| Schedule of Financial Instruments Carried at Fair Value on a Recurring Basis |
The following table presents the Company's financial instruments carried at fair value on a recurring basis in the consolidated balance sheets by its level in the fair value hierarchy as of March 31, 2026 and December 31, 2025 (dollars in thousands). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | | Total | | Level I | | Level II | | Level III | | Assets, at fair value | | | | | | | | | | Real estate securities, available for sale, measured at fair value | | $ | 178,712 | | | $ | — | | | $ | 178,712 | | | $ | — | | | | | | | | | | | | Commercial mortgage loans, held for sale, measured at fair value - non-Agency | | 175,750 | | | — | | | — | | | 175,750 | | | Treasury Notes | | 963 | | | 963 | | | — | | | — | | | Options | | 235 | | | 235 | | | — | | | — | | | Commercial mortgage loans, held for sale, measured at fair value - Agency | | 247,281 | | | — | | | — | | | 247,281 | | | Loan commitments | | 11,905 | | | — | | | — | | | 11,905 | | | Forward sale commitments | | 5,290 | | | — | | | — | | | 5,290 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total assets, at fair value | | $ | 620,136 | | | $ | 1,198 | | | $ | 178,712 | | | $ | 440,226 | | | | | | | | | | | | Liabilities, at fair value | | | | | | | | | | | | | | | | | | | Credit default swaps | | $ | 1,680 | | | $ | — | | | $ | 1,680 | | | $ | — | | | | | | | | | | | | | | | | | | | | | Forward sale commitments | | 3,797 | | | — | | | — | | | 3,797 | | | Total liabilities, at fair value | | $ | 5,477 | | | $ | — | | | $ | 1,680 | | | $ | 3,797 | | | | | | | | | | | | | December 31, 2025 | | | Total | | Level I | | Level II | | Level III | | Assets, at fair value | | | | | | | | | | Real estate securities, available for sale, measured at fair value | | $ | 151,662 | | | $ | — | | | $ | 151,662 | | | $ | — | | | Commercial mortgage loans, held for sale, measured at fair value - non-Agency | | 29,500 | | | — | | | — | | | 29,500 | | | Commercial mortgage loans, held for sale, measured at fair value - Agency | | 331,218 | | | — | | | — | | | 331,218 | | | Loan commitments | | 10,518 | | | — | | | — | | | 10,518 | | | Forward sale commitments | | 797 | | | — | | | — | | | 797 | | | Total assets, at fair value | | $ | 523,695 | | | $ | — | | | $ | 151,662 | | | $ | 372,033 | | | | | | | | | | | | Liabilities, at fair value | | | | | | | | | | Treasury notes | | $ | 28 | | | $ | 28 | | | $ | — | | | $ | — | | | Credit default swaps | | 714 | | | — | | | 714 | | | — | | | Forward sale commitments | | 6,209 | | | — | | | — | | | 6,209 | | | Total liabilities, at fair value | | $ | 6,951 | | | $ | 28 | | | $ | 714 | | | $ | 6,209 | |
The following table presents additional information about the Company’s financial instruments which are measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025 for which the Company has used Level III inputs to determine fair value (dollars in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | | Commercial mortgage loans, held for sale, measured at fair value - Non-Agency | | Commercial mortgage loans, held for sale, measured at fair value - Agency | | Loan Commitments | | Forward Sale Commitments | | | | | Beginning balance, January 1, 2026 | | $ | 29,500 | | | $ | 331,218 | | | $ | 10,518 | | | $ | (5,413) | | | | | | Transfers into Level III | | — | | | — | | | — | | | — | | | | | | Originations | | 251,250 | | | 584,746 | | | 10,100 | | | 6,906 | | | | | | Sales/paydowns | | (109,344) | | | (668,683) | | | (8,713) | | | | | | | | Realized and unrealized gain/(loss) included in earnings | | 4,344 | | | — | | | — | | | — | | | | | Transfers out of Level III(1) | | — | | | — | | | — | | | — | | | | | | Ending Balance, March 31, 2026 | | $ | 175,750 | | | $ | 247,281 | | | $ | 11,905 | | | $ | 1,493 | | | | |
________________________(1) There were no transfers in or out of Level III as of March 31, 2026. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | | Commercial mortgage loans, held for sale, measured at fair value - Non-Agency | | Commercial mortgage loans, held for sale, measured at fair value - Agency | | Loan Commitments | | Forward Sale Commitments | | Beginning balance, January 1, 2025 | | $ | 87,270 | | | $ | — | | | $ | — | | | $ | — | | | Transfers into Level III | | — | | | 422,011 | | | 4,268 | | | — | | | Originations | | 411,650 | | | 3,225,586 | | | 32,961 | | | (5,413) | | | Sales/paydowns | | (487,529) | | | (3,316,379) | | | (26,711) | | | — | | | Realized and unrealized gain/(loss) included in earnings | | 18,109 | | | — | | | — | | | — | | Transfers out of Level III(1) | | — | | | — | | | — | | | — | | | Ending Balance, December 31, 2025 | | $ | 29,500 | | | $ | 331,218 | | | $ | 10,518 | | | $ | (5,413) | |
________________________ (1) There were no transfers out of Level III as of December 31, 2025.
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| Schedule of Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
The following table summarizes the valuation method and significant unobservable inputs used for the Company’s financial instruments that are categorized within Level III of the fair value hierarchy as of March 31, 2026 and December 31, 2025 (dollars in thousands). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | Asset Category | | Fair Value | | Valuation Methodologies | | Unobservable Inputs(1) | | Weighted Average | | Range | | Commercial mortgage loans, held for sale, measured at fair value - Non-Agency | | $175,750 | | Discounted Cash Flow | | Discount rate | | 6.76% | | 6.35% - 7.05% | | Commercial mortgage loans, held for sale, measured at fair value - Agency | | $247,281 | | Discounted Cash Flow | | Discount rate | | 4.95% | | 3.80% - 6.30% | | | | | | | | | | | | | Loan commitments and forward sale commitments, net | | $13,398 | | Discounted Cash Flow | | Discount rate | | 4.95% | | 3.80% - 6.30% | | | December 31, 2025 | | Asset Category | | Fair Value | | Valuation Methodologies | | Unobservable Inputs(1) | | Weighted Average | | Range | | Commercial mortgage loans, held for sale, measured at fair value - Non-Agency | | $29,500 | | Discounted Cash Flow | | Yield | | 6.56% | | 6.42% - 7.25% | | Commercial mortgage loans, held for sale, measured at fair value - Agency | | 331,218 | | Discounted Cash Flow | | Discount rate | | 4.81% | | 4.07% - 6.28% | | Loan commitments and forward sale commitments | | 5,106 | | Discounted Cash Flow | | Discount rate | | 4.81% | | 4.07% - 6.28% |
________________________ (1) In determining certain inputs, the Company evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments including exit strategies and realization opportunities. The Company has determined that market participants would take these inputs into account when valuing the investments.
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| Schedule of Financial Instruments Not Carried at Fair Value |
The Company's financial assets and liabilities that are not reported at fair value in the consolidated balance sheets are reported below as of March 31, 2026 and December 31, 2025 (dollars in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | | | Level | | Carrying Amount | | Fair Value | | Level | | Carrying Amount | | Fair Value | Commercial mortgage loans, held for investment(1) | Asset | | III | | $ | 4,596,001 | | | $ | 4,578,458 | | | III | | $ | 4,421,436 | | | $ | 4,411,871 | | | Pledged investment securities | Asset | | I | | 21,958 | | | 22,619 | | | I | | 20,483 | | | 21,175 | | Collateralized loan obligations(2) | Liability | | II | | 2,637,338 | | | 2,654,143 | | | II | | 2,735,582 | | | 2,757,931 | | | Mortgage note payable | Liability | | III | | 23,998 | | | 23,998 | | | III | | 23,998 | | | 23,998 | | | Other financings | Liability | | III | | 12,865 | | | 12,865 | | | III | | 12,865 | | | 12,865 | | | Unsecured debt | Liability | | III | | 185,693 | | | 171,500 | | | III | | 185,466 | | | 178,900 | | | Mortgage servicing rights, net | Asset | | III | | 211,854 | | | 231,045 | | | III | | 212,216 | | | 213,572 | |
________________________(1) The carrying value is gross of $49.2 million and $38.3 million of allowance for credit losses as of March 31, 2026 and December 31, 2025, respectively. (2) Depending upon the significance of the fair value inputs utilized in determining these fair values, our collateralized loan obligations are classified as either Level II or Level III of the fair value hierarchy.
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