Investment in Securities

9 Months Ended

Sep. 30, 2025

Investments, Debt and Equity Securities [Abstract]

Investment in Securities

Investment in Securities

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

September 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	$	5,588	$	(26)	$	5,562	$	37	$	(106)	$	5,493	3.50	%	3.79	%	2.56
30-year fixed-rate mortgages	215,068		(279)		214,789		2,024		(15,145)		201,668		3.93	%	3.84	%	7.26
Reverse mortgages	923		36		959		—		(44)		915		4.39	%	2.66	%	2.65
Interest only securities	n/a		n/a		11,201		1,654		(188)		12,667		1.13	%	12.17	%	6.87
Non-Agency RMBS	307,317		(77,252)		230,065		26,694		(6,060)		250,699		5.08	%	8.48	%	4.21
CMBS	70,771		(28,693)		42,078		1,258		(13,740)		29,596		3.75	%	10.45	%	4.25
Non-Agency interest only securities	n/a		n/a		167,639		9,943		(15,472)		162,110		0.60	%	19.59	%	2.89
CLOs	n/a		n/a		91,230		1,292		(10,097)		82,425		2.75	%	16.41	%	7.20
ABS	273,805		(244,923)		28,882		5,113		(472)		33,523		2.30	%	22.02	%	3.54
ABS backed by consumer loans	155,768		(94,371)		61,397		427		(7,767)		54,057		12.00	%	9.24	%	1.64
Corporate debt	52,082		(37,192)		14,890		935		(1,672)		14,153		0.10	%	—	%	2.28
Corporate equity	n/a		n/a		10,530		2,487		(1,515)		11,502		n/a		n/a		n/a
U.S. Treasury securities	50,492		77		50,569		474		—		51,043		4.09	%	3.94	%	4.97
Total Long	1,131,814		(482,623)		929,791		52,338		(72,278)		909,851		4.78	%	10.42	%	4.79
Short:
U.S. Treasury securities	(230,202)		(636)		(230,838)		429		(939)		(231,348)		4.02	%	3.95	%	7.14
European sovereign bonds	(2,727)		38		(2,689)		—		(9)		(2,698)		0.13	%	1.27	%	0.33
Total Short	(232,929)		(598)		(233,527)		429		(948)		(234,046)		3.97	%	3.92	%	7.07
Total	$	898,885	$	(483,221)	$	696,264	$	52,767	$	(73,226)	$	675,805	4.64	%	9.07	%	5.26

(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

(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 excludes 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.

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

September 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	$	4,736	$	4,724	3.56	%	$	2,025	$	1,731	1.19	%
Greater than three years and less than seven years	75,084		76,567		5.04	%	4,687		4,170		1.71	%
Greater than seven years and less than eleven years	128,256		140,019		3.33	%	5,955		5,300		0.81	%
Total	$	208,076	$	221,310	3.92	%	$	12,667	$	11,201	1.13	%

(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	%

(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.

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

September 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	$	160,099	$	144,218	4.28	%	$	128,691	$	138,713	1.14	%	$	81,194	$	92,110	4.91	%
Greater than three years and less than seven years	61,984		59,784		5.85	%	17,367		18,527		0.15	%	62,217		62,596		3.40	%
Greater than seven years and less than eleven years	35,950		46,745		4.69	%	15,791		10,199		0.14	%	40,747		41,693		2.84	%
Greater than eleven years	22,262		21,396		6.97	%	261		200		1.24	%	—		—		—	%
Total	$	280,295	$	272,143	4.83	%	$	162,110	$	167,639	0.60	%	$	184,158	$	196,399	4.32	%

(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	%

(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.

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

	Three-Month Period Ended
(In thousands)	September 30, 2025						September 30, 2024
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	3,342	$	(470)	$	2,872	$	5,673	$	(239)	$	5,434
Non-Agency RMBS and CMBS	23,148		(11,412)		11,736		7,663		(1,053)		6,610
CLOs	2,940		(389)		2,551		5,719		(1,800)		3,919
Other securities(1)	6,299		(3,041)		3,258		7,934		293		8,227
Total	$	35,729	$	(15,312)	$	20,417	$	26,989	$	(2,799)	$	24,190

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

	Nine-Month Period Ended
(In thousands)	September 30, 2025						September 30, 2024
Security Type	Coupon Interest		Net Amortization		Interest Income		Coupon Interest		Net Amortization		Interest Income
Agency RMBS	$	10,702	$	(850)	$	9,852	$	21,470	$	(2,109)	$	19,361
Non-Agency RMBS and CMBS	57,825		(29,820)		28,005		22,468		(2,460)		20,008
CLOs	8,268		(2,519)		5,749		11,333		(3,280)		8,053
Other securities(1)	20,027		(6,715)		13,312		22,838		(5,442)		17,396
Total	$	96,822	$	(39,904)	$	56,918	$	78,109	$	(13,291)	$	64,818

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

For the three-month periods ended September 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $23 thousand and $0.5 million, respectively. For the nine-month periods ended September 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $0.9 million and $(0.1) 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 nine-month periods ended September 30, 2025 and 2024.

(In thousands)	Three-Month Period Ended September 30, 2025				Three-Month Period Ended September 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	41,771	601	(705)	(104)	$	72,827	$	691	$	(2,863)	$	(2,172)
Non-Agency RMBS and CMBS	38,192	2,048	(228)	1,820	17,345		1,513		(849)		664
CLOs	24,887	504	—	504	8,459		863		(498)		365
Other securities(3)	199,404	5,563	(201)	5,362	74,965		3,710		(3,167)		543
Total	304,254	8,716	(1,134)	7,582	$	173,596	$	6,777	$	(7,377)	$	(600)

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

(2)Excludes realized losses of $(1.8) million and $(5.0) million for the three-month periods ended September 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)	Nine-Month Period Ended September 30, 2025								Nine-Month Period Ended September 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	$	83,623	$	1,050	$	(2,767)	$	(1,717)	$	491,031	$	1,835	$	(30,322)	$	(28,487)
Non-Agency RMBS and CMBS	83,281		9,312		(217)		9,095		235,160		10,055		(8,371)		1,684
CLOs	54,842		1,261		(1,118)		143		53,613		1,341		(613)		728
Other securities(3)	650,911		11,842		(8,700)		3,142		223,885		5,053		(4,677)		376
Total	$	872,657	$	23,465	$	(12,802)	$	10,663	$	1,003,689	$	18,284	$	(43,983)	$	(25,699)

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

(2)Excludes realized losses of $(8.1) million and $(15.8) million, for the nine-month periods ended September 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 September 30, 2025 and December 31, 2024.

September 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	$	10,212	$	(173)	$	115,690	$	(15,140)	$	125,902	$	(15,313)
Non-Agency RMBS and CMBS	36,683		(2,435)		11,181		(2,101)		47,864		(4,536)
Other securities(1)	6,415		(903)		4,862		(994)		11,277		(1,897)
Total	$	53,310	$	(3,511)	$	131,733	$	(18,235)	$	185,043	$	(21,746)

(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 September 30, 2025 and December 31, 2024, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $38.1 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 September 30, 2025 and 2024, the Company recognized realized losses on these securities of $(1.8) million and $(5.0) million, respectively. For the nine-month periods ended September 30, 2025 and 2024, the Company recognized realized losses on these securities of $(8.1) million and $(15.8) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.