v3.26.1
Fair value measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair value measurements Fair value measurements
The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at
which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025 (in thousands).
Fair Value at June 30, 2026
Fair Value at December 31, 2025
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets:
Securitized residential mortgage loans $— $— $7,119,175 $7,119,175 $— $— $7,999,619 $7,999,619 
Residential mortgage loans — 810 261,475 262,285 — 1,081 198,596 199,677 
Legacy WMC Commercial Loans— — 49,254 49,254 — — 55,376 55,376 
Non-Agency RMBS— 9,952 241,893 251,845 — 9,835 191,546 201,381 
Legacy WMC CMBS— 42,694 — 42,694 — 42,565 — 42,565 
Agency RMBS— 14,715 — 14,715 — 16,358 — 16,358 
Derivative assets (1)— 9,995 — 9,995 — 5,395 — 5,395 
Cash equivalents (2)58,897 — — 58,897 55,979 — — 55,979 
Other assets1,705 — — 1,705 — — — — 
AG Arc (3)— — 46,435 46,435 — — 50,016 50,016 
Total Assets Measured at Fair Value$60,602 $78,166 $7,718,232 $7,857,000 $55,979 $75,234 $8,495,153 $8,626,366 
Liabilities:
Securitized debt$— $— $(6,355,237)$(6,355,237)$— $— $(7,177,923)$(7,177,923)
Derivative liabilities (1)— (145)— (145)— (1,169)— (1,169)
Total Liabilities Measured at Fair Value$— $(145)$(6,355,237)$(6,355,382)$— $(1,169)$(7,177,923)$(7,179,092)
(1)As of June 30, 2026, the Company applied a reduction in fair value of $9.8 million and $0.1 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2025, the Company applied a reduction in fair value of $5.3 million and $1.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively.
(2)The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value.
(3)The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has elected the fair value option with respect to its investment pursuant to ASC 825.

The valuation of certain of the Company’s assets and liabilities, including residential mortgage loans, securitized debt, commercial loans, certain securities, loan purchase commitments and forward purchase commitments, is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and historical prepayment speeds. The Company also considers loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts, and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of these assets and liabilities include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for these assets and liabilities held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans.
Fair values for the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information.

The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry.

Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2026 and 2025.

The Company did not have any transfers of assets or liabilities between Levels 1 or 2 and Level 3 of the fair value hierarchy during the three and six months ended June 30, 2026 and 2025. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods.
The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value (in thousands).
Three Months Ended June 30, 2026
Residential Mortgage
Loans (1)		Legacy WMC Commercial LoansNon-Agency
RMBS		AG ArcSecuritized
Debt
Beginning balance$7,766,335 $51,504 $211,564 $52,334 $(6,749,708)
Purchases70,009 — 37,737 — — 
Capital distributions— — — (6,614)— 
Proceeds from sales or settlements(26,331)— — — — 
Principal repayments(417,214)(1,343)(7,464)— 388,941 
Principal funding5,505 — — — — 
Included in net income:
Net premium and discount amortization (2)(2,216)(2,526)(1,134)— (2,910)
Net realized gain/(loss)(1,458)— — — — 
Net unrealized gain/(loss)(10,547)1,619 1,190 — 8,440 
Equity in earnings/(loss) from affiliates— — — 715 — 
Other (3)(3,433)— — — — 
Ending Balance$7,380,650 $49,254 $241,893 $46,435 $(6,355,237)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2026
Net premium and discount amortization (2)$(2,252)$(2,526)$(1,134)$— $(2,910)
Net unrealized gain/(loss)(11,945)1,619 1,190 — 8,440 
Equity in earnings/(loss) from affiliates— — — 715 — 
Three Months Ended June 30, 2025
Residential Mortgage
Loans (1)		Legacy WMC Commercial LoansNon-Agency
RMBS		Other Assets (4)AG ArcSecuritized
Debt		Other Liabilities (4)
Beginning balance$6,809,796 $65,504 $141,118 $— $32,242 $(5,836,691)$— 
Purchases444,852 — — — — — — 
Issuances of Securitized Debt— — — — — (314,660)— 
Proceeds from sales or settlements(37,333)— — — — — — 
Principal repayments(234,788)— (2,608)— — 212,374 — 
Principal funding4,572 — — — — — — 
Included in net income:
Net premium and discount amortization (2)2,214 63 (826)— — (6,650)— 
Net realized gain/(loss)(655)— — — — — — 
Net unrealized gain/(loss)(11,460)(684)261 511 — 7,990 (51)
Equity in earnings/(loss) from affiliates— — — — (37)— — 
Other (3)(2,199)— — — — — — 
Ending Balance$6,974,999 $64,883 $137,945 $511 $32,205 $(5,937,637)$(51)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2025
Net premium and discount amortization (2)2,219 63 (826)— — (6,650)— 
Net unrealized gain/(loss)(11,437)(684)261 511 — 7,990 (51)
Equity in earnings/(loss) from affiliates— — — — (37)— — 
Six Months Ended June 30, 2026
Residential
Mortgage
Loans (1)		Legacy WMC Commercial LoansNon-Agency
RMBS		Other Assets (4)AG ArcSecuritized
Debt
Beginning balance$8,198,215 $55,376 $191,546 $— $50,016 $(7,177,923)
Purchases156,746 — 66,388 — — — 
Capital distributions— — — — (6,614)— 
Proceeds from sales or settlements(75,706)— — (2)— — 
Principal repayments(804,038)(1,343)(13,369)— — 752,082 
Principal funding9,568 — — — — — 
Included in net income:
Net premium and discount amortization (2)(4,612)(2,919)(1,913)— — (6,032)
Net realized gain/(loss)(1,518)— — 2 — — 
Net unrealized gain/(loss)(90,228)(1,860)(759)— — 76,636 
Equity in earnings/(loss) from affiliates— — — — 3,033 — 
Other (3)(7,777)— — — — — 
Ending Balance$7,380,650 $49,254 $241,893 $— $46,435 $(6,355,237)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2026
Net premium and discount amortization (2)$(4,541)$(2,919)$(1,913)$— $— $(6,032)
Net unrealized gain/(loss)(91,977)(1,860)(759)— — 76,636 
Equity in earnings/(loss) from affiliates— — — — 3,033 — 
Six Months Ended June 30, 2025
Residential
Mortgage
Loans (1)		Legacy WMC Commercial LoansNon-Agency
RMBS		Other Assets (4)AG ArcSecuritized
Debt		Other Liabilities (4)
Beginning balance$6,416,066 $67,005 $115,533 $204 $30,778 $(5,491,967)$(336)
Purchases939,621 — 25,963 — — — — 
Issuances of Securitized Debt— — — — — (723,330)— 
Proceeds from sales or settlements(57,761)— — (258)— — 298 
Principal repayments(422,385)— (3,702)— — 383,149 — 
Principal funding6,953 — — — — — — 
Included in net income:
Net premium and discount amortization (2)4,105 333 (1,518)— — (13,457)— 
Net realized gain/(loss)(1,722)— — 258 — — (298)
Net unrealized gain/(loss)96,383 (2,455)1,669 307 — (92,032)285 
Equity in earnings/(loss) from affiliates— — — — 1,427 — — 
Other (3)(6,261)— — — — — — 
Ending Balance$6,974,999 $64,883 $137,945 $511 $32,205 $(5,937,637)$(51)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2025
Net premium and discount amortization (2)$4,064 $333 $(1,518)$— $— $(13,457)$— 
Net unrealized gain/(loss)95,526 (2,455)1,669 511 — (92,032)(51)
Equity in earnings/(loss) from affiliates— — — — 1,427 — — 
(1)Includes Securitized residential mortgage loans.
(2)Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively.
(3)Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.
(4)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.
The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of June 30, 2026 and December 31, 2025 ($ in thousands).
June 30, 2026December 31, 2025
Valuation TechniqueUnobservable InputFair ValueRange
(Weighted Average) (1)		Fair ValueRange
(Weighted Average) (1)
Securitized Residential Mortgage Loans
Yield
5.47% - 16.51% (5.99%)
5.13% - 18.10% (5.78%)
Discounted Cash FlowProjected Collateral Prepayments$7,119,175 
4.29% - 22.00% (10.04%)
$7,999,619 
4.92% - 22.00% (10.09%)
Projected Collateral Losses
0.00% - 1.72% (0.11%)
0.00% - 1.77% (0.09%)
Projected Collateral Severities (2)
10.00% - 75.00% (23.03%)
10.00% - 100.00% (28.23%)
Residential Mortgage Loans
Yield
5.69% - 12.00% (7.37%)
5.39% - 11.61% (7.08%)
Discounted Cash FlowProjected Collateral Prepayments$261,475 
2.90% - 39.35% (17.24%)
$198,596 
1.98% - 33.46% (16.06%)
Projected Collateral Losses
0.00% - 15.78% (1.38%)
0.00% - 18.29% (1.47%)
Projected Collateral Severities (2)
10.00% - 100.00% (19.07%)
4.43% - 100.00% (17.79%)
Legacy WMC Commercial Loans
Yield
8.36% - 11.10% (9.26%)
5.95% - 6.95% (6.68%)
Discounted Cash FlowCredit Spread$49,254 
432 bps - 715 bps (516 bps)
$55,376 
231 bps - 325 bps (300 bps)
Recovery Percentage (3)
72.19% - 98.05% (79.07%)
68.33% - 93.29% (86.62%)
Non-Agency RMBS
Yield
5.26% - 16.25% (7.26%)
4.83% - 20.00% (7.56%)
Discounted Cash FlowProjected Collateral Prepayments$241,893 
8.16% - 26.15% (11.83%)
$191,546 
7.55% - 15.23% (11.23%)
Projected Collateral Losses
0.00% - 0.80% (0.18%)
0.00% - 0.38% (0.06%)
Projected Collateral Severities
10.00% - 75.00% (29.07%)
10.00% - 100.00% (56.87%)
AG Arc
Comparable MultipleBook Value Multiple$46,435 
1.05x - 1.05x (1.05x)
$50,016 
1.025x - 1.025x (1.025x)
Securitized Debt
Yield
4.84% - 25.00% (5.69%)
4.37% - 30.00% (5.42%)
Discounted Cash FlowProjected Collateral Prepayments$(6,355,237)
4.29% - 22.00% (10.02%)
$(7,177,923)
4.92% - 22.00% (10.09%)
Projected Collateral Losses
0.00% - 0.50% (0.10%)
0.00% - 0.50% (0.08%)
Projected Collateral Severities
10.00% - 75.00% (23.12%)
10.00% - 100.00% (27.79%)
(1)Amounts are weighted based on fair value.
(2)Projected collateral severities excludes assumed recoveries on certain residential mortgage loans.
(3)Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2026 and December 31, 2025.