| Investment in Securities |
Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS and ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of June 30, 2026 and December 31, 2025. June 30, 2026: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Unrealized | | | | Weighted Average | | ($ in thousands) | | Current Principal | | Unamortized Premium (Discount) | | Amortized Cost | | Gains | | Losses | | Fair Value | | Coupon(1)(2) | | Yield | | Life (Years)(3) | | Long: | | | | | | | | | | | | | | | | | | | | Agency Pass-Throughs: | | | | | | | | | | | | | | | | | | | | 15-year fixed-rate mortgages | | $ | 4,474 | | | $ | (11) | | | $ | 4,463 | | | $ | — | | | $ | (116) | | | $ | 4,347 | | | 3.50 | % | | 3.69 | % | | 2.34 | | 30-year fixed-rate mortgages | | 198,342 | | | (325) | | | 198,017 | | | 1,649 | | | (14,826) | | | 184,840 | | | 3.91 | % | | 3.76 | % | | 7.22 | | Reverse mortgages | | 571 | | | 31 | | | 602 | | | — | | | (42) | | | 560 | | | 4.44 | % | | 2.79 | % | | 3.91 | | Agency interest only securities | | n/a | | n/a | | 19,680 | | | 1,541 | | | (428) | | | 20,793 | | | 2.00 | % | | 12.02 | % | | 4.40 | | Non-Agency RMBS | | 312,275 | | | (81,014) | | | 231,261 | | | 22,316 | | | (7,743) | | | 245,834 | | | 5.29 | % | | 7.60 | % | | 4.32 | | CMBS | | 65,202 | | | (25,748) | | | 39,454 | | | 325 | | | (18,322) | | | 21,457 | | | 4.18 | % | | 6.52 | % | | 3.36 | | Non-Agency interest only securities | | n/a | | n/a | | 311,725 | | | 13,694 | | | (21,700) | | | 303,719 | | | 0.74 | % | | 16.90 | % | | 3.38 | | CLOs | | n/a | | n/a | | 119,492 | | | 1,120 | | | (19,558) | | | 101,054 | | | 2.53 | % | | 10.66 | % | | 7.28 | | ABS | | n/a | | n/a | | 113,824 | | | 5,764 | | | (2,672) | | | 116,916 | | | 3.35 | % | | 10.52 | % | | 2.60 | | ABS backed by consumer loans | | 161,772 | | | (103,722) | | | 58,050 | | | 397 | | | (5,288) | | | 53,159 | | | 12.00 | % | | 9.37 | % | | 1.65 | | Corporate debt | | 80,265 | | | (53,458) | | | 26,807 | | | 4,596 | | | (1,984) | | | 29,419 | | | 0.07 | % | | — | % | | 2.86 | | Corporate equity | | n/a | | n/a | | 10,127 | | | 3,620 | | | (2,625) | | | 11,122 | | | n/a | | n/a | | n/a | | U.S. Treasury securities | | 139,347 | | | (386) | | | 138,961 | | | 319 | | | (1,757) | | | 137,523 | | | 4.11 | % | | 4.11 | % | | 7.76 | | Total Long | | 962,248 | | | (264,633) | | | 1,272,463 | | | 55,341 | | | (97,061) | | | 1,230,743 | | | 5.44 | % | | 9.60 | % | | 4.82 | | Short: | | | | | | | | | | | | | | | | | | | | U.S. Treasury securities | | (257,148) | | | 81 | | | (257,067) | | | 5,008 | | | (59) | | | (252,118) | | | 3.86 | % | | 3.86 | % | | 5.89 | | Total Short | | (257,148) | | | 81 | | | (257,067) | | | 5,008 | | | (59) | | | (252,118) | | | 3.86 | % | | 3.86 | % | | 5.89 | | Total | | $ | 705,100 | | | $ | (264,552) | | | $ | 1,015,396 | | | $ | 60,349 | | | $ | (97,120) | | | $ | 978,625 | | | 5.11 | % | | 8.60 | % | | 5.00 |
(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 Unrealized | | | | Weighted Average | | ($ in thousands) | Current Principal | | Unamortized Premium (Discount) | | Amortized Cost | | Gains | | Losses | | Fair Value | | Coupon(1)(2) | | Yield | | Life (Years)(3) | | Long: | | | | | | | | | | | | | | | | | | | Agency Pass-Throughs: | | | | | | | | | | | | | | | | | | | 15-year fixed-rate mortgages | $ | 5,271 | | | $ | (20) | | | $ | 5,251 | | | $ | 47 | | | $ | (94) | | | $ | 5,204 | | | 3.50 | % | | 3.77 | % | | 2.50 | | 30-year fixed-rate mortgages | 209,771 | | | (356) | | | 209,415 | | | 2,564 | | | (14,106) | | | 197,873 | | | 3.93 | % | | 3.84 | % | | 7.31 | | Reverse mortgages | 655 | | | 33 | | | 688 | | | — | | | (132) | | | 556 | | | 4.46 | % | | 2.75 | % | | 4.15 | | Agency interest only securities | n/a | | n/a | | 13,012 | | | 1,913 | | | (191) | | | 14,734 | | | 1.21 | % | | 12.00 | % | | 6.57 | | Non-Agency RMBS | 308,570 | | | (80,178) | | | 228,392 | | | 24,999 | | | (5,226) | | | 248,165 | | | 5.09 | % | | 8.42 | % | | 4.51 | | CMBS | 66,252 | | | (25,995) | | | 40,257 | | | 700 | | | (15,800) | | | 25,157 | | | 3.74 | % | | 9.91 | % | | 4.13 | | Non-Agency interest only securities | n/a | | n/a | | 212,700 | | | 10,853 | | | (16,773) | | | 206,780 | | | 0.76 | % | | 13.58 | % | | 3.11 | | CLOs | n/a | | n/a | | 138,068 | | | 1,139 | | | (14,167) | | | 125,040 | | | 3.22 | % | | 11.10 | % | | 7.08 | | ABS | n/a | | n/a | | 95,378 | | | 5,866 | | | (3,471) | | | 97,773 | | | 2.87 | % | | 13.98 | % | | 3.26 | | ABS backed by consumer loans | 157,165 | | | (97,017) | | | 60,148 | | | 382 | | | (7,443) | | | 53,087 | | | 12.00 | % | | 9.83 | % | | 1.64 | | Corporate debt | 55,795 | | | (40,981) | | | 14,814 | | | 3,826 | | | (3,110) | | | 15,530 | | | 0.10 | % | | — | % | | 2.76 | | Corporate equity | n/a | | n/a | | 10,517 | | | 3,594 | | | (2,120) | | | 11,991 | | | n/a | | n/a | | n/a | | U.S. Treasury securities | 32,600 | | | (44) | | | 32,556 | | | 436 | | | — | | | 32,992 | | | 4.14 | % | | 3.97 | % | | 5.04 | | Total Long | 836,079 | | | (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. The following tables detail weighted average life of the Company's long securities(1) as of June 30, 2026 and December 31, 2025. June 30, 2026: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ($ in thousands) | | MBS | | IOs | | CLOs and Other Securities(2) | Estimated Weighted Average Life(3) | | Fair Value | | Amortized Cost | | Weighted Average Coupon(4) | | Fair Value | | Amortized Cost | | Weighted Average Coupon(4) | | Fair Value | | Amortized Cost | | Weighted Average Coupon(4) | | Less than three years | | $ | 159,481 | | | $ | 147,739 | | | 4.51 | % | | $ | 212,912 | | | $ | 226,828 | | | 1.46 | % | | $ | 154,378 | | | $ | 165,863 | | | 4.68 | % | | Greater than three years and less than seven years | | 131,868 | | | 145,214 | | | 5.25 | % | | 83,753 | | | 81,265 | | | 0.36 | % | | 99,554 | | | 99,798 | | | 4.04 | % | | Greater than seven years and less than eleven years | | 144,885 | | | 159,654 | | | 4.03 | % | | 27,153 | | | 22,635 | | | 0.28 | % | | 45,968 | | | 51,900 | | | 0.98 | % | | Greater than eleven years | | 20,804 | | | 21,190 | | | 6.59 | % | | 694 | | | 677 | | | 1.10 | % | | 648 | | | 612 | | | 5.80 | % | | Total | | $ | 457,038 | | | $ | 473,797 | | | 4.68 | % | | $ | 324,512 | | | $ | 331,405 | | | 0.77 | % | | $ | 300,548 | | | $ | 318,173 | | | 4.16 | % |
(1)Excludes U.S. Treasury and corporate equity securities. (2)Other Securities includes ABS and corporate debt. (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. (4)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) | | MBS | | IOs | | CLOs and Other Securities(2) | Estimated Weighted Average Life(3) | | Fair Value | | Amortized Cost | | Weighted Average Coupon(4) | | Fair Value | | Amortized Cost | | Weighted Average Coupon(4) | | Fair Value | | Amortized Cost | | Weighted Average Coupon(4) | | 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 years | | 63,801 | | | 63,710 | | | 5.50 | % | | 27,982 | | | 29,167 | | | 0.22 | % | | 97,330 | | | 96,852 | | | 4.54 | % | | Greater than seven years and less than eleven years | | 33,728 | | | 45,339 | | | 4.78 | % | | 14,715 | | | 9,083 | | | 0.14 | % | | 54,507 | | | 58,027 | | | 1.97 | % | | Greater than eleven years | | 28,841 | | | 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)Excludes U.S. Treasury and corporate equity securities. (2)Other Securities includes ABS and corporate debt. (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. (4)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 table details the components of interest income by security type for the three- and six-month periods ended June 30, 2026 and 2025: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three-Month Period Ended | | (In thousands) | | June 30, 2026 | | June 30, 2025 | | Security Type | | Coupon Interest(1) | | Net Amortization | | Interest Income | | Coupon Interest(1) | | Net Amortization | | Interest Income | | Agency RMBS | | $ | 3,563 | | | $ | (878) | | | $ | 2,685 | | | $ | 3,467 | | | $ | (626) | | | $ | 2,841 | | | Non-Agency RMBS and CMBS | | 37,459 | | | (20,020) | | | 17,439 | | | 19,279 | | | (11,673) | | | 7,606 | | | CLOs | | 6,315 | | | (2,984) | | | 3,331 | | | 2,166 | | | (805) | | | 1,361 | | Other securities(2) | | 10,201 | | | (3,793) | | | 6,408 | | | 6,285 | | | (1,969) | | | 4,316 | | | Total | | $ | 57,538 | | | $ | (27,675) | | | $ | 29,863 | | | $ | 31,197 | | | $ | (15,073) | | | $ | 16,124 | |
(1)Coupon interest includes distributions on interest-only and certain equity tranches. (2)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six-Month Period Ended | | (In thousands) | | June 30, 2026 | | June 30, 2025 | | Security Type | | Coupon Interest(1) | | Net Amortization | | Interest Income | | Coupon Interest(1) | | Net Amortization | | Interest Income | | Agency RMBS | | $ | 6,843 | | | $ | (1,764) | | | $ | 5,079 | | | $ | 7,360 | | | $ | (380) | | | $ | 6,980 | | | Non-Agency RMBS and CMBS | | 72,050 | | | (40,135) | | | 31,915 | | | 34,677 | | | (18,408) | | | 16,269 | | | CLOs | | 10,140 | | | (3,377) | | | 6,763 | | | 5,328 | | | (2,130) | | | 3,198 | | Other securities(2) | | 19,679 | | | (8,158) | | | 11,521 | | | 13,728 | | | (3,674) | | | 10,054 | | | Total | | $ | 108,712 | | | $ | (53,434) | | | $ | 55,278 | | | $ | 61,093 | | | $ | (24,592) | | | $ | 36,501 | |
(1)Coupon interest includes distributions on interest-only and certain equity tranches. (2)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities. For the three-month periods ended June 30, 2026 and 2025, the Catch-Up Amortization Adjustment was $0.2 million and $(0.1) million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Catch-Up Amortization Adjustment was $0.2 million and $0.9 million, respectively. 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 June 30, 2026 and 2025. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (In thousands) | | Three-Month Period Ended June 30, 2026 | | Three-Month Period Ended June 30, 2025 | | Security Type | | Proceeds(1) | | Gross Realized Gains | | Gross Realized Losses(2) | | Net Realized Gain (Loss) | | Proceeds(1) | | Gross Realized Gains | | Gross Realized Losses(2) | | Net Realized Gain (Loss) | | Agency RMBS | | $ | 582 | | | $ | 60 | | | $ | — | | | $ | 60 | | | $ | 3,910 | | | $ | 27 | | | $ | (450) | | | $ | (423) | | | Non-Agency RMBS and CMBS | | 40,244 | | | 4,446 | | | (129) | | | 4,317 | | | 23,858 | | | 3,564 | | | (122) | | | 3,442 | | | CLOs | | 13,034 | | | 217 | | | (46) | | | 171 | | | 60 | | | 63 | | | — | | | 63 | | Other securities(3) | | 45,460 | | | 3,488 | | | (321) | | | 3,167 | | | 428,325 | | | 3,791 | | | (6,240) | | | (2,449) | | | Total | | $ | 99,320 | | | $ | 8,211 | | | $ | (496) | | | $ | 7,715 | | | $ | 456,153 | | | $ | 7,445 | | | $ | (6,812) | | | $ | 633 | |
(1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(6.2) million and $(3.9) million for the three-month periods ended June 30, 2026 and 2025, respectively, 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) | | Six-Month Period Ended June 30, 2026 | | Six-Month Period Ended June 30, 2025 | | Security Type | | Proceeds(1) | | Gross Realized Gains | | Gross Realized Losses(2) | | Net Realized Gain (Loss) | | Proceeds(1) | | Gross Realized Gains | | Gross Realized Losses(2) | | Net Realized Gain (Loss) | | Agency RMBS | | $ | 7,457 | | | $ | 700 | | | $ | (1) | | | $ | 699 | | | $ | 41,853 | | | $ | 454 | | | $ | (2,067) | | | $ | (1,613) | | Non-Agency RMBS and CMBS | | 87,988 | | | 7,722 | | | (164) | | | 7,558 | | | 45,089 | | | 7,374 | | | (99) | | | 7,275 | | | CLOs | | 46,162 | | | 489 | | | (579) | | | (90) | | | 29,955 | | | 756 | | | (1,118) | | | (362) | | Other securities(3) | | 241,109 | | | 4,712 | | | (1,056) | | | 3,656 | | | 451,507 | | | 6,343 | | | (8,562) | | | (2,219) | | | Total | | $ | 382,716 | | | $ | 13,623 | | | $ | (1,800) | | | $ | 11,823 | | | $ | 568,404 | | | $ | 14,927 | | | $ | (11,846) | | | $ | 3,081 | |
(1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(9.5) million and $(6.4) million for the six-month periods ended June 30, 2026 and 2025, respectively, 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. 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 June 30, 2026 and December 31, 2025. June 30, 2026: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (In thousands) | | Less than 12 Months | | Greater than 12 Months | | Total | | Security Type | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Agency RMBS | | $ | 7,384 | | | $ | (29) | | | $ | 112,878 | | | $ | (14,961) | | | $ | 120,262 | | | $ | (14,990) | | | Non-Agency RMBS and CMBS | | 28,750 | | | (1,299) | | | 15,977 | | | (1,803) | | | 44,727 | | | (3,102) | | | CLOs | | 13,758 | | | (1,583) | | | 5 | | | — | | | 13,763 | | | (1,583) | | Other securities(1) | | 111,179 | | | (2,735) | | | 3,335 | | | (1,793) | | | 114,514 | | | (4,528) | | | Total | | $ | 161,071 | | | $ | (5,646) | | | $ | 132,195 | | | $ | (18,557) | | | $ | 293,266 | | | $ | (24,203) | |
(1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities. December 31, 2025: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (In thousands) | | Less than 12 Months | | Greater than 12 Months | | Total | | Security Type | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Agency RMBS | | $ | 1,095 | | | $ | (106) | | | $ | 119,269 | | | $ | (14,236) | | | $ | 120,364 | | | $ | (14,342) | | | Non-Agency RMBS and CMBS | | 33,264 | | | (2,056) | | | 19,314 | | | (3,693) | | | 52,578 | | | (5,749) | | | CLOs | | 18,099 | | | (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. As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of June 30, 2026 and December 31, 2025, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $44.1 million and $42.3 million, respectively, related to adverse changes in estimated future cash flows on its securities. The Company has determined for certain securities that a portion of such securities' cost basis is not collectible. For the three-month periods ended June 30, 2026 and 2025, the Company recognized realized losses on these securities of $(6.3) million and $(3.9) million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Company recognized realized losses on these securities of $(9.6) million and $(6.4) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.
|