Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2026

Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments

The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of June 30, 2026 and December 31, 2025, respectively:


	June 30, 2026				December 31, 2025
	(dollars in thousands)
	Unpaid Principal/ Notional		Fair Value		Unpaid Principal/ Notional		Fair Value
Assets:
Non-Agency RMBS
Senior	$	—	$	—	$	—	$	—
Subordinated	313,240		148,232		346,640		174,575
Interest-only	2,327,935		68,178		2,428,976		78,961
Agency RMBS
Pass-through	5,041,259		5,014,494		3,096,299		3,081,573
CMO	231,192		232,653		330,871		331,909
Interest-only	—		—		367,866		14,867
Agency CMBS
ACMBS bond	17,905		17,414		N/A		N/A
Project loans	—		—		39,693		32,539
Interest-only	—		—		123,375		2,597
Loans held for investment, at fair value	8,141,676		7,890,790		9,988,601		9,803,615
Loans held for sale, at fair value	1,103,428		1,126,461		871,787		896,117
Interests in MSR financing receivables	34,472		35,471		40,886		37,294
Liabilities (1):
Secured financing agreements, at fair value	293,052		283,984		305,817		298,663
Securitized debt at fair value, collateralized by Loans held for investment	5,773,024		5,408,277		7,081,957		6,721,302

(1) The Company recorded $4 million unrealized gain and $2 million unrealized loss for contingent earn-out liability as of June 30, 2026 and December 31, 2025, respectively. The contingent earn-out liability balance is included in Accounts payable and other liabilities on the Company’s Consolidated Statements of Financial Condition.

The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in the Consolidated Statements of Operations for the quarters and six months ended June 30, 2026 and 2025:


	For the Quarters Ended				For the Six Months Ended
	June 30, 2026		June 30, 2025		June 30, 2026		June 30, 2025
	(dollars in thousands)				(dollars in thousands)
	Gain/(Loss) on Change in Fair Value				Gain/(Loss) on Change in Fair Value
Assets:
Non-Agency RMBS
Senior	$	—	$	1,057	$	—	$	1,284
Subordinated	(257)		40		(540)		1,323
Interest-only	(4,825)		2,895		(6,604)		12,730
Agency RMBS
Pass-through	(5,519)		20,736		(42,046)		20,005
CMO	(61)		394		396		1,861
Interest-only	3,864		294		3,770		(310)
Agency CMBS
ACMBS bond	(86)		N/A		(86)		N/A
Project loans	4,796		1,884		7,756		2,523
Interest-only	674		(296)		697		73
Loans held for investment, at fair value	(58,799)		57,139		(100,952)		209,070
Loans held for sale, at fair value	6,986		N/A		(1,298)		N/A
Interests in MSR financing receivables	—		N/A		4,592		N/A
Liabilities (1):
Secured financing agreements, at fair value	543		(3,285)		1,914		(9,459)
Securitized debt at fair value, collateralized by Loans held for investment	14,740		(73,557)		45,841		(101,804)

(1) The Company recorded $860 thousand unrealized loss and $4 million unrealized gain for contingent earn-out liability during the quarter and six months ended June 30, 2026, respectively. The Company recorded $330 thousand and $1 million unrealized losses for contingent earn-out liability during the quarters and six months ended June 30, 2025, respectively. The contingent earn-out liability balance is included in Accounts payable and other liabilities on the Company’s Consolidated Statements of Financial Condition.

Summary of Unobservable Inputs Assumptions

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 Interests in MSR financing receivables. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.

June 30, 2026

Discount Rate

Prepayment Rate

Range

Weighted Average

Range

Weighted Average

Interests in MSR financing receivables

8% - 12%

8.6%

0% - 51%

7.1%

December 31, 2025

Discount Rate

Prepayment Rate

Range

Weighted Average

Range

Weighted Average

Interests in MSR financing receivables

9% - 12%

8.9%

3% - 45%

7.3%

A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of June 30, 2026 and December 31, 2025 follows. The weighted average discount rates are based on fair value.


	June 30, 2026
	Significant Inputs
	Discount Rate		Prepay Rate		CDR		Loss Severity
	Range	Weighted Average	Range	Weighted Average	Range	Weighted Average	Range	Weighted Average
Non-Agency RMBS
Senior	6% - 15%	6.3%	6% - 20%	6.7%	0% - 16%	1.1%	26% - 87%	29.8%
Subordinated	6% - 15%	8.4%	6% - 30%	9.1%	0% - 3%	0.7%	20% - 50%	30.2%
Interest-only	9% - 100%	10.0%	6% - 22%	7.1%	0% - 9%	0.8%	0% - 86%	27.0%


	December 31, 2025
	Significant Inputs
	Discount Rate		Prepay Rate		CDR		Loss Severity
	Range	Weighted Average	Range	Weighted Average	Range	Weighted Average	Range	Weighted Average
Non-Agency RMBS
Senior	5% - 20%	6.1%	6% - 25%	6.8%	0% - 7%	1.2%	26% - 54%	29.0%
Subordinated	0% - 15%	8.6%	6% - 24%	9.1%	0% - 3%	0.8%	20% - 50%	32.0%
Interest-only	9% - 100%	9.9%	6% - 25%	7.0%	0% - 13%	0.8%	0% - 84%	28.4%

A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by Loans held for investment, as of June 30, 2026 and December 31, 2025 follows:

June 30, 2026

Significant Inputs

Discount Rate

Prepay Rate

CDR

Loss Severity

Range

Weighted Average

Range

Weighted Average

Range

Weighted Average

Range

Weighted Average

Securitized debt at fair value, collateralized by Loans held for investment

5% - 8%

5.9%

6% - 20%

8.4%

0% - 4%

0.5%

20% - 45%

33.2%

December 31, 2025

Significant Inputs

Discount Rate

Prepay Rate

CDR

Loss Severity

Range

Weighted Average

Range

Weighted Average

Range

Weighted Average

Range

Weighted Average

Securitized debt at fair value, collateralized by Loans held for investment

4% - 8%

5.4%

6% - 20%

8.1%

0% - 4%

0.5%

20% - 50%

33.9%

A summary of the significant factors used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming residential mortgages at fair value as of June 30, 2026 and December 31, 2025 is as follows:


	June 30, 2026		December 31, 2025
Factor:
Coupon
Base Rate	5.8	%	5.5	%
Actual	5.8	%	5.9	%

FICO
Base Rate	640		640
Actual	668		665

Loan-to-value (LTV)
Base Rate	86	%	86	%
Actual	77	%	78	%

Loan Characteristics:
Occupancy
Owner Occupied	85	%	86	%
Investor	10	%	9	%
Secondary	5	%	5	%
Property Type
Single family	77	%	78	%
Manufactured housing	3	%	3	%
Multi-family/mixed use/other	20	%	19	%

June 30, 2026

(dollars in thousands)

Financial Instrument

Estimated Fair Value

Valuation Technique

Unobservable Input

Range of Inputs

Weighted Average

Derivative assets - IRLCs

4,055

Market Pricing

Pull-through Rate

20% - 99%

67.3

December 31, 2025

(dollars in thousands)

Financial Instrument

Estimated Fair Value

Valuation Technique

Unobservable Input

Range of Inputs

Weighted Average

Derivative assets - IRLCs

3,855

Market Pricing

Pull-through Rate

10% - 95%

70.0

Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis

The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at June 30, 2026 and December 31, 2025 are presented below.


	June 30, 2026
	(dollars in thousands)
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral, netting		Total
Assets:
Non-Agency RMBS, at fair value	$	—	$	—	$	727,621	$	—	$	727,621
Agency MBS, at fair value	—		5,264,559		—		—		5,264,559
Loans held for investment, at fair value	—		35,679		7,855,111		—		7,890,790
Loans held-for-sale, at fair value	—		1,126,461		—		—		1,126,461
Derivatives, at fair value	234		114,803		4,055		(69,445)		49,647
Interests in MSR financing receivables	—		—		35,471		—		35,471

Liabilities:
Secured financing agreements, at fair value	—		283,984		—		—		283,984
Securitized debt at fair value, collateralized by Loans held for investment	—		—		5,408,277		—		5,408,277
Derivatives, at fair value	—		—		—		—		—


	December 31, 2025
	(dollars in thousands)
	Level 1		Level 2		Level 3		Counterparty and Cash Collateral, netting		Total
Assets:
Non-Agency RMBS, at fair value	$	—	$	—	$	817,280	$	—	$	817,280
Agency MBS, at fair value	—		3,463,485		—		—		3,463,485
Loans held for investment, at fair value	—		75,351		9,728,264		—		9,803,615
Loans held-for-sale, at fair value	—		896,117		—		—		896,117
Derivatives, at fair value	57		25,340		3,855		(4,065)		25,187
Interests in MSR financing receivables	—		—		37,294		—		37,294

Liabilities:
Secured financing agreements, at fair value	—		298,663		—		—		298,663
Securitized debt at fair value, collateralized by Loans held for investment	—		—		6,721,302		—		6,721,302
Derivatives, at fair value	—		1,759		—		—		1,759

Summary of the Changes in the Fair Value of Securities Classified as Level 3

The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at June 30, 2026 and December 31, 2025.


Fair Value Level 3 Rollforward - Assets
	For the Six Months Ended								For the Year Ended
	June 30, 2026								December 31, 2025
	(dollars in thousands)
	Non-Agency RMBS		Interests in MSR financing receivables		Loans held for investment		Derivatives		Non-Agency RMBS		Interests in MSR financing receivables		Loans held for investment		Derivatives
Beginning balance Level 3	$	817,287	$	37,294	$	9,728,264	$	3,855	$	1,064,169	$	—	$	10,858,845	$	—
Transfers into Level 3	—		—		—		—		—		—		—		—
Transfers out of Level 3	—		—		—		—		—		—		—		—
Capital contribution (distribution)	—		(7,544)		—		—		—		38,221		—		—
Purchases of assets	502		—		468,012		—		1,289		—		—		5,073
Principal payments	(50,805)		—		(541,565)		—		(92,195)		—		(1,198,667)		—
Sales and settlements	(13,491)		—		(1,662,592)		—		(165,029)		—		(174,471)		—
Servicer advances, net	—		(2,020)		—		—		—		2,145		—		—
Net accretion (amortization)	13,618		—		(958)		—		27,792		—		(5,058)		—
Amortization of MSR loan pool	—		(4,640)		—				—		(3,930)		—
Gains (losses) included in net income
(Increase) decrease in provision for credit losses	(10,016)		—		—		—		(15,705)		—		—		—
Realized gains (losses) on sales and settlements	(5,021)		—		(35,407)		—		(16,103)		—		(18,254)		—
Interest income from investment in MSR financing receivables	—		7,789		—		—		—		4,451		—		—
Net unrealized gains (losses) included in income	(6,633)		4,592		(100,643)		200		26,221		(3,592)		265,868		(1,218)
Total unrealized gains (losses) for the period	(17,820)		—		—		—		(13,152)		—		—		—
Ending balance Level 3	$	727,621	$	35,471	$	7,855,111	$	4,055	$	817,287	$	37,295	$	9,728,264	$	3,855


Fair Value Level 3 Rollforward - Liabilities
	For the Six Months Ended		For the Year Ended
	June 30, 2026		December 31, 2025
	(dollars in thousands)
	Securitized debt		Securitized debt
Beginning balance Level 3	$	6,721,302	$	6,984,495
Transfers into Level 3	—		—
Transfers out of Level 3	—		—
Issuance of debt	378,755		1,011,244
Principal payments	(507,814)		(1,161,220)
Sales and settlements	(1,190,049)		(382,110)
Net (accretion) amortization	10,321		21,837
(Gains) losses included in net income
Realized (gains) losses on sales and settlements	41,605		(2,142)
Net unrealized (gains) losses included in income	(45,843)		249,197
Total unrealized (gains) losses for the period	—		—
Ending balance Level 3	$	5,408,277	$	6,721,302

Schedule of Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis

The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at June 30, 2026 and December 31, 2025.


	June 30, 2026
	(dollars in thousands)
	Level in Fair Value Hierarchy	Carrying Amount		Fair Value
Equity method investments (1)	3	$	70,324	$	70,324
Secured financing agreements	2	7,441,558		7,482,019
Securitized debt, collateralized by Non-Agency RMBS	3	63,939		44,851
Long term debt	2	252,551		261,912

(1) Included in Other assets on the Consolidated Statements of Financial Condition


	December 31, 2025
	(dollars in thousands)
	Level in Fair Value Hierarchy	Carrying Amount		Fair Value
Equity method investments (1)	3	$	70,191	$	70,191
Secured financing agreements	2	5,732,519		5,767,481
Securitized debt, collateralized by Non-Agency RMBS	3	66,579		45,172
Long term debt	2	251,528		262,239

(1) Included in Other assets on the Consolidated Statements of Financial Condition

- 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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