v3.26.1
Valuation
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Disclosures [Text Block] Valuation
The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025:
March 31, 2026:
DescriptionLevel 1Level 2Level 3Total
(In thousands)
Assets:
Securities, at fair value:
Agency RMBS$— $199,979 $12,347 $212,326 
Non-Agency RMBS— 176,005 310,784 486,789 
CMBS— 19,097 9,786 28,883 
CLOs— 71,724 37,367 109,091 
Asset-backed securities, backed by consumer loans— — 53,680 53,680 
Other ABS— — 114,879 114,879 
Corporate debt securities— — 20,005 20,005 
Corporate equity securities460 — 11,516 11,976 
U.S. Treasury securities— 99,196 — 99,196 
Loans, at fair value:
Residential mortgage loans— — 3,748,165 3,748,165 
Commercial mortgage loans— — 623,196 623,196 
Consumer loans
— — 135 135 
Corporate loans
— — 31,479 31,479 
Reverse mortgage loans— — 12,990,186 12,990,186 
Forward MSR-related investments, at fair value72,824 72,824 
MSRs, at fair value— — 30,192 30,192 
Loan commitments, at fair value— — 10,207 10,207 
Investment in unconsolidated entities, at fair value— — 349,722 349,722 
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed indices— 2,207 — 2,207 
Credit default swaps on corporate bond indices— 1,348 — 1,348 
Interest rate swaps— 135,146 — 135,146 
TBAs— 4,619 — 4,619 
Futures1,534 — — 1,534 
Forwards— 67 — 67 
Total return swaps— — 54 54 
Options7,858 — — 7,858 
Warrants— 1 — 1 
Total assets
$9,852 $709,389 $18,426,524 $19,145,765 
DescriptionLevel 1Level 2Level 3Total
(continued)(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt$— $(297,231)$— $(297,231)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities— — (2)(2)
Credit default swaps on corporate bonds— (134)— (134)
Credit default swaps on corporate bond indices— (5,285)— (5,285)
Interest rate swaps— (36,752)— (36,752)
TBAs— (1,606)— (1,606)
Options(2,978)— — (2,978)
Futures(527)— — (527)
Forwards— (90)— (90)
Loan purchase commitments, at fair value— — (6,443)(6,443)
Other secured borrowings, at fair value— — (3,125,332)(3,125,332)
HMBS-related obligations, at fair value— — (10,765,668)(10,765,668)
Unsecured borrowings, at fair value— — (638,644)(638,644)
Total liabilities
$(3,505)$(341,098)$(14,536,089)$(14,880,692)
December 31, 2025:
DescriptionLevel 1Level 2Level 3Total
(In thousands)
Assets:
Securities, at fair value:
Agency RMBS$— $205,789 $12,578 $218,367 
Non-Agency RMBS— 185,805 267,747 453,552 
CMBS— 13,615 12,935 26,550 
CLOs— 90,775 34,265 125,040 
Asset-backed securities, backed by consumer loans— — 53,087 53,087 
Other ABS— — 97,773 97,773 
Corporate debt securities— — 15,530 15,530 
Corporate equity securities337 — 11,654 11,991 
U.S. Treasury securities— 32,992 — 32,992 
Loans, at fair value:
Residential mortgage loans— — 3,643,094 3,643,094 
Commercial mortgage loans— — 640,712 640,712 
Consumer loans
— — 159 159 
Corporate loans
— — 25,366 25,366 
Reverse mortgage loans— — 12,331,316 12,331,316 
Forward MSR-related investments, at fair value77,852 77,852 
MSRs, at fair value— — 28,913 28,913 
Loan commitments, at fair value— — 9,124 9,124 
Investment in unconsolidated entities, at fair value— — 312,421 312,421 
DescriptionLevel 1Level 2Level 3Total
(continued)(In thousands)
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed indices— 2,206 — 2,206 
Credit default swaps on corporate bond indices— 4,621 — 4,621 
Interest rate swaps— 128,898 — 128,898 
TBAs— 257 — 257 
Futures1,095 — — 1,095 
Forwards— 14 — 14 
Total return swaps— — 24 24 
Options5,607 — — 5,607 
Warrants— 1 — 1 
Total assets
$7,039 $664,973 $17,574,550 $18,246,562 
Liabilities:
Securities sold short, at fair value:
Government debt
$— $(272,702)$— $(272,702)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities— — (2)(2)
Credit default swaps on corporate bonds— (155)— (155)
Credit default swaps on corporate bond indices— (25,407)— (25,407)
Interest rate swaps— (26,797)— (26,797)
TBAs— (598)— (598)
Futures(45)— — (45)
Forwards— (69)— (69)
Loan purchase commitments, at fair value— — (42)(42)
Other secured borrowings, at fair value
— — (2,945,578)(2,945,578)
HMBS-related obligations, at fair value— — (10,406,332)(10,406,332)
Unsecured borrowings, at fair value— — (659,832)(659,832)
Total liabilities
$(45)$(325,728)$(14,011,786)$(14,337,559)
The tables below include roll-forwards of the Company's financial instruments for the three-month periods ended March 31, 2026 and 2025 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.
Three-Month Period Ended March 31, 2026
(In thousands)Beginning Balance as of 
December 31, 2025		Accreted
Discounts /
(Amortized
Premiums)		Net Realized
Gain/
(Loss)		Change in Net
Unrealized
Gain/(Loss)
Purchases/Payments(1)
 Sales/
Issuances(2)
Transfers Into Level 3Transfers Out of Level 3Ending
Balance as of 
March 31, 2026
Assets:
Securities, at fair value:
Agency RMBS$12,578 $(617)$629 $(710)$6,089 $(6,171)$549 $— $12,347 
Non-Agency RMBS267,747 (19,364)2,889 (2,513)101,608 (35,148)10,946 (15,381)310,784 
CMBS12,935 26 — (651)— — — (2,524)9,786 
CLOs34,265 (203)(435)(3,913)4,089 (1,575)5,906 (767)37,367 
Asset-backed securities backed by consumer loans53,087 (1,833)(2,572)2,452 7,451 (4,905)— — 53,680 
Other ABS97,773 (2,543)(188)45 31,930 (12,138)— — 114,879 
Corporate debt securities15,530 — (235)(179)7,691 (2,802)— — 20,005 
Corporate equity securities11,654 — 3 (177)41 (5)— — 11,516 
Loans, at fair value:
Residential mortgage loans3,643,094 835 14,159 (21,358)1,857,344 (1,745,909)— — 3,748,165 
Commercial mortgage loans640,712 256 520 372 183,147 (201,811)— — 623,196 
Consumer loans159 (18)(20)32 10 (28)— — 135 
Corporate loans25,366 — — (158)10,496 (4,225)— — 31,479 
Reverse mortgage loans(3)
12,331,316 (266)(16)248,307 656,242 (245,397)— — 12,990,186 
Forward MSR-related investments, at fair value77,852 2,743 — (482)— (7,289)— — 72,824 
MSRs, at fair value(3)
28,913 — — 1,279 — — — — 30,192 
Loan commitments, at fair value9,124 — — 1,083 — — — — 10,207 
Investments in unconsolidated entities, at fair value312,421 — 5,100 12,464 176,783 (157,046)— — 349,722 
Financial derivatives–assets, at fair value:
Total return swaps24 — 7 30 47 (54)— — 54 
Total assets, at fair value$17,574,550 $(20,984)$19,841 $235,923 $3,042,968 $(2,424,503)$17,401 $(18,672)$18,426,524 
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps$— $— $(47)$— $48 $(1)$— $— $— 
Credit default swaps on asset-backed securities(2)— — — — — — — (2)
Loan purchase commitments, at fair value(42)— — (6,401)— — — — (6,443)
Other secured borrowings, at fair value(2,945,578)(3,406)— 8,823 62,305 (247,476)— — (3,125,332)
Unsecured borrowings, at fair value(659,832)— — 21,188 — — — — (638,644)
HMBS-related obligations, at fair value(3)
(10,406,332)— — (194,107)228,649 (393,878)— — (10,765,668)
Total liabilities, at fair value$(14,011,786)$(3,406)$(47)$(170,497)$291,002 $(641,355)$— $— $(14,536,089)
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.
(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.
(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income, interest expense, and realized and unrealized gains and losses.
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2026, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2026. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at March 31, 2026.
(In thousands)Three-Month Period Ended
March 31, 2026
Securities, at fair value$(6,584)
Loans, at fair value222,098 
Forward MSR-related investments, at fair value(482)
MSRs, at fair value1,279 
Loan purchase commitments, at fair value(6,419)
Loan commitments, at fair value9,623 
Investments in unconsolidated entities, at fair value
12,743 
Financial derivatives-assets, at fair value30 
Other secured borrowings, at fair value
8,823 
Unsecured borrowings, at fair value
21,188 
HMBS-related obligations, at fair value
(194,107)
At March 31, 2026, the Company transferred $18.7 million of assets from Level 3 to Level 2 and $17.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.
Three-Month Period Ended March 31, 2025
(In thousands)Beginning Balance as of 
December 31, 2024		Accreted
Discounts /
(Amortized
Premiums)		Net Realized
Gain/
(Loss)		Change in Net
Unrealized
Gain/(Loss)
Purchases/Payments(1)
Sales/Issuances(2)
Transfers Into Level 3Transfers Out of Level 3Ending
Balance as of 
March 31, 2025
Assets:
Securities, at fair value:
Agency RMBS$10,660 $(368)$38 $355 $753 $(848)$655 $(492)$10,753 
Non-Agency RMBS153,188 (7,022)406 (633)74,919 (10,903)6,957 (25,438)191,474 
CMBS21,399 306 516 (1,116)— (3,050)5,302 (5,670)17,687 
CLOs22,678 (1,413)83 (1,175)623 (8,680)— — 12,116 
Asset-backed securities backed by consumer loans60,227 (1,714)(2,008)(667)6,857 (6,347)— — 56,348 
Other ABS35,483 132 1,070 (1,127)1,020 (12,097)— — 24,481 
Corporate debt securities14,352 — 382 (513)3,344 (4,177)— — 13,388 
Corporate equity securities9,759 — 636 68 493 (1,646)— — 9,310 
Loans, at fair value:
Residential mortgage loans3,539,534 2,316 (2,459)23,797 917,705 (1,155,729)— — 3,325,164 
Commercial mortgage loans350,515 45 (10,075)11,717 58,746 (54,770)— — 356,178 
Consumer loans477 (35)25 (22)14 (89)— — 370 
Corporate loans11,767 — — 115 22,200 (22,965)— — 11,117 
Reverse mortgage loans(3)
10,097,279 — — 196,378 464,479 (176,807)— — 10,581,329 
Forward MSR-related investments, at fair value77,848 2,654 — 14,748 — (8,047)— — 87,203 
MSRs, at fair value(3)
29,766 — — (230)— — — — 29,536 
Loan commitments, at fair value6,692 — — 523 — — — — 7,215 
Loan purchase commitments, at fair value— — — 1,342 — — — — 1,342 
Investments in unconsolidated entities, at fair value220,078 — (5,068)13,372 128,768 (88,057)— — 269,093 
Total assets, at fair value$14,661,702 $(5,099)$(16,454)$256,932 $1,679,921 $(1,554,212)$12,914 $(31,600)$15,004,104 
Liabilities:
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities$(3)$— $— $— $— $— $— $— $(3)
Loan purchase commitments, at fair value(1,602)— — 1,602 — — — — — 
Other secured borrowings, at fair value(1,934,309)(1,458)— (30,559)39,615 — — — (1,926,711)
Unsecured borrowings, at fair value(281,912)— (1,383)1,027 34,931 — — — (247,337)
HMBS-related obligations, at fair value(9,150,883)— — (147,470)186,723 (383,502)— — (9,495,132)
Total liabilities, at fair value$(11,368,709)$(1,458)$(1,383)$(175,400)$261,269 $(383,502)$— $— $(11,669,183)
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.
(2)For Investments in unconsolidated entities, at fair value, amount represents distributions received.
(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at March 31, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at March 31, 2025.
(In thousands)Three-Month Period Ended
March 31, 2025
Securities, at fair value$(3,514)
Loans, at fair value211,522 
Forward MSR-related investments, at fair value14,748 
MSRs, at fair value(230)
Loan purchase commitments, at fair value1,342 
Loan commitments, at fair value6,540 
Investments in unconsolidated entities, at fair value
4,093 
Other secured borrowings, at fair value
(30,559)
Unsecured borrowings, at fair value
(127)
HMBS-related obligations, at fair value
(147,470)
At March 31, 2025, the Company transferred $31.6 million of assets from Level 3 to Level 2 and $12.9 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.
The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025:
March 31, 2026December 31, 2025
(In thousands)Fair ValueCarrying ValueFair ValueCarrying Value
Other financial instruments
Assets:
Cash and cash equivalents$163,224 $163,224 $201,893 $201,893 
Restricted cash28,296 28,296 136,297 136,297 
Due from brokers39,708 39,708 35,919 35,919 
Reverse repurchase agreements487,333 487,333 453,037 453,037 
Liabilities:
Repurchase agreements2,894,972 2,894,972 2,655,444 2,655,444 
Other secured borrowings264,444 264,444 296,398 296,398 
Due to brokers65,024 65,024 48,104 48,104 
Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in segregated accounts for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature.
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2026:
March 31, 2026:
Fair ValueValuation 
Technique		Unobservable InputRangeWeighted
Average
DescriptionMinMax
(In thousands)
Non-Agency RMBS
$140,765 Market QuotesNon Binding Third-Party Valuation$0.45 $179.88 $31.97 
170,019 Discounted Cash Flows
310,784 Yield1.1 %86.8 %16.7 %
Projected Collateral Prepayments0.0 %100.0 %82.5 %
Projected Collateral Losses0.0 %57.5 %4.4 %
Projected Collateral Recoveries0.0 %49.5 %3.5 %
Non-Agency CMBS7,754 Market QuotesNon Binding Third-Party Valuation$5.64 $77.66 $41.18 
2,032 Discounted Cash Flows
9,786 Yield10.4 %26.3 %17.9 %
Projected Collateral Losses0.0 %93.0 %12.0 %
Projected Collateral Recoveries7.0 %100.0 %87.5 %
CLOs
15,630 Market QuotesNon Binding Third-Party Valuation$10.61 $97.24 $56.86 
21,737 Discounted Cash Flows
37,367 Yield3.7 %65.4 %17.0 %
Agency interest only RMBS
6,296 Market QuotesNon Binding Third-Party Valuation$1.19 $18.99 $8.13 
6,051 Option Adjusted Spread ("OAS")
12,347 
SOFR OAS(1)
16 3,258 548 
Projected Collateral Prepayments16.2 %96.5 %55.4 %
ABS95,131 Market QuotesNon Binding Third-Party Valuation$2.20 $100.12 $69.10 
73,428 Discounted Cash Flows
168,559 Yield2.7 %37.3 %11.7 %
Projected Collateral Prepayments0.0 %57.8 %16.8 %
Projected Collateral Losses0.0 %34.4 %19.3 %
Corporate debt and equity
31,521 Discounted Cash FlowsYield0.1 %59.2 %18.0 %
Performing and re-performing residential mortgage loans
1,977,901 Discounted Cash FlowsYield0.2 %24.4 %6.6 %
Securitized residential mortgage loans(2)(3)
1,550,394 Market QuotesNon Binding Third-Party Valuation$0.50 $100.00 $90.99 
68,970 Discounted Cash Flows
1,619,364 Yield— %26.7 %6.4 %
Non-performing residential mortgage loans
150,900 Discounted Cash FlowsYield0.4 %110.2 %7.6 %
Recovery Amount0.5 %257.2 %87.8 %
Months to Resolution/Maturity3.2 107.1 21.1 
Performing commercial mortgage loans588,028 Discounted Cash FlowsYield7.0 %10.6 %8.7 %
Non-performing commercial mortgage loans
35,168 Discounted Cash FlowsYield8.5 %13.3 %9.5 %
Recovery Amount80.0 %100.0 %98.8 %
Months to Resolution1.012.05.8
Fair ValueValuation 
Technique		Unobservable InputRangeWeighted
Average
DescriptionMinMax
(continued)(In thousands)
Consumer loans
135 Discounted Cash FlowsYield12.0 %12.2 %12.0 %
Projected Collateral Prepayments— %30.2 %9.6 %
Projected Collateral Losses0.6 %82.3 %21.7 %
Corporate loans
31,479 Discounted Cash FlowsYield— %26.0 %13.9 %
Reverse Mortgage Loans—HECM11,015,347 Discounted Cash FlowsYield2.8 %6.3 %4.2 %
Conditional Prepayment Rate1.7 %39.3 %7.7 %
Reverse Mortgage Loans—HECM buyouts41,526 Discounted Cash FlowsYield5.2 %11.4 %8.5 %
Months to Resolution1.0153.721.2
Reverse Mortgage Loans—Unsecuritized Proprietary299,745 Discounted Cash FlowsYield5.8 %10.0 %7.1 %
Conditional Prepayment Rate6.9 %55.5 %12.8 %
Reverse Mortgage Loans—Securitized Proprietary(2)
1,633,568 Market QuotesNon Binding Third-Party Valuation$89.94 $113.27 $108.01 
Yield5.0 %7.9 %5.5 %
Forward MSR-related investments72,824 Discounted Cash FlowsYield9.5 %9.5 %9.5 %
Conditional Prepayment Rate5.0 %5.0 %5.0 %
MSRs30,192 Discounted Cash FlowsYield17.4 %17.4 %17.4 %
Conditional Prepayment Rate10.3 %42.6 %14.6 %
Loan Commitments10,207 Discounted Cash FlowsPull-through rate66.0 %94.5 %69.5 %
Cost to originate3.8 %10.8 %5.4 %
Investment in unconsolidated entities—Loan origination and mortgage-related entities82,960 Enterprise Value
Equity Price-to-Book(4)
0.4x2.6x 2.3x
Investment in unconsolidated entities—Other266,762 Enterprise ValueNet Asset Valuen/an/an/a
349,722 
Loan Purchase Commitments(6,443)Transaction PriceYield5.6 %7.0 %6.1 %
Total return swaps54 Discounted Cash FlowsYield22.7 %22.7 %22.7 %
Credit default swaps on asset-backed securities(2)Net Discounted Cash FlowsProjected Collateral Prepayments22.9 %22.9 %22.9 %
Projected Collateral Losses8.6 %8.6 %8.6 %
Projected Collateral Recoveries12.3 %12.3 %12.3 %
Other secured borrowings, at fair value(2)
(3,125,332)Market QuotesNon Binding Third-Party Valuation$0.50 $100.00 $93.00 
Yield4.5%59.1%5.6%
Projected Collateral Prepayments1.9%77.6%49.6%
HMBS-related obligations, at fair value(10,765,668)Discounted Cash FlowsYield2.6%6.1%4.0%
Conditional Prepayment Rate6.9%39.3%7.6%
Unsecured borrowings, at fair value(638,644)Market QuotesNon Binding Third-Party Valuation$81.50 $99.10 $96.40 
(1)Shown in basis points.
(2)Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2.
(3)Includes $61.9 million of non-performing securitized residential mortgage loans.
(4)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $0.6 million. Including such investments, the weighted average price-to-book ratio was 2.3x.
Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party models and, when available, to recent trading activity in the same or similar instruments.
For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the SOFR Option Adjusted Spread ("SOFR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the SOFR rates implied by each interest rate scenario. The SOFR OAS of an asset is then computed as the unique constant yield spread that, when added to all SOFR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. SOFR OAS is therefore model-dependent. Generally speaking, SOFR OAS measures the additional yield spread over SOFR that an asset provides at its current market price after taking into account any interest rate optionality embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans.
Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.