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Valuation (Tables)

3 Months Ended

Mar. 31, 2025

Fair Value Disclosures [Abstract]

Schedule of Fair Value Measurements

The following tables present the Company's financial instruments measured at fair value on:

March 31, 2025:

(In thousands)
Description						Level 1						Level 2						Level 3						Total
Assets:
Securities:
CLOs						$	—					$	116,434					$	133,423					$	249,857
Corporate debt						—						—						434						434
Corporate equity						—						—						56						56
Agency RMBS:
30-year fixed-rate mortgages						—						503,892						—						503,892
Interest only securities						—						—						2						2
Total securities, at fair value						—						620,326						133,915						754,241
Financial derivatives–assets, at fair value:
TBAs						—						138						—						138
Interest rate swaps						—						181						—						181
Futures						157						—						—						157
Credit default swaps						—						—						—						—
Forwards						—						—						—						—
Total financial derivatives–assets, at fair value						157						319						—						476
Total securities and financial derivatives–assets, at fair value						157						620,645						133,915						754,717
Liabilities:
Financial derivatives–liabilities, at fair value:
TBAs						—						(282)						—						(282)
Interest rate swaps						—						(187)						—						(187)
Futures						—						—						—						—
Credit default swaps						—						(488)						—						(488)
Total financial derivatives–liabilities, at fair value						$	—					$	(957)					$	—					$	(957)

December 31, 2024:

(In thousands)
Description						Level 1						Level 2						Level 3						Total
Assets:
Securities:
CLOs						$	—					$	67,498					$	103,624					$	171,122
Corporate debt						—						—						428						428
Corporate equity						—						—						56						56
Agency RMBS:
30-year fixed-rate mortgages						—						512,307						—						512,307
Interest only securities						—						—						2						2
Total securities, at fair value						—						579,805						104,110						683,915
Financial derivatives–assets, at fair value:
TBAs						—						592						—						592
Interest rate swaps						—						40,317						—						40,317
Futures						170						—						—						170
Credit default swaps						—						705						—						705
Forwards						—						83						—						83
Total financial derivatives–assets, at fair value						170						41,697						—						41,867
Total securities and financial derivatives–assets, at fair value						170						621,502						104,110						725,782
Liabilities:
Securities sold short:
U.S. Treasury securities sold short, at fair value						—						(22,578)						—						(22,578)
Financial derivatives–liabilities, at fair value:
TBAs						—						(1,363)						—						(1,363)
Interest rate swaps						—						(1,595)						—						(1,595)
Futures						(811)						—						—						(811)
Credit default swaps						—						(1,912)						—						(1,912)
Total financial derivatives–liabilities, at fair value						(811)						(4,870)						—						(5,681)
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value						$	(811)					$	(27,448)					$	—					$	(28,259)

December 31, 2023:

(In thousands)
Description						Level 1						Level 2						Level 3						Total
Assets:
Securities:
Agency RMBS:
15-year fixed-rate mortgages						$	—					$	27,847					$	—					$	27,847
20-year fixed-rate mortgages						—						7,863						—						7,863
30-year fixed-rate mortgages						—						670,294						—						670,294
Adjustable rate mortgages						—						7,119						—						7,119
Reverse mortgages						—						14,874						—						14,874
Interest only securities						—						4,253						3,162						7,415
Non-Agency RMBS						—						10,443						10,276						20,719
CLOs						—						11,816						5,601						17,417
Total securities, at fair value						—						754,509						19,039						773,548
Financial derivatives–assets, at fair value:
TBAs						—						654						—						654
Interest rate swaps						—						71,341						—						71,341
Futures						2,284						—						—						2,284
Total financial derivatives–assets, at fair value						2,284						71,995						—						74,279
Total securities and financial derivatives–assets, at fair value						2,284						826,504						19,039						847,827
Liabilities:
Financial derivatives–liabilities, at fair value:
TBAs						—						(1,876)						—						(1,876)
Interest rate swaps						—						(4,758)						—						(4,758)
Futures						(63)						—						—						(63)
Credit default swaps						—						(632)						—						(632)
Total financial derivatives–liabilities, at fair value						$	(63)					$	(7,266)					$	—					$	(7,329)

Unobservable Input Reconciliation

The tables below include roll-forwards of the Company's financial instruments for the three-month periods ended March 31, 2025 and 2024 and the years ended December 31, 2024 and 2023 (including change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Three-Month Period Ended March 31, 2025:

(In thousands)			CLOs						Corporate Debt						Corporate Equity						Agency RMBS
Beginning balance—December 31, 2024			$	103,624					$	428					$	56					$	2
Purchases			51,769						12						—						—
Proceeds from sales			(17,517)						(13)						—						—
(Amortization)/accretion, net			(1,464)						—						—						—
Net realized gains (losses)			(201)						—						—						—
Change in net unrealized gains (losses)			(8,988)						7						—						—
Transfers:
Transfers into level 3			16,155						—						—						—
Transfers out of level 3			(9,955)						—						—						—
Ending balance—March 31, 2025			$	133,423					$	434					$	56					$	2

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at March 31, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2025. For Level 3 financial instruments held by the Company as of March 31, 2025, change in net unrealized gains (losses) of $(9.5) million, $7 thousand, and $(1) thousand for the three-month period ended March 31, 2025 relate to CLOs, corporate debt, and corporate equity, respectively.

At March 31, 2025, the Company transferred $10.0 million of assets from Level 3 to Level 2 and $16.2 million of assets from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

Three-Month Period Ended March 31, 2024 (unaudited):

(In thousands)			CLOs						Non-Agency RMBS						Agency RMBS
Beginning balance—December 31, 2023			$	5,601					$	10,276					$	3,162
Purchases			16,952						—						—
Proceeds from sales			—						—						(263)
Principal repayments			(1,620)						(13)						—
(Amortization)/accretion, net			(34)						(258)						(180)
Net realized gains (losses)			34						42						20
Change in net unrealized gains (losses)			(379)						491						179
Transfers:
Transfers into level 3			6,456						1,811						1,002
Transfers out of level 3			(1,414)						(6,521)						—
Ending balance—March 31, 2024			$	25,596					$	5,828					$	3,920

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of March 31, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2024. For Level 3 financial instruments held by the Company as of March 31, 2024, change in net unrealized gains (losses) of $0.4 million, $0.1 million, and $0.2 million for the three-month period ended March 31, 2024 relate to CLOs, non-Agency RMBS, and Agency RMBS, respectively.

At March 31, 2024, the Company transferred $7.9 million of assets from Level 3 to Level 2 and $9.3 million of assets from Level 2 to Level 3. Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

Year Ended December 31, 2024:

(In thousands)			CLOs						Corporate Debt						Corporate Equity						Agency RMBS						Non-Agency RMBS
Beginning balance as of December 31, 2023			$	5,601					$	—					$	—					$	3,162					$	10,276
Purchases			179,444						400						75						—						—
Proceeds from sales			(42,997)						(5)						—						(3,010)						(10,898)
(Amortization)/accretion, net			(3,045)						—						—						(437)						(428)
Net realized gains (losses)			1,145						3						—						727						3,403
Change in net unrealized gains (losses)			(6,767)						30						(19)						(440)						(2,353)
Transfers:
Transfers into level 3			14,566						—						—						—						—
Transfers out of level 3			(44,323)						—						—						—						—
Ending balance as of December 31, 2024			$	103,624					$	428					$	56					$	2					$	—

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at December 31, 2024, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2024. For Level 3 financial instruments held by the Company as of December 31, 2024, change in net unrealized gains (losses) of $(6.0) million, $30 thousand, and $(19) thousand for the year ended December 31, 2024 relate to CLOs, corporate debt, and corporate equity, respectively.

At December 31, 2024, the Company transferred $44.3 million of assets from Level 3 to Level 2 and $14.6 million of assets from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

Year Ended December 31, 2023:

(In thousands)			Non-Agency RMBS						Agency RMBS						CLOs
Beginning balance as of December 31, 2022			$	11,834					$	4,085					$	—
Purchases			4,141						—						5,465
Proceeds from sales			(5,058)						(1,484)						—
Principal repayments			(226)						(382)						—
(Amortization)/accretion, net			(379)						(653)						102
Net realized gains (losses)			(228)						(217)						—
Change in net unrealized gains (losses)			799						276						34
Transfers:
Transfers into level 3			—						1,848						—
Transfers out of level 3			(607)						(311)						—
Ending balance as of December 31, 2023			$	10,276					$	3,162					$	5,601

All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of December 31, 2023, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2023. For Level 3 financial instruments held by the Company as of December 31, 2023, change in net unrealized gains (losses) of $0.4 million, $0.6 million, and $34 thousand for the year ended December 31, 2023 relate to non-Agency RMBS, Agency RMBS, and CLOs, respectively.

At December 31, 2023, the Company transferred $0.9 million of assets from Level 3 to Level 2 and $1.8 million of assets from Level 2 to Level 3. Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources.

Quantitative Information

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 financial instruments as of March 31, 2025:

																								Range
Description						Fair Value						Valuation Technique						Significant Unobservable Input						Min						Max						Weighted Average(1)
						(In thousands)
CLOs						$	73,807					Market quotes						Non-Binding Third-Party Valuation						$5.00						$100.75						$61.98
						59,616						Discounted Cash Flows
						133,423												Yield(2)						3.5%						76.2%						16.3%
Agency RMBS–Interest Only Securities						2						Option Adjusted Spread ("OAS")						LIBOR OAS(3)						1,007						1,007						1,007
Corporate equity						56						Discounted Cash Flows						Yield						18.5%						22.6%						20.2%
Corporate debt						434						Discounted Cash Flows						Yield						8.7%						43.4%						16.6%

(1)Averages are weighted based on the fair value of the related instrument.

(2)Excludes $1.3 million of CLOs which have estimated yields greater than 100%. Including such positions our weighted average yield would be 18.1%.

(3)Shown in basis points.

Fair Value, Other Financial Instruments

The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of March 31, 2025 and December 31, 2024 and 2023:

			March 31, 2025												December 31, 2024												December 31, 2023
(In thousands)			Fair Value						Carrying Value						Fair Value						Carrying Value						Fair Value						Carrying Value
Assets:
Cash and cash equivalents			$	17,375					$	17,375					$	31,840					$	31,840					$	38,533					$	38,533
Due from brokers			4,308						4,308						21,517						21,517						3,245						3,245
Reverse repurchase agreements			—						—						23,000						23,000						—						—
Liabilities:
Repurchase agreements			517,538						517,538						562,974						562,974						729,543						729,543
Due to brokers			914						914						30,671						30,671						54,476						54,476

Cash and cash equivalents includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

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Tabular disclosure of financial instrument measured at fair value on recurring or nonrecurring basis. Includes, but is not limited to, instrument classified in shareholders' equity.

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