v3.26.1
Valuation (Tables)
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]
The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025:
June 30, 2026:
DescriptionLevel 1Level 2Level 3Total
(In thousands)
Assets:
Securities, at fair value:
Agency RMBS$— $197,780 $12,760 $210,540 
Non-Agency RMBS— 151,382 396,915 548,297 
CMBS— 12,368 10,345 22,713 
CLOs— 56,422 44,632 101,054 
Asset-backed securities, backed by consumer loans— — 53,159 53,159 
Other ABS— — 116,916 116,916 
Corporate debt securities— — 29,419 29,419 
Corporate equity securities239 — 10,883 11,122 
U.S. Treasury securities— 137,523 — 137,523 
Loans, at fair value:
Residential mortgage loans— — 3,559,269 3,559,269 
Commercial mortgage loans— — 675,066 675,066 
Consumer loans
— — 108 108 
Corporate loans
— — 52,575 52,575 
Reverse mortgage loans— — 13,587,412 13,587,412 
Forward MSR-related investments, at fair value75,901 75,901 
MSRs, at fair value— — 30,040 30,040 
Loan commitments, at fair value— — 10,191 10,191 
Loan purchase commitments, at fair value— — 472 472 
Investment in unconsolidated entities, at fair value— — 402,259 402,259 
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed indices— 1,127 — 1,127 
Credit default swaps on corporate bond indices— 15,951 — 15,951 
Interest rate swaps— 153,729 — 153,729 
TBAs— 499 — 499 
Futures— — — — 
Forwards— 280 — 280 
Total return swaps— — 63 63 
Options3,237 — — 3,237 
Warrants— 3 — 3 
Total assets
$3,476 $727,064 $19,068,385 $19,798,925 
DescriptionLevel 1Level 2Level 3Total
(continued)(In thousands)
Liabilities:
Securities sold short, at fair value:
Government debt$— $(252,118)$— $(252,118)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities— — (2)(2)
Credit default swaps on corporate bonds— (111)— (111)
Credit default swaps on corporate bond indices— (32,305)— (32,305)
Interest rate swaps— (43,066)— (43,066)
TBAs— (2,266)— (2,266)
Options(2,363)— — (2,363)
Futures(680)— — (680)
Other secured borrowings, at fair value— — (3,451,333)(3,451,333)
HMBS-related obligations, at fair value— — (11,057,752)(11,057,752)
Unsecured borrowings, at fair value— — (654,962)(654,962)
Total liabilities
$(3,043)$(329,866)$(15,164,049)$(15,496,958)
December 31, 2025:
DescriptionLevel 1Level 2Level 3Total
(In thousands)
Assets:
Securities, at fair value:
Agency RMBS$— $205,789 $12,578 $218,367 
Non-Agency RMBS— 185,805 267,747 453,552 
CMBS— 13,615 12,935 26,550 
CLOs— 90,775 34,265 125,040 
Asset-backed securities, backed by consumer loans— — 53,087 53,087 
Other ABS— — 97,773 97,773 
Corporate debt securities— — 15,530 15,530 
Corporate equity securities337 — 11,654 11,991 
U.S. Treasury securities— 32,992 — 32,992 
Loans, at fair value:
Residential mortgage loans— — 3,643,094 3,643,094 
Commercial mortgage loans— — 640,712 640,712 
Consumer loans
— — 159 159 
Corporate loans
— — 25,366 25,366 
Reverse mortgage loans— — 12,331,316 12,331,316 
Forward MSR-related investments, at fair value77,852 77,852 
MSRs, at fair value— — 28,913 28,913 
Loan commitments, at fair value— — 9,124 9,124 
Investment in unconsolidated entities, at fair value— — 312,421 312,421 
DescriptionLevel 1Level 2Level 3Total
(continued)(In thousands)
Financial derivatives–assets, at fair value:
Credit default swaps on asset-backed indices— 2,206 — 2,206 
Credit default swaps on corporate bond indices— 4,621 — 4,621 
Interest rate swaps— 128,898 — 128,898 
TBAs— 257 — 257 
Futures1,095 — — 1,095 
Forwards— 14 — 14 
Total return swaps— — 24 24 
Options5,607 — — 5,607 
Warrants— 1 — 1 
Total assets
$7,039 $664,973 $17,574,550 $18,246,562 
Liabilities:
Securities sold short, at fair value:
Government debt
$— $(272,702)$— $(272,702)
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities— — (2)(2)
Credit default swaps on corporate bonds— (155)— (155)
Credit default swaps on corporate bond indices— (25,407)— (25,407)
Interest rate swaps— (26,797)— (26,797)
TBAs— (598)— (598)
Futures(45)— — (45)
Forwards— (69)— (69)
Loan purchase commitments, at fair value— — (42)(42)
Other secured borrowings, at fair value
— — (2,945,578)(2,945,578)
HMBS-related obligations, at fair value— — (10,406,332)(10,406,332)
Unsecured borrowings, at fair value— — (659,832)(659,832)
Total liabilities
$(45)$(325,728)$(14,011,786)$(14,337,559)
Schedule of Significant Unobservable Inputs, Qualitative Information
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2026:
Fair ValueValuation 
Technique		Unobservable InputRangeWeighted
Average
DescriptionMinMax
(In thousands)
Non-Agency RMBS
$160,060 Market QuotesNon Binding Third-Party Valuation$0.46 $191.00 $37.23 
236,855 Discounted Cash Flows
396,915 Yield0.1 %87.1 %16.2 %
Projected Collateral Prepayments0.0 %90.0 %82.7 %
Projected Collateral Losses0.0 %57.4 %4.1 %
Projected Collateral Recoveries0.0 %49.6 %3.1 %
Non-Agency CMBS9,992 Market QuotesNon Binding Third-Party Valuation$3.05 $83.90 $38.32 
353 Discounted Cash Flows
10,345 Yield6.8 %23.8 %16.1 %
Projected Collateral Losses0.0 %93.0 %11.4 %
Projected Collateral Recoveries7.0 %100.0 %87.8 %
CLOs
37,342 Market QuotesNon Binding Third-Party Valuation$0.01 $121.16 $69.45 
7,290 Discounted Cash Flows
44,632 Yield11.6 %79.1 %16.3 %
Agency interest only RMBS
7,088 Market QuotesNon Binding Third-Party Valuation$1.72 $21.32 $12.40 
5,672 Option Adjusted Spread ("OAS")
12,760 
SOFR OAS(1)
109 3,258 513 
Projected Collateral Prepayments10.0 %96.6 %57.8 %
ABS92,067 Market QuotesNon Binding Third-Party Valuation$2.14 $100.10 $71.30 
78,008 Discounted Cash Flows
170,075 Yield0.0 %51.2 %10.5 %
Projected Collateral Prepayments0.0 %59.8 %16.8 %
Projected Collateral Losses0.0 %44.2 %19.0 %
Corporate debt and equity
2,451 Enterprise ValueEquity Price-to-Book0.8x0.8x0.8x
37,851 Discounted Cash FlowsYield2.5 %74.9 %18.6 %
40,302 
Performing and re-performing residential mortgage loans
1,841,908 Discounted Cash FlowsYield1.5 %65.0 %6.8 %
Securitized residential mortgage loans(2)(3)
1,470,667 Market QuotesNon Binding Third-Party Valuation$0.50 $100.07 $91.36 
97,779 Discounted Cash Flows
1,568,446 Yield0.6 %39.5 %6.5 %
Non-performing residential mortgage loans
148,915 Discounted Cash FlowsYield1.1 %113.7 %7.7 %
Recovery Amount0.2 %264.3 %87.7 %
Months to Resolution/Maturity5.1 106.8 22.2 
Performing commercial mortgage loans621,727 Discounted Cash FlowsYield7.2 %10.8 %8.7 %
Fair ValueValuation 
Technique		Unobservable InputRangeWeighted
Average
DescriptionMinMax
(continued)(In thousands)
Non-performing commercial mortgage loans
53,339 Discounted Cash FlowsYield9.2 %14.2 %11.3 %
Recovery Amount80.0 %100.0 %95.7 %
Months to Resolution2.111.07.4
Consumer loans
108 Discounted Cash FlowsYield11.8 %12.0 %12.0 %
Projected Collateral Prepayments— %26.8 %9.8 %
Projected Collateral Losses0.8 %64.2 %22.1 %
Corporate loans
52,575 Discounted Cash FlowsYield— %27.6 %11.1 %
Reverse Mortgage Loans—HECM11,301,352 Discounted Cash FlowsYield2.8 %6.5 %4.3 %
Conditional Prepayment Rate1.8 %39.4 %7.7 %
Reverse Mortgage Loans—HECM buyouts48,178 Discounted Cash FlowsYield6.2 %11.4 %8.2 %
Months to Resolution1.6370.224.2
Reverse Mortgage Loans—Unsecuritized Proprietary243,409 Discounted Cash FlowsYield6.3 %12.2 %7.3 %
Conditional Prepayment Rate7.0 %26.8 %13.1 %
Reverse Mortgage Loans—Securitized Proprietary(2)
1,819,442 Market QuotesNon Binding Third-Party Valuation$90.06 $112.17 $106.91 
175,031 Recent TransactionsTransaction Pricen/an/an/a
1,994,473 Yield5.1 %8.4 %5.5 %
Forward MSR-related investments75,901 Discounted Cash FlowsYield9.0 %9.0 %9.0 %
Conditional Prepayment Rate5.0 %5.0 %5.0 %
MSRs30,040 Discounted Cash FlowsYield17.4 %17.4 %17.4 %
Conditional Prepayment Rate10.4 %42.3 %14.6 %
Loan Commitments10,191 Discounted Cash FlowsPull-through rate66.0 %94.4 %69.0 %
Cost to originate4.3 %10.5 %5.9 %
Investment in unconsolidated entities—Loan origination and mortgage-related entities81,205 Enterprise Value
Equity Price-to-Book(4)
0.5x2.3x 2.1x
Investment in unconsolidated entities—Other321,054 Enterprise ValueNet Asset Valuen/an/an/a
402,259 
Loan Purchase Commitments472 Transaction PriceYield6.4 %7.0 %6.7 %
Total return swaps63 Discounted Cash FlowsYield30.1 %30.1 %30.1 %
Credit default swaps on asset-backed securities(2)Net Discounted Cash FlowsProjected Collateral Prepayments22.9 %22.9 %22.9 %
Projected Collateral Losses8.6 %8.6 %8.6 %
Projected Collateral Recoveries12.3 %12.3 %12.3 %
Other secured borrowings, at fair value(2)
(3,279,344)Market QuotesNon Binding Third-Party Valuation$0.50 $100.07 $92.64 
(171,989)Recent TransactionsTransaction Pricen/an/an/a
(3,451,333)Yield4.9%54.7%5.6%
Projected Collateral Prepayments15.2%75.5%55.4%
Fair ValueValuation 
Technique		Unobservable InputRangeWeighted
Average
DescriptionMinMax
(In thousands)
HMBS-related obligations, at fair value(11,057,752)Discounted Cash FlowsYield2.6%6.5%4.2%
Conditional Prepayment Rate6.9%39.4%7.7%
Unsecured borrowings, at fair value(654,962)Market QuotesNon Binding Third-Party Valuation$84.52 $99.63 $98.86 
(1)Shown in basis points.
(2)Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2.
(3)Includes $60.8 million of non-performing securitized residential mortgage loans.
(4)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $0.4 million. Including such investments, the weighted average price-to-book ratio was 2.0x
Fair Value Measurement Using Significant Unobservable Inputs
The tables below include roll-forwards of the Company's financial instruments for the three- and six-month periods ended June 30, 2026 and 2025 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.
Three-Month Period Ended June 30, 2026
(In thousands)Beginning Balance as of 
March 31, 2026		Accreted
Discounts /
(Amortized
Premiums)		Net Realized
Gain/
(Loss)		Change in Net
Unrealized
Gain/(Loss)
Purchases/Payments(1)
 Sales/
Issuances(2)
Transfers Into Level 3Transfers Out of Level 3Ending
Balance as of 
June 30, 2026
Assets:
Securities, at fair value:
Agency RMBS$12,347 $(741)$10 $(125)$1,534 $— $— $(265)$12,760 
Non-Agency RMBS310,784 (19,337)3,026 (2,376)123,357 (32,263)16,873 (3,149)396,915 
CMBS9,786 (99)— (1,409)2,016 — 685 (634)10,345 
CLOs37,367 (1,921)(550)1,625 — (403)12,343 (3,829)44,632 
Asset-backed securities backed by consumer loans53,680 (1,844)(408)(282)6,513 (4,500)— — 53,159 
Other ABS114,879 (1,937)(3,383)653 9,896 (3,192)— — 116,916 
Corporate debt securities20,005 — (330)2,074 10,684 (3,014)— — 29,419 
Corporate equity securities11,516 — 1,538 (204)50 (2,017)— — 10,883 
Loans, at fair value:
Residential mortgage loans3,748,165 1,701 (14,424)3,519 2,063,329 (2,243,021)— — 3,559,269 
Commercial mortgage loans623,196 — (94)(1,182)110,759 (57,613)— — 675,066 
Consumer loans135 (20)(1)16 — (22)— — 108 
Corporate loans31,479 — — (6)46,332 (25,230)— — 52,575 
Reverse mortgage loans(3)
12,990,186 (184)(157)168,706 746,812 (317,951)— — 13,587,412 
Forward MSR-related investments, at fair value72,824 2,583 — 5,501 — (5,007)— — 75,901 
MSRs, at fair value(3)
30,192 — — (152)— — — — 30,040 
Loan commitments, at fair value10,207 — — (16)— — — — 10,191 
Loan purchase commitments, at fair value— — — 472 — — — — 472 
Investments in unconsolidated entities, at fair value349,722 — 5,490 5,485 183,277 (141,715)— — 402,259 
Financial derivatives–assets, at fair value:
Total return swaps54 — 227 9 — (227)— — 63 
Total assets, at fair value$18,426,524 $(21,799)$(9,056)$182,308 $3,304,559 $(2,836,175)$29,901 $(7,877)$19,068,385 
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps$— $— $(86)$— $89 $(3)$— $— $— 
Credit default swaps on asset-backed securities(2)— 1 — — (1)— — (2)
Loan purchase commitments, at fair value(6,443)— — 6,443 — — — — — 
Other secured borrowings, at fair value(3,125,332)(5,003)— 8,428 96,909 (426,335)— — (3,451,333)
Unsecured borrowings, at fair value(638,644)— — (16,318)— — — — (654,962)
HMBS-related obligations, at fair value(3)
(10,765,668)— — (121,141)281,464 (452,407)— — (11,057,752)
Total liabilities, at fair value$(14,536,089)$(5,003)$(85)$(122,588)$378,462 $(878,746)$— $— $(15,164,049)
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.
(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.
(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income, interest expense, and realized and unrealized gains and losses.
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2026, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2026. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2026.
(In thousands)Three-Month Period Ended
June 30, 2026
Securities, at fair value$(422)
Loans, at fair value145,257 
Forward MSR-related investments, at fair value5,501 
MSRs, at fair value(152)
Loan purchase commitments, at fair value2,588 
Loan commitments, at fair value9,416 
Investments in unconsolidated entities, at fair value
3,856 
Financial derivatives-assets, at fair value9 
Other secured borrowings, at fair value
8,428 
Unsecured borrowings, at fair value
(16,318)
HMBS-related obligations, at fair value
(121,141)
At June 30, 2026, the Company transferred $7.9 million of assets from Level 3 to Level 2 and $29.9 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.
Three-Month Period Ended June 30, 2025
(In thousands)Beginning Balance as of 
March 31, 2025		Accreted
Discounts /
(Amortized
Premiums)		Net Realized
Gain/
(Loss)		Change in Net
Unrealized
Gain/(Loss)
Purchases/Payments(1)
 Sales/
Issuances(2)
Transfers Into Level 3Transfers Out of Level 3Ending
Balance as of 
June 30, 2025
Assets:
Securities, at fair value:
Agency RMBS$10,753 $(396)$6 $133 $250 $— $1,889 $(3,752)$8,883 
Non-Agency RMBS191,474 (12,116)1,813 10,432 123,775 (23,695)1,883 (34,634)258,932 
CMBS17,687 289 (780)1,022 — (812)4,209 — 21,615 
CLOs12,116 (886)63 (511)10,502 (490)— — 20,794 
Asset-backed securities backed by consumer loans56,348 (1,758)(2,448)1,644 6,767 (5,367)— — 55,186 
Other ABS24,481 (136)2,246 (871)1,028 (4,749)— — 21,999 
Corporate debt securities13,388 — (123)18 2,919 (2,595)— — 13,607 
Corporate equity securities9,310 — (984)622 528 (437)— — 9,039 
Loans, at fair value:
Residential mortgage loans3,325,164 (2,848)13,742 20,041 998,311 (1,246,855)— — 3,107,555 
Commercial mortgage loans356,178 3 376 7 96,763 (18,105)— — 435,222 
Consumer loans370 (44)— (2)4 (57)— — 271 
Corporate loans11,117 — (1,644)1,636 45,888 (37,288)— — 19,709 
Reverse mortgage loans(3)
10,581,329 (133)— 192,895 560,405 (228,888)— — 11,105,608 
Forward MSR-related investments, at fair value87,203 2,927 — (2,752)— (6,122)— — 81,256 
MSRs, at fair value(3)
29,536 — — (260)— — — — 29,276 
Loan commitments, at fair value7,215 — — 1,570 — — — — 8,785 
Loan purchase commitments, at fair value1,342 — — 2,722 — — — — 4,064 
Investments in unconsolidated entities, at fair value269,093 — 2,688 14,384 112,310 (90,753)— — 307,722 
Total assets, at fair value$15,004,104 $(15,098)$14,955 $242,730 $1,959,450 $(1,666,213)$7,981 $(38,386)$15,509,523 
Liabilities:
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities$(3)$— $— $— $— $— $— $— $(3)
Other secured borrowings, at fair value(1,926,711)(1,834)— (30,771)54,745 (222,654)— — (2,127,225)
Unsecured borrowings, at fair value(247,337)— — (1,699)— — — — (249,036)
HMBS-related obligations, at fair value(9,495,132)— — (142,212)216,573 (394,040)— — (9,814,811)
Total liabilities, at fair value$(11,669,183)$(1,834)$— $(174,682)$271,318 $(616,694)$— $— $(12,191,075)
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.
(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.
(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025.
(In thousands)Three-Month Period Ended
June 30, 2025
Securities, at fair value$12,254 
Loans, at fair value210,725 
Forward MSR-related investments, at fair value(2,752)
MSRs, at fair value(260)
Loan purchase commitments, at fair value3,206 
Loan commitments, at fair value8,275 
Investments in unconsolidated entities, at fair value
11,797 
Other secured borrowings, at fair value
(30,771)
Unsecured borrowings, at fair value
(1,699)
HMBS-related obligations, at fair value
(142,212)
At June 30, 2025, the Company transferred $38.4 million of assets from Level 3 to Level 2 and $8.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.
Six-Month Period Ended June 30, 2026
(In thousands)Beginning Balance as of 
December 31, 2025		Accreted
Discounts /
(Amortized
Premiums)		Net Realized
Gain/
(Loss)		Change in Net
Unrealized
Gain/(Loss)
Purchases/Payments(1)
 Sales/
Issuances(2)
Transfers Into Level 3Transfers Out of Level 3Ending
Balance as of 
June 30, 2026
Assets:
Securities, at fair value:
Agency RMBS$12,578 $(1,485)$639 $(608)$13,338 $(6,171)$520 $(6,051)$12,760 
Non-Agency RMBS267,747 (37,867)6,434 (5,315)228,645 (70,052)26,915 (19,592)396,915 
CMBS12,935 (113)296 (2,157)2,015 (1,676)134 (1,089)10,345 
CLOs34,265 (1,882)(995)(2,336)8,988 (1,975)17,273 (8,706)44,632 
Asset-backed securities backed by consumer loans53,087 (3,677)(2,979)2,170 13,963 (9,405)— — 53,159 
Other ABS97,773 (4,481)(3,570)697 41,827 (15,330)— — 116,916 
Corporate debt securities15,530 — (565)1,895 18,375 (5,816)— — 29,419 
Corporate equity securities11,654 — 1,541 (381)91 (2,022)— — 10,883 
Loans, at fair value:
Residential mortgage loans3,643,094 2,536 (265)(17,840)3,920,673 (3,988,929)— — 3,559,269 
Commercial mortgage loans640,712 256 426 (810)293,906 (259,424)— — 675,066 
Consumer loans159 (39)(20)48 11 (51)— — 108 
Corporate loans25,366 — — (164)56,829 (29,456)— — 52,575 
Reverse mortgage loans(3)
12,331,316 (450)(174)417,013 1,403,054 (563,347)— — 13,587,412 
Forward MSR-related investments, at fair value77,852 5,325 — 5,019 — (12,295)— — 75,901 
MSRs, at fair value(3)
28,913 — — 1,127 — — — — 30,040 
Loan commitments, at fair value9,124 — — 1,067 — — — — 10,191 
Loan purchase commitments, at fair value— — — 472 — — — — 472 
Investments in unconsolidated entities, at fair value312,421 — 10,590 17,949 360,060 (298,761)— — 402,259 
Financial derivatives–assets, at fair value:
Total return swaps24 — 281 39 — (281)— — 63 
Total assets, at fair value$17,574,550 $(41,877)$11,639 $417,885 $6,361,775 $(5,264,991)$44,842 $(35,438)$19,068,385 
Liabilities:
Financial derivatives–liabilities, at fair value:
Total return swaps$— $— $(132)$— $137 $(5)$— $— $— 
Credit default swaps on asset-backed securities(2)— 1 — — (1)— — (2)
Loan purchase commitments, at fair value(42)— — 42 — — — — — 
Other secured borrowings, at fair value(2,945,578)(8,409)— 17,252 159,214 (673,812)— — (3,451,333)
Unsecured borrowings, at fair value(659,832)— — 4,870 — — — — (654,962)
HMBS-related obligations, at fair value(3)
(10,406,332)— — (315,248)510,113 (846,285)— — (11,057,752)
Total liabilities, at fair value$(14,011,786)$(8,409)$(131)$(293,084)$669,464 $(1,520,103)$— $— $(15,164,049)
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.
(2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received.
(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income, interest expense, and realized and unrealized gains and losses.
Six-Month Period Ended June 30, 2025
(In thousands)Beginning Balance as of 
December 31, 2024		Accreted
Discounts /
(Amortized
Premiums)		Net Realized
Gain/
(Loss)		Change in Net
Unrealized
Gain/(Loss)
Purchases/Payments(1)
Sales/Issuances(2)
Transfers Into Level 3Transfers Out of Level 3Ending
Balance as of 
June 30, 2025
Assets:
Securities, at fair value:
Agency RMBS$10,660 $(745)$43 $499 $1,003 $(848)$2,275 $(4,004)$8,883 
Non-Agency RMBS153,188 (19,141)1,754 8,547 169,579 (31,031)7,491 (31,455)258,932 
CMBS21,399 560 (323)(12)— (4,017)9,388 (5,380)21,615 
CLOs22,678 (2,299)146 (1,686)11,124 (9,169)— — 20,794 
Asset-backed securities backed by consumer loans60,227 (3,471)(4,456)976 13,624 (11,714)— — 55,186 
Other ABS35,483 (4)3,315 (1,998)2,049 (16,846)— — 21,999 
Corporate debt securities14,352 — 259 (496)6,263 (6,771)— — 13,607 
Corporate equity securities9,759 — (348)689 1,021 (2,082)— — 9,039 
Loans, at fair value:
Residential mortgage loans3,539,534 (532)11,284 43,839 1,916,015 (2,402,585)— — 3,107,555 
Commercial mortgage loans350,515 48 (9,699)11,724 155,510 (72,876)— — 435,222 
Consumer loans477 (79)26 (24)17 (146)— — 271 
Corporate loans11,767 — (1,644)1,751 68,089 (60,254)— — 19,709 
Reverse mortgage loans(3)
10,097,279 (133)— 389,274 1,024,883 (405,695)— — 11,105,608 
Forward MSR-related investments, at fair value77,848 5,581 — 11,996 — (14,169)— — 81,256 
MSRs, at fair value(3)
29,766 — — (490)— — — — 29,276 
Loan commitments, at fair value6,692 — — 2,093 — — — — 8,785 
Loan purchase commitments, at fair value— — — 4,064 — — — — 4,064 
Investments in unconsolidated entities, at fair value220,078 — (2,380)27,756 241,077 (178,809)— — 307,722 
Total assets, at fair value$14,661,702 $(20,215)$(2,023)$498,502 $3,610,254 $(3,217,012)$19,154 $(40,839)$15,509,523 
Liabilities:
Financial derivatives–liabilities, at fair value:
Credit default swaps on asset-backed securities$(3)$— $— $— $— $— $— $— $(3)
Loan purchase commitments, at fair value(1,602)— — 1,602 — — — — — 
Other secured borrowings, at fair value(1,934,309)(3,292)— (61,330)94,360 (222,654)— — (2,127,225)
Unsecured borrowings, at fair value(281,912)— (1,383)(673)34,932 — — — (249,036)
HMBS-related obligations, at fair value(9,150,883)— — (289,682)403,296 (777,542)— — (9,814,811)
Total liabilities, at fair value$(11,368,709)$(3,292)$(1,383)$(350,083)$532,588 $(1,000,196)$— $— $(12,191,075)
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities.
(2)For Investments in unconsolidated entities, at fair value, amount represents distributions received.
(3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses.
Schedule of Financial Instruments
The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025:
June 30, 2026December 31, 2025
(In thousands)Fair ValueCarrying ValueFair ValueCarrying Value
Other financial instruments
Assets:
Cash and cash equivalents$247,473 $247,473 $201,893 $201,893 
Restricted cash42,373 42,373 136,297 136,297 
Due from brokers59,396 59,396 35,919 35,919 
Reverse repurchase agreements577,691 577,691 453,037 453,037 
Liabilities:
Repurchase agreements3,064,277 3,064,277 2,655,444 2,655,444 
Other secured borrowings256,988 256,988 296,398 296,398 
Due to brokers59,791 59,791 48,104 48,104 
Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in segregated accounts for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short-term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short-term nature.
Schedule of change in unrealized gain/(loss) on Level 3 Assets and Liabilities still held and outstanding The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2026.
(In thousands)Six-Month
Period Ended
June 30, 2026
Securities, at fair value$(6,193)
Loans, at fair value393,309 
Forward MSR-related investments, at fair value5,019 
MSRs, at fair value1,127 
Loan purchase commitments, at fair value472 
Loan commitments, at fair value10,182 
Investments in unconsolidated entities, at fair value
15,725 
Financial derivatives-assets, at fair value39 
Other secured borrowings, at fair value
17,252 
Unsecured borrowings, at fair value
4,870 
HMBS-related obligations, at fair value
(315,248)
The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025.
(In thousands)Six-Month
Period Ended
June 30, 2025
Securities, at fair value$7,321 
Loans, at fair value420,369 
Forward MSR-related investments, at fair value11,996 
MSRs, at fair value(490)
Loan purchase commitments, at fair value4,064 
Loan commitments, at fair value8,781 
Investments in unconsolidated entities, at fair value
15,839 
Other secured borrowings, at fair value
(61,330)
Unsecured borrowings, at fair value
(1,827)
HMBS-related obligations, at fair value
(289,682)