Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2026

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 on a recurring basis as of March 31, 2026:


	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets, at fair value
Residential mortgage loans	$	—	$	243,214	$	2,320	$	245,534
Residential mortgage loans in securitization trusts	—		2,213,528		36,086		2,249,614
Investments in securities
AOMT RMBS (1)	—		85,715		—		85,715
Whole Pool Agency RMBS	—		126,881		—		126,881

Other Assets, at fair value (2)	—		10,187		1,897		12,084
Unrealized appreciation on futures contracts	1,421		—		—		1,421
Unrealized appreciation on TBAs	2,490		—		—		2,490
Total assets, at fair value	$	3,911	$	2,679,525	$	40,303	$	2,723,739

Liabilities, at fair value
Non-recourse securitization obligation, collateralized by residential mortgage loans (3)	$	—	$	1,747,929	$	—	$	1,747,929


Total liabilities, at fair value	$	—	$	1,747,929	$	—	$	1,747,929

(1) AOMT RMBS held as of March 31, 2026 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 March 31, 2026 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 on a recurring basis as of December 31, 2025:


	Level 1		Level 2		Level 3		Total
	(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.

(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.

Schedule of Significant Level 3 Inputs

The following table sets forth information regarding the Company’s significant Level 3 inputs as of March 31, 2026:


				Input Values
Asset	Fair Value		Unobservable Input	Range	Average
	($ in thousands)
Residential mortgage loans, at fair value	$	2,320	Prepayment rate (annual CPR)	—% - —%	—%
			Default rate	—% - —%	—%
			Loss severity	(13.51)% - 7.41%	(2.78)%
			Expected remaining life	1.3 years - 2.9 years	2.4 years

Residential mortgage loans in securitization trust, at fair value	$	36,086	Prepayment rate (annual CPR)	3.18% - 18.50%	11.11%
			Default rate	0.21% - 41.48%	15.58%
			Loss severity	(25.00)% - 47.24%	(4.57)%
			Expected remaining life	0.7 years - 10.75 years	3.4 years

The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2025:


				Input Values
Asset	Fair Value		Unobservable Input	Range	Average
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 years - 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