FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2026

Schedule of Recurring Financial Assets and Liabilities

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, 2026	Carrying Value		Level 1		Level 2		Level 3
Assets:
RTLs, at fair value	$	117,730	$	—	$	—	$	117,730
CMBS, at fair value	84,365		—		84,365		—
RMBS AFS, at fair value	47,990		—		47,990		—
CRE equity method investments	61,884		—		—		61,884
Other assets	17,150		—		—		17,150
Total	$	329,119	$	—	$	132,355	$	196,764


December 31, 2025	Carrying Value		Level 1		Level 2		Level 3
Assets:

CMBS, at fair value	$	273,783	$	—	$	273,783	$	—
RMBS AFS, at fair value	49,237		—		49,237		—
CRE equity method investments	61,578		—		—		61,578
Other assets	17,189		—		—		17,189
Total	$	401,787	$	—	$	323,020	$	78,767

Schedule of Level 3 Financial Assets

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 / Issuances		Investment Sales / Settlements		Gains / (Losses) Included in Earnings		June 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 investments	61,578		—		1,287		(1,726)		745		61,884		1,823
Other assets	17,189		(39)		—		—		—		17,150		—


	December 31, 2024		Transfers In / (Out) of Level 3		Purchases / Issuances		Investment Sales / Settlements		Gains / (Losses) Included in Earnings		June 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)

Schedule of Ranges and Weighted Averages of Inputs

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 Value		Discount Rate		Prepayment Rate		Default Rate		Loss Severity
June 30, 2026	$	117,730	7.8	%	50.0	%	0.5	%	25.0	%

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 Rate

Capitalization 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%)

Schedule of Assets and Liabilities 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, 2026	Carrying Value		Level 1		Level 2		Level 3
Assets(2):
Residential mortgage loans HFI, net	$	348,147	$	—	$	—	$	303,958
Residential mortgage loans HFS, net	16,072		—		—		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 agreements	311,341		—		311,341		—
Unsecured notes, net	108,938		—		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, 2025	Carrying Value		Level 1		Level 2		Level 3
Assets(2):
Residential mortgage loans HFI, net	$	362,829	$	—	$	—	$	325,220
Residential mortgage loans HFS, net	29,419		—		—		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 agreements	407,072		—		407,072		—
Unsecured notes, net	108,507		—		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.

- 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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