| Summary of Investment in MBS Backed by Assets Held in Consolidated VIEs |
Following is a summary of the Company’s investment in MBS backed by assets held in consolidated VIEs:
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Quarter ended September 30, |
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Nine months ended September 30, |
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2026 |
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2025 |
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2026 |
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2025 |
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(in thousands) |
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Net investment income: |
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Net (losses) gains on investments and financings: |
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Loans held for investment at fair value |
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$ |
(531,871 |
) |
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$ |
48,488 |
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$ |
(626,119 |
) |
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$ |
90,800 |
|
Asset-backed financings of variable interest entities
at fair value |
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|
526,604 |
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(35,707 |
) |
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|
629,492 |
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(79,923 |
) |
Interest income |
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|
186,210 |
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|
67,153 |
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|
480,535 |
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|
151,513 |
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Interest expense |
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202,989 |
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|
65,409 |
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|
479,383 |
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|
140,573 |
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$ |
(22,046 |
) |
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$ |
14,525 |
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$ |
4,525 |
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$ |
21,817 |
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September 30, 2026 |
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December 31, 2025 |
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(in thousands) |
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Loans held for investment at fair value |
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$ |
14,400,024 |
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$ |
8,530,939 |
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Asset-backed financings of variable interest entities at fair value |
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$ |
13,146,200 |
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$ |
7,789,303 |
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Retained interests at fair value pledged to secure Assets sold under agreements to repurchase |
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$ |
1,214,056 |
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$ |
648,159 |
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| Summary of Credit Risk Transfer Agreements |
Following is a summary of the CRT arrangements:
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Quarter ended September 30, |
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Nine months ended September 30, |
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2026 |
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2025 |
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2026 |
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2025 |
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(in thousands) |
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Net investment income: |
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Net (losses) gains on investments and financings |
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Credit risk transfer derivatives and strips: |
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Credit risk transfer derivatives |
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Realized |
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$ |
2,008 |
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$ |
2,599 |
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$ |
6,600 |
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$ |
8,034 |
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Valuation changes |
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|
496 |
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|
348 |
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(1,705 |
) |
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2,268 |
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2,504 |
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2,947 |
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4,895 |
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10,302 |
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Credit risk transfer strips |
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Realized |
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7,583 |
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9,623 |
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24,782 |
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|
29,350 |
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Valuation changes |
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|
224 |
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|
1,177 |
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|
905 |
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(5,124 |
) |
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|
7,807 |
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|
10,800 |
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|
25,687 |
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|
24,226 |
|
Interest-only security payable at fair value —
valuation changes |
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(309 |
) |
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(5 |
) |
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3,042 |
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(2,336 |
) |
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10,002 |
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13,742 |
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33,624 |
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|
32,192 |
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Interest income — Deposits securing credit risk transfer
arrangements |
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|
8,315 |
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|
11,125 |
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25,688 |
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|
34,201 |
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$ |
18,317 |
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$ |
24,867 |
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$ |
59,312 |
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$ |
66,393 |
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Net payments made to settle losses on credit risk transfer
arrangements |
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$ |
1,769 |
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$ |
1,250 |
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$ |
4,296 |
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$ |
3,718 |
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September 30, 2026 |
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December 31, 2025 |
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(in thousands) |
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Carrying value of credit risk transfer arrangements: |
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Derivative assets - credit risk transfer derivatives |
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$ |
30,695 |
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$ |
32,659 |
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Derivative and credit risk transfer liabilities - credit risk transfer strips |
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(5,231 |
) |
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(5,999 |
) |
Deposits securing credit risk transfer arrangements |
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|
887,188 |
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|
1,009,334 |
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Interest-only security payable at fair value |
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(34,608 |
) |
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(37,650 |
) |
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$ |
878,044 |
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$ |
998,344 |
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Credit risk transfer arrangement assets pledged to secure borrowings: |
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Derivative assets |
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$ |
30,695 |
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$ |
32,659 |
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Deposits securing credit risk transfer arrangements (1) |
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$ |
887,188 |
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$ |
1,009,334 |
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Unpaid principal balance of loans underlying credit risk transfer arrangements |
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$ |
16,878,161 |
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$ |
19,517,530 |
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Collection status (unpaid principal balance): |
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Delinquency |
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Current |
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$ |
16,389,390 |
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$ |
18,908,261 |
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30-89 days delinquent |
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$ |
340,112 |
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$ |
413,295 |
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90-179 days delinquent |
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$ |
78,773 |
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$ |
110,486 |
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180 or more days delinquent |
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$ |
50,689 |
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$ |
57,798 |
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Foreclosure |
|
$ |
19,197 |
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$ |
27,690 |
|
Bankruptcy |
|
$ |
54,295 |
|
|
$ |
68,426 |
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(1)Deposits securing credit risk transfer arrangements also secure $5.2 million and $6.0 million in CRT strip liabilities at September 30, 2026 and December 31, 2025, respectively.
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