| Summary of Investment in Senior and Subordinate MBS Backed by Assets Held in Consolidated VIEs |
Following is a summary of the Company’s investment in senior and subordinate MBS backed by assets held in consolidated VIEs:
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Quarter ended March 31, |
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2026 |
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2025 |
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(in thousands) |
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Net investment income: |
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Net (losses) gains on investments and financings |
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Loans held for investment at fair value |
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$ |
(65,803 |
) |
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$ |
28,712 |
|
Asset-backed financings of variable interest entities at fair value |
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|
62,236 |
|
|
|
(29,423 |
) |
Interest income |
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|
133,754 |
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|
|
33,673 |
|
Interest expense |
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|
120,540 |
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|
|
28,715 |
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|
|
$ |
9,647 |
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|
$ |
4,247 |
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|
|
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|
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March 31, 2026 |
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|
December 31, 2025 |
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(in thousands) |
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Loans held for investment at fair value |
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$ |
10,866,292 |
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|
$ |
8,530,939 |
|
Asset-backed financings of variable interest entities at fair value |
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$ |
9,903,515 |
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|
$ |
7,789,303 |
|
Retained interests at fair value pledged to secure
Assets sold under agreements to repurchase |
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$ |
937,680 |
|
|
$ |
648,159 |
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| Summary of Credit Risk Transfer Agreements |
Following is a summary of the CRT arrangements:
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Quarter ended March 31, |
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2026 |
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|
2025 |
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(in thousands) |
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Net investment income: |
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Net (losses) gains 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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$ |
2,548 |
|
|
$ |
2,803 |
|
Valuation changes |
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|
(2,416 |
) |
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|
(823 |
) |
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|
|
132 |
|
|
|
1,980 |
|
Credit risk transfer strips |
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|
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Realized |
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|
8,555 |
|
|
|
9,777 |
|
Valuation changes |
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|
1,806 |
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|
|
(11,825 |
) |
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|
|
10,361 |
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|
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(2,048 |
) |
Interest-only security payable at fair value — valuation changes |
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|
3,418 |
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|
(1,732 |
) |
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|
|
13,911 |
|
|
|
(1,800 |
) |
Interest income — Deposits securing credit risk transfer arrangements |
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|
8,892 |
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|
11,675 |
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$ |
22,803 |
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$ |
9,875 |
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Net payments made to settle losses on credit risk transfer arrangements |
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$ |
1,368 |
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$ |
1,243 |
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March 31, 2026 |
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December 31, 2025 |
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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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$ |
30,174 |
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$ |
32,659 |
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Derivative and credit risk transfer liabilities - credit risk transfer strips |
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(4,062 |
) |
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|
(5,999 |
) |
Deposits securing credit risk transfer arrangements |
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|
969,725 |
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|
|
1,009,334 |
|
Interest-only security payable at fair value |
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|
(34,232 |
) |
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|
(37,650 |
) |
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|
$ |
961,605 |
|
|
$ |
998,344 |
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Credit risk transfer arrangement assets pledged to secure borrowings: |
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Derivative assets |
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$ |
30,174 |
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|
$ |
32,659 |
|
Deposits securing credit risk transfer arrangements (1) |
$ |
969,725 |
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|
$ |
1,009,334 |
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Unpaid principal balance of loans underlying credit risk transfer arrangements |
$ |
18,715,937 |
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$ |
19,517,530 |
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Collection status (unpaid principal balance): |
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Delinquency |
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Current |
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$ |
18,166,705 |
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|
$ |
18,908,261 |
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30-89 days delinquent |
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$ |
363,958 |
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|
$ |
413,295 |
|
90-179 days delinquent |
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$ |
96,209 |
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|
$ |
110,486 |
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180 or more days delinquent |
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$ |
62,748 |
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$ |
57,798 |
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Foreclosure |
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$ |
26,317 |
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$ |
27,690 |
|
Bankruptcy |
|
$ |
60,687 |
|
|
$ |
68,426 |
|
(1)Deposits securing credit risk transfer arrangements also secure $4.1 million and $6.0 million in CRT strip liabilities at March 31, 2026 and December 31, 2025, respectively.
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