| 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 June 30, |
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Six months ended June 30, |
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2026 |
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2025 |
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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 gains (losses) on investments and financings: |
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Loans held for investment at fair value |
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$ |
(28,484 |
) |
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$ |
13,600 |
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|
$ |
(94,248 |
) |
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$ |
42,312 |
|
Asset-backed financings of variable interest entities
at fair value |
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|
40,652 |
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(14,793 |
) |
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|
102,888 |
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(44,216 |
) |
Interest income |
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|
160,571 |
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|
50,687 |
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|
294,325 |
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|
84,360 |
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Interest expense |
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|
155,854 |
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|
46,449 |
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|
276,394 |
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|
|
75,164 |
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$ |
16,885 |
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|
$ |
3,045 |
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$ |
26,571 |
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$ |
7,292 |
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June 30, 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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$ |
12,456,657 |
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$ |
8,530,939 |
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Asset-backed financings of variable interest entities at fair value |
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$ |
11,358,602 |
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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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$ |
1,077,164 |
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|
$ |
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 June 30, |
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Six months ended June 30, |
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2026 |
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2025 |
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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 gains (losses) 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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$ |
2,044 |
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$ |
2,632 |
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$ |
4,592 |
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$ |
5,435 |
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Valuation changes |
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|
215 |
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|
2,743 |
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(2,201 |
) |
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1,920 |
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2,259 |
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5,375 |
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2,391 |
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7,355 |
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Credit risk transfer strips |
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Realized |
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8,644 |
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9,950 |
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|
17,199 |
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|
19,727 |
|
Valuation changes |
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(1,125 |
) |
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|
5,524 |
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|
681 |
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(6,301 |
) |
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7,519 |
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15,474 |
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|
17,880 |
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|
13,426 |
|
Interest-only security payable at fair value —
valuation changes |
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|
(67 |
) |
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|
(599 |
) |
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|
3,351 |
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(2,331 |
) |
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|
9,711 |
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20,250 |
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23,622 |
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|
18,450 |
|
Interest income — Deposits securing credit risk transfer
arrangements |
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|
8,481 |
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|
11,401 |
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|
17,373 |
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|
23,076 |
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$ |
18,192 |
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$ |
31,651 |
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$ |
40,995 |
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$ |
41,526 |
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Net payments made to settle losses on credit risk transfer
arrangements |
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$ |
1,159 |
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$ |
1,225 |
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$ |
2,527 |
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$ |
2,468 |
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June 30, 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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$ |
30,301 |
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$ |
32,659 |
|
Derivative and credit risk transfer liabilities - credit risk transfer strips |
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|
(5,428 |
) |
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(5,999 |
) |
Deposits securing credit risk transfer arrangements |
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|
947,900 |
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|
1,009,334 |
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Interest-only security payable at fair value |
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|
(34,299 |
) |
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(37,650 |
) |
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$ |
938,474 |
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$ |
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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$ |
30,301 |
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$ |
32,659 |
|
Deposits securing credit risk transfer arrangements (1) |
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$ |
947,900 |
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$ |
1,009,334 |
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Unpaid principal balance of loans underlying credit risk transfer arrangements |
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$ |
18,089,855 |
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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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$ |
17,597,227 |
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$ |
18,908,261 |
|
30-89 days delinquent |
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$ |
340,562 |
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$ |
413,295 |
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90-179 days delinquent |
|
$ |
79,095 |
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$ |
110,486 |
|
180 or more days delinquent |
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$ |
51,370 |
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|
$ |
57,798 |
|
Foreclosure |
|
$ |
21,601 |
|
|
$ |
27,690 |
|
Bankruptcy |
|
$ |
56,129 |
|
|
$ |
68,426 |
|
(1)Deposits securing credit risk transfer arrangements also secure $5.4 million and $6.0 million in CRT strip liabilities at June 30, 2026 and December 31, 2025, respectively.
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