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DEBT SECURITIES INVESTMENTS
 6 Months Ended
Jun. 30, 2026
Investments, Debt and Equity Securities [Abstract]  
DEBT SECURITY INVESTMENTS DEBT SECURITY INVESTMENTS
The Company holds interests in various classes of non-agency RMBS, CMBS and other investments. The Company classifies its investments in RMBS as AFS or held-to-maturity (“HTM”) and as RMBS investments in beneficial interests, based on the Company’s intent and ability to hold each security to maturity. Beneficial interests are the residual interest of the Company’s investments in securitization trusts holding pools of residential mortgage loans. The Company measures its RMBS AFS debt securities at fair value with changes in fair value recorded in other comprehensive income in the period in which they occur. The Company measures its RMBS HTM and beneficial interests at amortized cost, net of any allowance for credit losses. Beneficial interests may be trust certificates and/or subordinated notes depending on the structure of the securitization.

The Company has elected the fair value option for its investments in CMBS, with changes in fair value recorded in earnings in the period incurred. Interest income on CMBS is recognized using the effective interest method.

The Company’s investments in RMBS are investments in unconsolidated VIEs, and the Company’s maximum exposure to loss is limited to the amount of its investment.

The Company’s investments in RMBS HTM represent the 5.01% the Company is required to retain under the European risk retention rules for the Company’s secured bonds payable (the “EU Retained Interest”). Under the European risk retention rules, the Company must hold at least 5.0% of the nominal value of each class of securities offered or sold to investors, and the Company is prohibited from selling, transferring or otherwise surrendering all or part of the EU Retained Interest until all such classes are paid in full or redeemed.

The Company’s RMBS AFS and HTM all have stated maturities of more than 10 years. The securities are subject to prepayments on the underlying collateral and varying call provisions held by the majority certificate holders. The Company is not a majority certificate holder and cannot influence the timing of any call provisions.
During the three months ended June 30, 2026 and 2025, the Company recognized $0.2 million and $(2.1) million, respectively, of fair value gains (losses) in current period earnings on securities carried at fair value. During the six months ended June 30, 2026 and 2025, the Company recognized $0.0 million and $(7.8) million, respectively, of fair value gains (losses) in current period earnings on securities carried at fair value.

During the six months ended June 30, 2025, $3.6 million of losses were reclassified from other comprehensive loss to realized loss in connection with the sale of RMBS AFS with a par value of $20.7 million. There were no sales of RMBS in the three and six months ended June 30, 2026 or in the three months ended June 30, 2025. Changes in unrealized gains and losses on securities carried at fair value are recorded in realized and unrealized gains (losses), net in the consolidated statements of operations, while those on RMBS AFS securities are recorded in unrealized gain (loss) on AFS securities in the consolidated statements of comprehensive income (loss).

During the three and six months ended June 30, 2026, the Company did not acquire any CMBS. During the three and six months ended June 30, 2025, the Company acquired $2.4 million and $49.1 million in par of CMBS, respectively. During the three and six months ended June 30, 2026, the Company sold $66.0 million and $159.5 million of CMBS, respectively. There were no sales of CMBS in the three and six months ended June 30, 2025.

The following table presents information regarding the Company’s investments in debt securities:
June 30, 2026
Basis(1)
Gross Unrealized GainsGross Unrealized LossesFair Value
CMBS, at fair value$84,268 $170 $(73)$84,365 
RMBS:
RMBS AFS, at fair value47,805 478 (293)47,990 
Debt securities HTM at amortized cost, net of allowance for credit losses of $0
39,623 — (1,582)38,041 
Investment in beneficial interests at amortized cost, net of allowance for credit losses of $0
102,224 9,300 (34,884)76,640 
RMBS189,652 9,778 (36,759)162,671 
Total Debt Security Investments$273,920 $9,948 $(36,832)$247,036 
(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on CMBS, RMBS AFS and HTM before any fair value adjustment.


December 31, 2025
Basis(1)
Gross Unrealized GainsGross Unrealized LossesFair Value
CMBS, at fair value$273,421 $596 $(234)$273,783 
RMBS:
RMBS AFS, at fair value48,810 648 (218)49,240 
Debt securities HTM at amortized cost, net of allowance for credit losses of $0
41,528 — (1,210)40,318 
Investment in beneficial interests at amortized cost, net of allowance for credit losses of $0
99,179 9,327 (42,257)66,249 
RMBS189,517 9,975 (43,685)155,807 
Total Debt Security Investments$462,938 $10,571 $(43,919)$429,590 
(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on CMBS, RMBS AFS and HTM before any fair value adjustment.
The following tables present a breakdown of the Company’s gross unrealized gains and losses on its investments in RMBS AFS grouped by due date:

June 30, 2026
Step-Up Date(s)(1)
Basis(2)
Gross Unrealized GainsGross Unrealized LossesFair Value
RMBS due March 2060n/a$4,060 $106 $— $4,166 
RMBS due January 2061(3)
n/a5,446 — (15)5,431 
RMBS due June 2061n/a9,056 309 — 9,365 
RMBS due October 2061(3)
April 20295,017 — (142)4,875 
RMBS due March 2062(3)
May 20295,302 — (136)5,166 
RMBS due July 2062February 20308,811 6 — 8,817 
RMBS due October 2062October 20264,185 4 — 4,189 
RMBS due May 2063July 20305,928 53 — 5,981 
RMBS AFS, at Fair Value$47,805 $478 $(293)$47,990 
(1)When applicable, the step-up date is the date at which the coupon interest rate on the security increases.
(2)Basis amount is net of any realized amortized costs, accrued interest and principal paydowns or additional investment into security.
(3)These securities have been in an unrealized loss position for 12 months or longer.
December 31, 2025
Step-Up Date(s)(1)
Basis(2)
Gross Unrealized GainsGross Unrealized LossesFair Value
RMBS due March 2060n/a$3,916 $67 $— $3,983 
RMBS due January 2061(3)
n/a5,268 — (68)5,200 
RMBS due June 2061n/a8,833 154 — 8,987 
RMBS due October 2061(3)
April 20295,389 — (77)5,312 
RMBS due March 2062(3)
May 20295,789 — (73)5,716 
RMBS due July 2062February 20308,915 256 — 9,171 
RMBS due October 2062October 20264,389 32 — 4,421 
RMBS due May 2063July 20306,311 139 — 6,450 
RMBS AFS, at Fair Value$48,810 $648 $(218)$49,240 
(1)When applicable, the step-up date is the date at which the coupon interest rate on the security increases.
(2)Basis amount is net of any realized amortized costs, accrued interest and principal paydowns or additional investment into security.
(3)These securities have been in an unrealized loss position for 12 months or longer.

The following table presents accretable interest income on debt securities and accretable yield on beneficial interests recognized for the three and six months ended June 30, 2026 and 2025:
Three Months Ended June 30,Six Months Ended June 30,
2026202520262025
Interest income on CMBS$1,586 $4,354 $5,276 $8,436 
Interest income on RMBS AFS and HTM1,274 1,486 2,540 2,903 
Accretable yield recognized on RMBS beneficial interests2,430 1,400 4,193 3,084 
$5,290 $7,240 $12,009 $14,423 

The Company generally recognizes accretable yield on its beneficial interests and increases and decreases in the net present value of expected cash flows in earnings in the period in which they occur.
Under CECL, a loss is recorded to increase the allowance for expected credit losses when there is a reduction in the Company’s expected future cash flows compared to contractual amounts due. A loss reversal is recognized if there is an increase in expected future cash flows to the extent an allowance has been recorded against the beneficial interest or RMBS HTM. If there is no allowance for expected credit losses recorded against a beneficial interest or RMBS HTM, any increase in expected cash flows is recognized prospectively as a change in yield. Management assesses the credit quality of the portfolio and the adequacy of loss reserves on a quarterly basis, or more frequently as necessary.

During the three and six months ended June 30, 2026 and 2025, the Company had no activity related to the allowance for expected credit losses for investments in RMBS HTM and beneficial interests. Accordingly, no allowance was recorded as of June 30, 2026 and December 31, 2025.