Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2026

Schedule of Financial Instruments Measured at Fair Value

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 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
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 assets	1,705		—		—		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.

Schedule of Assets and Liabilities Measured on a Recurring Basis

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 Loans		Non-Agency RMBS		AG Arc		Securitized Debt
Beginning balance	$	7,766,335	$	51,504	$	211,564	$	52,334	$	(6,749,708)



Purchases	70,009		—		37,737		—		—

Capital distributions	—		—		—		(6,614)		—
Proceeds from sales or settlements	(26,331)		—		—		—		—
Principal repayments	(417,214)		(1,343)		(7,464)		—		388,941
Principal funding	5,505		—		—		—		—
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 Loans		Non-Agency RMBS		Other Assets (4)		AG Arc		Securitized Debt		Other Liabilities (4)
Beginning balance	$	6,809,796	$	65,504	$	141,118	$	—	$	32,242	$	(5,836,691)	$	—



Purchases	444,852		—		—		—		—		—		—
Issuances of Securitized Debt	—		—		—		—		—		(314,660)		—

Proceeds from sales or settlements	(37,333)		—		—		—		—		—		—
Principal repayments	(234,788)		—		(2,608)		—		—		212,374		—
Principal funding	4,572		—		—		—		—		—		—
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 Loans		Non-Agency RMBS		Other Assets (4)		AG Arc		Securitized Debt
Beginning balance	$	8,198,215	$	55,376	$	191,546	$	—	$	50,016	$	(7,177,923)



Purchases	156,746		—		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 funding	9,568		—		—		—		—		—
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 Loans		Non-Agency RMBS		Other Assets (4)		AG Arc		Securitized Debt		Other Liabilities (4)
Beginning balance	$	6,416,066	$	67,005	$	115,533	$	204	$	30,778	$	(5,491,967)	$	(336)



Purchases	939,621		—		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 funding	6,953		—		—		—		—		—		—
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.

Schedule of Valuation Techniques

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, 2026				December 31, 2025
Valuation Technique		Unobservable Input	Fair Value			Range (Weighted Average) (1)	Fair Value			Range (Weighted Average) (1)
Securitized Residential Mortgage Loans
		Yield				5.47% - 16.51% (5.99%)				5.13% - 18.10% (5.78%)
Discounted Cash Flow		Projected 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 Flow		Projected 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 Flow		Credit 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 Flow		Projected 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 Multiple		Book 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 Flow		Projected 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.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details