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Investment in Securities | 3 Months Ended
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Mar. 31, 2025
Investments, Debt and Equity Securities [Abstract] |
Investment in Securities | Investment in Securities The Company's securities portfolio primarily consists of corporate CLOs and Agency RMBS, and may also include non-Agency RMBS, U.S. Treasury securities, and corporate debt and equity securities. The Company's corporate CLO portfolio primarily comprises mezzanine debt and equity tranches, which are typically collateralized by portfolios consisting primarily of below-investment-grade senior secured loans with a large number of discrete underlying borrowers across various industry sectors. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or government-sponsored enterprise, or "GSE." The securities in the Company's non-Agency RMBS and CLO portfolios are not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and are therefore subject to greater credit risk. The following tables present details of the Company's investments in securities as of March 31, 2025 and December 31, 2024 and 2023. March 31, 2025:
|  |  | Unamortized Premium (Discount) |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) | Current Principal |  |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1)(2) |  | Yield |  | Life (Years)(3)
CLO Notes | $ | 97,297 |  |  | $ | (7,490) |  |  | $ | 89,807 |  |  | $ | 397 |  |  | $ | (4,756) |  |  | $ | 85,448 |  |  | 11.09% |  | 16.95% |  | 3.65
CLO Equity | n/a |  | n/a |  | 181,611 |  |  | 877 |  |  | (18,079) |  |  | 164,409 |  |  | n/a |  | 13.32% |  | 10.27
Corporate debt | 1,814 |  |  | (1,417) |  |  | 397 |  |  | 37 |  |  | — |  |  | 434 |  |  | —% |  | —% |  | 1.12
Corporate equity | n/a |  | n/a |  | 76 |  |  | — |  |  | (20) |  |  | 56 |  |  | n/a |  | n/a |  | n/a
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
30-year fixed-rate mortgages | 519,109 |  |  | (16,601) |  |  | 502,508 |  |  | 5,027 |  |  | (3,643) |  |  | 503,892 |  |  | 4.90% |  | 5.34% |  | 6.71
Interest only securities(4) | n/a |  | n/a |  | 2 |  |  | — |  |  | — |  |  | 2 |  |  | 1.21% |  | 11.51% |  | 2.82
Total | $ | 618,220 |  |  | $ | (25,508) |  |  | $ | 774,401 |  |  | $ | 6,338 |  |  | $ | (26,498) |  |  | $ | 754,241 |  |  | 5.86% |  | 8.55% |  | 7.14
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the weighted average coupon rates on the underlying collateral. (2)Total weighted average coupon excludes CLO equity securities, corporate equity, and interest only RMBS. (3)Expected average lives of RMBS 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 is based on a notional principal amount of $28 thousand, for Agency interest only securities. December 31, 2024:
|  |  | Unamortized Premium (Discount) |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) | Current Principal |  |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1)(2) |  | Yield |  | Life (Years)(3)
Long: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CLO Notes | $ | 83,322 |  |  | $ | (10,740) |  |  | $ | 72,582 |  |  | $ | 1,382 |  |  | $ | (1,972) |  |  | $ | 71,992 |  |  | 11.69% |  | 15.05% |  | 2.89
CLO Equity | n/a |  | n/a |  | 105,262 |  |  | 795 |  |  | (6,927) |  |  | 99,130 |  |  | n/a |  | 12.12% |  | 9.86
Corporate debt | 1,787 |  |  | (1,389) |  |  | 398 |  |  | 30 |  |  | — |  |  | 428 |  |  | —% |  | —% |  | 1.32
Corporate equity | n/a |  | n/a |  | 75 |  |  | — |  |  | (19) |  |  | 56 |  |  | n/a |  | n/a |  | n/a
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
30-year fixed-rate mortgages | 536,948 |  |  | (17,320) |  |  | 519,628 |  |  | 1,696 |  |  | (9,017) |  |  | 512,307 |  |  | 4.86% |  | 5.26% |  | 7.26
Interest only securities(4) | n/a |  | n/a |  | 2 |  |  | — |  |  | — |  |  | 2 |  |  | 1.20% |  | 11.27% |  | 2.76
Total Long | 622,057 |  |  | (29,449) |  |  | 697,947 |  |  | 3,903 |  |  | (17,935) |  |  | 683,915 |  |  | 5.76% |  | 7.29% |  | 7.17
Short: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities | (23,603) |  |  | 641 |  |  | (22,962) |  |  | 384 |  |  | — |  |  | (22,578) |  |  | 4.02% |  | 4.32% |  | 9.86
Total Short | (23,603) |  |  | 641 |  |  | (22,962) |  |  | 384 |  |  | — |  |  | (22,578) |  |  | 4.02% |  | 4.32% |  | 9.86
Total | $ | 598,454 |  |  | $ | (28,808) |  |  | $ | 674,985 |  |  | $ | 4,287 |  |  | $ | (17,935) |  |  | $ | 661,337 |  |  | 5.70% |  | 6.50% |  | 7.26
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the weighted average coupon rates on the underlying collateral. (2)Total long and total weighted average coupon excludes CLO equity securities, corporate equity, and interest only RMBS. (3)Expected average lives of RMBS 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 is based on a notional principal amount of $29 thousand, for Agency interest only securities. December 31, 2023:
|  |  | Unamortized Premium (Discount) |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) | Current Principal |  |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon(1)(2) |  | Yield |  | Life (Years)(3)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
15-year fixed-rate mortgages | $ | 28,647 |  |  | $ | 118 |  |  | $ | 28,765 |  |  | $ | 32 |  |  | $ | (950) |  |  | $ | 27,847 |  |  | 3.46% |  | 3.20% |  | 2.90
20-year fixed-rate mortgages | 8,524 |  |  | 509 |  |  | 9,033 |  |  | 4 |  |  | (1,174) |  |  | 7,863 |  |  | 3.30% |  | 2.21% |  | 5.68
30-year fixed-rate mortgages | 697,510 |  |  | (15,131) |  |  | 682,379 |  |  | 8,180 |  |  | (20,265) |  |  | 670,294 |  |  | 4.26% |  | 4.42% |  | 6.51
Adjustable rate mortgages | 7,127 |  |  | 933 |  |  | 8,060 |  |  | — |  |  | (941) |  |  | 7,119 |  |  | 4.68% |  | 2.74% |  | 4.45
Reverse mortgages | 14,406 |  |  | 2,183 |  |  | 16,589 |  |  | — |  |  | (1,715) |  |  | 14,874 |  |  | 5.92% |  | 2.94% |  | 4.50
Interest only securities(4) | n/a |  | n/a |  | 6,607 |  |  | 971 |  |  | (163) |  |  | 7,415 |  |  | 2.77% |  | 15.64% |  | 6.10
Non-Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal and interest securities | 9,953 |  |  | (1,764) |  |  | 8,189 |  |  | 1,231 |  |  | (11) |  |  | 9,409 |  |  | 9.39% |  | 10.72% |  | 5.80
Interest only securities(4) | n/a |  | n/a |  | 8,700 |  |  | 2,610 |  |  | — |  |  | 11,310 |  |  | 0.22% |  | 16.69% |  | 9.03
CLO Notes | 16,876 |  |  | (2,435) |  |  | 14,441 |  |  | 123 |  |  | (73) |  |  | 14,491 |  |  | 12.16% |  | 15.26% |  | 5.66
CLO Equity | n/a |  | n/a |  | 2,947 |  |  | 51 |  |  | (72) |  |  | 2,926 |  |  | n/a |  | 35.84% |  | 5.87
Total | $ | 783,043 |  |  | $ | (15,587) |  |  | $ | 785,710 |  |  | $ | 13,202 |  |  | $ | (25,364) |  |  | $ | 773,548 |  |  | 4.49% |  | 4.92% |  | 6.32
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates on the underlying collateral. (2)Total weighted average coupon excludes CLO equity securities and interest only RMBS. (3)Expected average lives of RMBS 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 is based on a notional principal amount of $83.8 million and $1.05 billion, for Agency and non-Agency interest only securities, respectively. By Estimated Weighted Average Life As of March 31, 2025:
($ in thousands) |  | CLOs and Other Securities(1) |  | Agency RMBS |  | Agency IOs
Estimated Weighted Average Life(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(3) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(3) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(3)
Less than three years |  | $ | 45,414 |  |  | $ | 46,781 |  |  | 10.74 | % |  | $ | 15,072 |  |  | $ | 14,480 |  |  | 6.50 | % |  | $ | 2 |  |  | $ | 2 |  |  | 1.21 | %
Greater than three years and less than seven years |  | 37,127 |  |  | 40,052 |  |  | 11.58 | % |  | 228,838 |  |  | 226,774 |  |  | 5.68 | % |  | — |  |  | — |  |  | — | %
Greater than seven years and less than eleven years |  | 3,341 |  |  | 3,371 |  |  | 4.17 | % |  | 259,982 |  |  | 261,254 |  |  | 4.17 | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 85,882 |  |  | $ | 90,204 |  |  | 10.89 | % |  | $ | 503,892 |  |  | $ | 502,508 |  |  | 4.90 | % |  | $ | 2 |  |  | $ | 2 |  |  | 1.21 | %
(1)CLOs excludes CLO Equity; Other Securities includes corporate debt. (2)Expected average lives of RMBS, Agency IOs, and CLOs are generally shorter than stated contractual maturities. (3)Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. As of December 31, 2024:
($ in thousands) |  | CLOs and Other Securities(1) |  | Agency RMBS |  | Agency IOs
Estimated Weighted Average Life(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(3) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(3) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(3)
Less than three years |  | $ | 49,095 |  |  | $ | 49,341 |  |  | 11.42 | % |  | $ | 6,891 |  |  | $ | 6,831 |  |  | 6.50 | % |  | $ | 2 |  |  | $ | 2 |  |  | 1.20 | %
Greater than three years and less than seven years |  | 22,312 |  |  | 22,584 |  |  | 11.48 | % |  | 193,235 |  |  | 193,439 |  |  | 5.92 | % |  | — |  |  | — |  |  | — | %
Greater than seven years and less than eleven years |  | 1,013 |  |  | 1,055 |  |  | 12.00 | % |  | 312,181 |  |  | 319,358 |  |  | 4.23 | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 72,420 |  |  | $ | 72,980 |  |  | 11.45 | % |  | $ | 512,307 |  |  | $ | 519,628 |  |  | 4.86 | % |  | $ | 2 |  |  | $ | 2 |  |  | 1.20 | %
(1)CLOs excludes CLO Equity; Other Securities includes corporate debt. (2)Expected average lives of RMBS, Agency IOs, and CLOs are generally shorter than stated contractual maturities. (3)Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. As of December 31, 2023:
($ in thousands) |  | Agency RMBS |  | Agency IOs
Estimated Weighted Average Life(1) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2)
Less than three years |  | $ | 85,958 |  |  | $ | 85,990 |  |  | 5.67 | % |  | $ | 1,774 |  |  | $ | 1,566 |  |  | 2.10 | %
Greater than three years and less than seven years |  | 297,251 |  |  | 303,424 |  |  | 4.67 | % |  | 1,796 |  |  | 1,570 |  |  | 3.72 | %
Greater than seven years and less than eleven years |  | 344,788 |  |  | 355,412 |  |  | 3.58 | % |  | 3,845 |  |  | 3,471 |  |  | 3.53 | %
Total |  | $ | 727,997 |  |  | $ | 744,826 |  |  | 4.25 | % |  | $ | 7,415 |  |  | $ | 6,607 |  |  | 2.77 | %
(1)Expected average lives of RMBS and Agency IOs are generally shorter than stated contractual maturities. (2)Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral.
($ in thousands) |  | Non-Agency RMBS |  | Non-Agency IOs |  | CLOs(3)
Estimated Weighted Average Life(1) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2) |  | Fair Value |  | Amortized Cost |  | Weighted Average Coupon(2)
Less than three years |  | $ | 1,764 |  |  | $ | 1,749 |  |  | 7.45 | % |  | $ | — |  |  | $ | — |  |  | — | % |  | $ | — |  |  | $ | — |  |  | — | %
Greater than three years and less than seven years |  | 5,834 |  |  | 5,271 |  |  | 11.39 | % |  | — |  |  | — |  |  | — | % |  | 13,114 |  |  | 13,078 |  |  | 11.99 | %
Greater than seven years and less than eleven years |  | 1,217 |  |  | 1,169 |  |  | 6.07 | % |  | 11,310 |  |  | 8,700 |  |  | 0.22 | % |  | 1,377 |  |  | 1,363 |  |  | 14.06 | %
Greater than eleven years |  | 594 |  |  | — |  |  | 5.79 | % |  | — |  |  | — |  |  | — | % |  | — |  |  | — |  |  | — | %
Total |  | $ | 9,409 |  |  | $ | 8,189 |  |  | 9.39 | % |  | $ | 11,310 |  |  | $ | 8,700 |  |  | 0.22 | % |  | $ | 14,491 |  |  | $ | 14,441 |  |  | 12.16 | %
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. (2)Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. (3)CLOs excludes CLO Equity. The following tables reflect the components of net interest income (expense) by security type for the three-month periods ended March 31, 2025 and 2024 and the years ended December 31, 2024 and 2023:
|  | Three-Month Period Ended March 31, 2025 |  | Three-Month Period Ended March 31, 2024
|  | Net Coupon Interest |  | Net Amortization |  | Net Interest Income (Expense) |  | Net Coupon Interest |  | Net Amortization |  | Net Interest Income (Expense)
($ in thousands) |  |  |  |  |  |  |  | (Unaudited)
CLOs |  | $ | 9,456 |  |  | $ | (974) |  |  | $ | 8,482 |  |  | $ | 1,288 |  |  | $ | (44) |  |  | $ | 1,244 |
Agency RMBS |  | 6,172 |  |  | 157 |  |  | 6,329 |  |  | 8,457 |  |  | (1,054) |  |  | 7,403 |
Non-Agency RMBS |  | — |  |  | — |  |  | — |  |  | 897 |  |  | (333) |  |  | 564 |
Other securities(1) |  | 286 |  |  | (42) |  |  | 244 |  |  | (68) |  |  | 30 |  |  | (38) |
Total |  | $ | 15,914 |  |  | $ | (859) |  |  | $ | 15,055 |  |  | $ | 10,574 |  |  | $ | (1,401) |  |  | $ | 9,173 |
(1)Other securities includes corporate debt and U.S. Treasury securities.
|  | Year Ended December 31, 2024 |  | Year Ended December 31, 2023
($ in thousands) |  | Net Coupon Interest |  | Net Amortization |  | Net Interest Income (Expense) |  | Net Coupon Interest |  | Net Amortization |  | Net Interest Income (Expense)
CLOs |  | $ | 18,670 |  |  | $ | (3,581) |  |  | $ | 15,089 |  |  | $ | 222 |  |  | $ | 109 |  |  | $ | 331 |
Agency RMBS |  | 29,493 |  |  | (446) |  |  | 29,047 |  |  | 38,029 |  |  | (1,843) |  |  | 36,186 |
Non-Agency RMBS |  | 2,242 |  |  | (596) |  |  | 1,646 |  |  | 2,883 |  |  | (569) |  |  | 2,314 |
Other securities(1) |  | 584 |  |  | 41 |  |  | 625 |  |  | (339) |  |  | (29) |  |  | (368) |
Total |  | $ | 50,989 |  |  | $ | (4,582) |  |  | $ | 46,407 |  |  | $ | 40,795 |  |  | $ | (2,332) |  |  | $ | 38,463 |
(1)Other securities includes corporate debt and U.S. Treasury securities. For the three-month periods ended March 31, 2025 and 2024, the Catch-up Amortization Adjustment was $(0.2) million and $(0.9) million, respectively. For the years ended December 31, 2024 and 2023, the Catch-up Amortization Adjustment was $(0.5) million and $(0.1) million, respectively. At March 31, 2025, the Company had gross unrealized losses on securities of $(26.5) million, of which $(13.0) million relates primarily to adverse changes in estimated future cash flows on CLOs. At December 31, 2024, the Company had gross unrealized losses on securities of $(17.9) million, of which $(2.0) million relates primarily to adverse changes in estimated future cash flows on CLOs. At December 31, 2023, the Company had gross unrealized losses on securities of $(25.4) million, of which $(0.2) million relates primarily to adverse changes in estimated future cash flows on CLOs and Agency IOs. The Company determined for certain securities that a portion of such securities' cost basis is not collectible; for the three-month period ended March 31, 2024 and the years ended December 31, 2024 and 2023, the Company recognized realized losses on such securities of $(13) thousand, $(13) thousand, and $(0.5) million, respectively. No such losses were recognized for the three-month period ended March 31, 2025. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations.

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