v3.25.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Schedule of Financial Assets and Liabilities Measured at Fair Value
The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of June 30, 2025:

Level 1Level 2Level 3Total
(in thousands)
Assets, at fair value
Residential mortgage loans$— $199,043 $1,622 $200,665 
Residential mortgage loans in securitization trusts— 1,872,751 29,970 1,902,721 
Investments in securities
AOMT RMBS (1)
— 104,332 — 104,332 
Whole Pool Agency RMBS— 257,552 — 257,552 
U.S Treasury Securities— — — — 
Other Assets, at fair value (2)
— 10,498 — 10,498 
Unrealized appreciation on futures contracts— — — — 
Unrealized appreciation on TBAs— — — — 
Total assets, at fair value$— $2,444,176 $31,592 $2,475,768 
Liabilities, at fair value
Non-recourse securitization obligation, collateralized by residential mortgage loans (3)
$— $1,401,980 $— $1,401,980 
Unrealized depreciation on futures contracts1,147 — — 1,147 
Unrealized depreciation on TBAs3,208 — — 3,208 
Total liabilities, at fair value$4,355 $1,401,980 $— $1,406,335 

(1)     AOMT RMBS held as of June 30, 2025 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions.

(2)     Includes Commercial Loans and AOMT commercial mortgage backed securities (“CMBS)” assets. All AOMT CMBS held as of June 30, 2025 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(3)     Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See below for the disclosure of the full debt at fair value.
The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2024:

Level 1Level 2Level 3Total
(in thousands)
Assets, at fair value
Residential mortgage loans$— $183,064 $— $183,064 
Residential mortgage loans in securitization trusts— 1,664,921 32,074 1,696,995 
Investments in securities
AOMT RMBS (1)
— 98,791 — 98,791 
Whole Pool Agency RMBS— 201,452 — 201,452 
Unrealized appreciation on futures contracts987 — — 987 
Unrealized appreciation on TBAs528 — — 528 
Other Assets, at fair value (2)
— 10,807 — 10,807 
Total assets, at fair value$1,515 $2,159,035 $32,074 $2,192,624 
Liabilities, at fair value
Non-recourse securitization obligation, collateralized by residential mortgage loans (3)
$— $1,524,828 $— $1,524,828 
Total liabilities, at fair value$— $1,524,828 $— $1,524,828 

(1)     AOMT RMBS held as of December 31, 2024 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions.

(2)     Includes Commercial Loans and AOMT CMBS assets. All AOMT CMBS held as of December 31, 2024 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(3)     Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See below for the disclosure of the full debt at fair value.
Schedule of Significant Level 3 Inputs
The following table sets forth information regarding the Company’s significant Level 3 inputs as of June 30, 2025:

Input Values
AssetFair Value Unobservable InputRangeAverage
(in thousands)
Residential mortgage loans, at fair value$1,622 Prepayment rate (annual CPR)
13% - 13%
13.28%
Default rate
15% - 15%
15.34%
Loss severity
(25.00)% - 10.00%
(7.81)%
Expected remaining life
1.33 - 4.08 years
2.83 years
Residential mortgage loans in securitization trust, at fair value$29,970 Prepayment rate (annual CPR)
5.51% - 22.76%
10.44%
Default rate
7.36% - 39.21%
16.35%
Loss severity
(25.00)% - 25.00%
0.28%
Expected remaining life
1.33 - 11.82 years
4.90 years
December 31, 2024:
Input Values
AssetFair ValueUnobservable InputRangeAverage
(in thousands)
Residential mortgage loans in securitization trust, at fair value$32,074 Prepayment rate (annual CPR)
3.64% - 19.83%
8.48%
Default rate
6.94% - 42.76%
16.77%
Loss severity
(23.04)% - 16.94%
(1.96)%
Expected remaining life
1.33 - 5.92 years
2.68 years