| Schedule of Assets and Liabilities Related to the Consolidated VIEs |
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.
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| Schedule of Income, OTTI and Expense Amounts Related to Consolidated VIEs |
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 | |
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