v3.26.1
Investment in Securities (Tables)
 3 Months Ended
Mar. 31, 2026
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Holdings The following tables detail the Company's investment in securities as of March 31, 2026 and December 31, 2025.
March 31, 2026:
Gross UnrealizedWeighted Average
($ in thousands)Current PrincipalUnamortized Premium (Discount)Amortized CostGainsLossesFair Value
Coupon(1)(2)
Yield
Life (Years)(3)
Long:
Agency RMBS:
15-year fixed-rate mortgages$4,874 $(16)$4,858 $25 $(104)$4,779 3.50 %3.68 %2.42
30-year fixed-rate mortgages204,988 (471)204,517 1,928 (14,469)191,976 3.92 %3.62 %7.24
Reverse mortgages567 31 598 — (38)560 4.44 %2.77 %3.98
Interest only securities n/a  n/a 13,985 1,428 (402)15,011 1.50 %11.22 %4.46
Non-Agency RMBS288,054 (74,299)213,755 22,509 (7,467)228,797 5.03 %8.74 %3.88
CMBS69,251 (25,806)43,445 638 (16,541)27,542 3.96 %7.92 %3.46
Non-Agency interest only securities n/a  n/a 263,794 13,518 (17,979)259,333 0.80 %15.01 %3.39
CLOs n/a  n/a 130,753 617 (22,279)109,091 2.78 %11.41 %7.32
ABS n/a  n/a 112,440 6,254 (3,815)114,879 3.18 %12.14 %2.97
ABS backed by consumer loans159,813 (101,524)58,289 390 (4,999)53,680 12.00 %8.13 %1.67
Corporate debt69,153 (49,685)19,468 3,714 (3,177)20,005 0.08 %— %2.78
Corporate equity n/a  n/a 10,556 3,799 (2,379)11,976  n/a n/an/a
U.S. Treasury securities100,058 41 100,099 41 (944)99,196 4.00 %3.95 %7.16
Total Long896,758 (251,729)1,176,557 54,861 (94,593)1,136,825 5.43 %9.41 %4.74
Short:
U.S. Treasury securities(299,898)(378)(300,276)3,060 (15)(297,231)3.92 %3.86 %6.22
Total Short(299,898)(378)(300,276)3,060 (15)(297,231)3.92 %3.86 %6.22
Total$596,860 $(252,107)$876,281 $57,921 $(94,608)$839,594 5.05 %8.25 %5.05
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, asset-backed securities, and corporate equity.
(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
December 31, 2025:
Gross UnrealizedWeighted Average
($ in thousands)Current PrincipalUnamortized Premium (Discount)Amortized CostGainsLossesFair Value
Coupon(1)(2)
Yield
Life (Years)(3)
Long:
Agency RMBS:
15-year fixed-rate mortgages$5,271 $(20)$5,251 $47 $(94)$5,204 3.50 %3.77 %2.50
30-year fixed-rate mortgages209,771 (356)209,415 2,564 (14,106)197,873 3.93 %3.84 %7.31
Reverse mortgages655 33 688 — (132)556 4.46 %2.75 %4.15
Interest only securitiesn/an/a13,012 1,913 (191)14,734 1.21 %12.00 %6.57
Non-Agency RMBS308,570 (80,178)228,392 24,999 (5,226)248,165 5.09 %8.42 %4.51
CMBS66,252 (25,995)40,257 700 (15,800)25,157 3.74 %9.91 %4.13
Non-Agency interest only securitiesn/an/a212,700 10,853 (16,773)206,780 0.76 %13.58 %3.11
CLOsn/an/a138,068 1,139 (14,167)125,040 3.22 %11.10 %7.08
ABSn/an/a95,378 5,866 (3,471)97,773 2.87 %13.98 %3.26
ABS backed by consumer loans157,165 (97,017)60,148 382 (7,443)53,087 12.00 %9.83 %1.64
Corporate debt55,795 (40,981)14,814 3,826 (3,110)15,530 0.10 %— %2.76
Corporate equityn/an/a10,517 3,594 (2,120)11,991 n/an/an/a
U.S. Treasury securities32,600 (44)32,556 436 — 32,992 4.14 %3.97 %5.04
Total Long836,079 (244,558)1,061,196 56,319 (82,633)1,034,882 5.61 %9.42 %4.81
Short:
U.S. Treasury securities(268,105)(1,213)(269,318)459 (1,119)(269,978)4.03 %3.93 %7.09
European sovereign bonds(2,730)36 (2,694)— (30)(2,724)0.13 %1.28 %0.08
Total Short(270,835)(1,177)(272,012)459 (1,149)(272,702)3.99 %3.91 %7.02
Total$565,244 $(245,735)$789,184 $56,778 $(83,782)$762,180 5.21 %8.27 %5.28
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity.
(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
Securities by Weighted Average Life
The following tables detail weighted average life of the Company's Agency RMBS as of March 31, 2026 and December 31, 2025.
March 31, 2026:
($ in thousands)Agency RMBSAgency Interest Only Securities
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$3,711 $3,705 3.50 %$4,585 $4,266 1.65 %
Greater than three years and less than seven years76,299 79,085 4.73 %7,742 7,177 1.86 %
Greater than seven years and less than eleven years117,305 127,183 3.43 %2,684 2,542 0.64 %
Total$197,315 $209,973 3.91 %$15,011 $13,985 1.50 %
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
December 31, 2025:
($ in thousands)Agency RMBSAgency Interest Only Securities
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Fair ValueAmortized Cost
Weighted Average Coupon(2)
Less than three years$4,100 $4,164 3.52 %$1,893 $1,599 1.19 %
Greater than three years and less than seven years73,318 74,182 5.03 %7,141 6,611 1.75 %
Greater than seven years and less than eleven years126,215 137,008 3.34 %2,452 1,989 0.77 %
Greater than eleven years— — — %3,248 2,813 0.75 %
Total$203,633 $215,354 3.92 %$14,734 $13,012 1.21 %
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of March 31, 2026 and December 31, 2025.
March 31, 2026:
($ in thousands)Non-Agency RMBS and CMBSNon-Agency IOs
CLOs and Other Securities(2)
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Less than three years$146,647 $133,428 4.04 %$181,228 $193,427 1.53 %$142,853 $156,824 4.54 %
Greater than three years and less than seven years68,595 70,444 6.68 %60,850 58,612 0.35 %98,247 98,434 4.54 %
Greater than seven years and less than eleven years29,271 41,597 4.76 %16,540 11,057 0.18 %55,916 65,078 1.02 %
Greater than eleven years11,826 11,731 6.60 %715 698 1.10 %639 614 5.80 %
Total$256,339 $257,200 4.83 %$259,333 $263,794 0.80 %$297,655 $320,950 4.16 %
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Other Securities includes ABS and corporate debt.
(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
December 31, 2025:
($ in thousands)Non-Agency RMBS and CMBSNon-Agency IOs
CLOs and Other Securities(2)
Estimated Weighted Average Life(1)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Fair ValueAmortized Cost
Weighted Average Coupon(3)
Less than three years$146,952 $131,966 4.28 %$163,836 $174,260 1.49 %$131,748 $143,309 4.65 %
Greater than three years and less than seven years63,801 63,710 5.50 %27,982 29,167 0.22 %97,330 96,852 4.54 %
Greater than seven years and less than eleven years33,728 45,339 4.78 %14,715 9,083 0.14 %54,507 58,027 1.97 %
Greater than eleven years28,841 27,634 6.78 %247 190 1.24 %7,845 10,220 0.48 %
Total$273,322 $268,649 4.85 %$206,780 $212,700 0.76 %$291,430 $308,408 4.31 %
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
(2)Other Securities includes ABS and corporate debt.
(3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
Investment Income
The following table details the components of interest income by security type for the three-month periods ended March 31, 2026 and 2025:
Three-Month Period Ended
(In thousands)March 31, 2026March 31, 2025
Security Type
Coupon Interest(1)
Net AmortizationInterest Income
Coupon Interest(1)
Net AmortizationInterest Income
Agency RMBS $3,280 $(886)$2,394 $3,894 $246 $4,140 
Non-Agency RMBS and CMBS34,591 (20,115)14,476 15,399 (6,735)8,664 
CLOs3,825 (393)3,432 3,162 (1,326)1,836 
Other securities(2)
9,478 (4,365)5,113 7,442 (1,704)5,738 
Total$51,174 $(25,759)$25,415 $29,897 $(9,519)$20,378 
(1)Coupon interest includes distributions on interest-only and equity tranches.
(2)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities.
Schedule of Realized Gain (Loss)
The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month periods ended March 31, 2026 and 2025.
(In thousands)Three-Month Period Ended March 31, 2026
Security Type
Proceeds(1)
Gross Realized Gains
Gross Realized Losses(2)
Net Realized Gain (Loss)
Agency RMBS $6,874 $642 $(3)$639 
Non-Agency RMBS and CMBS
47,744 3,396 (155)3,241 
CLOs33,129 272 (534)(262)
Other securities(3)
195,649 2,835 (2,346)489 
Total$283,396 $7,145 $(3,038)$4,107 
(1)Includes proceeds on sales of securities not yet settled as of period end.
(2)Excludes realized losses of $(3.2) million for the three-month period ended March 31, 2026, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible.
(3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
(In thousands)Three-Month Period Ended March 31, 2025
Security Type
Proceeds(1)
Gross Realized Gains
Gross Realized Losses(2)
Net Realized Gain (Loss)
Agency RMBS $37,943 $428 $(1,618)$(1,190)
Non-Agency RMBS and CMBS21,231 3,981 (148)3,833 
CLOs29,894 693 (1,118)(425)
Other securities(3)
185,913 2,569 (2,344)225 
Total$274,981 $7,671 $(5,228)$2,443 
(1)Includes proceeds on sales of securities not yet settled as of period end.
(2)Excludes realized losses of $(2.5) million for the three-month period ended March 31, 2025 related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible.
(3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
Debt Securities, Available-for-Sale, Unrealized Loss Position, Fair Value
The following tables present the fair value and gross unrealized losses of the Company's long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost basis, by length of time that such securities have been in an unrealized loss position at March 31, 2026 and December 31, 2025.
March 31, 2026:
(In thousands)Less than 12 MonthsGreater than 12 MonthsTotal
Security TypeFair ValueUnrealized LossesFair ValueUnrealized LossesFair ValueUnrealized Losses
Agency RMBS $3,111 $(154)$115,958 $(14,501)$119,069 $(14,655)
Non-Agency RMBS and CMBS71,013 (5,999)30,419 (6,750)101,432 (12,749)
CLOs39,543 (2,899)312 (63)39,855 (2,962)
Other securities(1)
104,207 (4,062)3,437 (1,526)107,644 (5,588)
Total$217,874 $(13,114)$150,126 $(22,840)$368,000 $(35,954)
(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities.
December 31, 2025:
(In thousands)Less than 12 MonthsGreater than 12 MonthsTotal
Security TypeFair ValueUnrealized LossesFair ValueUnrealized LossesFair ValueUnrealized Losses
Agency RMBS$1,095 $(106)$119,269 $(14,236)$120,364 $(14,342)
Non-Agency RMBS and CMBS33,264 (2,056)19,314 (3,693)52,578 (5,749)
CLOs18,099 (1,054)605 (597)18,704 (1,651)
Other securities(1)
13,169 (4,162)2,889 (901)16,058 (5,063)
Total$65,627 $(7,378)$142,077 $(19,427)$207,704 $(26,805)
(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities.