Loans Held for Investment (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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| Summary of Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value |
The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at June 30, 2026 and December 31, 2025: | | | | | | | | | | For the Six Months Ended | For the Year Ended | | June 30, 2026 | December 31, 2025 | | (dollars in thousands) | | Balance, beginning of period | $ | 9,803,615 | | $ | 11,196,678 | | | | | | Purchases | 474,786 | | 49,411 | | | Principal paydowns | (580,881) | | (1,470,571) | | | Sales and settlements | (1,668,877) | | (211,216) | | | Net periodic accretion (amortization) | (1,492) | | (8,204) | | | Realized gains (losses) on sales and settlements | (35,407) | | (18,254) | | | Change in fair value | (100,954) | | 265,771 | | | Balance, end of period | $ | 7,890,790 | | $ | 9,803,615 | |
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| Schedule of Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated |
The following table presents the origination periods of the residential mortgage loan portfolio as a percentage of total current UPB: | | | | | | | | | | | Origination Year | June 30, 2026 | December 31, 2025 | | | 2002 and prior | 4.8 | % | 4.9 | % | | | 2003 | 4.4 | % | 4.3 | % | | | 2004 | 8.0 | % | 8.0 | % | | | 2005 | 14.1 | % | 14.1 | % | | | 2006 | 18.1 | % | 18.2 | % | | | 2007 | 20.5 | % | 21.4 | % | | | 2008 | 6.7 | % | 6.9 | % | | | 2009 | 1.6 | % | 1.7 | % | | | 2010 - 2020 | 6.8 | % | 6.8 | % | | | 2021 | 2.7 | % | 2.3 | % | | | 2022 | 7.9 | % | 7.0 | % | | | 2023 and later | 4.4 | % | 4.4 | % | | | Total | 100.0 | % | 100.0 | % | |
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| Schedule of Key Characteristics of Residential Loan Portfolio |
The following table presents a summary of key characteristics of the residential loan portfolio at June 30, 2026 and December 31, 2025: | | | | | | | | | | | | | | | | June 30, 2026 | December 31, 2025 | | Number of loans | | 76,177 | | 93,956 | | Weighted average maturity (years) | | 19.9 | | 20.3 | Weighted average loan to value (1) | | 77.1 | % | | 77.8 | % | | Weighted average FICO | | 668 | | 666 | | Weighted average loan balance (in thousands) | | $ | 107 | | | $ | 106 | | | Weighted average percentage owner occupied | | 84.8 | % | | 85.5 | % | | Weighted average percentage single family residence | | 77.0 | % | | 77.5 | % | | Weighted average geographic concentration of top five states | CA | 15.1 | % | CA | 15.2 | % | | NY | 9.0 | % | FL | 8.8 | % | | FL | 8.8 | % | NY | 8.7 | % | | NJ | 4.4 | % | PA | 4.3 | % | | PA | 4.4 | % | NJ | 4.3 | % |
(1) Value represents appraised value of the collateral at the time of loan origination.
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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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