306)		124,216		1,158		—		125,374		4.12	%	4.07	%	6.60
Total Long	1,136,319		(395,611)		954,720		51,632		(67,898)		938,454		4.91	%	8.15	%	5.26
Short:
U.S. Treasury securities	(261,199)		3,714		(257,485)		50		(4,344)		(261,779)		4.01	%	4.22	%	6.82
European sovereign bonds	(2,782)		101		(2,681)		—		(51)		(2,732)		0.13	%	1.27	%	0.59
Total Short	(263,981)		3,815		(260,166)		50		(4,395)		(264,511)		3.96	%	4.18	%	6.76
Total	$	872,338	$	(391,796)	$	694,554	$	51,682	$	(72,293)	$	673,943	4.89	%	7.27	%	5.59

(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.

(2)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity.

(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

December 31, 2024:


							Gross Unrealized						Weighted Average
($ in thousands)	Current Principal		Unamortized Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon(1)(2)		Yield		Life (Years)(3)
Long:
Agency RMBS:
15-year fixed-rate mortgages	$	7,275	$	(34)	$	7,241	$	—	$	(226)	$	7,015	3.51	%	3.72	%	2.74
30-year fixed-rate mortgages	264,915		239		265,154		574		(22,367)		243,361		4.08	%	3.94	%	7.59
Reverse mortgages	31,527		2,620		34,147		306		(1,329)		33,124		6.82	%	3.49	%	4.57
Interest only securities	n/a		n/a		12,430		1,295		(508)		13,217		1.11	%	11.57	%	7.01
Non-Agency RMBS	184,120		(68,364)		115,756		14,551		(6,716)		123,591		4.96	%	9.13	%	3.78
CMBS	81,490		(32,979)		48,511		1,697		(13,493)		36,715		3.89	%	10.98	%	4.53
Non-Agency interest only securities	n/a		n/a		83,215		9,745		(4,417)		88,543		0.77	%	15.56	%	5.17
CLOs	n/a		n/a		73,749		1,196		(7,527)		67,418		2.63	%	12.22	%	5.97
ABS	212,629		(184,370)		28,259		7,226		(2)		35,483		2.88	%	18.89	%	3.03
ABS backed by consumer loans	152,555		(83,622)		68,933		1,034		(9,740)		60,227		12.00	%	10.02	%	1.59
Corporate debt	47,416		(33,342)		14,074		1,276		(998)		14,352		0.11	%	—	%	2.57
Corporate equity	n/a		n/a		17,187		1,666		(6,168)		12,685		n/a		n/a		n/a
U.S. Treasury securities	221,114		12,155		233,269		129		(6,875)		226,523		4.33	%	4.03	%	7.67
Total Long	1,203,041		(387,697)		1,001,925		40,695		(80,366)		962,254		4.95	%	7.47	%	5.88
Short:
U.S. Treasury securities	(273,989)		78		(273,911)		5,797		(9)		(268,123)		4.11	%	4.08	%	6.92
European sovereign bonds	(25,588)		(2,158)		(27,746)		2,295		—		(25,451)		0.01	%	0.16	%	0.18
Total Short	(299,577)		(2,080)		(301,657)		8,092		(9)		(293,574)		3.76	%	3.72	%	6.34
Total	$	903,464	$	(389,777)	$	700,268	$	48,787	$	(80,375)	$	668,680	4.77	%	6.58	%	5.99

(2)Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity.

The following tables detail weighted average life of the Company's Agency RMBS as of June 30, 2025 and December 31, 2024.

June 30, 2025:


($ in thousands)	Agency RMBS						Agency Interest Only Securities
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	5,303	$	5,306	3.60	%	$	2,124	$	1,908	1.12	%
Greater than three years and less than seven years	72,411		74,076		5.18	%	4,811		4,322		1.70	%
Greater than seven years and less than eleven years	177,906		192,290		3.47	%	5,952		5,387		0.81	%
Total	$	255,620	$	271,672	3.93	%	$	12,887	$	11,617	1.11	%

(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

December 31, 2024:


($ in thousands)	Agency RMBS						Agency Interest Only Securities
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(2)		Fair Value		Amortized Cost		Weighted Average Coupon(2)
Less than three years	$	7,194	$	7,317	3.70	%	$	2,162	$	1,976	1.05	%
Greater than three years and less than seven years	101,099		103,721		5.84	%	4,516		4,497		1.60	%
Greater than seven years and less than eleven years	175,207		195,504		3.61	%	5,973		5,419		0.95	%
Greater than eleven years	—		—		—	%	566		538		0.56	%
Total	$	283,500	$	306,542	4.35	%	$	13,217	$	12,430	1.11	%

(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of June 30, 2025 and December 31, 2024.

June 30, 2025:


($ in thousands)	Non-Agency RMBS and CMBS						Non-Agency IOs						CLOs and Other Securities(2)
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)
Less than three years	$	135,282	$	122,359	4.18	%	$	110,119	$	114,006	1.30	%	$	80,157	$	87,681	4.81	%
Greater than three years and less than seven years	70,185		67,078		5.63	%	15,087		15,688		0.18	%	38,982		40,419		4.63	%
Greater than seven years and less than eleven years	40,119		51,261		4.89	%	17,542		11,493		0.14	%	15,814		16,814		1.23	%
Greater than eleven years	11,679		10,609		6.87	%	278		209		1.24	%	—		—		—	%
Total	$	257,265	$	251,307	4.75	%	$	143,026	$	141,396	0.65	%	$	134,953	$	144,914	4.63	%

(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.

(2)Other Securities includes ABS and corporate debt.

(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

December 31, 2024:


($ in thousands)	Non-Agency RMBS and CMBS						Non-Agency IOs						CLOs and Other Securities(2)
Estimated Weighted Average Life(1)	Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)		Fair Value		Amortized Cost		Weighted Average Coupon(3)
Less than three years	$	89,109	$	89,208	4.34	%	$	5,907	$	6,981	1.15	%	$	98,907	$	104,737	4.70	%
Greater than three years and less than seven years	46,255		40,565		6.20	%	60,096		60,809		1.63	%	54,378		55,864		5.97	%
Greater than seven years and less than eleven years	18,933		28,703		3.31	%	22,238		15,198		0.15	%	24,195		24,414		1.09	%
Greater than eleven years	6,009		5,791		6.95	%	302		227		1.24	%	—		—		—	%
Total	$	160,306	$	164,267	4.63	%	$	88,543	$	83,215	0.77	%	$	177,480	$	185,015	4.68	%

(2)Other Securities includes ABS and corporate debt.

(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.

The following table details the components of interest income by security type for the three- and six-month periods ended June 30, 2025 and 2024:


	Three-Month Period Ended
(In thousands)	June 30, 2025						June 30, 2024
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	3,467	$	(626)	$	2,841	$	6,731	$	128	$	6,859
Non-Agency RMBS and CMBS	19,279		(11,673)		7,606		6,118		(557)		5,561
CLOs	2,166		(805)		1,361		3,728		(1,104)		2,624
Other securities(1)	6,285		(1,969)		4,316		7,780		(3,077)		4,703
Total	$	31,197	$	(15,073)	$	16,124	$	24,357	$	(4,610)	$	19,747

(1)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities.


	Six-Month Period Ended
(In thousands)	June 30, 2025						June 30, 2024
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	7,360	$	(380)	$	6,980	$	15,797	$	(1,870)	$	13,927
Non-Agency RMBS and CMBS	34,677		(18,408)		16,269		14,805		(1,407)		13,398
CLOs	5,328		(2,130)		3,198		5,614		(1,480)		4,134
Other securities(1)	13,728		(3,674)		10,054		14,904		(5,735)		9,169
Total	$	61,093	$	(24,592)	$	36,501	$	51,120	$	(10,492)	$	40,628

(1)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities.

For the three-month periods ended June 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $(0.1) million and $0.7 million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $0.9 million and $(0.6) million, respectively.

The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and six-month periods ended June 30, 2025 and 2024.


(In thousands)	Three-Month Period Ended June 30, 2025				Three-Month Period Ended June 30, 2024
Security Type	Proceeds(1)	Gross Realized Gains	Gross Realized Losses(2)	Net Realized Gain (Loss)	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	3,910	27	(450)	(423)	$	181,602	$	90	$	(14,251)	$	(14,161)
Non-Agency RMBS and CMBS	23,858	3,564	(122)	3,442	105,021		1,783		(6,712)		(4,929)
CLOs	60	63	—	63	42,843		98		(1)		97
Other securities(3)	428,325	3,791	(6,240)	(2,449)	93,649		264		(1,337)		(1,073)
Total	456,153	7,445	(6,812)	633	$	423,115	$	2,235	$	(22,301)	$	(20,066)

(1)Includes proceeds on sales of securities not yet settled as of period end.

(2)Excludes realized losses of $(3.9) million and $(1.1) million for the three-month periods ended June 30, 2025 and 2024, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible.

(3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.


(In thousands)	Six-Month Period Ended June 30, 2025								Six-Month Period Ended June 30, 2024
Security Type	Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)		Proceeds(1)		Gross Realized Gains		Gross Realized Losses(2)		Net Realized Gain (Loss)
Agency RMBS	$	41,853	$	454	$	(2,067)	$	(1,613)	$	418,204	$	1,154	$	(27,469)	$	(26,315)
Non-Agency RMBS and CMBS	45,089		7,374		(99)		7,275		217,814		8,560		(7,540)		1,020
CLOs	29,955		756		(1,118)		(362)		45,155		486		(123)		363
Other securities(3)	451,507		6,343		(8,562)		(2,219)		148,919		1,626		(1,793)		(167)
Total	$	568,404	$	14,927	$	(11,846)	$	3,081	$	830,092	$	11,826	$	(36,925)	$	(25,099)

(1)Includes proceeds on sales of securities not yet settled as of period end.

(2)Excludes realized losses of $(6.4) million and $(10.8) million, for the six-month periods ended June 30, 2025 and 2024, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible.

(3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.

The following tables present the fair value and gross unrealized losses of the Company's long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost basis, by length of time that such securities have been in an unrealized loss position at June 30, 2025 and December 31, 2024.

June 30, 2025:


(In thousands)	Less than 12 Months				Greater than 12 Months				Total
Security Type	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Agency RMBS	$	31,117	$	(530)	$	123,367	$	(17,470)	$	154,484	$	(18,000)
Non-Agency RMBS and CMBS	46,518		(1,017)		1,858		(48)		48,376		(1,065)
CLOs	1,660		(8)		1,099		(361)		2,759		(369)
Other securities(1)	3,105		(1,374)		2,540		(820)		5,645		(2,194)
Total	$	82,400	$	(2,929)	$	128,864	$	(18,699)	$	211,264	$	(21,628)

(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities.

December 31, 2024:


(In thousands)	Less than 12 Months				Greater than 12 Months				Total
Security Type	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Agency RMBS	$	70,028	$	(1,429)	$	153,009	$	(22,640)	$	223,037	$	(24,069)
Non-Agency RMBS and CMBS	4,600		(210)		3,266		(593)		7,866		(803)
CLOs	17,505		(633)		5		—		17,510		(633)
Other securities(1)	209,184		(7,452)		5,716		(5,591)		214,900		(13,043)
Total	$	301,317	$	(9,724)	$	161,996	$	(28,824)	$	463,313	$	(38,548)

(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities.

As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of June 30, 2025 and December 31, 2024, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $35.2 million and $29.7 million, respectively, related to adverse changes in estimated future cash flows on its securities.

The Company has determined for certain securities that a portion of such securities' cost basis is not collectible. For the three-month periods ended June 30, 2025 and 2024, the Company recognized realized losses on these securities of $(3.9) million and $(1.1) million, respectively. For the six-month periods ended June 30, 2025 and 2024, the Company recognized realized losses on these securities of $(6.4) million and $(10.8) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.