v3.26.1
Residential Whole Loans
 3 Months Ended
Mar. 31, 2026
Receivables [Abstract]  
Residential Whole Loans Residential Whole Loans
Included on the Company’s consolidated balance sheets at March 31, 2026 and December 31, 2025 are approximately $8.8 billion and $8.8 billion, respectively, of residential whole loans generally arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for loans that were 60 or more days delinquent at purchase.

The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2026 and December 31, 2025:
Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)March 31,
2026		December 31, 2025March 31,
2026		December 31, 2025March 31,
2026		December 31, 2025
Non-QM loans$559,568 $593,213 $4,971,820 $4,753,480 $5,531,388 $5,346,693 
Business purpose loans:
Single-family rental loans$81,553 $88,112 $1,115,056 $1,147,234 $1,196,609 $1,235,346 
Single-family transitional loans (1) (2)
7,044 7,051 651,669 711,294 658,713 718,345 
Multifamily transitional loans— — 406,610 489,637 406,610 489,637 
Total Business purpose loans$88,597 $95,163 $2,173,335 $2,348,165 $2,261,932 $2,443,328 
Legacy RPL/NPL loans405,158 414,676 544,276 564,340 949,434 979,016 
Other loans— — 50,383 51,022 50,383 51,022 
Allowance for Credit Losses(9,437)(9,705)— — (9,437)(9,705)
Total Residential whole loans$1,043,886 $1,093,347 $7,739,814 $7,717,007 $8,783,700 $8,810,354 
Number of loans4,789 4,941 18,876 18,824 23,665 23,765 
(1)Includes $293.2 million and $300.2 million of loans collateralized by new construction projects at origination as of March 31, 2026 and December 31, 2025, respectively.
(2)No loans were held-for-sale as of March 31, 2026 and December 31, 2025. There were no gains/(losses) on held-for-sale loans for three months ended March 31, 2026. As of March 31, 2025, $2.1 million of loans were held-for-sale and for the three months ended March 31, 2025, the Company recorded a $0.5 million loss on these loans resulting from the adjustment of their carrying value to the lower of cost of market.
The following tables present additional information regarding the Company’s Residential whole loans:

March 31, 2026
Asset AmountFair ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (1) (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB
60+ Days Past Due %
(Dollars In Thousands)Past Due Days
Current30-5960-8990+
Non-QM loans$5,529,980 $5,516,866 $5,523,570 6.73 %33764 %739$5,155,462 $144,082 $56,001 $168,025 4.1 %
Business purpose loans:
Single-family rental$1,195,847 $1,198,564 $1,207,006 6.32 %30866 %740$1,151,373 $23,905 $4,376 $27,352 2.6 %
Single-family transitional (5)
657,557 658,032 673,850 10.24 %668 %751547,992 19,455 16,980 89,423 15.8 %
Multifamily transitional (5)
406,610 406,610 458,228 10.22 %183 %748300,737 19,998 55,999 81,494 30.0 %
Total business purpose loans$2,260,014 $2,263,206 $2,339,084 8.22 %70 %$2,000,102 $63,358 $77,355 $198,269 11.8 %
Legacy RPL/NPL loans943,323 960,882 1,067,717 5.08 %24353 %646760,712 103,744 44,596 158,665 19.0 %
Other loans50,383 50,383 58,879 3.43 %30563 %75757,574 1,305 — — — %
Residential whole loans, total or weighted average$8,783,700 $8,791,337 $8,989,250 6.92 %64 %$7,973,850 $312,489 $177,952 $524,959 7.8 %

December 31, 2025
Asset AmountFair ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (1) (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB
60+ Days Past Due %
(Dollars In Thousands)Past Due Days
Current30-5960-8990+
Non-QM loans$5,344,968 $5,332,533 $5,322,321 6.74 %33764 %738$4,929,485 $170,509 $47,154 $175,173 4.2 %
Business purpose loans:
Single-family rental$1,234,428 $1,237,464 $1,246,745 6.34 %31166 %740$1,193,041 $22,309 $4,165 $27,230 2.5 %
Single-family transitional (5)
717,303 717,702 732,059 10.31 %669 %750599,798 48,180 2,535 81,546 11.5 %
Multifamily transitional (5)
489,637 489,637 531,804 10.17 %164 %749399,686 44,523 32,905 54,690 16.5 %
Total Business purpose loans$2,441,368 $2,444,803 $2,510,608 8.31 %66 %$2,192,525 $115,012 $39,605 $163,466 8.1 %
Legacy RPL/NPL loans972,996 992,120 1,097,698 5.09 %24554 %646757,826 125,621 47,620 166,631 19.5 %
Other loans51,022 51,022 59,283 3.43 %30863 %75759,283 — — — — %
Residential whole loans, total or weighted average$8,810,354 $8,820,478 $8,989,910 6.98 %64 %$7,939,119 $411,142 $134,379 $505,270 7.1 %
(1)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. Certain Transitional Loans contain contractual features which increase the loan’s interest rate following an event of default. The weighted average coupon presented is calculated based on each loan’s coupon rate without regard to post-default rate adjustments.
(2)For the quarter ended March 31, 2026, the gross coupon was 6.86% for Non-QM loans, 6.35% for Single-family rental loans, 10.25% for Single-family transitional loans, 10.23% for Multifamily transitional loans, and 5.09% for Legacy RPL/NPL loans. For the quarter ended December 31, 2025, the gross coupon was 6.88% for Non-QM loans, 6.37% for Single-family rental loans, 10.32% for Single-family transitional loans, 10.18% for Multifamily transitional loans, and 5.10% for Legacy RPL/NPL loans.
(3)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. Excluded from the calculation of weighted average are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
(4)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
(5)For Single-family and Multifamily transitional loans that are less than 90 days delinquent, the LTV presented is generally the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, as of the most recent date available, which may be the origination date. For Single-family and Multifamily transitional loans that are 90 or more days delinquent, as well as certain performing loans for which an after repaired valuation was not available, the LTV presented is the ratio of the current unpaid principal balance of the loan to the estimated as-is value of the collateral securing the related loan as of the most recent date available, which may be the origination date.
Sales of Residential Whole Loans
During the first quarter of 2026, Residential whole loans with an unpaid principal balance of $78.9 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $2.7 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net gain on sale of $1.5 million during the first quarter of 2026.
During the first quarter of 2025, Single-family rental loans with an unpaid principal balance of $67.6 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $1.9 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net gain of $0.7 million during the first quarter of 2025.

Allowance for Credit Losses

The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential whole loans, at carrying value:
Three Months Ended March 31, 2026
(In Thousands)
Non-QM loansSingle-family rental loans
Single-family transitional loans (1)
Legacy RPL/NPL loans (2)
Totals
Allowance for credit losses at December 31, 2025$1,725 $918 $1,042 $6,020 $9,705 
Current provision/(reversal)(317)(156)114 118 (241)
Write-offs— — — (27)(27)
Allowance for credit losses at March 31, 2026$1,408 $762 $1,156 $6,111 $9,437 
Three Months Ended March 31, 2025
(In Thousands)
Non-QM loans
Single-family rental loans
Single-family transitional loans (1)
Legacy RPL/NPL loans (2)
Totals
Allowance for credit losses at December 31, 2024$2,125 $366 $1,389 $6,785 $10,665 
Current provision/(reversal)(197)614 (88)(184)145 
Write-offs— — (436)(180)(616)
Allowance for credit losses at March 31, 2025$1,928 $980 $865 $6,421 $10,194 
(1)Includes $3.8 million and $11.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2026 and 2025, respectively.
(2)Includes $26.7 million and $37.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2026 and 2025, respectively.

Estimates of credit losses under credit losses on financial instruments (“CECL”) are highly sensitive to changes in assumptions, and current economic conditions have increased the difficulty of accurately forecasting future conditions.
The carrying value of Residential whole loans on nonaccrual status as of March 31, 2026 and December 31, 2025 was $584.8 million and $579.9 million, respectively. During the three months ended March 31, 2026, the Company recognized $2.7 million of interest income on loans on nonaccrual status, including $1.8 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2026 and December 31, 2025, there were approximately $25.0 million and $25.7 million, respectively, of loans held at carrying value on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively.
During the three months ended March 31, 2026, the Company granted one loan modification in its carrying value loan portfolio which gave the borrower an interest rate reduction. The interest rate reduction was 3.05%. As of March 31, 2026, the carrying value of this loan was approximately $0.11 million. As of March 31, 2026, this modification was not delinquent for more than 30 days.
During the past 12 months, the Company granted five loan modifications in its carrying value loan portfolio, which gave borrowers term extensions, with one of them including an interest rate reduction. The average increase in weighted average life was 2 months, and the interest rate reduction was 3.05%. As of March 31, 2026, the carrying value of these loans was approximately $0.50 million. As of March 31, 2026, only one of these loans was 120+ days delinquent.
The following table presents certain additional credit-related information regarding our Residential whole loans, at carrying value:
Amortized Cost Basis by Origination Year and LTV Bands
(In Thousands)
2026 - 2022PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $554,905 $554,905 
LTV > 80% (1)
— 4,663 4,663 
Total Non-QM loans$— $559,568 $559,568 
Three Months Ended March 31, 2026 Gross write-offs$— $— $— 
Business purpose loans
LTV <= 80% (1)
$— $86,449 $86,449 
LTV > 80% (1)
— 2,148 2,148 
Total Business purpose loans$— $88,597 $88,597 
Three Months Ended March 31, 2026 Gross write-offs$— $— $— 
Legacy RPL/NPL loans
LTV <= 80% (1)
$— $362,741 $362,741 
LTV > 80% (1)
— 42,417 42,417 
Total Legacy RPL/NPL loans$— $405,158 $405,158 
Three Months Ended March 31, 2026 Gross write-offs$— $27 $27 
Total LTV <= 80% (1)
$— $1,004,095 $1,004,095 
Total LTV > 80% (1)
— 49,228 49,228 
Total Residential whole loans, at carrying value$— $1,053,323 $1,053,323 
Three Months Ended March 31, 2026 Total Gross write-offs$— $27 $27 
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Single-family and Multifamily transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Single-family transitional loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV is not meaningful.

The following table presents vintage information regarding our Residential whole loans, at fair value:
Fair Value by Origination Year
(In Thousands)
20262025202420232022PriorTotal
Non-QM loans$276,125 $1,748,183 $859,328 $494,540 $501,547 $1,092,097 $4,971,820 
Single-family rental loans60,283 2,467 38,899 208,025 477,377 328,005 1,115,056 
Single-family transitional loans61,404 339,121 147,913 86,221 13,704 3,306 651,669 
Multifamily transitional loans— — 50,308 154,758 135,064 66,480 406,610 
Legacy RPL/NPL loans— — — — — 544,276 544,276 
Other loans— — — — — 50,383 50,383 
Total Residential whole loans, at fair value$397,812 $2,089,771 $1,096,448 $943,544 $1,127,692 $2,084,547 $7,739,814 
The following table presents realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO, recognized in Other, net:
Three Months Ended
March 31,
 (In Thousands)20262025
Non-QM loans$(151)$(137)
Single-family rental loans(27)(1,196)
Single-family transitional loans(3,325)(2,173)
Multifamily transitional loans(347)(169)
Legacy RPL/NPL loans(523)(56)
Other loans— — 
Total Residential whole loans$(4,373)$(3,731)
The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 60 days or more delinquent:

March 31, 2026
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Non-QM loans$219,769 $224,026 65 %
Business purpose loans:
Single-family rental loans$30,163 $31,728 68 %
Single-family transitional loans92,333 106,403 82 %
Multifamily transitional loans85,748 137,493 126 %
Total Business purpose loans$208,244 $275,624 
Legacy RPL/NPL loans185,018 203,261 59 %
Other loans— — — %
Total Residential whole loans$613,031 $702,911 
December 31, 2025
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Non-QM loans$218,793 $222,327 64 %
Business purpose loans:
Single-family rental loans$29,967 $31,395 68 %
Single-family transitional loans70,821 84,081 83 %
Multifamily transitional loans54,884 87,595 68 %
Total Business purpose loans$155,672 $203,071 
Legacy RPL/NPL loans197,511 214,251 60 %
Other loans— — — %
Total Residential whole loans$571,976 $639,649 
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Single-family and Multifamily transitional loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Single-family transitional loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
The following tables present the components of interest income on the Company’s Residential whole loans:
Held at Carrying ValueHeld at Fair ValueTotal
Three Months Ended
March 31,		Three Months Ended
March 31,		Three Months Ended
March 31,
 (In Thousands)202620252026202520262025
Non-QM loans$8,185 $10,086 $73,354 $55,178 $81,539 $65,264 
Business purpose loans:
Single-family rental loans$1,635 $1,900 $17,878 $20,497 $19,513 $22,397 
Single-family transitional loans(60)1,714 15,614 24,104 15,554 25,818 
Multifamily transitional loans— — 8,449 19,954 8,449 19,954 
Total Business purpose loans$1,575 $3,614 $41,941 $64,555 $43,516 $68,169 
Legacy RPL/NPL loans6,409 7,042 11,164 10,337 17,573 17,379 
Other loans— — 463 498 463 498 
Total Residential whole loans$16,169 $20,742 $126,922 $130,568 $143,091 $151,310 
The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings:
Three Months Ended
March 31,
 (In Thousands)20262025
Non-QM loans$(19,385)$45,196 
Business purpose loans:
Single-family rental loans$1,451 $17,831 
Single-family transitional loans(2,106)(9,149)
Multifamily transitional loans(9,936)(1,935)
Total Business purpose loans$(10,591)$6,747 
Legacy RPL/NPL loans(4,573)949 
Other loans(212)1,488 
Total Residential whole loans$(34,761)$54,380