v3.26.1
Other Assets (Tables)
 3 Months Ended
Mar. 31, 2026
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]  
Schedule of Other Assets
The following table presents the components of the Company’s Other assets at March 31, 2026 and December 31, 2025:

(In Thousands)March 31, 2026December 31, 2025
REO$138,651 $135,035 
Commercial REO12,237 19,885 
Goodwill61,076 61,076 
Intangibles, net (1)
2,300 2,600 
Capital contributions made to loan origination partners20,587 20,182 
Commercial loans4,510 6,079 
Interest receivable109,773 111,118 
Other loan related receivables8,072 8,874 
Lease right-of-use asset (2)
9,604 42,810 
Other82,371 81,488 
Total Other Assets$449,181 $489,147 
(1)Net of aggregate accumulated amortization of $25.7 million and $25.4 million as of March 31, 2026 and December 31, 2025, respectively.
(2)An estimated incremental borrowing rate of 6.5% and 7.5% was used in connection with the Company’s primary operating lease as of March 31, 2026 and December 31, 2025, respectively, and an estimated incremental borrowing rate of 8.0% was used in connection with Lima One’s headquarters lease (see Notes 2 and 9).
Schedule of Aggregate Carrying Value of REO Properties
The following table summarizes the aggregate carrying value of REO properties by loan source prior to foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement.

(Dollars In Thousands)March 31, 2026December 31, 2025
Non-QM loans$12,192 $12,066 
Business purpose loans79,791 80,822 
Legacy RPL/NPL loans46,668 42,147 
Total$138,651 $135,035 
Number of properties302 322 
Schedule of Activity for Real Estate Owned
The following table presents the activity in the Company’s REO for the three months ended March 31, 2026 and 2025:
Three Months Ended
March 31,
(Dollars In Thousands)20262025
Balance at beginning of period$135,035 $130,854 
Adjustments to record at lower of cost or fair value(4,018)(3,213)
Transfer from residential whole loans (1)
25,252 25,448 
Purchases and capital improvements, net25 136 
Disposals and other (2)
(17,643)(22,591)
Balance at end of period$138,651 $130,634 
Number of properties302 402 
(1)During the three months ended March 31, 2026 and 2025, the Company recognized $(0.2) million and $0.0 million of gains/(losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO.
(2)During the three months ended March 31, 2026 and 2025, the Company sold 68 and 94 REO properties for consideration of $18.2 million and $24.2 million, realizing net gains of approximately $0.6 million and $1.7 million, respectively. These amounts are included in Other Income/(Loss), net on the Company’s consolidated statements of operations.
Schedule of Finite-Lived Intangible Assets Amortization Expense
The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2026 is summarized in the table below:
(Dollars in Thousands)Carrying Value at December 31, 2025Amortization
Three months ended March 31, 2026		Carrying Value at March 31, 2026
Amortization Period (Years) (1)
Trademarks / Trade Names$2,200 $(100)$2,100 10
Internally Developed Software400 (200)200 5
Total Identified Intangibles$2,600 $(300)$2,300 
(1)Amortization is calculated on a straight-line basis over the amortization period.
Schedule of Financing Receivable Credit Quality Indicators
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.
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 certain additional information about the Company’s commercial mortgage loans as of March 31, 2026 and December 31, 2025:
(Dollars In Thousands)Fair Value / Carrying ValueUPB
Weighted Average Coupon (1)
Weighted Average Term to Maturity (Months)UPB 60+ Days DelinquentWeighted Average LTV Ratio
Commercial Loans - March 31, 2026$4,510 $4,510 10.58 %0$4,510 80 %
Commercial Loans - December 31, 2025$6,079 $9,385 10.60 %0$9,385 189 %
(1)Commercial 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.
Schedule of Assets Pledged as Collateral Against Derivative Contracts
The following table presents the assets pledged as collateral against the Company’s Swaps:
(In Thousands)March 31,
2026		December 31,
2025
Agency MBS, at fair value
$30,693 $32,015 
Restricted Cash31,683 24,317 
Schedule of Derivative Instruments The following table presents information about the Company’s Swaps at March 31, 2026 and December 31, 2025:
 March 31, 2026December 31, 2025
Maturity (1)
 Notional Amount (2)
Weighted Average Fixed-Pay Interest Rate
Weighted Average Variable Interest Rate (3)
Notional Amount (2)
Weighted Average Fixed-Pay Interest Rate
 Weighted Average Variable Interest Rate (3)
(Dollars in Thousands)      
Within 30 days$— — %— %$— — %— %
Over 30 days to 3 months— — — — — — 
Over 3 months to 6 months— — — — — — 
Over 6 months to 12 months1,300,000 1.42 3.68 450,000 1.12 3.87 
Over 12 months to 24 months215,000 2.93 3.68 1,065,000 1.85 3.87 
Over 24 months to 36 months415,000 3.24 3.68 341,500 3.23 3.87 
Over 36 months to 48 months332,800 2.96 3.68 332,800 2.96 3.87 
Over 48 months to 60 months1,710,200 3.32 3.68 1,463,900 3.36 3.87 
Over 60 months to 72 months— — — — — — 
Over 72 months1,192,600 3.48 3.68 827,300 3.36 3.87 
Total Swaps$5,165,600 2.83 %3.68 %$4,480,500 2.74 %3.87 %
(1)Each maturity category reflects contractual amortization and/or maturity of notional amounts.
(2)As of March 31, 2026, the aggregate notional amounts of Swaps include $2.1 billion of interest rate swap agreements and $3.1 billion of ERIS swap futures. As of December 31, 2025, the aggregate notional amounts of Swaps include $2.1 billion of interest rate swap agreements and $2.4 billion of ERIS swap futures.
(3)Reflects the benchmark variable rate due from the counterparty at the date presented. This rate adjusts daily based on SOFR.
 March 31, 2026December 31, 2025
(Dollars in thousands)
 Notional Amount
Settlement Date
Notional Amount
Settlement Date
TBA Security
    
MBS 30 year 5.0% coupon
$150,000 4/13/2026$— — 
MBS 30 year 5.5% coupon
$150,000 4/13/2026$— — 
Schedule of Derivative Earnings
The following table presents the components of Net gain/(loss) on derivatives used for risk management purposes, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
Three Months Ended March 31,
 (In Thousands)20262025
Income on Swaps variable receive leg$43,409 $34,078 
Expense on Swaps fixed pay leg(32,365)(18,824)
Unrealized mark-to-market gain/(loss)26,767 (44,842)
Net price alignment expense on margin collateral received(326)(1,467)
Realized gain/(loss) on terminated Swaps(6,759)— 
Total Net gain/(loss) on derivatives used for risk management purposes$30,726 $(31,055)