| Summary of Investment in MBS Backed by Assets Held in Consolidated VIEs |
Following is a summary of the Company’s investment in MBS backed by assets held in consolidated VIEs:
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Quarter ended June 30, |
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Six months ended June 30, |
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2025 |
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2024 |
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2025 |
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2024 |
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(in thousands) |
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Net investment income: |
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Net gains (losses) on investments and financings: |
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Loans held for investment at fair value |
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$ |
13,600 |
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$ |
(2,739 |
) |
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$ |
42,312 |
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$ |
(3,979 |
) |
Asset-backed financings at fair value |
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(14,793 |
) |
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1,295 |
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(44,216 |
) |
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8,771 |
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Interest income |
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50,687 |
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13,449 |
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84,360 |
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25,557 |
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Interest expense |
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46,449 |
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11,402 |
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75,164 |
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24,080 |
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$ |
3,045 |
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$ |
603 |
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$ |
7,292 |
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$ |
6,269 |
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June 30, 2025 |
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December 31, 2024 |
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(in thousands) |
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Loans held for investment at fair value |
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$ |
4,564,678 |
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$ |
2,191,709 |
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Asset-backed financings at fair value |
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$ |
4,176,128 |
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$ |
2,040,375 |
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Retained mortgage-backed securities at fair value pledged
to secure Assets sold under agreements to repurchase |
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$ |
340,285 |
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$ |
130,839 |
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| Summary of Credit Risk Transfer Agreements |
Following is a summary of the CRT arrangements:
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Quarter ended June 30, |
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Six months ended June 30, |
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2025 |
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2024 |
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2025 |
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2024 |
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(in thousands) |
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Net investment income: |
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Net gains (losses) on investments and financings |
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Credit risk transfer derivatives and strips: |
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Credit risk transfer derivatives |
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Realized |
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$ |
2,632 |
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$ |
3,564 |
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$ |
5,435 |
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$ |
6,973 |
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Valuation changes |
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2,743 |
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1,475 |
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1,920 |
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8,256 |
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5,375 |
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5,039 |
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7,355 |
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15,229 |
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Credit risk transfer strips |
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Realized |
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9,950 |
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11,693 |
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19,727 |
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23,378 |
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Valuation changes |
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5,524 |
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|
378 |
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(6,301 |
) |
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29,718 |
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15,474 |
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12,071 |
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13,426 |
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53,096 |
|
Interest-only security payable at fair value — valuation
changes |
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(599 |
) |
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(481 |
) |
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(2,331 |
) |
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(41 |
) |
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20,250 |
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16,629 |
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18,450 |
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68,284 |
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Interest income — Deposits securing credit risk transfer
arrangements |
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11,401 |
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15,383 |
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23,076 |
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31,079 |
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$ |
31,651 |
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$ |
32,012 |
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$ |
41,526 |
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$ |
99,363 |
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Net payments made to settle losses on credit risk transfer
arrangements |
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$ |
1,225 |
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$ |
128 |
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$ |
2,468 |
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$ |
313 |
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June 30, 2025 |
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December 31, 2024 |
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(in thousands) |
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Carrying value of credit risk transfer arrangements: |
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Derivative assets - credit risk transfer derivatives |
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$ |
31,147 |
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$ |
29,377 |
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Derivative and credit risk transfer liabilities — credit risk transfer strip liabilities |
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(10,479 |
) |
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(4,060 |
) |
Deposits securing credit risk transfer arrangements |
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1,064,719 |
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1,110,708 |
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Interest-only security payable at fair value |
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(36,553 |
) |
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(34,222 |
) |
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$ |
1,048,834 |
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$ |
1,101,803 |
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Credit risk transfer arrangement assets pledged to secure borrowings: |
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Derivative assets |
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$ |
31,147 |
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$ |
29,377 |
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Deposits securing credit risk transfer arrangements (1) |
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$ |
1,064,719 |
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$ |
1,110,708 |
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Unpaid principal balance of loans underlying credit risk transfer arrangements |
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$ |
20,356,165 |
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$ |
21,249,304 |
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Collection status (unpaid principal balance): |
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Delinquency |
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Current |
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$ |
19,791,362 |
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$ |
20,628,148 |
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30-89 days delinquent |
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$ |
386,978 |
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$ |
414,605 |
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90-179 days delinquent |
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$ |
106,898 |
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$ |
131,191 |
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180 or more days delinquent |
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$ |
46,254 |
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$ |
51,343 |
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Foreclosure |
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$ |
24,673 |
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$ |
24,017 |
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Bankruptcy |
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$ |
65,532 |
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$ |
63,697 |
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(1)Deposits securing credit risk transfer arrangements also secure $10.5 million and $4.1 million in CRT strip liabilities at June 30, 2025 and December 31, 2024, respectively.
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