Valuation (Tables)

3 Months Ended

Mar. 31, 2026

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

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:


Description	Level 1		Level 2		Level 3		Total
	(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 securities	460		—		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 value					72,824		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
Futures	1,534		—		—		1,534
Forwards	—		67		—		67
Total return swaps	—		—		54		54
Options	7,858		—		—		7,858
Warrants	—		1		—		1
Total assets	$	9,852	$	709,389	$	18,426,524	$	19,145,765


Description	Level 1		Level 2		Level 3		Total
(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:


Description	Level 1		Level 2		Level 3		Total
	(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 securities	337		—		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 value					77,852		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


Description	Level 1		Level 2		Level 3		Total
(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
Futures	1,095		—		—		1,095
Forwards	—		14		—		14
Total return swaps	—		—		24		24
Options	5,607		—		—		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)

Schedule of Significant Unobservable Inputs, Qualitative Information

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 Value		Valuation Technique	Unobservable Input	Range						Weighted Average
Description					Min			Max
	(In thousands)
Non-Agency RMBS	$	140,765	Market Quotes	Non Binding Third-Party Valuation	$	0.45		$	179.88		$	31.97
	170,019		Discounted Cash Flows
	310,784			Yield	1.1		%	86.8		%	16.7		%
				Projected Collateral Prepayments	0.0		%	100.0		%	82.5		%
				Projected Collateral Losses	0.0		%	57.5		%	4.4		%
				Projected Collateral Recoveries	0.0		%	49.5		%	3.5		%
Non-Agency CMBS	7,754		Market Quotes	Non Binding Third-Party Valuation	$	5.64		$	77.66		$	41.18
	2,032		Discounted Cash Flows
	9,786			Yield	10.4		%	26.3		%	17.9		%
				Projected Collateral Losses	0.0		%	93.0		%	12.0		%
				Projected Collateral Recoveries	7.0		%	100.0		%	87.5		%
CLOs	15,630		Market Quotes	Non Binding Third-Party Valuation	$	10.61		$	97.24		$	56.86
	21,737		Discounted Cash Flows
	37,367			Yield	3.7		%	65.4		%	17.0		%
Agency interest only RMBS	6,296		Market Quotes	Non 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 Prepayments	16.2		%	96.5		%	55.4		%



ABS	95,131		Market Quotes	Non Binding Third-Party Valuation	$	2.20		$	100.12		$	69.10
	73,428		Discounted Cash Flows
	168,559			Yield	2.7		%	37.3		%	11.7		%
				Projected Collateral Prepayments	0.0		%	57.8		%	16.8		%
				Projected Collateral Losses	0.0		%	34.4		%	19.3		%



Corporate debt and equity	31,521		Discounted Cash Flows	Yield	0.1		%	59.2		%	18.0		%
Performing and re-performing residential mortgage loans	1,977,901		Discounted Cash Flows	Yield	0.2		%	24.4		%	6.6		%
Securitized residential mortgage loans(2)(3)	1,550,394		Market Quotes	Non 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 Flows	Yield	0.4		%	110.2		%	7.6		%
				Recovery Amount	0.5		%	257.2		%	87.8		%
				Months to Resolution/Maturity	3.2			107.1			21.1
Performing commercial mortgage loans	588,028		Discounted Cash Flows	Yield	7.0		%	10.6		%	8.7		%
Non-performing commercial mortgage loans	35,168		Discounted Cash Flows	Yield	8.5		%	13.3		%	9.5		%
				Recovery Amount	80.0		%	100.0		%	98.8		%
				Months to Resolution	1.0			12.0			5.8


	Fair Value	Valuation Technique	Unobservable Input	Range						Weighted Average
Description				Min			Max
(continued)	(In thousands)
Consumer loans	135	Discounted Cash Flows	Yield	12.0		%	12.2		%	12.0		%
			Projected Collateral Prepayments	—		%	30.2		%	9.6		%
			Projected Collateral Losses	0.6		%	82.3		%	21.7		%
Corporate loans	31,479	Discounted Cash Flows	Yield	—		%	26.0		%	13.9		%
Reverse Mortgage Loans—HECM	11,015,347	Discounted Cash Flows	Yield	2.8		%	6.3		%	4.2		%
			Conditional Prepayment Rate	1.7		%	39.3		%	7.7		%
Reverse Mortgage Loans—HECM buyouts	41,526	Discounted Cash Flows	Yield	5.2		%	11.4		%	8.5		%
			Months to Resolution	1.0			153.7			21.2
Reverse Mortgage Loans—Unsecuritized Proprietary	299,745	Discounted Cash Flows	Yield	5.8		%	10.0		%	7.1		%
			Conditional Prepayment Rate	6.9		%	55.5		%	12.8		%
Reverse Mortgage Loans—Securitized Proprietary(2)	1,633,568	Market Quotes	Non Binding Third-Party Valuation	$	89.94		$	113.27		$	108.01
			Yield	5.0		%	7.9		%	5.5		%
Forward MSR-related investments	72,824	Discounted Cash Flows	Yield	9.5		%	9.5		%	9.5		%
			Conditional Prepayment Rate	5.0		%	5.0		%	5.0		%
MSRs	30,192	Discounted Cash Flows	Yield	17.4		%	17.4		%	17.4		%
			Conditional Prepayment Rate	10.3		%	42.6		%	14.6		%
Loan Commitments	10,207	Discounted Cash Flows	Pull-through rate	66.0		%	94.5		%	69.5		%
			Cost to originate	3.8		%	10.8		%	5.4		%
Investment in unconsolidated entities—Loan origination and mortgage-related entities	82,960	Enterprise Value	Equity Price-to-Book(4)	0.4x			2.6x			2.3x
Investment in unconsolidated entities—Other	266,762	Enterprise Value	Net Asset Value	n/a			n/a			n/a
	349,722
Loan Purchase Commitments	(6,443)	Transaction Price	Yield	5.6		%	7.0		%	6.1		%
Total return swaps	54	Discounted Cash Flows	Yield	22.7		%	22.7		%	22.7		%
Credit default swaps on asset-backed securities	(2)	Net Discounted Cash Flows	Projected Collateral Prepayments	22.9		%	22.9		%	22.9		%
			Projected Collateral Losses	8.6		%	8.6		%	8.6		%
			Projected Collateral Recoveries	12.3		%	12.3		%	12.3		%
Other secured borrowings, at fair value(2)	(3,125,332)	Market Quotes	Non Binding Third-Party Valuation	$	0.50		$	100.00		$	93.00
			Yield	4.5%			59.1%			5.6%
			Projected Collateral Prepayments	1.9%			77.6%			49.6%
HMBS-related obligations, at fair value	(10,765,668)	Discounted Cash Flows	Yield	2.6%			6.1%			4.0%
			Conditional Prepayment Rate	6.9%			39.3%			7.6%
Unsecured borrowings, at fair value	(638,644)	Market Quotes	Non 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

Fair Value Measurement Using Significant Unobservable Inputs

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 3		Transfers Out of Level 3		Ending 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 RMBS	267,747		(19,364)		2,889		(2,513)		101,608		(35,148)		10,946		(15,381)		310,784
CMBS	12,935		26		—		(651)		—		—		—		(2,524)		9,786
CLOs	34,265		(203)		(435)		(3,913)		4,089		(1,575)		5,906		(767)		37,367
Asset-backed securities backed by consumer loans	53,087		(1,833)		(2,572)		2,452		7,451		(4,905)		—		—		53,680
Other ABS	97,773		(2,543)		(188)		45		31,930		(12,138)		—		—		114,879
Corporate debt securities	15,530		—		(235)		(179)		7,691		(2,802)		—		—		20,005
Corporate equity securities	11,654		—		3		(177)		41		(5)		—		—		11,516
Loans, at fair value:
Residential mortgage loans	3,643,094		835		14,159		(21,358)		1,857,344		(1,745,909)		—		—		3,748,165
Commercial mortgage loans	640,712		256		520		372		183,147		(201,811)		—		—		623,196
Consumer loans	159		(18)		(20)		32		10		(28)		—		—		135
Corporate loans	25,366		—		—		(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 value	77,852		2,743		—		(482)		—		(7,289)		—		—		72,824
MSRs, at fair value(3)	28,913		—		—		1,279		—		—		—		—		30,192
Loan commitments, at fair value	9,124		—		—		1,083		—		—		—		—		10,207
Investments in unconsolidated entities, at fair value	312,421		—		5,100		12,464		176,783		(157,046)		—		—		349,722
Financial derivatives–assets, at fair value:
Total return swaps	24		—		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.

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 3		Transfers Out of Level 3		Ending 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 RMBS	153,188		(7,022)		406		(633)		74,919		(10,903)		6,957		(25,438)		191,474
CMBS	21,399		306		516		(1,116)		—		(3,050)		5,302		(5,670)		17,687
CLOs	22,678		(1,413)		83		(1,175)		623		(8,680)		—		—		12,116
Asset-backed securities backed by consumer loans	60,227		(1,714)		(2,008)		(667)		6,857		(6,347)		—		—		56,348
Other ABS	35,483		132		1,070		(1,127)		1,020		(12,097)		—		—		24,481
Corporate debt securities	14,352		—		382		(513)		3,344		(4,177)		—		—		13,388
Corporate equity securities	9,759		—		636		68		493		(1,646)		—		—		9,310
Loans, at fair value:
Residential mortgage loans	3,539,534		2,316		(2,459)		23,797		917,705		(1,155,729)		—		—		3,325,164
Commercial mortgage loans	350,515		45		(10,075)		11,717		58,746		(54,770)		—		—		356,178
Consumer loans	477		(35)		25		(22)		14		(89)		—		—		370
Corporate loans	11,767		—		—		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 value	77,848		2,654		—		14,748		—		(8,047)		—		—		87,203
MSRs, at fair value(3)	29,766		—		—		(230)		—		—		—		—		29,536
Loan commitments, at fair value	6,692		—		—		523		—		—		—		—		7,215
Loan purchase commitments, at fair value	—		—		—		1,342		—		—		—		—		1,342
Investments in unconsolidated entities, at fair value	220,078		—		(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.

Schedule of Financial Instruments

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, 2026				December 31, 2025
(In thousands)	Fair Value		Carrying Value		Fair Value		Carrying Value
Other financial instruments
Assets:
Cash and cash equivalents	$	163,224	$	163,224	$	201,893	$	201,893
Restricted cash	28,296		28,296		136,297		136,297
Due from brokers	39,708		39,708		35,919		35,919
Reverse repurchase agreements	487,333		487,333		453,037		453,037
Liabilities:
Repurchase agreements	2,894,972		2,894,972		2,655,444		2,655,444
Other secured borrowings	264,444		264,444		296,398		296,398
Due to brokers	65,024		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.

Schedule of change in unrealized gain/(loss) on Level 3 Assets and Liabilities still held and outstanding

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 value	222,098
Forward MSR-related investments, at fair value	(482)
MSRs, at fair value	1,279
Loan purchase commitments, at fair value	(6,419)
Loan commitments, at fair value	9,623
Investments in unconsolidated entities, at fair value	12,743
Financial derivatives-assets, at fair value	30
Other secured borrowings, at fair value	8,823
Unsecured borrowings, at fair value	21,188
HMBS-related obligations, at fair value	(194,107)

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 value	211,522
Forward MSR-related investments, at fair value	14,748
MSRs, at fair value	(230)
Loan purchase commitments, at fair value	1,342
Loan commitments, at fair value	6,540
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)

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details