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FAIR VALUE MEASUREMENTS
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
Fair value represents the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between market participants as of the measurement date (i.e., an exit price). The Company holds a variety of assets and liabilities, certain of which are not publicly traded or that are otherwise illiquid. Significant judgment and estimation go into the assumptions that drive the fair value of these assets and liabilities. Due to the inherent uncertainty of valuations of investments that are determined to be illiquid or do not have readily ascertainable fair values, the estimates of fair value may differ from the values ultimately realized, and those differences can be material.

U.S. GAAP establishes a hierarchical disclosure framework that prioritizes and ranks the level of market price observability used in measuring financial instruments at fair value. Market price observability is impacted by a number of factors, including the type and the specific characteristics of the assets and liabilities, including existence and transparency of transactions between market participants. Assets and liabilities with readily available actively quoted prices or for which fair value can be measured from actively-quoted prices generally will have a higher degree of market price observability and lesser degree of judgment used in measuring fair value.

Assets and liabilities measured at fair value are classified and disclosed into one of the following categories based on the observability of inputs used in the determination of fair values:

Level 1 – Quoted prices in active markets for identical instruments.
Level 2 – Valuations based principally on other observable market parameters, including:

•Quoted prices in active markets for similar instruments,
•Quoted prices in less active or inactive markets for identical or similar instruments,
•Other observable inputs, such as interest rates, yield curves, volatilities, prepayment rates, loss severities, credit risks and default rates and
•Market corroborated inputs (derived principally from or corroborated by observable market data).

Level 3 – Valuations based significantly on unobservable inputs.

The Company follows this hierarchy for its fair value measurements. The classifications are based on the lowest level of input that is significant to the fair value measurement.
The following tables present financial assets recorded at fair value on a recurring basis by level within the fair value hierarchy as of June 30, 2026 and December 31, 2025. There were no financial liabilities recorded at fair value on a recurring basis as of June 30, 2026 and December 31, 2025.

June 30, 2026Carrying ValueLevel 1Level 2Level 3
Assets:
RTLs, at fair value$117,730 $— $— $117,730 
CMBS, at fair value84,365 — 84,365 — 
RMBS AFS, at fair value47,990 — 47,990 — 
CRE equity method investments61,884 — — 61,884 
Other assets17,150 — — 17,150 
Total$329,119 $— $132,355 $196,764 
December 31, 2025Carrying ValueLevel 1Level 2Level 3
Assets:
CMBS, at fair value$273,783 $— $273,783 $— 
RMBS AFS, at fair value49,237 — 49,237 — 
CRE equity method investments61,578 — — 61,578 
Other assets17,189 — — 17,189 
Total$401,787 $— $323,020 $78,767 

Reconciliation of Fair Value Measurements Categorized within Level 3

Gains and losses on Level 3 investments are recorded in realized and unrealized gains (losses), net in the consolidated statements of operations.

The following tables summarize the changes in the Company’s Level 3 financial assets measured at fair value on a recurring basis for the six months ended June 30, 2026 and 2025:
December 31,
2025		Transfers
In / (Out) of Level 3		Purchases / IssuancesInvestment Sales / SettlementsGains / (Losses) Included in EarningsJune 30,
2026		Changes in Unrealized Gains (Losses) included in Earnings Related to Financial Assets Still Held at the Reporting Date
Assets:
RTLs$— $— $117,588 $— $142 $117,730 $142 
CRE equity method investments61,578 — 1,287 (1,726)745 61,884 1,823 
Other assets17,189 (39)— — — 17,150 — 

December 31,
2024		Transfers
In / (Out) of Level 3		Purchases / IssuancesInvestment Sales / SettlementsGains / (Losses) Included in EarningsJune 30,
2025		Changes in Unrealized Gains (Losses) included in Earnings Related to Financial Assets Still Held at the Reporting Date
Assets:
CRE equity method investments$29,916 $— $— $(5,527)$(2,824)$21,565 $(2,824)
Residential Transition Loans

The Company classifies RTLs as Level 3 in the fair value hierarchy. As of June 30, 2026, the Company’s RTLs were performing and were valued using an income approach through pricing models to forecast cash flows with inputs such as default rates, prepayments speeds and discount rates and may include adjustments based on consensus pricing (broker quotes).

Significant increases (decreases) in default rates, loss severity assumptions or discount rates, in isolation, would result in a significantly lower (higher) fair value measurement. Generally, a change in default rate assumption is accompanied by a directionally similar change in loss severity assumptions.

The following table summarizes certain information regarding the weighted averages of significant inputs (weighted by fair value) used in valuing performing RTLs, at fair value classified as Level 3:
Fair ValueDiscount RatePrepayment RateDefault RateLoss Severity
June 30, 2026$117,730 7.8 %50.0 %0.5 %25.0 %

CRE Equity Method Investments

The Company holds an investment in a REIT, Gaea Real Estate Corp. (“Gaea”). As of June 30, 2026 and December 31, 2025, the fair value of Gaea was determined based on the estimated liquidation proceeds of the entity. The fair value of the Company’s investment in Gaea was $8.6 million and $11.6 million as of June 30, 2026 and December 31, 2025, respectively, and is presented within CRE equity method investments on the consolidated balance sheets.

As of June 30, 2026, the fair value of the Company’s investment in the Aggregators (as defined in Note 8) was $53.3 million. As of December 31, 2025, the purchase price of the investment of $50.0 million approximated fair value. This investment is presented within CRE equity method investments on the consolidated balance sheets. The fair value of the investment is determined using an income approach, which estimates fair value based on projected net operating income of the underlying high quality office properties. Significant unobservable inputs used in the valuation include a discount rate and capitalization rates, which reflect current market conditions and the risks inherent in the underlying properties and cash flows. Changes in these assumptions could have a material impact on the estimated fair value. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Company’s investment in the Aggregators:

Discount RateCapitalization Rate
June 30, 2026
7.3% – 10.0%
(8.6%)
6.0% – 9.0%
(7.1%)
December 31, 2025
8.3% – 13.4%
(10.1%)
5.5% – 7.3%
(6.2%)

Other Assets

The Company originated a commercial loan during the third quarter of 2025. The fair value of this loan was $17.2 million as of June 30, 2026 and December 31, 2025, and is presented within other assets on the consolidated balance sheets. The Company relies on the Manager’s pricing model, as well as vendor pricing, to estimate the underlying cash flows expected to be collected on the loan. Risks inherent in the Company’s commercial loan portfolio affecting the valuation of its loans include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, such as floods or wildfires, or a pandemic and damage to or delay in realizing the value of the underlying collateral. In addition, the Company assesses the expected cash flows from the commercial loans, the fair value of the underlying collateral and other factors and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. As of June 30, 2026 and December 31, 2025, the significant unobservable quantitative input used for the fair value measurement of the commercial loan was a discount rate of 9.5% and 8.5%, respectively.
Financial Assets and Liabilities Not Carried at Fair Value

The following tables present financial assets and liabilities not carried at fair value, by level within the fair value hierarchy as of June 30, 2026 and December 31, 2025:

June 30, 2026Carrying ValueLevel 1Level 2Level 3
Assets(2):
Residential mortgage loans HFI, net$348,147 $— $— $303,958 
Residential mortgage loans HFS, net16,072 — — 16,072 
Investment in debt securities HTM(1)
39,623 — 38,041 — 
Investment in beneficial interests(1)
102,224 — — 76,640 
Liabilities(2):
Secured bonds payable, net$212,249 $— $197,953 $— 
Repurchase financing agreements311,341 — 311,341 — 
Unsecured notes, net108,938 — 109,934 — 
(1)Presented within residential mortgage-backed securities on the consolidated balance sheets.
(2)The table excludes cash and other short-term receivables and payables for which the carrying value approximates fair value due to their short term nature and are classified within Level 1.

December 31, 2025Carrying ValueLevel 1Level 2Level 3
Assets(2):
Residential mortgage loans HFI, net$362,829 $— $— $325,220 
Residential mortgage loans HFS, net29,419 — — 29,419 
Investment in debt securities HTM(1)
41,528 — 40,318 — 
Investment in beneficial interests(1)
99,179 — — 66,249 
Liabilities(2):
Secured bonds payable, net$226,243 $— $212,811 $— 
Repurchase financing agreements407,072 — 407,072 — 
Unsecured notes, net108,507 — 107,668 — 
(1)Presented within residential mortgage-backed securities on the consolidated balance sheets.
(2)The table excludes cash and other short-term receivables and payables for which the carrying value approximates fair value due to their short term nature and are classified within Level 1.

The Company relies on the Manager’s pricing model, as well as vendor pricing, to estimate the underlying cash flows expected to be collected on its loans. Risks inherent in the Company’s residential mortgage loan portfolio affecting the valuation of its residential mortgage loans include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, including floods or wildfires, or a pandemic and damage to or delay in realizing the value of the underlying collateral. In addition, the Company assesses the expected cash flows from the residential mortgage loans, the fair value of the underlying collateral and other factors and evaluates whether and when it becomes probable that all amounts contractually due will not be collected.

The fair value of investments in CMBS, RMBS AFS and RMBS HTM and the fair value of secured bonds payable are determined using estimates provided by the Company’s third-party pricing vendors which are then reviewed to ensure the resulting yield is comparable to market yields for similar securities.
The fair value of RMBS investments in beneficial interests is determined using prices provided by the Company’s third-party pricing vendors which are then reviewed and compared to the Manager’s pricing model to ensure the resulting yield is comparable to market yields for similar securities.

The Company’s repurchase financing agreements are short-term in nature, and the Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value.
Fair value for unsecured notes, net is determined using indicative pricing available from an independent pricing source.
The estimated fair values are not necessarily indicative of the amounts the Company could realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts.