The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and residential collateralized mortgage obligations, or CMO, and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of June 30, 2024 and December 31, 2023.


June 30, 2024
(dollars in thousands)
	Principal or Notional Value		Total Premium		Total Discount		Amortized Cost		Allowance for credit losses		Fair Value		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)
Non-Agency RMBS
Senior	$	1,040,018	$	18,424	$	(566,053)	$	492,389	$	(20,298)	$	643,860	$	178,284	$	(6,515)	$	171,769
Subordinated	616,431		3,478		(274,893)		345,016		(3,294)		331,665		18,587		(28,644)		(10,057)
Interest-only	2,756,508		155,829		—		155,829		—		76,446		13,472		(92,855)		(79,383)
Agency RMBS

CMO	438,082		6		(71)		438,017		—		437,328		—		(689)		(689)
Interest-only	387,105		19,668		—		19,668		—		15,244		444		(4,868)		(4,424)
Agency CMBS
Project loans	48,567		621		—		49,188		—		43,658		—		(5,530)		(5,530)
Interest-only	471,729		6,906		—		6,906		—		7,065		1,058		(899)		159
Total	$	5,758,440	$	204,932	$	(841,017)	$	1,507,013	$	(23,592)	$	1,555,266	$	211,845	$	(140,000)	$	71,845



December 31, 2023
(dollars in thousands)
	Principal or Notional Value		Total Premium		Total Discount		Amortized Cost		Allowance for credit losses		Fair Value		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)
Non-Agency RMBS
Senior	$	1,073,632	$	14,641	$	(582,640)	$	505,633	$	(15,052)	$	676,128	$	192,528	$	(6,981)	$	185,547
Subordinated	583,049		3,609		(286,247)		300,411		(3,508)		276,903		16,548		(36,548)		(20,000)
Interest-only	2,874,680		157,871		—		157,871		—		90,775		14,394		(81,490)		(67,096)
Agency RMBS

Interest-only	392,284		19,238		—		19,238		—		15,023		862		(5,077)		(4,215)
Agency CMBS
Project loans	86,572		1,248		—		87,820		—		79,179		—		(8,641)		(8,641)
Interest-only	478,239		7,766		—		7,766		—		8,282		1,307		(791)		516
Total	$	5,488,456	$	204,373	$	(868,887)	$	1,078,739	$	(18,560)	$	1,146,290	$	225,639	$	(139,528)	$	86,111

The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at June 30, 2024 and December 31, 2023. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.


	June 30, 2024
	(dollars in thousands)
	Unrealized Loss Position for Less than 12 Months					Unrealized Loss Position for 12 Months or More					Total
	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions
Non-Agency RMBS
Senior	$	65,819	$	(347)	15	$	39,090	$	(6,168)	7	$	104,910	$	(6,515)	22
Subordinated	12,781		(652)		2	175,240		(27,992)		32	188,021		(28,644)		34
Interest-only	7,678		(1,959)		13	36,408		(90,896)		124	44,086		(92,855)		137
Agency RMBS

CMO	437,328		(689)		5	—		—		—	437,328		(689)		5
Interest-only	—		—		—	9,564		(4,868)		8	9,563		(4,868)		8
Agency CMBS
Project loans	5,437		(777)		5	38,221		(4,753)		32	43,658		(5,530)		37
Interest-only	64		(201)		1	2,100		(698)		3	2,164		(899)		4
Total	$	529,107	$	(4,625)	41	$	300,623	$	(135,375)	206	$	829,730	$	(140,000)	247



	December 31, 2023
	(dollars in thousands)
	Unrealized Loss Position for Less than 12 Months					Unrealized Loss Position for 12 Months or More					Total
	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions	Estimated Fair Value		Unrealized Losses		Number of Positions
Non-Agency RMBS
Senior	$	51,476	$	(281)	13	$	42,859	$	(6,700)	6	$	94,335	$	(6,981)	19
Subordinated	19,382		(1,467)		5	181,822		(35,081)		33	201,204		(36,548)		38
Interest-only	19,263		(4,035)		27	36,731		(77,455)		105	55,994		(81,490)		132
Agency RMBS

Interest-only	—		—		—	9,151		(5,077)		8	9,151		(5,077)		8
Agency CMBS
Project loans	43,827		(4,040)		5	35,353		(4,601)		32	79,180		(8,641)		37
Interest-only	2,601		(529)		2	158		(262)		2	2,759		(791)		4
Total	$	136,549	$	(10,352)	52	$	306,074	$	(129,176)	186	$	442,623	$	(139,528)	238

At June 30, 2024, the Company did not intend to sell any of its Agency and Non-Agency MBS classified as available-for-sale that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of June 30, 2024.

The Company had $25 thousand and $23 thousand gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of June 30, 2024 and December 31, 2023, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on this analysis, the Company determined that at June 30, 2024 unrealized losses on its Agency MBS were temporary.

Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $14 million and $18 million, at June 30, 2024 and December 31, 2023, respectively. After evaluating the securities and recording any allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be

required to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.

The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the quarters ended June 30, 2024 and 2023 is presented below.


	For the Quarter Ended				For the Six Months Ended
	June 30, 2024		June 30, 2023		June 30, 2024		June 30, 2023
	(dollars in thousands)				(dollars in thousands)
Beginning allowance for credit losses	$	19,907	$	10,251	$	18,560	$	7,188


Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	882		502		1,589		1,099
Allowance on purchased financial assets with credit deterioration	—		—		—		—
Reductions for the securities sold during the period	—		—		—		—
Increase/(decrease) on securities with an allowance in the prior period	2,803		3,459		3,249		7,551
Write-offs charged against the allowance	—		(1,228)		(302)		(2,858)
Recoveries of amounts previously written off	—		29		496		33

Ending allowance for credit losses	$	23,592	$	13,013	$	23,592	$	13,013



	June 30, 2024
	(dollars in thousands)
			Prepay Rate	CDR	Loss Severity
	Amortized Cost		Weighted Average	Weighted Average	Weighted Average
Non-Agency RMBS
Senior	$	114,004	7.2%	2.1%	34.7%
Subordinated	$	71,727	6.5%	0.4%	42.9%



	December 31, 2023
	(dollars in thousands)
			Prepay Rate	CDR	Loss Severity
	Amortized Cost		Weighted Average	Weighted Average	Weighted Average
Non-Agency RMBS
Senior	$	98,394	6.2%	2.3%	35.3%
Subordinated	$	75,005	6.2%	0.7%	38.9%

The increase in the allowance for credit losses for the quarter and six months ended June 30, 2024 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2023. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.


	June 30, 2024
	(dollars in thousands)
	Gross Unrealized Gain Included in Accumulated Other Comprehensive Income		Gross Unrealized Gain Included in Cumulative Earnings		Total Gross Unrealized Gain		Gross Unrealized Loss Included in Accumulated Other Comprehensive Income		Gross Unrealized Loss Included in Cumulative Earnings		Total Gross Unrealized Loss
Non-Agency RMBS
Senior	$	178,284	$	—	$	178,284	$	(4,917)	$	(1,599)	$	(6,515)
Subordinated	10,146		8,441		18,587		(9,386)		(19,258)		(28,644)
Interest-only	—		13,472		13,472		—		(92,855)		(92,855)
Agency RMBS

CMO	—		—		—		—		(689)		(689)
Interest-only	—		444		444		—		(4,868)		(4,868)
Agency CMBS
Project loans	—		—		—		(25)		(5,505)		(5,530)
Interest-only	—		1,058		1,058		—		(899)		(899)
Total	$	188,430	$	23,415	$	211,845	$	(14,328)	$	(125,672)	$	(140,000)


	December 31, 2023
	(dollars in thousands)
	Gross Unrealized Gain Included in Accumulated Other Comprehensive Income		Gross Unrealized Gain Included in Cumulative Earnings		Total Gross Unrealized Gain		Gross Unrealized Loss Included in Accumulated Other Comprehensive Income		Gross Unrealized Loss Included in Cumulative Earnings		Total Gross Unrealized Loss
Non-Agency RMBS
Senior	$	192,528	$	—	$	192,528	$	(5,396)	$	(1,585)	$	(6,981)
Subordinated	10,757		5,791		16,548		(12,198)		(24,350)		(36,548)
Interest-only	—		14,394		14,394		—		(81,490)		(81,490)
Agency RMBS

Interest-only	—		862		862		—		(5,077)		(5,077)
Agency CMBS
Project loans	—		—		—		(23)		(8,618)		(8,641)
Interest-only	—		1,307		1,307		—		(791)		(791)
Total	$	203,285	$	22,354	$	225,639	$	(17,617)	$	(121,911)	$	(139,528)

Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.


	June 30, 2024
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value	Weighted Average Coupon		Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	1,040,018	$	45.39	61.91	5.7	%	17.5	%
Subordinated	616,431		55.44		53.80	4.0	%	7.5	%
Interest-only	2,756,508		5.65		2.77	0.5	%	5.2	%
Agency RMBS

CMO	438,082		99.99		99.83	6.4	%	6.5	%
Interest-only	387,105		5.08		3.94	0.2	%	5.0	%
Agency CMBS
Project loans	48,567		101.28		89.89	3.7	%	3.6	%
Interest-only	471,729		1.46		1.50	0.6	%	8.6	%


	December 31, 2023
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value		Weighted Average Coupon		Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	1,073,632	$	45.69	$	62.98	5.7	%	17.3	%
Subordinated	583,049		50.92		47.49		3.3	%	6.7	%
Interest-only	2,874,680		5.49		3.16		0.5	%	4.2	%
Agency RMBS

Interest-only	392,284		4.90		3.83		0.1	%	5.7	%
Agency CMBS
Project loans	86,572		101.44		91.46		4.0	%	3.8	%
Interest-only	478,239		1.62		1.73		0.5	%	8.2	%

Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at June 30, 2024 and December 31, 2023 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.


	June 30, 2024
	(dollars in thousands)
	Weighted Average Life
	Less than one year		Greater than one year and less than five years		Greater than five years and less than ten years		Greater than ten years		Total
Fair value
Non-Agency RMBS
Senior	$	11,039	$	70,539	$	269,194	$	293,088	$	643,860
Subordinated	2,387		28,901		136,865		163,512		331,665
Interest-only	362		22,969		50,513		2,602		76,446
Agency RMBS

CMO	84,533		—		64,474		288,321		437,328
Interest-only	1,595		4,876		7,944		829		15,244
Agency CMBS
Project loans	—		—		—		43,658		43,658
Interest-only	997		4,222		—		1,846		7,065
Total fair value	$	100,913	$	131,507	$	528,990	$	793,856	$	1,555,266
Amortized cost
Non-Agency RMBS
Senior	$	3,484	$	71,161	$	207,792	$	209,952	$	492,389
Subordinated	2,185		25,238		138,400		179,193		345,016
Interest-only	18,703		47,635		85,013		4,478		155,829
Agency RMBS

CMO	84,771		—		64,493		288,753		438,017
Interest-only	1,696		9,010		8,162		800		19,668
Agency CMBS
Project loans	—		—		—		49,188		49,188
Interest-only	189		4,913		—		1,804		6,906
Total amortized cost	$	111,029	$	157,957	$	503,859	$	734,168	$	1,507,013


	December 31, 2023
	(dollars in thousands)
	Weighted Average Life
	Less than one year		Greater than one year and less than five years		Greater than five years and less than ten years		Greater than ten years		Total
Fair value
Non-Agency RMBS
Senior	$	12,086	$	100,330	$	288,283	$	275,429	$	676,128
Subordinated	3,727		16,221		100,541		156,414		276,903
Interest-only	269		24,858		62,934		2,714		90,775
Agency RMBS

Interest-only	15,023		—		—		—		15,023
Agency CMBS
Project loans	7,797		—		—		71,382		79,179
Interest-only	614		7,668		—		—		8,282
Total fair value	$	39,516	$	149,077	$	451,758	$	505,939	$	1,146,290
Amortized cost
Non-Agency RMBS
Senior	$	4,072	$	95,442	$	202,295	$	203,824	$	505,633
Subordinated	2,301		12,672		104,432		181,006		300,411
Interest-only	9,527		46,578		98,632		3,134		157,871
Agency RMBS

Interest-only	19,238		—		—		—		19,238
Agency CMBS
Project loans	7,820		—		—		80,000		87,820
Interest-only	775		6,991		—		—		7,766
Total amortized cost	$	43,733	$	161,683	$	405,359	$	467,964	$	1,078,739

The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at June 30, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses.


	June 30, 2024				December 31, 2023
Weighted average maturity (years)		18.7				19.5
Weighted average amortized loan to value (1)		56.6		%		57.1		%
Weighted average FICO (2)		707				707
Weighted average loan balance (in thousands)		$	249			$	252
Weighted average percentage owner-occupied		67.8		%		84.5		%
Weighted average percentage single family residence		61.0		%		61.4		%
Weighted average current credit enhancement		1.2		%		1.3		%
Weighted average geographic concentration of top four states	CA	33.2		%	CA	33.1		%
	NY	11.7		%	NY	11.6		%
	FL	7.5		%	FL	7.6		%
	NJ	4.8		%	NJ	4.5		%

Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and six months ended June 30, 2024, and 2023 are as follows:


	For the Quarter Ended				For the Six Months Ended
	June 30, 2024		June 30, 2023			June 30, 2024		June 30, 2023
	(dollars in thousands)				(dollars in thousands)
Proceeds from sales:
Non-Agency RMBS	$	—	$	—		$	—	$	—
Agency RMBS	—		—			—		—
Agency CMBS	—		113,172			34,672		280,848

Gross realized gains:
Non-Agency RMBS	—		—			—		—
Agency RMBS	—		—			—		—
Agency CMBS	—		—			—		—
Gross realized losses:
Non-Agency RMBS	—		—			—		—
Agency RMBS	—					—
Agency CMBS	—		(21,758)			(3,750)		(27,022)
Net realized gain (loss)	$	—	$	(21,758)		$	(3,750)	$	(27,022)