v3.26.1
Investment in Securities (Tables)
 6 Months Ended
Jun. 30, 2026
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Holdings The following tables detail the Company's investment in securities as of June 30, 2026 and December 31, 2025.
June 30, 2026:
Gross UnrealizedWeighted Average
($ in thousands)Current PrincipalUnamortized Premium (Discount)Amortized CostGainsLossesFair 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 mortgages198,342 (325)198,017 1,649 (14,826)184,840 3.91 %3.76 %7.22
Reverse mortgages571 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 RMBS312,275 (81,014)231,261 22,316 (7,743)245,834 5.29 %7.60 %4.32
CMBS65,202 (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 loans161,772 (103,722)58,050 397 (5,288)53,159 12.00 %9.37 %1.65
Corporate debt80,265 (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/an/a
U.S. Treasury securities139,347 (386)138,961 319 (1,757)137,523 4.11 %4.11 %7.76
Total Long962,248 (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)$978,625 5.11 %8.60 %5.00
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, asset-backed securities, and corporate equity.
(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
December 31, 2025:
Gross UnrealizedWeighted Average
($ in thousands)Current PrincipalUnamortized Premium (Discount)Amortized CostGainsLossesFair 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 mortgages209,771 (356)209,415 2,564 (14,106)197,873 3.93 %3.84 %7.31
Reverse mortgages655 33 688 — (132)556 4.46 %2.75 %4.15
Agency interest only securitiesn/an/a13,012 1,913 (191)14,734 1.21 %12.00 %6.57
Non-Agency RMBS308,570 (80,178)228,392 24,999 (5,226)248,165 5.09 %8.42 %4.51
CMBS66,252 (25,995)40,257 700 (15,800)25,157 3.74 %9.91 %4.13
Non-Agency interest only securitiesn/an/a212,700 10,853 (16,773)206,780 0.76 %13.58 %3.11
CLOsn/an/a138,068 1,139 (14,167)125,040 3.22 %11.10 %7.08
ABSn/an/a95,378 5,866 (3,471)97,773 2.87 %13.98 %3.26
ABS backed by consumer loans157,165 (97,017)60,148 382 (7,443)53,087 12.00 %9.83 %1.64
Corporate debt55,795 (40,981)14,814 3,826 (3,110)15,530 0.10 %— %2.76
Corporate equityn/an/a10,517 3,594 (2,120)11,991 n/an/an/a
U.S. Treasury securities32,600 (44)32,556 436 — 32,992 4.14 %3.97 %5.04
Total Long836,079 (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)$762,180 5.21 %8.27 %5.28
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral.
(2)Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity.
(3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
Securities by Weighted Average Life
The following tables detail weighted average life of the Company's long securities(1) as of June 30, 2026 and December 31, 2025.
June 30, 2026:
($ in thousands)MBSIOs
CLOs and Other Securities(2)
Estimated Weighted Average Life(3)
Fair ValueAmortized Cost
Weighted Average Coupon(4)
Fair ValueAmortized Cost
Weighted Average Coupon(4)
Fair ValueAmortized 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 years131,868 145,214 5.25 %83,753 81,265 0.36 %99,554 99,798 4.04 %
Greater than seven years and less than eleven years144,885 159,654 4.03 %27,153 22,635 0.28 %45,968 51,900 0.98 %
Greater than eleven years20,804 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)MBSIOs
CLOs and Other Securities(2)
Estimated Weighted Average Life(3)
Fair ValueAmortized Cost
Weighted Average Coupon(4)
Fair ValueAmortized Cost
Weighted Average Coupon(4)
Fair ValueAmortized 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 years63,801 63,710 5.50 %27,982 29,167 0.22 %97,330 96,852 4.54 %
Greater than seven years and less than eleven years33,728 45,339 4.78 %14,715 9,083 0.14 %54,507 58,027 1.97 %
Greater than eleven years28,841 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.
Investment Income
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, 2026June 30, 2025
Security Type
Coupon Interest(1)
Net AmortizationInterest Income
Coupon Interest(1)
Net AmortizationInterest Income
Agency RMBS $3,563 $(878)$2,685 $3,467 $(626)$2,841 
Non-Agency RMBS and CMBS37,459 (20,020)17,439 19,279 (11,673)7,606 
CLOs6,315 (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, 2026June 30, 2025
Security Type
Coupon Interest(1)
Net AmortizationInterest Income
Coupon Interest(1)
Net AmortizationInterest Income
Agency RMBS $6,843 $(1,764)$5,079 $7,360 $(380)$6,980 
Non-Agency RMBS and CMBS72,050 (40,135)31,915 34,677 (18,408)16,269 
CLOs10,140 (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.
Schedule of Realized Gain (Loss)
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, 2026Three-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 CMBS40,244 4,446 (129)4,317 23,858 3,564 (122)3,442 
CLOs13,034 217 (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, 2026Six-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 
CLOs46,162 489 (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.
Debt Securities, Available-for-Sale, Unrealized Loss Position, Fair Value
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 MonthsGreater than 12 MonthsTotal
Security TypeFair ValueUnrealized LossesFair ValueUnrealized LossesFair ValueUnrealized Losses
Agency RMBS $7,384 $(29)$112,878 $(14,961)$120,262 $(14,990)
Non-Agency RMBS and CMBS28,750 (1,299)15,977 (1,803)44,727 (3,102)
CLOs13,758 (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 MonthsGreater than 12 MonthsTotal
Security TypeFair ValueUnrealized LossesFair ValueUnrealized LossesFair ValueUnrealized Losses
Agency RMBS$1,095 $(106)$119,269 $(14,236)$120,364 $(14,342)
Non-Agency RMBS and CMBS33,264 (2,056)19,314 (3,693)52,578 (5,749)
CLOs18,099 (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.