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Investment in Securities

3 Months Ended

Mar. 31, 2025

Investments, Debt and Equity Securities [Abstract]

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

(2)Total long and total weighted average coupon excludes CLO equity securities, corporate equity, and interest only RMBS.

(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.

(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.