Mortgage Backed Securities (Tables)
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6 Months Ended |
Jun. 30, 2025 |
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| Investments, Debt and Equity Securities [Abstract] |
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| Summary of Available-for-Sale Securities Reconciliation |
The table below summarizes various attributes of the Company's investments in CMBS reported at fair value as of June 30, 2025 and December 31, 2024, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Unrealized | | | | Weighted Average | | | Outstanding Face Amount | | Amortized Cost Basis | | Allowance for Credit Losses | | Gains | | Losses | | Fair Value | | Coupon | | Maturity (years) | | June 30, 2025 (Unaudited) | | | | | | | | | | | | | | | | | | CMBS, available-for-sale | | $ | 141,789 | | | $ | 137,490 | | | $ | (20,365) | | | $ | 476 | | | $ | (2,073) | | | $ | 115,528 | | | 9.33%(1) | | 11.0 | | CMBS, fair value option | | $ | 247,516 | | | $ | 243,757 | | | — | | | $ | 814 | | | $ | (416) | | | $ | 244,154 | | | 6.66%(1) | | 5.2 | December 31, 2024 | | | | | | | | | | | | | | | | | | CMBS, available-for-sale | | $ | 156,755 | | | $ | 152,450 | | | $ | (19,918) | | | $ | 770 | | | $ | (3,932) | | | $ | 129,370 | | | 9.39%(2) | | 13.3 | | CMBS, fair value option | | $ | 207,653 | | | $ | 205,154 | | | — | | | $ | 1,433 | | | $ | (238) | | | $ | 206,350 | | | 6.85%(2) | | 3.8 |
__________________________ (1) Calculated using the one-month SOFR rate of 4.32% as of June 30, 2025. (2) Calculated using the one-month SOFR rate of 4.50% as of December 31, 2024.
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| Summary of Debt Securities, Available-for-Sale, Allowance for Credit Loss |
The Company uses a discounted cash flow method to estimate and recognize an allowance for its available-for sale securities. The following table provides details on the changes in allowance for credit losses for available-for sale securities for the six months ended June 30, 2025: | | | | | | | | | | | Six Months Ended June 30, 2025 | | Allowance for credit losses as of December 31, 2024 | | $ | (19,918) | | | Additions on securities for which credit losses were not previously recorded | | — | | | (Increase) decrease on securities with previously recorded credit losses | | (784) | | | Allowance for credit losses as of March 31, 2025 | | (20,702) | | | Additions on securities for which credit losses were not previously recorded | | — | | | (Increase) decrease on securities with previously recorded credit losses | | 337 | | | Allowance for credit losses as of June 30, 2025 | | $ | (20,365) | | | | | | | | | | |
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| Summary of Available-for-Sale an Unrealized Loss Position |
The following table presents the gross unrealized losses and estimated fair value of any available-for-sale securities for which an allowance for credit losses has not been recorded that were in an unrealized loss position as of June 30, 2025 and December 31, 2024, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Estimated Fair Value | | Unrealized Losses | | | Securities with a loss less than 12 months | | Securities with a loss greater than 12 months | | Securities with a loss less than 12 months | | Securities with a loss greater than 12 months | | June 30, 2025 (Unaudited) | | | | | | | | | | CMBS, available-for-sale | | $ | 13,863 | | | $ | 54,948 | | | $ | (15) | | | $ | (2,058) | | December 31, 2024 | | | | | | | | | | CMBS, available-for-sale | | $ | — | | | $ | 61,467 | | | $ | — | | | $ | (3,932) | |
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| Summary of Investment Held-to-Maturity CMBS |
The table below summarizes various attributes of the Company's investments in held-to-maturity CMBS as of June 30, 2025 and December 31, 2024, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amortized Cost Basis | | Credit Loss Allowance | | Net Carrying Amount | | Gross Unrecognized Holding Gains | | Gross Unrecognized Holding Losses | | Fair Value | | June 30, 2025 (Unaudited) | | | | | | | | | | | | | | CMBS, held-to-maturity | | $ | 30,113 | | | $ | (89) | | | $ | 30,024 | | | $ | — | | | $ | (300) | | | $ | 29,724 | | December 31, 2024 | | | | | | | | | | | | | | CMBS, held-to-maturity | | $ | 78,268 | | | $ | (137) | | | $ | 78,131 | | | $ | — | | | $ | (1,024) | | | $ | 77,107 | |
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| Summary of Debt Securities, Held-to-Maturity, Allowance for Credit Loss |
The following table provides details on the changes in CECL reserve for held-to-maturity CMBS for the three and six months ended June 30, 2025 and 2024: | | | | | | | | | | CECL Reserve as of December 31, 2024 | | $ | 137 | | | Increase (decrease) in CECL reserve | | (29) | | | CECL reserve as of March 31, 2025 | | 108 | | | Increase (Decrease) in CECL reserve | | (19) | | | CECL reserve as of June 30, 2025 | | $ | 89 | | | | | | | | | | | | CECL Reserve as of December 31, 2023 | | $ | 71 | | | Increase (decrease) in CECL reserve | | 84 | | | CECL reserve as of March 31, 2024 | | 155 | | | Increase (Decrease) in CECL reserve | | 19 | | | CECL reserve as of June 30, 2024 | | $ | 174 | | | | | | | |
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| Summary of Maturities of Investment Held-to-Maturity CMBS |
The table below summarizes the maturities of the Company's investments in held-to-maturity CMBS as of June 30, 2025 and December 31, 2024, respectively: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | Less than 1 year | | 1-3 years | | 3-5 years | | More than 5 years | | June 30, 2025 (Unaudited) | | | | | | | | | | | | CMBS, held-to-maturity | | $ | 30,113 | | | $ | — | | | $ | 30,113 | | | $ | — | | | $ | — | | December 31, 2024 | | | | | | | | | | | | CMBS, held-to-maturity | | $ | 78,268 | | | $ | — | | | $ | 48,152 | | | $ | 30,116 | | | $ | — | |
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