The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under secured financing agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing.

The Company attempts to manage credit risk through due diligence, asset selection and portfolio monitoring. The Company may invest in a variety of residential loan products, including but not limited to, Non-QM, QM, jumbo prime, RTLs, Investor Loans and reperforming residential mortgage loans. The Company seeks to manage credit risk through ensuring loans are originated in compliance with regulatory requirements, serviced in accordance with acceptable servicing practices, diversified geographically, and contain loan characteristics sufficiently aligned with borrower credit attributes.

By using derivative instruments and secured financing agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a secured financing agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty.

The Company's secured financing transactions are governed by underlying agreements that provide for a right of setoff by the lender, including in the event of default or bankruptcy of the borrowing party to the transactions. The Company's derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or bankruptcy of either party to the transactions. The Company presents its assets and liabilities subject to such arrangements on a net basis in the Consolidated Statements of Financial Condition. The following table presents information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our Consolidated Statements of Financial Condition as of June 30, 2026 and December 31, 2025.


	June 30, 2026
	(dollars in thousands)
	Gross Amounts of Recognized Assets (Liabilities)		Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Offset in the Consolidated Statements of Financial Position		Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
							Financial Instruments		Cash Collateral (Received) Pledged (1)		Net Amount
Secured financing agreements	$	(7,725,542)	$	—	$	(7,725,542)	$	8,882,135	$	7,756	$	1,164,349
Interest rate swaps - Gross Assets	41,173		(1,535)		39,638		—		65,378		105,016
Interest rate swaps - Gross Liabilities	(1,535)		1,535		—		—		—		—
Futures (2) - Gross Assets	4,098		—		4,098		—		2,296		6,394
Futures (2) - Gross Liabilities	—		—		—		—		—		—
Swaptions - Gross Assets	—		—		—		—		—		—
Swaptions - Gross Liabilities	—		—		—		—		—		—
Interest rate cap - Gross Assets	71,353		(69,445)		1,908		—		(69,445)		(67,537)
Interest rate cap - Gross Liabilities	—		—		—		—		—		—
Interest Rate Lock - Gross Assets	4,055		—		4,055		—		—		4,055
Interest Rate Lock - Gross Liabilities	—		—		—		—		—		—
TBA derivatives - Gross Assets	—		—		—		—		—		—
TBA derivatives - Gross Liabilities	(52)		—		(52)		—				(52)
Total	$	(7,606,450)	$	(69,445)	$	(7,675,895)	$	8,882,135	$	5,985	$	1,212,225


	December 31, 2025
	(dollars in thousands)
	Gross Amounts of Recognized Assets (Liabilities)		Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Offset in the Consolidated Statements of Financial Position		Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
							Financial Instruments		Cash Collateral (Received) Pledged (1)		Net Amount
Secured financing agreements	$	(6,031,182)	$	—	$	(6,031,182)	$	7,353,549	$	16,968	$	1,339,335
Interest rate swaps - Gross Assets	21,413		(255)		21,158		—		43,235		64,393
Interest rate swaps - Gross Liabilities	(115)		115		—		—		—		—
Futures (2) - Gross Assets	57		—		57		—		5,857		5,914
Futures (2) - Gross Liabilities	(1,759)		—		(1,759)		—		—		(1,759)
Swaptions - Gross Assets	3,927		(3,810)		117		—		(3,810)		(3,693)
Swaptions - Gross Liabilities	—		—		—		—		—		—
Interest rate cap - Gross Assets	115		(115)		—		—		(440)		(440)
Interest rate cap - Gross Liabilities	—		—		—		—		—		—
Interest Rate Lock - Gross Assets	3,855		—		3,855		—		—		3,855
Interest Rate Lock - Gross Liabilities	—		—		—		—		—		—
Total	$	(6,003,689)	$	(4,065)	$	(6,007,754)	$	7,353,549	$	61,810	$	1,407,605