Mortgage-Backed Securities (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Investments, Debt and Equity Securities [Abstract] |
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| Schedule of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments |
The tables below present amortized cost, allowance for credit losses, fair value and unrealized gains/losses of the Company's MBS investments as of June 30, 2026 and December 31, 2025. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | (dollars in thousands) | | Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for Credit Loss | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | | Non-Agency RMBS | | | | | | | | | | | Senior | $ | 827,607 | | $ | 37,806 | | $ | (465,642) | | $ | 399,771 | | $ | (53,041) | | $ | 467,711 | | $ | 124,810 | | $ | (3,829) | | $ | 120,981 | | | Subordinated | 394,670 | | 1,749 | | (217,076) | | 179,343 | | (219) | | 191,732 | | 22,208 | | (9,600) | | 12,608 | | | Interest-only | 2,327,935 | | 142,283 | | — | | 142,283 | | — | | 68,178 | | 12,081 | | (86,186) | | (74,105) | | | Agency RMBS | | | | | | | | | | | Pass-through | 5,041,259 | | 53,166 | | (91,662) | | 5,002,763 | | — | | 5,014,494 | | 23,854 | | (12,123) | | 11,731 | | | CMO | 231,192 | | — | | (161) | | 231,031 | | — | | 232,652 | | 1,621 | | — | | 1,621 | | | | | | | | | | | | | Agency CMBS | | | | | | | | | | | ACMBS bond | 17,905 | | — | | (406) | | 17,499 | | — | | 17,413 | | — | | (86) | | (86) | | | | | | | | | | | | | Total | $ | 8,840,568 | | $ | 235,004 | | $ | (774,947) | | $ | 5,972,690 | | $ | (53,260) | | $ | 5,992,180 | | $ | 184,574 | | $ | (111,824) | | $ | 72,750 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | (dollars in thousands) | | Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for Credit Loss | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | | Non-Agency RMBS | | | | | | | | | | | Senior | $ | 852,887 | | $ | 31,697 | | $ | (478,409) | | $ | 406,175 | | $ | (41,342) | | $ | 505,004 | | $ | 143,580 | | $ | (3,409) | | $ | 140,171 | | | Subordinated | 453,269 | | 1,852 | | (231,167) | | 223,954 | | (1,901) | | 233,315 | | 22,925 | | (11,663) | | 11,262 | | | Interest-only | 2,428,976 | | 146,461 | | — | | 146,461 | | — | | 78,961 | | 13,286 | | (80,786) | | (67,500) | | | Agency RMBS | | | | | | | | | | | Pass-through | 3,096,299 | | 21,495 | | (89,999) | | 3,027,795 | | — | | 3,081,573 | | 54,015 | | (237) | | 53,778 | | | CMO | 330,871 | | — | | (186) | | 330,685 | | — | | 331,909 | | 1,357 | | (133) | | 1,224 | | | Interest-only | 367,866 | | 18,637 | | — | | 18,637 | | — | | 14,867 | | 65 | | (3,835) | | (3,770) | | | Agency CMBS | | | | | | | | | | | Project loans | 39,693 | | 602 | | — | | 40,295 | | — | | 32,539 | | — | | (7,756) | | (7,756) | | | Interest-only | 123,375 | | 3,295 | | — | | 3,295 | | — | | 2,597 | | 132 | | (830) | | (698) | | | Total | $ | 7,693,236 | | $ | 224,039 | | $ | (799,761) | | $ | 4,197,297 | | $ | (43,243) | | $ | 4,280,765 | | $ | 235,360 | | $ | (108,649) | | $ | 126,711 | |
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| Schedule of Investments in Unrealized Loss Position |
The following tables present the gross unrealized losses and estimated fair value of the Company’s Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at June 30, 2026 and December 31, 2025. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position, have been evaluated by the Company for current expected credit losses. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | (dollars in thousands) | | Unrealized Loss Position for Less than 12 Months | | Unrealized Loss Position for 12 Months or More | | Total | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Non-Agency RMBS | | | | | | | | | | | | | Senior | $ | 22,861 | | $ | (437) | | 5 | | | $ | 18,082 | | $ | (3,392) | | 5 | | | $ | 40,943 | | $ | (3,829) | | 10 | | | Subordinated | 5,257 | | (476) | | 2 | | | 66,552 | | (9,124) | | 12 | | 71,809 | | (9,600) | | 14 | | Interest-only | 6,114 | | (532) | | 11 | | 36,442 | | (85,654) | | 126 | | 42,556 | | (86,186) | | 137 | | Agency RMBS | | | | | | | | | | | | | Pass-through | 2,490,185 | | (12,123) | | 104 | | — | | — | | — | | | 2,490,185 | | (12,123) | | 104 | | CMO | — | | — | | — | | — | | — | | — | | | — | | — | | — | | | | | | | | | | | | | | Agency CMBS | | | | | | | | | | | | | ACMBS bond | 17,414 | | (86) | | 2 | | | — | | — | | — | | 17,414 | | (86) | | 2 | | | | | | | | | | | | | | Total | $ | 2,541,831 | | $ | (13,654) | | 124 | | $ | 121,076 | | $ | (98,170) | | 143 | | $ | 2,662,907 | | $ | (111,824) | | 267 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | (dollars in thousands) | | Unrealized Loss Position for Less than 12 Months | | Unrealized Loss Position for 12 Months or More | | Total | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Estimated Fair Value | Unrealized Losses | Number of Positions | | Non-Agency RMBS | | | | | | | | | | | | | Senior | $ | 15,408 | | $ | (266) | | 4 | | | $ | 16,902 | | $ | (3,143) | | 4 | | | $ | 32,311 | | $ | (3,409) | | 8 | | | Subordinated | 8,492 | | (144) | | 3 | | | 81,581 | | (11,519) | | 14 | | 90,073 | | (11,663) | | 17 | | | Interest-only | 1,297 | | (22) | | 4 | | | 44,675 | | (80,764) | | 126 | | 45,972 | | (80,786) | | 130 | | | Agency RMBS | | | | | | | | | | | | | Pass-through | 147,898 | | (237) | | 8 | | | — | | — | | — | | 147,898 | | (237) | | 8 | | | CMO | 57,000 | | (133) | | 1 | | | — | | — | | — | | | 57,000 | | (133) | | 1 | | | Interest-only | 8,302 | | (203) | | 5 | | | 2,928 | | (3,632) | | 5 | | | 11,229 | | (3,835) | | 10 | | | Agency CMBS | | | | | | | | | | | | | Project loans | 4,245 | | (798) | | 2 | | | 28,295 | | (6,958) | | 31 | | 32,540 | | (7,756) | | 33 | | | Interest-only | — | | — | | — | | | 1,154 | | (830) | | 1 | | 1,154 | | (830) | | 1 | | | Total | $ | 242,642 | | $ | (1,803) | | 27 | | $ | 175,535 | | $ | (106,846) | | 181 | | $ | 418,177 | | $ | (108,649) | | 208 | |
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| Schedule of Summary of Credit Loss Allowance |
A summary of the credit losses allowance on available-for-sale securities for the quarters and six months ended June 30, 2026 and June 30, 2025 are presented below. | | | | | | | | | | | | | | | | | | | For the Quarter Ended | | For the Six Months Ended | | June 30, 2026 | June 30, 2025 | | June 30, 2026 | June 30, 2025 | | (dollars in thousands) | | (dollars in thousands) | | Beginning allowance for credit losses | $ | 46,067 | | $ | 31,785 | | | $ | 43,243 | | $ | 28,397 | | | Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 1,620 | | 144 | | | 1,758 | | 337 | | | | | | | | | Reductions for the securities sold during the period | — | | — | | | (2,247) | | — | | | Increase/(decrease) on securities with an allowance in the prior period | 5,616 | | 4,539 | | | 10,689 | | 8,019 | | | Write-offs charged against the allowance | (189) | | (284) | | | (354) | | (589) | | | Recoveries of amounts previously written off | 146 | | 10 | | | 171 | | 30 | | | Ending allowance for credit losses | $ | 53,260 | | $ | 36,194 | | | $ | 53,260 | | $ | 36,194 | |
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| Schedule of Significant Credit Quality Indicators |
The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of June 30, 2026 and December 31, 2025. | | | | | | | | | | | | | | | | June 30, 2026 | | (dollars in thousands) | | | Prepay Rate | CDR | Loss Severity | | Amortized Cost | Weighted Average | Weighted Average | Weighted Average | | Non-Agency RMBS | | | | | | Senior | $ | 194,542 | | 6.3% | 1.1% | 29.1% | | Subordinated | $ | 2,251 | | 6.0% | 1.1% | 31.1% |
| | | | | | | | | | | | | | | | December 31, 2025 | | (dollars in thousands) | | | Prepay Rate | CDR | Loss Severity | | Amortized Cost | Weighted Average | Weighted Average | Weighted Average | | Non-Agency RMBS | | | | | | Senior | $ | 152,299 | | 6.9% | 1.4% | 29.8% | | Subordinated | $ | 20,688 | | 6.3% | 0.3% | 48.4% |
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| Summary of Unrealized Gains and Losses on MBS |
The following tables present a summary of unrealized gains and losses at June 30, 2026 and December 31, 2025. | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | (dollars in thousands) | | Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | | Non-Agency RMBS | | | | | | | | Senior | $ | 124,810 | | $ | — | | $ | 124,810 | | $ | (3,829) | | $ | — | | $ | (3,829) | | | Subordinated | 8,728 | | 13,480 | | 22,208 | | (725) | | (8,875) | | (9,600) | | | Interest-only | — | | 12,081 | | 12,081 | | — | | (86,186) | | (86,186) | | | Agency RMBS | | | | | | | | Pass-through | — | | 23,854 | | 23,854 | | — | | (12,123) | | (12,123) | | | CMO | — | | 1,621 | | 1,621 | | — | | — | | — | | | | | | | | | | Agency CMBS | | | | | | | | ACMBS bond | — | | — | | — | | — | | (86) | | (86) | | | | | | | | | | Total | $ | 133,538 | | $ | 51,036 | | $ | 184,574 | | $ | (4,554) | | $ | (107,270) | | $ | (111,824) | |
| | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | (dollars in thousands) | | Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | | Non-Agency RMBS | | | | | | | | Senior | $ | 143,580 | | $ | — | | $ | 143,580 | | $ | (3,409) | | $ | — | | $ | (3,409) | | | Subordinated | 9,519 | | 13,406 | | 22,925 | | (3,395) | | (8,268) | | (11,663) | | | Interest-only | — | | 13,286 | | 13,286 | | — | | (80,786) | | (80,786) | | | Agency RMBS | | | | | | | | Pass-through | — | | 54,015 | | 54,015 | | — | | (237) | | (237) | | | CMO | — | | 1,357 | | 1,357 | | — | | (133) | | (133) | | | Interest-only | — | | 65 | | 65 | | — | | (3,835) | | (3,835) | | | Agency CMBS | | | | | | | | Project loans | — | | — | | — | | — | | (7,756) | | (7,756) | | | Interest-only | — | | 132 | | 132 | | — | | (830) | | (830) | | | Total | $ | 153,099 | | $ | 82,261 | | $ | 235,360 | | $ | (6,804) | | $ | (101,845) | | $ | (108,649) | |
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| Residential Mortgage Backed Securities Collateral Characteristics |
The following tables provide a summary of the Company’s MBS portfolio at June 30, 2026 and December 31, 2025. | | | | | | | | | | | | | | | | | | | June 30, 2026 | | Principal or Notional Value
at Period-End
(dollars in thousands) | Weighted Average Amortized
Cost Basis | Weighted Average Fair Value | Weighted Average
Coupon | Weighted Average Yield at Period-End (1) | | Non-Agency RMBS | | | | | | | Senior | $ | 827,607 | | $ | 41.90 | | $ | 56.51 | | 5.6 | % | 21.3 | % | | Subordinated | 394,670 | | 45.39 | | 48.58 | | 3.9 | % | 9.2 | % | | Interest-only | 2,327,935 | | 6.11 | | 2.93 | | 0.9 | % | 3.8 | % | | Agency RMBS | | | | | | | Pass-through | 5,041,259 | | 99.24 | | 99.47 | | 5.3 | % | 5.3 | % | | CMO | 231,192 | | 99.93 | | 100.63 | | 4.9 | % | 4.9 | % | | | | | | | | Agency CMBS | | | | | | | ACMBS bond | 17,905 | | 97.74 | | 97.26 | | 4.1 | % | 4.4 | % | | | | | | |
(1) Bond Equivalent Yield at period end. | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Principal or Notional Value at Period-End
(dollars in thousands) | Weighted Average Amortized
Cost Basis | Weighted Average Fair Value | Weighted Average
Coupon | Weighted Average Yield at Period-End (1) | | Non-Agency RMBS | | | | | | | Senior | $ | 852,887 | | $ | 42.78 | | $ | 59.21 | | 5.7 | % | 20.3 | % | | Subordinated | 453,269 | | 48.99 | | 51.47 | | 4.2 | % | 9.3 | % | | Interest-only | 2,428,976 | | 6.03 | | 3.25 | | 0.8 | % | 4.4 | % | | Agency RMBS | | | | | | | Pass-through | 3,096,299 | | 97.79 | | 99.52 | | 5.0 | % | 5.3 | % | CMO | 330,871 | | 99.94 | | 100.31 | | 5.1 | % | 5.1 | % | Interest-only | 367,866 | | 5.07 | | 4.04 | | 0.6 | % | 6.5 | % | | Agency CMBS | | | | | | | Project loans | 39,693 | | 101.52 | | 81.98 | | 3.4 | % | 3.3 | % | | Interest-only | 123,375 | | 2.67 | | 2.11 | | 0.7 | % | 13.0 | % |
(1) Bond Equivalent Yield at period end.
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| Schedule of MBS by Estimated Weighted Average Life Classification |
The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at June 30, 2026 and December 31, 2025 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers a variety of factors, including but not limited to current interest rates, forward interest rate projections, shape and steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, and other borrower, loan, property, or market-related characteristics that may influence prepayment behavior. | | | | | | | | | | | | | | | | | | | June 30, 2026 | | (dollars in thousands) | | Weighted Average Life | | Less than one year | Greater than one year and less
than five years | Greater than five years and less
than ten years | Greater than ten years | Total | | Fair value | | | | | | | Non-Agency RMBS | | | | | | | Senior | $ | 5,480 | | $ | 57,114 | | $ | 184,413 | | $ | 220,704 | | $ | 467,711 | | | Subordinated | 5,397 | | 37,688 | | 66,611 | | 82,036 | | 191,732 | | | Interest-only | 224 | | 27,692 | | 37,708 | | 2,554 | | 68,178 | | | Agency RMBS | | | | | | | Pass-through | — | | 410,773 | | 4,315,105 | | 288,616 | | 5,014,494 | | | CMO | — | | 56,058 | | 176,594 | | — | | 232,652 | | | | | | | | | Agency CMBS | | | | | | | ACMBS bond | — | | 17,413 | | — | | — | | 17,413 | | | | | | | | | Total fair value | $ | 11,101 | | $ | 606,738 | | $ | 4,780,431 | | $ | 593,910 | | $ | 5,992,180 | | | Amortized cost | | | | | | | Non-Agency RMBS | | | | | | | Senior | $ | 7,234 | | $ | 59,357 | | $ | 163,093 | | $ | 170,087 | | $ | 399,771 | | | Subordinated | 1,415 | | 33,004 | | 62,536 | | 82,388 | | 179,343 | | | Interest-only | 17,131 | | 71,091 | | 48,981 | | 5,080 | | 142,283 | | | Agency RMBS | | | | | | | Pass-through | — | | 410,817 | | 4,305,630 | | 286,316 | | 5,002,763 | | | CMO | | 55,663 | | 175,368 | | — | | 231,031 | | | | | | | | | Agency CMBS | | | | | | | ACMBS bond | — | | 17,499 | | — | | — | | 17,499 | | | | | | | | | Total amortized cost | $ | 25,780 | | $ | 647,431 | | $ | 4,755,608 | | $ | 543,871 | | $ | 5,972,690 | |
| | | | | | | | | | | | | | | | | | | December 31, 2025 | | (dollars in thousands) | | Weighted Average Life | | Less than one year | Greater than one year and less
than five years | Greater than five years and less
than ten years | Greater than ten years | Total | | Fair value | | | | | | | Non-Agency RMBS | | | | | | | Senior | $ | 9,088 | | $ | 53,949 | | $ | 193,582 | | $ | 248,385 | | $ | 505,004 | | | Subordinated | — | | 62,392 | | 68,089 | | 102,834 | | 233,315 | | | Interest-only | 105 | | 35,063 | | 41,116 | | 2,677 | | 78,961 | | | Agency RMBS | | | | | | | Pass-through | — | | 161,124 | | 2,801,491 | | 118,958 | | 3,081,573 | | | CMO | — | | — | | 331,909 | | — | | 331,909 | | | Interest-only | — | | 14,867 | | — | | — | | 14,867 | | | Agency CMBS | | | | | | | Project loans | — | | — | | — | | 32,539 | | 32,539 | | | Interest-only | — | | 2,597 | | — | | — | | 2,597 | | | Total fair value | $ | 9,193 | | $ | 329,992 | | $ | 3,436,187 | | $ | 505,393 | | $ | 4,280,765 | | | Amortized cost | | | | | | | Non-Agency RMBS | | | | | | | Senior | $ | 9,377 | | $ | 58,134 | | $ | 161,393 | | $ | 177,271 | | $ | 406,175 | | | Subordinated | — | | 56,909 | | 64,198 | | 102,847 | | 223,954 | | | Interest-only | 16,343 | | 76,174 | | 50,216 | | 3,728 | | 146,461 | | | Agency RMBS | | | | | | | Pass-through | — | | 160,244 | | 2,751,648 | | 115,903 | | 3,027,795 | | | CMO | — | | — | | 330,685 | | — | | 330,685 | | | Interest-only | — | | 18,637 | | — | | — | | 18,637 | | | Agency CMBS | | | | | | | Project loans | — | | — | | — | | 40,295 | | 40,295 | | | Interest-only | — | | 3,295 | | — | | — | | 3,295 | | | Total amortized cost | $ | 25,720 | | $ | 373,393 | | $ | 3,358,140 | | $ | 440,044 | | $ | 4,197,297 | |
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| Schedule of Various Characteristics of Residential Loan Portfolio |
The following table summarizes the delinquency, bankruptcy, foreclosure and real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at June 30, 2026 and December 31, 2025. When delinquency rates increase, it is expected that the Company may incur additional credit losses. | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | | | | | | | | | | % of UPB | 3.6 | % | 1.6 | % | 2.0 | % | 1.5 | % | 2.4 | % | 0.7 | % | 11.7 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | | | | | | | | | | % of UPB | 3.8 | % | 1.5 | % | 1.9 | % | 1.4 | % | 2.9 | % | 0.7 | % | 12.2 | % |
The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at June 30, 2026 and December 31, 2025, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | UPB | | (dollars in thousands) | | June 30, 2026 | $ | 504,051 | | $ | 146,053 | | $ | 148,182 | | $ | 160,992 | | $ | 249,855 | | $ | 45,195 | | $ | 1,254,328 | | $ | 8,141,676 | | | % of UPB | 6.2 | % | 1.8 | % | 1.8 | % | 2.0 | % | 3.1 | % | 0.6 | % | 15.5 | % | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | UPB | | (dollars in thousands) | | December 31, 2025 | $ | 687,205 | | $ | 209,725 | | $ | 212,678 | | $ | 182,663 | | $ | 275,477 | | $ | 41,467 | | $ | 1,609,215 | | $ | 9,988,601 | | | % of UPB | 6.9 | % | 2.1 | % | 2.1 | % | 1.8 | % | 2.8 | % | 0.4 | % | 16.1 | % | |
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| Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio |
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at June 30, 2026 and December 31, 2025. | | | | | | | | | | | | | | | | June 30, 2026 | December 31, 2025 | | Weighted average maturity (years) | | 15.6 | | 16.3 | Weighted average amortized loan to value (1) | | 53.8 | % | | 54.5 | % | Weighted average FICO (2) | | 707 | | 707 | | Weighted average loan balance (in thousands) | | $ | 239 | | | $ | 243 | | | Weighted average percentage owner-occupied | | 69.4 | % | | 68.7 | % | | Weighted average percentage single family residence | | 60.5 | % | | 60.4 | % | | Weighted average current credit enhancement | | 0.6 | % | | 0.7 | % | | Weighted average geographic concentration of top four states | CA | 33.6 | % | CA | 33.5 | % | | NY | 12.5 | % | NY | 12.3 | % | | FL | 7.1 | % | FL | 7.2 | % | | NJ | 4.6 | % | NJ | 4.7 | % |
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
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| Schedule of Percentage of Non-Agency RMBS by Year Originated |
The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at June 30, 2026 and December 31, 2025. | | | | | | | | | | Origination Year | June 30, 2026 | December 31, 2025 | | 2003 and prior | 1.2 | % | 1.2 | % | | 2004 | 0.8 | % | 0.8 | % | | 2005 | 7.6 | % | 7.7 | % | | 2006 | 41.6 | % | 41.5 | % | | 2007 | 36.4 | % | 34.4 | % | | 2008 - 2023 | 9.6 | % | 11.1 | % | | 2024 and later | 2.8 | % | 3.3 | % | | Total | 100.0 | % | 100.0 | % |
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| Schedule of Gains and Losses from Sales of Investments |
The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and six months ended June 30, 2026 and 2025 are as follows: | | | | | | | | | | | | | | | | | | | For the Quarter Ended | | For the Six Months Ended | | June 30, 2026 | June 30, 2025 | | June 30, 2026 | June 30, 2025 | | (dollars in thousands) | | (dollars in thousands) | | Proceeds from sales: | | | | | | | Non-Agency RMBS | $ | — | | $ | 12,234 | | | $ | 13,491 | | $ | 12,234 | | | Agency RMBS | 69,908 | | 125,892 | | | 69,908 | | 125,892 | | | Agency CMBS | 34,913 | | — | | | 34,913 | | — | | | Gross realized gains: | | | | | | | Non-Agency RMBS | — | | — | | | — | | — | | | Agency RMBS | 498 | | — | | | 498 | | — | | | Agency CMBS | 79 | | — | | | 79 | | — | | | Gross realized losses: | | | | | | | Non-Agency RMBS | — | | (1,095) | | | (5,021) | | (1,095) | | | Agency RMBS | (3,950) | | (820) | | | (3,950) | | (820) | | | Agency CMBS | (6,250) | | — | | | (6,250) | | — | | | Net realized gain (loss) | $ | (9,623) | | $ | (1,915) | | | $ | (14,644) | | $ | (1,915) | |
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