Consolidated Securitization Vehicles and Other Variable Interest Entities

6 Months Ended

Jun. 30, 2026

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Consolidated Securitization Vehicles and Other Variable Interest Entities

Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary.

During the six months ended June 30, 2026, the Company consolidated approximately $487 million UPB of residential mortgage loans. During the six months ended June 30, 2025, the Company consolidated approximately $934 million UPB of seasoned reperforming residential mortgage loans.

VIEs for Which the Company is the Primary Beneficiary

The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these securitizations and in some cases the Company may hold interests in additional tranches. Additionally, the Company owns variable interests in entities that invest in Interests in MSR financing receivables. These entities are VIEs because they do not have sufficient equity at risk to finance their activities and the Company has the right to direct the activities of the VIE that most significantly impact its economic performance and hold substantially all of the variable interests in the entities.

The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of June 30, 2026 and December 31, 2025.


	June 30, 2026		December 31, 2025
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value (1)	$	195,388	$	210,185
Loans held for investment, at fair value	7,216,944		8,921,357
Accrued interest receivable	37,883		44,455
Other assets	27,446		22,451
Interests in MSR financing receivables	14,282		16,895
Total Assets:	$	7,491,943	$	9,215,343

Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	63,939	$	66,579
Securitized debt at fair value, collateralized by Loans held for investment	5,220,123		6,442,871
Accrued interest payable	17,513		22,887
Other liabilities	1,131		1,554
Total Liabilities:	$	5,302,706	$	6,533,891

(1) June 30, 2026 and December 31, 2025 balances includes allowance for credit losses of $22 million and $17 million, respectively.

Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below.


	For the Quarters Ended
	June 30, 2026		June 30, 2025
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	106,189	$	141,818
Interest expense, Non-recourse liabilities of VIEs	54,598		73,038
Net interest income	$	51,591	$	68,780

Increase in provision for credit losses	$	3,532	$	1,903

Interest income from investment in MSR financing receivable, net	$	454	N/A

Servicing fees	$	3,803	$	5,957


	For the Six Months Ended
	June 30, 2026		June 30, 2025
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	235,258	$	286,220
Interest expense, Non-recourse liabilities of VIEs	118,478		142,690
Net interest income	$	116,780	$	143,530

Increase in provision for credit losses	$	5,223	$	3,050

Interest income from investment in MSR financing receivable, net	$	1,850	N/A

Servicing fees	$	8,132	$	12,127

VIEs for Which the Company is Not the Primary Beneficiary

The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities, such as rights to replace the servicer without cause, and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs.

The fair value of the Company’s investments in each unconsolidated VIEs at June 30, 2026, ranged from less than $1 million to $22 million with an aggregate amount of $532 million. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2025, ranged from less than $1 million to $22 million, with an aggregate amount of $607 million. The Company’s maximum exposure to loss from these unconsolidated VIEs was $525 million and $582 million at June 30, 2026 and December 31, 2025, respectively. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.