Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2026

Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2026 and December 31, 2025, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):


	Measured at Fair Value on a Recurring Basis at
	September 30, 2026								December 31, 2025
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets carried at fair value
Investment securities available for sale:
Agency RMBS	$	—	$	6,736,751	$	—	$	6,736,751	$	—	$	6,633,476	$	—	$	6,633,476
Non-Agency RMBS	—		60,822		—		60,822		—		25,592		—		25,592
U.S. Treasury securities	—		545,588		—		545,588		—		245,713		—		245,713
Residential loans:
Residential loans	—		—		781,758		781,758		—		—		583,963		583,963
Consolidated SLST	—		—		1,047,558		1,047,558		—		—		1,165,677		1,165,677
Residential loans held in securitization trusts	—		—		2,959,623		2,959,623		—		—		2,608,535		2,608,535
Residential loans held for sale	—		—		150,969		150,969		—		—		80,707		80,707
Multi-family loans	—		—		36,868		36,868		—		—		55,476		55,476
Equity investments	—		—		17,926		17,926		—		—		24,711		24,711
Derivative assets: (1)
Interest rate caps	—		1,021		—		1,021		—		31		—		31
Options	—		386		—		386		—		—		—		—
IRLCs	—		—		279		279		—		—		691		691
Interest rate swaps (2)	—		—		—		—		—		—		—		—
U.S. Treasury futures (2)	—		—		—		—		—		—		—		—
Commodity futures (2)	—		—		—		—		—		—		—		—
TBAs	—		9,707		—		9,707		—		—		—		—
MSRs (1)	—		—		18,970		18,970		—		—		20,893		20,893
Total	$	—	$	7,354,275	$	5,013,951	$	12,368,226	$	—	$	6,904,812	$	4,540,653	$	11,445,465
Liabilities carried at fair value





CDOs:
Consolidated SLST	$	—	$	—	$	915,698	$	915,698	$	—	$	—	$	1,006,919	$	1,006,919
Residential loan securitizations	—		2,438,853		—		2,438,853		—		2,075,962		—		2,075,962
Non-Agency RMBS re-securitizations	—		108,719		—		108,719		—		65,276		—		65,276
Senior unsecured notes	—		434,607		—		434,607		—		260,852		—		260,852
Derivative liabilities: (1)
Interest rate swaps (2)	—		—		—		—		—		—		—		—

Commodity futures (2)	—		—		—		—		—		—		—		—
Credit default swaps (2)	—		—		—		—		—		—		—		—
TBAs, net	—		(14,039)		—		(14,039)		—		—		—		—
Total	$	—	$	2,968,140	$	915,698	$	3,883,838	$	—	$	2,402,090	$	1,006,919	$	3,409,009

(1)Included in other assets or other liabilities in the condensed consolidated balance sheets.

(2)All of the Company’s interest rate swaps, credit default swaps and futures are cleared through central clearing houses. The Company exchanges variation margin for the derivative instruments based upon daily changes in fair value. Includes derivative assets of $378.6 million netted against derivative liabilities of $34.0 million and a net variation margin of $344.5 million as of September 30, 2026. Includes derivative liabilities of $59.4 million netted against derivative assets of $23.3 million and a net variation margin of $36.1 million as of December 31, 2025. See Note 9 for additional information.

Schedule of Changes in Valuation of Level 3 Assets

The following tables detail changes in valuation for the Level 3 assets for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

Level 3 Assets:


	For the Three Months Ended September 30, 2026
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans held for sale		Multi-family loans		Equity investments		MSRs		IRLCs		Total
Balance at beginning of period	$	892,487	$	1,104,207	$	2,784,741	$	59,002	$	45,079	$	22,767	$	19,093	$	921	$	4,928,297
Total (losses)/gains (realized/unrealized)
Included in earnings	(9,984)		(28,977)		(103,849)		9,128		1,039		(3,196)		(123)		(642)		(136,604)

Transfers out (1)	(10,201)		—		(3,849)		—		—				—		—		(14,050)
Transfer to securitization trust, net (2)	(365,399)		—		365,399		—		—		—		—		—		—

Transfer from residential loans held for sale to residential loans	167,264		—		—		(167,264)		—		—		—		—		—
Paydowns/Distributions	(109,300)		(27,672)		(88,587)		(527)		(9,250)		(1,645)		—		—		(236,981)
Sales	(2,275)		—		—		(125,828)		—		—		—		—		(128,103)
Acquisitions/Repurchases	219,166		—		5,768		—		—		—		—		—		224,934
Originations	—		—		—		376,458		—		—		—		—		376,458
Balance at the end of period	$	781,758	$	1,047,558	$	2,959,623	$	150,969	$	36,868	$	17,926	$	18,970	$	279	$	5,013,951

(1)Transfers out of Level 3 assets represent the transfer of residential loans to real estate owned.

(2)During the three months ended September 30, 2026, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).


	For the Three Months Ended September 30, 2025
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans held for sale		Multi-family loans		Equity investments		Assets of disposal group held for sale		MSRs		IRLCs		Total
Balance at beginning of period	$	367,089	$	1,199,383	$	2,459,555	$	—	$	74,999	$	91,440	$	500	$	19,449	$	—	$	4,212,415
Total gains/(losses) (realized/unrealized)
Included in earnings	8,813		7,677		13,354		8,824		2,224		(1,582)		—		(1,099)		(1,919)		36,292

Transfers in (1)	580		—		—		145,748								141		4,302		150,771
Transfers out (2)	(4,014)		—		(6,670)		—		—		(33,759)		—		—		—		(44,443)
Transfer to securitization trust, net (3)	(442,741)		—		442,741		—		—		—		—		—		—		—

Transfer from residential loans held for sale to residential loans	213,811		—		—		(213,811)		—		—		—		—		—		—
Paydowns/Distributions (4)	(41,743)		(24,461)		(280,146)		(137)		(8,576)		(27,274)		—		3,405		—		(378,932)
Sales	(121,221)		—		(6,945)		(218,031)		—		—		(500)		—		—		(346,697)
Acquisitions	327,848		—		38,737		—		—		—		—		—		—		366,585
Originations	—		—		—		382,443		—		—		—		—		—		382,443
Balance at the end of period	$	308,422	$	1,182,599	$	2,660,626	$	105,036	$	68,647	$	28,825	$	—	$	21,896	$	2,383	$	4,378,434

(1)Transfers into Level 3 include residential loans, residential loans held for sale, MSRs and IRLCs consolidated by the Company following its acquisition of the outstanding membership interests in Constructive that were not previously owned by the Company on July 15, 2025 (see Note 23).

(2)Transfers out of Level 3 assets represent the transfer of residential loans to real estate owned and the consolidation of Constructive resulting from the Company's acquisition of the outstanding membership interests in Constructive that were not previously owned by the Company on July 15, 2025 (see Note 23).

(3)During the three months ended September 30, 2025, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

(4)Includes in-kind distribution of MSRs received from the Company's Constructive equity investment prior to acquisition on July 15, 2025.


	For the Nine Months Ended September 30, 2026
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans held for sale		Multi-family loans		Equity investments		MSRs		IRLCs		Total
Balance at beginning of period	$	583,963	$	1,165,677	$	2,608,535	$	80,707	$	55,476	$	24,711	$	20,893	$	691	$	4,540,653
Total (losses)/gains (realized/unrealized)
Included in earnings	(18,930)		(45,265)		(121,323)		29,693		4,337		(2,705)		(1,923)		(412)		(156,528)
Transfers out (1)	(28,245)		—		(8,820)		—		—				—		—		(37,065)
Transfer to securitization trust, net (2)	(898,371)		—		898,371		—		—		—		—		—		—

Transfer from residential loans held for sale to residential loans	727,973		—		—		(727,973)		—		—		—		—		—
Paydowns/Distributions	(246,562)		(72,854)		(463,300)		(1,638)		(22,945)		(4,080)		—		—		(811,379)
Sales	(22,564)		—		(95)		(414,014)		—		—		—		—		(436,673)
Acquisitions/Repurchases	684,494		—		46,255		797		—		—		—		—		731,546
Originations	—		—		—		1,183,397		—		—		—		—		1,183,397
Balance at the end of period	$	781,758	$	1,047,558	$	2,959,623	$	150,969	$	36,868	$	17,926	$	18,970	$	279	$	5,013,951

(1)Transfers out of Level 3 assets represent the transfer of residential loans to real estate owned.

(2)During the nine months ended September 30, 2026, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).


	For the Nine Months Ended September 30, 2025
	Residential loans
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans held for sale		Multi-family loans		Equity investments		Assets of disposal group held for sale		MSRs		IRLCs		Total
Balance at beginning of period	$	632,266	$	965,672	$	2,243,800	$	—	$	86,192	$	113,492	$	—	$	21,003	$	—	$	4,062,425
Total gains/(losses) (realized/unrealized)
Included in earnings	15,592		35,429		50,338		8,824		7,447		580		—		(2,653)		(1,919)		113,638
Transfers in (1)	580		—		—		145,748		—		—		—		141		4,302		150,771
Transfers out (2)	(30,740)		—		(10,540)		—		—		(33,759)		—		—		—		(75,039)
Transfer to securitization trust, net (3)	(1,127,837)		—		1,127,837		—		—		—		—		—		—		—
Transfer to disposal group held for sale	—		—		—		—		—		(500)		500		—		—		—
Transfer from residential loans held for sale to residential loans	213,811		—		—		(213,811)		—		—		—		—		—		—
Paydowns/Distributions (4)	(162,548)		(65,907)		(862,024)		(137)		(24,992)		(50,988)		—		3,405		—		(1,163,191)

Sales	(151,894)		—		(13,222)		(218,031)		—		—		(500)		—		—		(383,647)
Acquisitions (5)	919,192		247,405		124,437		—		—		—		—		—		—		1,291,034
Originations	—		—		—		382,443		—		—		—		—		—		382,443
Balance at the end of period	$	308,422	$	1,182,599	$	2,660,626	$	105,036	$	68,647	$	28,825	$	—	$	21,896	$	2,383	$	4,378,434

(3)During the nine months ended September 30, 2025, the Company transferred, on a net basis, certain residential loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

(4)Includes in-kind distribution of MSRs received from the Company's Constructive equity investment prior to acquisition on July 15, 2025.

(5)During the nine months ended September 30, 2025, the Company purchased a first loss subordinated security issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated assets of the securitization (see Note 7).

Schedule of Changes in Valuation of Level 3 Liabilities

The following tables detail changes in valuation for the Level 3 liabilities for the three and nine months ended September 30, 2026 and 2025, respectively (dollar amounts in thousands):

Level 3 Liabilities:


	Consolidated SLST CDOs
	For the Three Months Ended September 30,
	2026		2025
Balance at beginning of period	$	956,329	$	1,031,897
Total (gains)/losses (realized/unrealized)
Included in earnings	(16,000)		6,284

Paydowns	(24,631)		(21,229)


Balance at the end of period	$	915,698	$	1,016,952


	Consolidated SLST CDOs
	For the Nine Months Ended September 30,
	2026		2025
Balance at beginning of period	$	1,006,919	$	811,591
Total losses/(gains) (realized/unrealized)
Included in earnings	(27,605)		25,992
Acquisitions (1)	—		235,226
Paydowns	(63,616)		(55,857)


Balance at the end of period	$	915,698	$	1,016,952

(1)During the nine months ended September 30, 2025, the Company purchased first loss subordinated securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated liabilities of the securitization (see Note 7).

Schedule of Quantitative Information Regarding Significant and Unobservable Inputs used in Valuation of Level 3 Assets and Liabilities

The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands):


September 30, 2026	Fair Value	Valuation Technique	Unobservable Input	Weighted Average	Range
Assets
Residential loans, residential loans held in securitization trusts and residential loans held for sale: (1)
	$3,573,782	Discounted cash flow	Lifetime CPR	10.0%	—	-	46.2%
			Default rate	0.7%	—	-	100.0%
			Loss severity	11.2%	—	-	100.0%
			Yield	7.3%	5.7%	-	43.4%

	$115,895	Liquidation model	Annual home price appreciation/(depreciation)	1.9%	—	-	122.5%
			Liquidation timeline (months)	17	9	-	54
			Property value	$1,660	$24	-	$14,250
			Yield	8.3%	7.5%	-	82.7%

	$202,673	Transaction price	Non-binding investor price	N/A

Consolidated SLST (2)	$1,047,558		Liability price	N/A

Total	$4,939,908

Multi-family loans (1)	$36,868	Discounted cash flow	Discount rate	12.6%	11.5%	-	14.8%
			Months to assumed redemption	25.8	13	-	31

Equity investments (1)	$17,926	Discounted cash flow	Discount rate	15.5%	15.0%	-	16.5%
			Months to assumed redemption	16.6	3.1	-	23

Mortgage servicing rights (1)	$18,970	Discounted cash flow	Lifetime voluntary prepayment rate	7.2%	—	-	28.0%
			Default rate	2.6%	—	-	41.7%
			Yield	12.2%	10.5%	-	15.5%

IRLCs (1)	$279	Probability-weighted expected cash flow	Pull-through rate	80.0%	79.5%	-	81.9%

Liabilities
Consolidated SLST CDOs (2) (3)	$915,698	Discounted cash flow	Yield	6.1%	5.1%	-	12.5%
			Collateral prepayment rate	6.2%	2.9%	-	7.4%
			Collateral default rate	1.1%	—	-	1.9%
			Loss severity	14.1%	—	-	18.8%

(1)Weighted average amounts are calculated based on the weighted average fair value of the assets.

(2)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable. At September 30, 2026, the fair value of investment securities we own in Consolidated SLST amounts to $122.1 million.

(3)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the CDOs issued by Consolidated SLST, including investment securities we own.

Schedule of Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities

The following table details the changes in unrealized (losses) gains included in earnings for the three and nine months ended September 30, 2026 and 2025, respectively, for our Level 3 assets and liabilities held as of September 30, 2026 and 2025, respectively (dollar amounts in thousands):


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2026		2025		2026		2025
Assets
Residential loans:
Residential loans (1)	$	(12,219)	$	1,110	$	(21,388)	$	(3,557)
Consolidated SLST (1)	(29,568)		7,395		(47,178)		37,100
Residential loans held in securitization trusts (1)	(106,612)		16,774		(124,601)		50,064
Residential loans held for sale (1)	3,346		2,552		3,357		2,552
Multi-family loans (1)	2		123		(11)		479
Equity investments (2)	(3,673)		(2,860)		(4,626)		(2,368)

IRLCs	(641)		2,383		(412)		2,383
Mortgage servicing rights (1)	(123)		(1,019)		(1,923)		(2,573)
Liabilities
Consolidated SLST CDOs (1)	17,930		(4,955)		33,585		(25,875)

(1)Presented in unrealized (losses) gains, net on the Company's condensed consolidated statements of operations.

(2)Presented in (loss) income from equity investments on the Company's condensed consolidated statements of operations.

Schedule of Carrying Value and Estimated Fair Value of Financial Instruments

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of September 30, 2026 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.


			Other VIEs
	Financing VIEs		Consolidated SLST		Consolidated Real Estate		Total
Cash and cash equivalents	$	—	$	—	$	3,718	$	3,718
Investment securities available for sale, at fair value	11,927		—		—		11,927
Residential loans, at fair value	2,959,623		1,047,558		—		4,007,181
Real estate, net held in Consolidated VIEs (1)	—		—		338,243		338,243

Other assets	63,691		4,198		12,457		80,346
Total assets	$	3,035,241	$	1,051,756	$	354,418	$	4,441,415

Collateralized debt obligations ($3,463,270 at fair value and $328,681 at amortized cost, net)	$	2,876,253	$	915,698	$	—	$	3,791,951
Mortgages payable on real estate, net in Consolidated VIEs (2)	—		—		274,923		274,923
Other liabilities	14,238		12,642		8,236		35,116
Total liabilities	$	2,890,491	$	928,340	$	283,159	$	4,101,990
Redeemable non-controlling interest in Consolidated VIEs (3)	$	—	$	—	$	80	$	80
Non-controlling interest in Consolidated VIEs (4)	$	—	$	—	$	(3,376)	$	(3,376)
Net investment (5)	$	144,750	$	123,416	$	74,555	$	342,721

(1)Included in real estate, net in the accompanying condensed consolidated balance sheets.

(2)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets.

(3)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.

(4)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.

(5)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between the carrying value of total assets and total liabilities held by VIEs, less non-controlling interests, if any.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of December 31, 2025 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.


			Other VIEs
	Financing VIEs		Consolidated SLST		Consolidated Real Estate		Total
Cash and cash equivalents	$	—	$	—	$	3,853	$	3,853
Residential loans, at fair value	2,608,535		1,165,677		—		3,774,212
Real estate, net held in Consolidated VIEs (1)	—		—		424,655		424,655
Other assets	132,428		4,489		27,923		164,840
Total assets	$	2,740,963	$	1,170,166	$	456,431	$	4,367,560

Collateralized debt obligations ($3,148,157 at fair value and $363,645 at amortized cost, net)	$	2,504,883	$	1,006,919	$	—	$	3,511,802
Mortgages payable on real estate, net in Consolidated VIEs (2)	—		—		332,131		332,131
Other liabilities	17,317		10,368		9,655		37,340
Total liabilities	$	2,522,200	$	1,017,287	$	341,786	$	3,881,273
Redeemable non-controlling interest in Consolidated VIEs (3)	$	—	$	—	$	3,016	$	3,016
Non-controlling interest in Consolidated VIEs (4)	$	—	$	—	$	374	$	374
Net investment (5)	$	218,763	$	152,879	$	111,255	$	482,897

(1)Included in real estate, net in the accompanying condensed consolidated balance sheets.

(2)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets.

(3)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below.

(4)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2026 and December 31, 2025, respectively (dollar amounts in thousands):


		September 30, 2026				December 31, 2025
	Fair Value Hierarchy Level	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Cash and cash equivalents	Level 1	$	262,360	$	262,360	$	210,333	$	210,333
Investment securities available for sale	Level 2	7,343,161		7,343,161		6,904,781		6,904,781
Residential loans	Level 3	4,788,939		4,788,939		4,358,175		4,358,175
Residential loans held for sale	Level 3	150,969		150,969		80,707		80,707
Multi-family loans	Level 3	36,868		36,868		55,476		55,476
Equity investments	Level 3	17,926		17,926		24,711		24,711
Derivative assets	Level 2	11,114		11,114		31		31
IRLCs	Level 3	279		279		691		691
Mortgage servicing rights	Level 3	18,970		18,970		20,893		20,893
Financial Liabilities:
Repurchase agreements	Level 2	7,460,119		7,460,119		6,753,417		6,753,417
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net	Level 3	328,681		310,791		363,645		349,037
Residential loan securitizations at fair value	Level 2	2,438,853		2,438,853		2,075,962		2,075,962
Consolidated SLST	Level 3	915,698		915,698		1,006,919		1,006,919
Non-Agency RMBS re-securitization	Level 2	108,719		108,719		65,276		65,276
Subordinated debentures	Level 3	45,000		42,031		45,000		40,526
Derivative liabilities	Level 2	14,039		14,039		—		—
Senior unsecured notes:
Senior unsecured notes at amortized cost, net	Level 2	—		—		99,585		99,465
Senior unsecured notes at fair value	Level 2	434,607		434,607		260,852		260,852
Mortgages payable on real estate	Level 3	274,923		263,664		332,131		325,301

- 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.

+ References + Details