| Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio |
The tables below detail information regarding the Company’s residential mortgage loan portfolio by collateral type as of June 30, 2026 and December 31, 2025 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unpaid Principal Balance | | | | | | Gross Unrealized | | | | Weighted Average | June 30, 2026 | | Premium (Discount) | | Amortized Cost | | Gains | | Losses | | Fair Value | | Coupon | | Yield (1) | | Life (Years) (2) | | Securitized residential mortgage loans, at fair value (3) | | | | | | | | | | | | | | | | Non-Agency Loans (4) | $ | 6,397,864 | | | $ | 60,687 | | | $ | 6,458,551 | | | $ | 53,198 | | | $ | (299,731) | | | $ | 6,212,018 | | | 5.79 | % | | 5.65 | % | | 7.36 | | Home Equity Loans | 726,148 | | | 54,897 | | | 781,045 | | | 8,517 | | | (8,642) | | | 780,920 | | | 9.80 | % | | 7.23 | % | | 4.48 | | | | | | | | | | | | | | | | | | | | Re- and Non-Performing Loans | 148,133 | | | (8,725) | | | 139,408 | | | — | | | (13,171) | | | 126,237 | | | 4.04 | % | | 5.91 | % | | 5.18 | | Total Securitized residential mortgage loans, at fair value | $ | 7,272,145 | | | $ | 106,859 | | | $ | 7,379,004 | | | $ | 61,715 | | | $ | (321,544) | | | $ | 7,119,175 | | | 6.16 | % | | 5.82 | % | | 7.03 | | | | | | | | | | | | | | | | | | | | Residential mortgage loans, at fair value | | | | | | | | | | | | | | | | | | Agency-Eligible Loans | $ | 20,169 | | | $ | 286 | | | $ | 20,455 | | | $ | 209 | | | $ | (13) | | | $ | 20,651 | | | 6.86 | % | | 6.21 | % | | 4.20 | | Home Equity Loans | 225,684 | | | 8,376 | | | 234,060 | | | 222 | | | (472) | | | 233,810 | | | 8.88 | % | | 7.73 | % | | 4.79 | | Non-Agency Loans | 7,179 | | | 114 | | | 7,293 | | | — | | | (279) | | | 7,014 | | | 6.42 | % | | 4.40 | % | | 4.86 | | Re- and Non-Performing Loans | 850 | | | (547) | | | 303 | | | 507 | | | — | | | 810 | | | N/A | | NM | | 1.03 | | Total Residential mortgage loans, at fair value | $ | 253,882 | | | $ | 8,229 | | | $ | 262,111 | | | $ | 938 | | | $ | (764) | | | $ | 262,285 | | | 8.65 | % | | 7.78 | % | | 4.73 | | | | | | | | | | | | | | | | | | | Total as of June 30, 2026 | $ | 7,526,027 | | | $ | 115,088 | | | $ | 7,641,115 | | | $ | 62,653 | | | $ | (322,308) | | | $ | 7,381,460 | | | 6.24 | % | | 5.89 | % | | 6.95 | | | | | | | | | | | | | | | | | | | | Unpaid Principal Balance | | | | | | Gross Unrealized | | | | Weighted Average | December 31, 2025 | | Premium (Discount) | | Amortized Cost | | Gains | | Losses | | Fair Value | | Coupon | | Yield (1) | | Life (Years) (2) | | Securitized residential mortgage loans, at fair value (3) | | | | | | | | | | | | | | | | Non-Agency Loans (4) | $ | 7,026,365 | | | $ | 59,755 | | | $ | 7,086,120 | | | $ | 84,870 | | | $ | (266,118) | | | $ | 6,904,872 | | | 5.87 | % | | 5.74 | % | | 7.30 | | Home Equity Loans | 874,718 | | | 61,241 | | | 935,959 | | | 24,574 | | | — | | | 960,533 | | | 9.81 | % | | 7.70 | % | | 5.43 | | Re- and Non-Performing Loans | 155,984 | | | (9,693) | | | 146,291 | | | — | | | (12,077) | | | 134,214 | | | 4.22 | % | | 5.93 | % | | 5.54 | | Total Securitized residential mortgage loans, at fair value | $ | 8,057,067 | | | $ | 111,303 | | | $ | 8,168,370 | | | $ | 109,444 | | | $ | (278,195) | | | $ | 7,999,619 | | | 6.27 | % | | 5.97 | % | | 7.07 | | | | | | | | | | | | | | | | | | | | Residential mortgage loans, at fair value | | | | | | | | | | | | | | | | | | Agency-Eligible Loans | $ | 20,524 | | | $ | 326 | | | $ | 20,850 | | | $ | 299 | | | $ | — | | | $ | 21,149 | | | 6.83 | % | | 6.34 | % | | 4.83 | | Home Equity Loans | 135,804 | | | 5,913 | | | 141,717 | | | 663 | | | (41) | | | 142,339 | | | 9.07 | % | | 7.77 | % | | 4.83 | | Non-Agency Loans | 36,578 | | | 638 | | | 37,216 | | | 18 | | | (2,126) | | | 35,108 | | | 6.14 | % | | 3.62 | % | | 4.17 | | Re- and Non-Performing Loans | 1,140 | | | (696) | | | 444 | | | 637 | | | — | | | 1,081 | | | N/A | | NM | | 1.12 | | Total Residential mortgage loans, at fair value | $ | 194,046 | | | $ | 6,181 | | | $ | 200,227 | | | $ | 1,617 | | | $ | (2,167) | | | $ | 199,677 | | | 8.27 | % | | 7.22 | % | | 4.68 | | | | | | | | | | | | | | | | | | | Total as of December 31, 2025 | $ | 8,251,113 | | | $ | 117,484 | | | $ | 8,368,597 | | | $ | 111,061 | | | $ | (280,362) | | | $ | 8,199,296 | | | 6.32 | % | | 6.00 | % | | 7.01 |
NM - Not Meaningful (1)The weighted average yields are calculated based on the amortized cost of the underlying loans. (2)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (3)Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (4)Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization.During the three and six months ended June 30, 2026 and 2025, the Company purchased residential mortgage loans, as detailed below (in thousands). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Six Months Ended | | | June 30, 2026 | | June 30, 2025 | | June 30, 2026 | | June 30, 2025 | | | Unpaid Principal Balance | | Fair Value (1) | | Unpaid Principal Balance | | Fair Value (1) | | Unpaid Principal Balance | | Fair Value (1) | | Unpaid Principal Balance | | Fair Value (1) | | Agency-Eligible Loans | | $ | — | | | $ | — | | | $ | 331,375 | | | $ | 340,587 | | | $ | 475 | | | $ | 486 | | | $ | 692,913 | | | $ | 707,355 | | | Home Equity Loans | | 67,264 | | | 70,147 | | | 99,519 | | | 104,349 | | | 150,755 | | | 156,530 | | | 222,795 | | | 232,589 | | | | | | | | | | | | | | | | | | | | Total | | $ | 67,264 | | | $ | 70,147 | | | $ | 430,894 | | | $ | 444,936 | | | $ | 151,230 | | | $ | 157,016 | | | $ | 915,708 | | | $ | 939,944 | |
(1)Fair value represents purchase price at acquisition.During the three and six months ended June 30, 2026 and 2025, the Company sold residential mortgage loans as detailed below ($ in thousands). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Six Months Ended | | | Number of Loans | | Proceeds | | Realized Gains | | Realized Losses | | Number of Loans | | Proceeds | | Realized Gains | | Realized Losses | | June 30, 2026 | | | | | | | | | | | | | | | | | | Non-Agency Loans | | 39 | | | $ | 25,585 | | | $ | 107 | | | $ | (1,510) | | | 39 | | | $ | 25,585 | | | $ | 107 | | | $ | (1,510) | | | Home Equity Loans | | — | | | — | | | — | | | — | | | 601 | | | 49,375 | | | 26 | | | (25) | | | Re- and Non-Performing Loans | | 12 | | | 746 | | | 34 | | | (255) | | | 12 | | | 746 | | | 34 | | | (255) | | | Total | | 51 | | | $ | 26,331 | | | $ | 141 | | | $ | (1,765) | | | 652 | | | $ | 75,706 | | | $ | 167 | | | $ | (1,790) | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | | | | | | | | | | | | | | | | | Agency-Eligible Loans | | 88 | | | $ | 37,333 | | | $ | 238 | | | $ | (219) | | | 88 | | | $ | 37,333 | | | $ | 238 | | | $ | (219) | | | Non-Agency Loans | | — | | | — | | | — | | | — | | | 21 | | | 11,336 | | | 341 | | | (1,152) | | | Re- and Non-Performing Loans | | — | | | — | | | — | | | — | | | 88 | | | 9,092 | | | 832 | | | (1,149) | | | Total | | 88 | | | $ | 37,333 | | | $ | 238 | | | $ | (219) | | | 197 | | | $ | 57,761 | | | $ | 1,411 | | | $ | (2,520) | |
The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of June 30, 2026 and December 31, 2025 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | Premium / (Discount) | | Amortized Cost (3) | | | | Gross Unrealized Losses | | Fair Value | | Weighted Average | | Maturity Date (4) | | LTV (5) | | Location | | Loan (1)(2) | | Unpaid Principal Balance | | | | | | | | Coupon | | Yield (4) | | Life (Years) (4) | | | | | Loan A (6) | | $ | 7,259 | | | $ | (245) | | | $ | 7,014 | | | | | $ | (42) | | | $ | 6,972 | | | 7.81 | % | | — | % | | N/A | | N/A | | 61.63 | % | | IL, FL | | Loan B (6) | | 13,206 | | | (445) | | | 12,761 | | | | | (3,093) | | | 9,668 | | | 7.81 | % | | — | % | | N/A | | N/A | | 75.33 | % | | CA | | Loan C (6) | | 24,535 | | | (828) | | | 23,707 | | | | | (5,747) | | | 17,960 | | | 7.81 | % | | — | % | | N/A | | N/A | | 77.22 | % | | NY | | Loan D (7) | | 20,861 | | | (2,193) | | | 18,668 | | | | | (4,014) | | | 14,654 | | | 6.99 | % | | — | % | | N/A | | N/A | | 42.50 | % | | CT | | Total | | $ | 65,861 | | | $ | (3,711) | | | $ | 62,150 | | | | | $ | (12,896) | | | $ | 49,254 | | | 7.55 | % | | — | % | | N/A | | | | 64.31 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | Premium / (Discount) | | Amortized Cost (3) | | | | Gross Unrealized Losses | | Fair Value | | Weighted Average | | Maturity Date (4) | | LTV (5) | | Location | | Loan (1)(2) | | Unpaid Principal Balance | | | | | | | | Coupon | | Yield (4) | | Life (Years) (4) | | | | | Loan A (6) | | $ | 7,259 | | | $ | (29) | | | $ | 7,230 | | | | | $ | (684) | | | $ | 6,546 | | | 7.98 | % | | — | % | | N/A | | N/A | | 61.63 | % | | IL, FL | | Loan B (6) | | 13,206 | | | (52) | | | 13,154 | | | | | (1,244) | | | 11,910 | | | 7.98 | % | | — | % | | N/A | | N/A | | 75.33 | % | | CA | | Loan C (6) | | 24,535 | | | (99) | | | 24,436 | | | | | (2,310) | | | 22,126 | | | 7.98 | % | | — | % | | N/A | | N/A | | 77.22 | % | | NY | | Loan D (7) | | 22,204 | | | (611) | | | 21,593 | | | | | (6,799) | | | 14,794 | | | 7.16 | % | | — | % | | N/A | | N/A | | 42.50 | % | | CT | | Total | | $ | 67,204 | | | $ | (791) | | | $ | 66,413 | | | | | $ | (11,037) | | | $ | 55,376 | | | 7.71 | % | | — | % | | N/A | | | | 65.69 | % | | |
(1)The Company has the contractual right to receive a balloon payment for each loan. (2)Each commercial loan investment is a first mortgage loan. (3)The Company is not accruing interest on its Legacy WMC Commercial Loans and placed the loans on cost recovery status. For assets where the cost recovery method is applied, the receipt of principal or coupon interest is recorded as a reduction to the amortized cost until collection of all contractual components are reasonably assured. (4)The borrowers for the Company’s Legacy WMC Commercial Loans are in maturity default as of June 30, 2026 and December 31, 2025. See footnotes 5 and 6 for further details related to each loan. In March 2026, the Company extended the maturity of its financing arrangement collateralized by Legacy WMC Commercial Loans to September 19, 2026. All proceeds from asset paydowns or sales will be applied to reduce the outstanding balance, which was $19.9 million as of June 30, 2026. (5)Represents the LTV at acquisition of WMC. The total LTV on commercial loans is presented based on fair value. (6)Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels. During the second quarter 2025, these loans entered maturity default. Following a period of forbearance, the lender parties and the borrower are pursuing consensual sales of the hotels, which may include transferring title of all or certain of the properties to the lender parties via a deed-in-lieu of foreclosure to facilitate the sales. The Company expects the sales of the underlying hotels which collateralize Loan A to be completed in the second half of 2026. There are no assurances that sales can be completed in the manner or within the time anticipated or at all. (7)Loan D has a floating rate coupon equal to 3.38% plus one-month SOFR and is collateralized by a retail property. During the third quarter 2025, the loan entered maturity default. The property is generating positive cash flow and, as of the date of this report, the Company has continued to receive interest payments from the property’s cash flows. The lender parties are actively engaged with a third party commercial sales advisor to sell the property, however there are no assurances that a sale can be completed
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| Schedule of Credit Quality Information on Residential Mortgage Loans |
The following tables present information regarding the delinquency status of the Company's residential mortgage loans ($ in thousands). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unpaid Principal Balance | | | | Loan Count (1) | | | | Aging by Unpaid Principal Balance (1) | June 30, 2026 | | | | | | | | | | Current | | 30-59 Days | | 60-89 Days | | 90+ Days (2) | | Securitized residential mortgage loans | | | | | | | | | | | | | | | | | | | | Non-Agency Loans | | $ | 6,397,864 | | | | | 17,097 | | | | | | $ | 6,212,884 | | $ | 72,785 | | $ | 35,768 | | $ | 76,427 | | Home Equity Loans | | 726,148 | | | | | 9,076 | | | | | | 716,679 | | 3,476 | | 549 | | 5,444 | | Re- and Non-Performing Loans | | 148,133 | | | | | 1,019 | | | | | | 119,530 | | 11,218 | | 3,659 | | 13,726 | | Total Securitized residential mortgage loans | | $ | 7,272,145 | | | | | 27,192 | | | | | | | $ | 7,049,093 | | $ | 87,479 | | $ | 39,976 | | $ | 95,597 | | Residential mortgage loans | | | | | | | | | | | | | | | | | | | | Agency-Eligible Loans | | $ | 20,169 | | | | | 38 | | | | | | $ | 19,716 | | $ | — | | $ | — | | $ | 453 | | Home Equity Loans | | 225,684 | | | | | 2,377 | | | | | | | 225,315 | | — | | — | | 369 | | Non-Agency Loans | | 7,179 | | | | | 10 | | | | | | 3,896 | | 511 | | — | | 2,772 | | Re- and Non-Performing Loans (1) | | 850 | | | | | N/A | | | | | | N/A | | N/A | | N/A | | N/A | | Total Residential mortgage loans | | $ | 253,882 | | | | | 2,425 | | | | | | | $ | 248,927 | | $ | 511 | | $ | — | | $ | 3,594 | Total as of June 30, 2026 | | $ | 7,526,027 | | | | | 29,617 | | | | | | | $ | 7,298,020 | | $ | 87,990 | | $ | 39,976 | | $ | 99,191 | | Percent of Unpaid Principal Balance (1) | | | | | | | | | | | | 97.0 | % | | 1.2 | % | | 0.5 | % | | 1.3 | % | | | | | | | | | | | | | | | | | | | | | | Unpaid Principal Balance | | | | Loan Count (1) | | | | Aging by Unpaid Principal Balance (1) | December 31, 2025 | | | | | | | | | | Current | | 30-59 Days | | 60-89 Days | | 90+ Days (2) | | Securitized residential mortgage loans | | | | | | | | | | | | | | | | | | | | Non-Agency Loans | | $ | 7,026,365 | | | | | 18,430 | | | | | | $ | 6,833,324 | | $ | 76,326 | | $ | 32,323 | | $ | 84,392 | | Home Equity Loans | | 874,718 | | | | | 10,599 | | | | | | 869,432 | | 2,963 | | 489 | | 1,834 | | Re- and Non-Performing Loans | | 155,984 | | | | | 1,073 | | | | | | 123,901 | | 14,730 | | 5,247 | | 12,106 | | Total Securitized residential mortgage loans | | $ | 8,057,067 | | | | | 30,102 | | | | | | | $ | 7,826,657 | | $ | 94,019 | | $ | 38,059 | | $ | 98,332 | | Residential mortgage loans | | | | | | | | | | | | | | | | | | | | Agency-Eligible Loans | | $ | 20,524 | | | | | 38 | | | | | | $ | 19,825 | | $ | 699 | | $ | — | | $ | — | | Home Equity Loans | | 135,804 | | | | | 1,368 | | | | | | 135,773 | | — | | — | | 31 | | Non-Agency Loans | | 36,578 | | | | | 53 | | | | | | 16,468 | | 1,444 | | 1,112 | | 17,554 | | Re- and Non-Performing Loans (1) | | 1,140 | | | | | N/A | | | | | | N/A | | N/A | | N/A | | N/A | | Total Residential mortgage loans | | $ | 194,046 | | | | | 1,459 | | | | | | | $ | 172,066 | | $ | 2,143 | | $ | 1,112 | | $ | 17,585 | Total as of December 31, 2025 | | $ | 8,251,113 | | | | | 31,561 | | | | | | | $ | 7,998,723 | | $ | 96,162 | | $ | 39,171 | | $ | 115,917 | | Percent of Unpaid Principal Balance (1) | | | | | | | | | | | | 96.9 | % | | 1.2 | % | | 0.5 | % | | 1.4 | % | (1)Loan count and aging data exclude the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2)Represents loans that either have a delinquency status greater than 90 days or are in the process of foreclosure. As of June 30, 2026, the $99.2 million of unpaid principal balance included securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $52.9 million and loans in the process of foreclosure with a fair value of $41.7 million. As of December 31, 2025, the $115.9 million of unpaid principal balance included securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $54.0 million and loans in the process of foreclosure with a fair value of $57.1 million.
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| Schedule of Variable Interest Entities |
The following table details the carrying value related to the assets and liabilities of the Company’s consolidated VIEs as of June 30, 2026 and December 31, 2025 (in thousands). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Non-Agency VIEs | | Home Equity VIEs | | RPL/NPL VIEs | | Total VIEs | | | June 30, 2026 | | December 31, 2025 | | June 30, 2026 | | December 31, 2025 | | June 30, 2026 | | December 31, 2025 | | June 30, 2026 | | December 31, 2025 | | Assets | | | | | | | | | | | | | | | | | | Securitized residential mortgage loans, at fair value (1) | | $ | 6,212,018 | | | $ | 6,904,872 | | | $ | 780,920 | | | $ | 960,533 | | | $ | 126,237 | | | $ | 134,214 | | | $ | 7,119,175 | | | $ | 7,999,619 | | | Restricted Cash | | 22 | | | — | | | 1,055 | | | 1,055 | | | 9 | | | 12 | | | 1,086 | | | 1,067 | | | Other assets | | 35,833 | | | 37,711 | | | 6,982 | | | 8,128 | | | 4,937 | | | 5,517 | | | 47,752 | | | 51,356 | | | Total Assets | | $ | 6,247,873 | | | $ | 6,942,583 | | | $ | 788,957 | | | $ | 969,716 | | | $ | 131,183 | | | $ | 139,743 | | | $ | 7,168,013 | | | $ | 8,052,042 | | | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | Securitized debt, at fair value (1) (2) | | $ | 5,606,863 | | | $ | 6,265,540 | | | $ | 660,721 | | | $ | 817,889 | | | $ | 87,653 | | | $ | 94,494 | | | $ | 6,355,237 | | | $ | 7,177,923 | | | Other liabilities | | 24,182 | | | 26,129 | | | 3,697 | | | 4,497 | | | 259 | | | 274 | | | 28,138 | | | 30,900 | | | Total Liabilities | | $ | 5,631,045 | | | $ | 6,291,669 | | | $ | 664,418 | | | $ | 822,386 | | | $ | 87,912 | | | $ | 94,768 | | | $ | 6,383,375 | | | $ | 7,208,823 | | | | | | | | | | | | | | | | | | | | Total Equity (3) | | $ | 616,828 | | | $ | 650,914 | | | $ | 124,539 | | | $ | 147,330 | | | $ | 43,271 | | | $ | 44,975 | | | $ | 784,638 | | | $ | 843,219 | |
(1)Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (2)The holders of the securitized debt have no recourse to the general credit of the Company. The Company generally has no obligation to provide any other explicit or implicit support to the VIEs. Refer to Note 12 for commitments related to the undrawn portion of a borrowers’ home equity line of credit for which the Company may be required to fund. (3)The Company had outstanding financing arrangements collateralized by the Company's retained interests in its VIEs. Refer to Note 6 for additional information.
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