v3.25.4
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2025:

Level 1Level 2Level 3Total
(in thousands)
Assets, at fair value
Residential mortgage loans$— $293,141 $993 $294,134 
Residential mortgage loans in securitization trusts— 2,046,609 30,167 2,076,776 
Investments in securities
AOMT RMBS (1)
— 82,140 — 82,140 
Whole Pool Agency RMBS— 197,865 — 197,865 
Unrealized depreciation on TBAs
240 — — 240 
Other Assets, at fair value (2)
— 9,893 1,897 11,790 
Total assets, at fair value$240 $2,629,648 $33,057 $2,662,945 
Liabilities, at fair value
Non-recourse securitization obligation, collateralized by residential mortgage loans (3)
$— $1,572,934 $— $1,572,934 
Unrealized depreciation on futures contracts
32 — — 32 
Total liabilities, at fair value$32 $1,572,934 $— $1,572,966 

(1)     Non‑Agency RMBS held as of December 31, 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. All AOMT CMBS held as of December 31, 2025 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(2)     Includes Commercial Loans, AOMT CMBS assets, and loans held for sale. All AOMT CMBS held as of December 31, 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 in “Assets and Liabilities Held at Amortized Cost - Fair Value Disclosure” 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 (1):

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 
U.S. Treasury Securities
— — — — 
Unrealized depreciation on futures contracts
987 — — 987 
Unrealized depreciation on TBAs
528 — — 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)     Non‑Agency 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. All AOMT CMBS held as of December 31, 2024 was comprised of a small-balance commercial loan securitization issuance in which the Company participated.

(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 in “Assets and Liabilities Held at Amortized Cost - Fair Value Disclosure” for the disclosure of the full debt at fair value.
Schedule of Level 3 Assets Measured on Recurring Basis
The following table presents additional information for the years ended December 31, 2025 and December 31, 2024 about the Company’s Level 3 assets measured at fair value on a recurring basis:

December 31, 2025December 31, 2024
(in thousands)
Balance at beginning of period$32,074 $19,299 
Loans held for sale1,897 — 
Loans sold (5,397)(8,689)
Transfers to performing loans(8,582)(3,570)
Principal payments(304)(776)
Changes in fair value recorded in Net unrealized gain (loss) on mortgage loans(4,224)813 
Additions to non-performing loans17,593 24,997 
Balance at end of period$33,057 $32,074 
Schedule of Significant Level 3 Inputs The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2025:
Input Values
AssetFair ValueUnobservable InputRangeAverage
Residential mortgage loans, at fair value$993 Prepayment rate (annual CPR)
—% - —%
—%
Default rate
—% - —%
—%
Loss severity
(9.30)% - (9.30)%
(9.30)%
Expected remaining life
2.6 - 2.6 years
2.67 years
Residential mortgage loans in securitization trust, at fair value$30,167 Prepayment rate (annual CPR)
2.92% - 21.31%
10.05%
Default rate
0.38% - 26.12%
14.40%
Loss severity
(23.91)% - 28.63%
(3.21)%
Expected remaining life
0.6 - 10.75 years
3.56 years
The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2024:
Input Values
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