Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2026

Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):


	Measured at Fair Value on a Recurring Basis at
	March 31, 2026								December 31, 2025
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets carried at fair value
Investment securities available for sale:
Agency RMBS	$	—	$	6,629,977	$	—	$	6,629,977	$	—	$	6,633,476	$	—	$	6,633,476
Non-Agency RMBS	—		30,160		—		30,160		—		25,592		—		25,592
U.S. Treasury securities	—		300,176		—		300,176		—		245,713		—		245,713
Residential loans:
Residential loans	—		—		761,251		761,251		—		—		583,963		583,963
Consolidated SLST	—		—		1,138,067		1,138,067		—		—		1,165,677		1,165,677
Residential loans held in securitization trusts	—		—		2,598,709		2,598,709		—		—		2,608,535		2,608,535
Residential loans held for sale	—		—		121,607		121,607		—		—		80,707		80,707
Multi-family loans	—		—		55,910		55,910		—		—		55,476		55,476
Equity investments	—		—		23,468		23,468		—		—		24,711		24,711
Derivative assets: (1)
Interest rate caps	—		684		—		684		—		31		—		31

IRLCs	—		—		1,155		1,155		—		—		691		691


U.S. Treasury futures (2)	—		—		—		—		—		—		—		—
Commodity futures (2)	—		—		—		—		—		—		—		—
MSRs (1)	—		—		19,965		19,965		—		—		20,893		20,893
Total	$	—	$	6,960,997	$	4,720,132	$	11,681,129	$	—	$	6,904,812	$	4,540,653	$	11,445,465
Liabilities carried at fair value





CDOs:
Consolidated SLST	$	—	$	—	$	983,717	$	983,717	$	—	$	—	$	1,006,919	$	1,006,919
Residential loan securitizations	—		2,068,484		—		2,068,484		—		2,075,962		—		2,075,962
Non-Agency RMBS re-securitization	—		63,702		—		63,702		—		65,276		—		65,276
Senior unsecured notes	—		339,648		—		339,648		—		260,852		—		260,852
Derivative liabilities: (1)
Interest rate swaps (2)	—		—		—		—		—		—		—		—

Credit default swaps (2)	—		—		—		—		—		—		—		—
TBAs	—		1,523		—		1,523		—		—		—		—
Total	$	—	$	2,473,357	$	983,717	$	3,457,074	$	—	$	2,402,090	$	1,006,919	$	3,409,009

(1)Derivative assets and derivative liabilities are included in other assets or other liabilities, respectively, in the condensed consolidated balance sheets.

(2)All of the Company’s interest rate swaps, credit default swaps and futures are cleared through central clearing houses. The Company exchanges variation margin for the derivative instruments based upon daily changes in fair value. Includes derivative assets of $47.1 million netted against derivative liabilities of $26.6 million and a net variation margin of $20.5 million as of March 31, 2026. Includes derivative liabilities of $59.4 million netted against derivative assets of $23.3 million and a net variation margin of $36.1 million as of December 31, 2025. See Note 9 for additional information.

Schedule of Changes in Valuation of Level 3 Assets

The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2026 and 2025, respectively (dollar amounts in thousands):

Level 3 Assets:


	For the Three Months Ended March 31, 2026
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans held for sale		Multi-family loans		Equity investments		MSRs		IRLCs		Total
Balance at beginning of period	$	583,963	$	1,165,677	$	2,608,535	$	80,707	$	55,476	$	24,711	$	20,893	$	691	$	4,540,653
Total (losses)/gains (realized/unrealized)
Included in earnings	(5,241)		(6,241)		(16,025)		9,889		1,628		721		(928)		464		(15,733)

Transfers out (1)	(11,458)		—		(875)		—		—				—		—		(12,333)
Transfer to securitization trust, net (2)	(185,934)		—		185,934		—		—		—		—		—		—

Transfer from residential loans held for sale to residential loans	238,104		—		—		(238,104)		—		—		—		—		—
Paydowns/Distributions	(66,491)		(21,369)		(203,302)		(882)		(1,194)		(1,964)		—		—		(295,202)
Sales	(10,301)		—		—		(131,610)		—		—		—		—		(141,911)
Acquisitions/Repurchases	218,609		—		24,442		797		—		—		—		—		243,848
Originations	—		—		—		400,810		—		—		—		—		400,810
Balance at the end of period	$	761,251	$	1,138,067	$	2,598,709	$	121,607	$	55,910	$	23,468	$	19,965	$	1,155	$	4,720,132

(1)Transfers out of Level 3 assets represent the transfer of residential loans to real estate owned.

(2)During the three months ended March 31, 2026, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).


	For the Three Months Ended March 31, 2025
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Multi-family loans		Equity investments		MSRs		Total
Balance at beginning of period	$	632,266	$	965,672	$	2,243,800	$	86,192	$	113,492	$	21,003	$	4,062,425
Total gains/(losses) (realized/unrealized)
Included in earnings	5,857		11,743		25,378		2,991		3,589		(706)		48,852


Transfers out (1)	(22,506)		—		(659)		—		—		—		(23,165)
Transfer to securitization trust, net (2)	(464,214)		—		464,214		—		—		—		—

Paydowns/Distributions	(56,731)		(18,165)		(261,880)		(1,961)		(23,082)		—		(361,819)

Sales	(2,075)		—		(6,277)		—		—		—		(8,352)
Acquisitions	352,965		—		43,880		—		—		—		396,845
Balance at the end of period	$	445,562	$	959,250	$	2,508,456	$	87,222	$	93,999	$	20,297	$	4,114,786

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned.

(2)During the three months ended March 31, 2025, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

Schedule of Changes in Valuation of Level 3 Liabilities

The following table details changes in valuation for the Level 3 liabilities for the three months ended March 31, 2026 and 2025, respectively (dollar amounts in thousands):

Level 3 Liabilities:


	Consolidated SLST CDOs
	For the Three Months Ended March 31,
	2026		2025
Balance at beginning of period	$	1,006,919	$	811,591
Total losses/(gains) (realized/unrealized)
Included in earnings	(4,866)		8,637

Paydowns	(18,336)		(14,955)


Balance at the end of period	$	983,717	$	805,273

Schedule of Quantitative Information Regarding Significant and Unobservable Inputs used in Valuation of Level 3 Assets and Liabilities

The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands):


March 31, 2026	Fair Value	Valuation Technique	Unobservable Input	Weighted Average	Range
Assets
Residential loans, residential loans held in securitization trusts and residential loans held for sale: (1)
	$3,135,736	Discounted cash flow	Lifetime CPR	10.9%	—	-	47.1%
			Default rate	0.7%	—	-	21.5%
			Loss severity	12.2%	—	-	100.0%
			Yield	6.5%	3.7%	-	33.4%

	$109,915	Liquidation model	Annual home price appreciation/(depreciation)	0.1%	—	-	5.8%
			Liquidation timeline (months)	17	9	-	54
			Property value	$1,740	$28	-	$13,900
			Yield	8.8%	7.5%	-	64.3%

	$235,916	Transaction price	Non-binding investor price	N/A

Consolidated SLST (4)	$1,138,067		Liability price	N/A

Total	$4,619,634

Multi-family loans (1) (2)	$55,910	Discounted cash flow	Discount rate	12.3%	11.5%	-	13.5%
			Months to assumed redemption	20.4	3	-	34

Equity investments (1)	$23,468	Discounted cash flow	Discount rate	15.8%	15.0%	-	17.5%
			Months to assumed redemption	14.8	2	-	26

Mortgage servicing rights (1)	$19,965	Discounted cash flow	Lifetime voluntary prepayment rate	9.4%	0.1%	-	28.5%
			Default rate	2.6%	—	-	42.0%
			Yield	12.2%	10.5%	-	15.5%

IRLCs (1)	$1,155	Probability-weighted expected cash flow	Pull-through rate	83.1%	82.6%	-	85.6%

Liabilities
Consolidated SLST CDOs (3) (4)	$983,717	Discounted cash flow	Yield	5.2%	4.6%	-	12.3%
			Collateral prepayment rate	6.1%	2.8%	-	7.3%
			Collateral default rate	1.1%	—	-	19.6%
			Loss severity	15.2%	0.3%	-	26.6%

(1)Weighted average amounts are calculated based on the weighted average fair value of the assets.

(2)As of March 31, 2026, the Company has reduced the fair value of one multi-family loan to zero as a result of developments with respect to the property, its financing and market conditions. Unobservable inputs do not include inputs related to this multi-family loan.

(3)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable. At March 31, 2026, the fair value of investment securities we own in Consolidated SLST amounts to $146.7 million.

(4)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the CDOs issued by Consolidated SLST, including investment securities we own.

Schedule of Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities

The following table details the changes in unrealized gains (losses) included in earnings for the three months ended March 31, 2026 and 2025, respectively, for our Level 3 assets and liabilities held as of March 31, 2026 and 2025, respectively (dollar amounts in thousands):


	For the Three Months Ended March 31,
	2026		2025
Assets
Residential loans:
Residential loans (1)	$	(1,802)	$	(2,342)
Consolidated SLST (1)	(6,913)		12,895
Residential loans held in securitization trusts (1)	(18,657)		23,905
Residential loans held for sale (1)	2,590		—
Multi-family loans (1)	(4)		410
Equity investments (2)	(46)		(1,363)
IRLCs	464		—
Mortgage servicing rights (1)	(928)		(706)
Liabilities
Consolidated SLST CDOs (1)	6,817		(9,631)

(1)Presented in unrealized (losses) gains, net on the Company's condensed consolidated statements of operations.

(2)Presented in income from equity investments on the Company's condensed consolidated statements of operations.

Schedule of Carrying Value and Estimated Fair Value of Financial Instruments

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of March 31, 2026 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.


			Other VIEs
	Financing VIEs			Consolidated SLST		Consolidated Real Estate		Total
Cash and cash equivalents	$	—		$	—	$	3,914	$	3,914
Residential loans, at fair value	2,598,709			1,138,067		—		3,736,776
Real estate, net held in Consolidated VIEs (1)	—			—		344,507		344,507

Other assets	106,105			4,374		43,306		153,785
Total assets	$	2,704,814		$	1,142,441	$	391,727	$	4,238,982

Collateralized debt obligations ($3,115,903 at fair value and $353,041 at amortized cost, net)	$	2,485,227		$	983,717	$	—	$	3,468,944
Mortgages payable on real estate, net in Consolidated VIEs (2)	—			—		276,032		276,032
Other liabilities	14,720			10,693		4,852		30,265
Total liabilities	$	2,499,947		$	994,410	$	280,884	$	3,775,241
Redeemable non-controlling interest in Consolidated VIEs (3)	$	—		$	—	$	4,078	$	4,078
Non-controlling interest in Consolidated VIEs (4)	$	—		$	—	$	(2,847)	$	(2,847)
Net investment (5)	$	204,867		$	148,031	$	109,612	$	462,510

(1)Included in real estate, net in the accompanying condensed consolidated balance sheets.

(2)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets.

(3)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.

(4)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.

(5)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between the carrying value of total assets and total liabilities held by VIEs, less non-controlling interests, if any.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of December 31, 2025 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.


			Other VIEs
	Financing VIEs		Consolidated SLST		Consolidated Real Estate		Total
Cash and cash equivalents	$	—	$	—	$	3,853	$	3,853
Residential loans, at fair value	2,608,535		1,165,677		—		3,774,212
Real estate, net held in Consolidated VIEs (1)	—		—		424,655		424,655
Other assets	132,428		4,489		27,923		164,840
Total assets	$	2,740,963	$	1,170,166	$	456,431	$	4,367,560

Collateralized debt obligations ($3,148,157 at fair value and $363,645 at amortized cost, net)	$	2,504,883	$	1,006,919	$	—	$	3,511,802
Mortgages payable on real estate, net in Consolidated VIEs (2)	—		—		332,131		332,131
Other liabilities	17,317		10,368		9,655		37,340
Total liabilities	$	2,522,200	$	1,017,287	$	341,786	$	3,881,273
Redeemable non-controlling interest in Consolidated VIEs (3)	$	—	$	—	$	3,016	$	3,016
Non-controlling interest in Consolidated VIEs (4)	$	—	$	—	$	374	$	374
Net investment (5)	$	218,763	$	152,879	$	111,255	$	482,897

(1)Included in real estate, net in the accompanying condensed consolidated balance sheets.

(2)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets.

(3)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.

(4)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2026 and December 31, 2025, respectively (dollar amounts in thousands):


		March 31, 2026				December 31, 2025
	Fair Value Hierarchy Level	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Cash and cash equivalents	Level 1	$	208,915	$	208,915	$	210,333	$	210,333
Investment securities available for sale	Level 2	6,960,313		6,960,313		6,904,781		6,904,781
Residential loans	Level 3	4,498,027		4,498,027		4,358,175		4,358,175
Residential loans held for sale	Level 3	121,607		121,607		80,707		80,707
Multi-family loans	Level 3	55,910		55,910		55,476		55,476
Equity investments	Level 3	23,468		23,468		24,711		24,711
Interest rate caps	Level 2	684		684		31		31
IRLCs	Level 3	1,155		1,155		691		691
Mortgage servicing rights	Level 3	19,965		19,965		20,893		20,893
Financial Liabilities:
Repurchase agreements	Level 2	7,019,017		7,019,017		6,753,417		6,753,417
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net	Level 3	353,041		336,430		363,645		349,037
Residential loan securitizations at fair value	Level 2	2,068,484		2,068,484		2,075,962		2,075,962
Consolidated SLST	Level 3	983,717		983,717		1,006,919		1,006,919
Non-Agency RMBS re-securitization	Level 2	63,702		63,702		65,276		65,276
Subordinated debentures	Level 3	45,000		39,355		45,000		40,526
Derivative liabilities	Level 2	1,523		1,523		—		—
Senior unsecured notes:
Senior unsecured notes at amortized cost, net	Level 2	—		—		99,585		99,465
Senior unsecured notes at fair value	Level 2	339,648		339,648		260,852		260,852
Mortgages payable on real estate	Level 3	276,032		269,948		332,131		325,301

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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