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Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2025

Fair Value Disclosures [Abstract]

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 December 31, 2025 and 2024 (in thousands).

			Fair Value as of December 31, 2025																								Fair Value as of December 31, 2024
			Level 1						Level 2						Level 3						Total						Level 1						Level 2						Level 3						Total
Assets:
Securitized residential mortgage loans			$	—					$	—					$	7,999,619					$	7,999,619					$	—					$	—					$	6,197,678					$	6,197,678
Residential mortgage loans			—						1,081						198,596						199,677						—						1,829						218,388						220,217
Legacy WMC Commercial loans			—						—						55,376						55,376						—						—						67,005						67,005
Non-Agency RMBS			—						9,835						191,546						201,381						—						12,046						115,533						127,579
Legacy WMC CMBS			—						42,565						—						42,565						—						52,785						—						52,785
Agency RMBS			—						16,358						—						16,358						—						20,996						—						20,996
Derivative assets (1)			—						5,395						—						5,395						—						11,414						204						11,618
Cash equivalents (2)			55,979						—						—						55,979						117,979						—						—						117,979
AG Arc (3)			—						—						50,016						50,016						—						—						30,778						30,778
Total Assets Measured at Fair Value			$	55,979					$	75,234					$	8,495,153					$	8,626,366					$	117,979					$	99,070					$	6,629,586					$	6,846,635
Liabilities:
Securitized debt			$	—					$	—					$	(7,177,923)					$	(7,177,923)					$	—					$	—					$	(5,491,967)					$	(5,491,967)
Derivative liabilities (1)			—						(1,169)						—						(1,169)						—						(38)						(336)						(374)
Total Liabilities Measured at Fair Value			$	—					$	(1,169)					$	(7,177,923)					$	(7,179,092)					$	—					$	(38)					$	(5,492,303)					$	(5,492,341)

(1)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. As of December 31, 2024, the Company applied a reduction in fair value of $11.4 million and $35.0 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, net of collateral posted by the Company's derivative counterparties. 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).

Year Ended December 31, 2025
			Residential Mortgage Loans (1)						Legacy WMC Commercial Loans						Non-Agency RMBS																		Other Assets (2)						AG Arc						Securitized Debt						Other Liabilities (2)
Beginning balance			$	6,416,066					$	67,005					$	115,533																	$	204					$	30,778					$	(5,491,967)					$	(336)
Purchases			3,032,638						—						80,731																		—						15,330						—						—
Issuances of Securitized Debt			—						—						—																		—						—						(2,735,729)						—
Capital distributions			—						—						—																		—						(628)						—						—
Proceeds from sales or settlements			(407,158)						—						—																		(1,098)						—						—						1,190
Principal repayments			(1,039,354)						—						(10,668)																		—						—						1,236,013						—
Principal funding			17,691						—						—																		—						—						—						—
Included in net income:
Net premium and discount amortization (3)			2,459						(229)						(2,835)																		—						—						(23,561)						—
Net realized gain/(loss)			(4,785)						—						—																		1,098						—						—						(1,190)
Net unrealized gain/(loss)			190,386						(11,400)						8,785																		(204)						—						(162,679)						336
Equity in earnings/(loss) from affiliates			—						—						—																		—						4,536						—						—
Other (4)			(9,728)						—						—																		—						—						—						—
Ending Balance			$	8,198,215					$	55,376					$	191,546																	$	—					$	50,016					$	(7,177,923)					$	—
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2025:
Net premium and discount amortization (3)			2,838						(229)						(2,835)																		—						—						(22,448)						—
Net unrealized gain/(loss)			185,549						(11,400)						8,785																		—						—						(162,333)						—
Equity in earnings/(loss) from affiliates			—						—						—																		—						4,536						—						—

Year Ended December 31, 2024
			Residential Mortgage Loans (1)						Legacy WMC Commercial Loans						Non-Agency RMBS						Legacy WMC CMBS						Legacy WMC Other Securities						Other Assets (2)						AG Arc						Securitized Debt						Other Liabilities (2)
Beginning balance			$	5,675,135					$	66,303					$	37,533					$	5,796					$	1,156					$	1,172					$	33,574					$	(4,711,623)					$	(7)
Transfers (5):
Transfers out of level 3			(1,629)						—						—						(5,796)						—						—						—						—						—
Purchases			1,746,012						—						95,395						—						—						—						—						—						—
Issuances of Securitized Debt			—						—						—						—						—						—						—						(1,372,097)						—
Capital distributions			—						—						—						—						—						—						(5,042)						—						—
Proceeds from sales or settlements			(355,229)						—						(20,289)						—						(762)						(2,739)						—						—						1,379
Principal repayments			(710,639)						—						(1,847)						—						—						—						—						657,092						—
Principal funding			2,070						—						—						—						—						—						—						—						—
Included in net income:
Net premium and discount amortization (3)			14,839						434						17						—						(185)						—						—						(30,310)						—
Net realized gain/(loss)			6,352						—						(87)						—						(227)						2,739						—						—						(1,379)
Net unrealized gain/(loss)			42,253						268						4,811						—						18						(968)						—						(35,029)						(329)
Equity in earnings/(loss) from affiliates			—						—						—						—						—						—						2,246						—						—
Other (4)			(3,098)						—						—						—						—						—						—						—						—
Ending Balance			$	6,416,066					$	67,005					$	115,533					$	—					$	—					$	204					$	30,778					$	(5,491,967)					$	(336)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2024:
Net premium and discount amortization (3)			14,753						434						17						—						—						—						—						(30,310)						—
Net unrealized gain/(loss)			41,011						268						4,811						—						—						204						—						(35,029)						(336)
Equity in earnings/(loss) from affiliates			—						—						—						—						—						—						2,246						—						—

(1)Includes Securitized residential mortgage loans.

(2)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.

(3)Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively.

(4)Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.

(5)Transfers are assumed to occur at the beginning of the period.

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 December 31, 2025 and 2024 ($ in thousands).

												December 31, 2025												December 31, 2024
Valuation Technique						Unobservable Input						Fair Value						Range  (Weighted Average) (1)						Fair Value						Range (Weighted Average) (1)
Securitized Residential Mortgage Loans
						Yield												5.13% - 18.10% (5.78%)												5.75% - 11.18% (6.26%)
Discounted Cash Flow						Projected Collateral Prepayments						$	7,999,619					4.92% - 22.00% (10.09%)						$	6,197,678					4.95% - 14.48% (8.87%)
						Projected Collateral Losses												0.00% - 1.77% (0.09%)												0.00% - 2.02% (0.08%)
						Projected Collateral Severities (2)												10.00% - 100.00% (28.23%)												10.00% - 26.00% (19.51%)
Residential Mortgage Loans
						Yield												5.39% - 11.61% (7.08%)												6.44% - 15.63% (7.76%)
Discounted Cash Flow						Projected Collateral Prepayments						$	198,596					1.98% - 33.46% (16.06%)						$	218,388					1.29% - 32.03% (17.65%)
						Projected Collateral Losses												0.00% - 18.29% (1.47%)												0.00% - 26.56% (1.00%)
						Projected Collateral Severities (2)												4.43% - 100.00% (17.79%)												4.45% - 25.00% (17.27%)
Legacy WMC Commercial Loans
						Yield												5.95% - 6.95% (6.68%)												8.06% - 9.63% (9.11%)
Discounted Cash Flow						Credit Spread						$	55,376					231 bps - 325 bps (300 bps)						$	67,005					377 bps - 512 bps (467 bps)
						Recovery Percentage (3)												68.33% - 93.29% (86.62%)												100.00% - 100.00% (100.00%)
Non-Agency RMBS
						Yield												4.83% - 20.00% (7.56%)												5.86% - 25.00% (7.90%)
Discounted Cash Flow						Projected Collateral Prepayments						$	191,546					7.55% - 15.23% (11.23%)						$	115,533					7.37% - 14.50% (11.46%)
						Projected Collateral Losses												0.00% - 0.38% (0.06%)												0.00% - 0.18% (0.04%)
						Projected Collateral Severities												10.00% - 100.00% (56.87%)												10.00% - 25.00% (18.17%)
Other Assets (4)
						Yield												N/A												6.59% - 7.70% (6.72%)
Discounted Cash Flow						Projected Collateral Prepayments						$	—					N/A						$	204					11.52% - 25.78% (19.09%)
						Projected Collateral Losses												N/A												0.02% - 2.73% (0.71%)
						Projected Collateral Severities												N/A												10.00% - 10.00% (10.00%)
						Pull Through Percentages												N/A												65.00% - 100.00% (89.33%)
AG Arc
Comparable Multiple						Book Value Multiple						$	50,016					1.025x - 1.025x (1.025x)						$	30,778					0.95x - 0.95x (0.95x)
Securitized Debt
						Yield												4.37% - 30.00% (5.42%)												5.11% - 25.00% (5.86%)
Discounted Cash Flow						Projected Collateral Prepayments						$	(7,177,923)					4.92% - 22.00% (10.09%)						$	(5,491,967)					4.95% - 14.48% (8.85%)
						Projected Collateral Losses												0.00% - 0.50% (0.08%)												0.00% - 0.50% (0.07%)
						Projected Collateral Severities												10.00% - 100.00% (27.79%)												10.00% - 26.00% (19.63%)
Other Liabilities (4)
						Yield												N/A												6.58% - 6.96% (6.67%)
Discounted Cash Flow						Projected Collateral Prepayments						$	—					N/A						$	(336)					9.00% - 26.94% (18.34%)
						Projected Collateral Losses												N/A												0.01% - 1.36% (0.17%)
						Projected Collateral Severities												N/A												10.00% - 10.00% (10.00%)
						Pull Through Percentages												N/A												65.00% - 100.00% (90.48%)

(1)Amounts are weighted based on fair value.

(2)Projected collateral severities excludes assumed recoveries on certain residential mortgage loans. The presentation as of December 31, 2024 was adjusted to conform to the December 31, 2025 presentation of projected collateral severities.

(3)Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2025 and 2024.

(4)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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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.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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