Collateralized Debt Obligations

12 Months Ended

Dec. 31, 2024

14. Collateralized Debt Obligations

The Company's collateralized debt obligations, or CDOs, are accounted for as financings and are non-recourse debt to the Company. See Note 7 for further discussion regarding the collateral pledged for the Company's CDOs as well as the Company's net investments in the related securitizations.

The following tables present a summary of the Company's CDOs as of December 31, 2024 and 2023, respectively (dollar amounts in thousands):


	December 31, 2024
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1) (2)		Stated Maturity (3)
Consolidated SLST at fair value (4)	$	867,004	$	811,591	3.49	%	2059 - 2064
Residential loan securitizations at fair value (4)	1,281,896		1,253,332		5.72	%	2029 - 2069
Residential loan securitizations at amortized cost, net	850,547		842,764		4.35	%	2027 - 2062
Non-Agency RMBS re-securitization at fair value (4)	70,867		70,757		7.38	%	2064
Total collateralized debt obligations	$	3,070,314	$	2,978,444


	December 31, 2023
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1)		Stated Maturity (3)
Consolidated SLST at fair value (4)	$	652,933	$	593,737	2.75	%	2059
Residential loan securitizations at amortized cost, net	1,292,015		1,276,780		4.00	%	2026 - 2062
Total collateralized debt obligations	$	1,944,948	$	1,870,517

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Certain of the Company's CDOs contain interest rate step-up features whereby the interest rate increases if the outstanding notes are not redeemed by expected redemption dates, as defined in the respective governing documents. As of December 31, 2024, CDOs with an aggregate outstanding face amount of $1.6 billion contain an interest rate step-up feature whereby the interest rate increases by either 1.00%, 1.50%, 2.00%, or 3.00% on defined dates ranging between 24 months and 48 months after issuance, if the notes are not redeemed before such dates.

(3)The actual maturity of the Company's CDOs is primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST, residential loan securitizations completed after January 1, 2024 and a non-Agency RMBS re-securitization (see Note 17). See Note 7 for unrealized gains or losses recognized on CDOs issued by Consolidated SLST. For the year ended December 31, 2024, the Company recognized $1.5 million in net unrealized losses on residential loan securitizations and a non-Agency RMBS re-securitization at fair value, which is included in unrealized (losses) gains, net on the accompanying consolidated statements of operations.

The Company's CDOs as of December 31, 2024 had stated maturities as follows:


Year Ending December 31,	Total
2025	$	—
2026	—
2027	67,766
2028	—
2029	225,000
Thereafter	2,777,548
Total	$	3,070,314