v3.26.3
Other Assets (Tables)
 9 Months Ended
Sep. 30, 2026
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]  
Schedule of Other Assets
The following table presents the components of the Company’s Other assets at September 30, 2026 and December 31, 2025:

(In Thousands)September 30, 2026December 31, 2025
Receivable for unsettled investment sales$133,785 $— 
REO130,103 135,035 
Commercial REO12,862 19,885 
Goodwill61,076 61,076 
Intangibles, net (1)
1,900 2,600 
Capital contributions made to loan origination partners21,088 20,182 
Commercial loans4,510 6,079 
Interest receivable110,946 111,118 
Other loan related receivables7,446 8,874 
Lease right-of-use asset (2)
9,106 42,810 
Other60,159 81,488 
Total Other Assets$552,981 $489,147 
(1)Net of aggregate accumulated amortization of $26.1 million and $25.4 million as of September 30, 2026 and December 31, 2025, respectively.
(2)An estimated incremental borrowing rate of 7.5% was used in connection with the Company’s primary operating lease as of December 31, 2025, and an estimated incremental borrowing rate of 8.0% was used in connection with Lima One’s headquarters lease (see Notes 2 and 9).
Schedule of Aggregate Carrying Value of REO Properties
The following table summarizes the aggregate carrying value of REO properties by loan source prior to acquisition through a foreclosure proceeding, or upon completion of a deed-in-lieu of foreclosure, or similar legal agreement.

(Dollars In Thousands)September 30, 2026December 31, 2025
Non-QM loans$14,917 $12,066 
Business purpose loans78,715 80,822 
Seasoned RPL/NPL loans36,471 42,147 
Total$130,103 $135,035 
Number of properties331 322 
Schedule of Activity for Real Estate Owned
The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2026 and 2025:
Three Months Ended
September 30,		Nine Months Ended
September 30,
(Dollars In Thousands)2026202520262025
Balance at beginning of period$128,090 $135,824 $135,035 $130,854 
Adjustments to record at lower of cost or fair value(3,822)(2,281)(10,901)(9,059)
Transfer from residential whole loans (1)
25,437 29,325 72,425 85,059 
Purchases and capital improvements, net70 56 104 373 
Disposals and other (2)
(19,672)(24,803)(66,560)(69,106)
Balance at end of period$130,103 $138,121 $130,103 $138,121 
Number of properties331 373 331 373 
(1)During the three and nine months ended September 30, 2026, the Company recognized $(3.8) million and $(14.6) million of gains/(losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO. During the three and nine months ended September 30, 2025, the Company recognized $1.0 million and $(3.4) million of gains/(losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO.
(2)During the three and nine months ended September 30, 2026, the Company sold 62 and 206 REO properties for consideration of $20.5 million and $69.3 million, realizing net gains of approximately $0.8 million and $2.9 million, respectively. During the three and nine months ended September 30, 2025, the Company sold 84 and 285 REO properties for consideration of $27.3 million and $73.3 million, realizing net gains of approximately $2.5 million and $4.8 million, respectively. These amounts are included in Other Income/(Loss), net on the Company’s consolidated statements of operations.
Schedule of Finite-Lived Intangible Assets Amortization Expense
The amortization period for each of the finite lived intangible assets and the activity for the nine months ended September 30, 2026 are summarized in the table below:
(Dollars in Thousands)Carrying Value at December 31, 2025Amortization
Nine months ended September 30, 2026		Carrying Value at September 30, 2026
Amortization Period (Years) (1)
Trademarks / Trade Names$2,200 $(300)$1,900 10
Internally Developed Software400 (400)— 5
Total Identified Intangibles$2,600 $(700)$1,900 
(1)Amortization is calculated on a straight-line basis over the amortization period.
Schedule of Financing Receivable Credit Quality Indicators
The following tables present additional information regarding the Company’s Residential whole loans:

September 30, 2026
Asset AmountFair ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (1) (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB
60+ Days Past Due %
(Dollars In Thousands)Past Due Days
Current30-5960-8990+
Non-QM loans$5,760,356 $5,736,465 $5,905,880 6.71 %33664 %741$5,513,287 $130,656 $54,963 $206,974 4.4 %
Business purpose loans:
Single-family rental$1,057,222 $1,057,305 $1,105,465 6.34 %30265 %740$1,049,963 $24,563 $2,686 $28,253 2.8 %
Single-family transitional (5)
678,052 678,325 692,847 9.93 %768 %756597,146 21,141 3,966 70,594 10.8 %
Multifamily transitional (5)
263,448 263,448 298,916 10.04 %195 %751211,256 16,887 8,755 62,018 23.7 %
Total business purpose loans$1,998,722 $1,999,078 $2,097,228 8.07 %70 %$1,858,365 $62,591 $15,407 $160,865 8.4 %
Seasoned RPL/NPL loans880,060 880,365 1,016,119 5.08 %23952 %646747,447 97,192 39,152 132,328 16.9 %
Other loans44,738 44,738 56,643 3.44 %29962 %75856,275 — 368 — 0.6 %
Residential whole loans, total or weighted average$8,683,876 $8,660,646 $9,075,870 6.84 %64 %$8,175,374 $290,439 $109,890 $500,167 6.7 %

December 31, 2025
Asset AmountFair ValueUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (1) (2)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (3)
Weighted Average Original FICO (4)
Aging by UPB
60+ Days Past Due %
(Dollars In Thousands)Past Due Days
Current30-5960-8990+
Non-QM loans$5,344,968 $5,332,533 $5,322,321 6.74 %33764 %738$4,929,485 $170,509 $47,154 $175,173 4.2 %
Business purpose loans:
Single-family rental$1,234,428 $1,237,464 $1,246,745 6.34 %31166 %740$1,193,041 $22,309 $4,165 $27,230 2.5 %
Single-family transitional (5)
717,303 717,702 732,059 10.31 %669 %750599,798 48,180 2,535 81,546 11.5 %
Multifamily transitional (5)
489,637 489,637 531,804 10.17 %164 %749399,686 44,523 32,905 54,690 16.5 %
Total Business purpose loans$2,441,368 $2,444,803 $2,510,608 8.31 %66 %$2,192,525 $115,012 $39,605 $163,466 8.1 %
Seasoned RPL/NPL loans972,996 992,120 1,097,698 5.09 %24554 %646757,826 125,621 47,620 166,631 19.5 %
Other loans51,022 51,022 59,283 3.43 %30863 %75759,283 — — — — %
Residential whole loans, total or weighted average$8,810,354 $8,820,478 $8,989,910 6.98 %64 %$7,939,119 $411,142 $134,379 $505,270 7.1 %
(1)Weighted average is calculated based on the interest-bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. Certain Transitional Loans contain contractual features which increase the loan’s interest rate following an event of default. The weighted average coupon presented is calculated based on each loan’s coupon rate without regard to post-default rate adjustments.
(2)For the quarter ended September 30, 2026, the gross coupon was 6.83% for Non-QM loans, 6.37% for Single-family rental loans, 9.94% for Single-family transitional loans, 10.06% for Multifamily transitional loans, and 5.09% for Seasoned RPL/NPL loans. For the quarter ended December 31, 2025, the gross coupon was 6.88% for Non-QM loans, 6.37% for Single-family rental loans, 10.32% for Single-family transitional loans, 10.18% for Multifamily transitional loans, and 5.10% for Seasoned RPL/NPL loans.
(3)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. Excluded from the calculation of weighted average are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
(4)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
(5)For Single-family and Multifamily transitional loans that are less than 90 days delinquent, the LTV presented is generally the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, as of the most recent date available, which may be the origination date. For Single-family and Multifamily transitional loans that are 90 or more days delinquent, as well as certain performing loans for which an after repaired valuation was not available, the LTV presented is the ratio of the current unpaid principal balance of the loan to the estimated as-is value of the collateral securing the related loan as of the most recent date available, which may be the origination date.
The following table presents certain additional credit-related information regarding the Company’s Residential whole loans, at carrying value:
Amortized Cost Basis by Origination Year and LTV Bands
(In Thousands)
2026 - 2022PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $500,509 $500,509 
LTV > 80% (1)
— 2,020 2,020 
Total Non-QM loans$— $502,529 $502,529 
Nine Months Ended September 30, 2026 Gross write-offs$— $— $— 
Business purpose loans
LTV <= 80% (1)
$— $77,303 $77,303 
LTV > 80% (1)
— 768 768 
Total Business purpose loans$— $78,071 $78,071 
Nine Months Ended September 30, 2026 Gross write-offs$— $1,458 $1,458 
Seasoned RPL/NPL loans
LTV <= 80% (1)
$— $348,991 $348,991 
LTV > 80% (1)
— 35,972 35,972 
Total Seasoned RPL/NPL loans$— $384,963 $384,963 
Nine Months Ended September 30, 2026 Gross write-offs$— $35 $35 
Total LTV <= 80% (1)
$— $926,803 $926,803 
Total LTV > 80% (1)
— 38,760 38,760 
Total Residential whole loans, at carrying value$— $965,563 $965,563 
Nine Months Ended September 30, 2026 Total Gross write-offs$— $1,493 $1,493 
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Single-family and Multifamily transitional loans that are less than 90 days delinquent, the LTV presented is generally the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, as of the most recent date available, which may be the origination date. For certain Single-family and Multifamily transitional loans that are 90 or more days delinquent, as well as certain performing loans for which an after repaired valuation was not available, the LTV presented is the ratio of the current unpaid principal balance of the loan to the estimated “as is” value of the collateral securing the related loan as of the most recent date available, which may be the origination date. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV is not meaningful.
The following table presents vintage information regarding the Company’s Residential whole loans, at fair value:
Fair Value by Origination Year
(In Thousands)
20262025202420232022PriorTotal
Non-QM loans$1,152,050 $1,559,980 $716,029 $419,853 $433,897 $977,436 $5,259,245 
Business purpose loans:
Single-family rental loans$43,612 $1,560 $35,767 $187,325 $424,069 $293,703 $986,036 
Single-family transitional loans279,988 256,936 71,751 47,768 13,240 2,761 672,444 
Multifamily transitional loans— — 23,121 112,758 86,862 40,707 263,448 
Total Business purpose loans$323,600 $258,496 $130,639 $347,851 $524,171 $337,171 $1,921,928 
Seasoned RPL/NPL loans— — — — — 500,355 500,355 
Other loans— — — — — 44,738 44,738 
Total Residential whole loans, at fair value$1,475,650 $1,818,476 $846,668 $767,704 $958,068 $1,859,700 $7,726,266 
The following table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2026 and December 31, 2025:
(Dollars In Thousands)Fair Value / Carrying ValueUPB
Weighted Average Coupon (1)
Weighted Average Term to Maturity (Months)UPB 60+ Days DelinquentWeighted Average LTV Ratio
Commercial Loans - September 30, 2026$4,510 $4,510 10.58 %0$4,510 85 %
Commercial Loans - December 31, 2025$6,079 $9,385 10.60 %0$9,385 189 %
(1)Commercial Loans contain contractual features which increase the loan’s interest rate following an event of default. The weighted average coupon presented is calculated based on each loan’s coupon rate without regard to post-default rate adjustments.
Schedule of Assets Pledged as Collateral Against Derivative Contracts
The following table presents the assets pledged as collateral against the Company’s derivatives:
(In Thousands)September 30,
2026		December 31,
2025
Agency MBS, at fair value
$30,428 $32,015 
Restricted Cash52,620 24,317 
Schedule of Derivative Instruments The following table presents information about the Company’s Swaps at September 30, 2026 and December 31, 2025:
September 30, 2026December 31, 2025
Maturity (1)
 Notional Amount (2)
Weighted Average Fixed-Pay Interest Rate
Weighted Average Variable Interest Rate (3)
Notional Amount (2)
Weighted Average Fixed-Pay Interest Rate
 Weighted Average Variable Interest Rate (3)
(Dollars in Thousands)
Within 30 days$— — %— %$— — %— %
Over 30 days to 3 months450,000 1.12 3.90 — — — 
Over 3 months to 6 months850,000 1.58 3.90 — — — 
Over 6 months to 12 months215,000 2.93 3.90 450,000 1.12 3.87 
Over 12 months to 24 months326,500 3.20 3.90 1,065,000 1.85 3.87 
Over 24 months to 36 months429,300 3.08 3.90 341,500 3.23 3.87 
Over 36 months to 48 months898,000 3.28 3.90 332,800 2.96 3.87 
Over 48 months to 60 months1,089,700 3.50 3.90 1,463,900 3.36 3.87 
Over 60 months to 72 months417,200 3.58 3.90 — — — 
Over 72 months1,385,200 3.74 3.90 827,300 3.36 3.87 
Total Swaps$6,060,900 3.02 %3.90 %$4,480,500 2.74 %3.87 %
(1)Each maturity category reflects contractual amortization and/or maturity of notional amounts.
(2)As of September 30, 2026, the aggregate notional amounts of Swaps include $4.0 billion of ERIS swap futures and $2.1 billion of interest rate swap agreements. As of December 31, 2025, the aggregate notional amounts of Swaps include $2.4 billion of ERIS swap futures and $2.1 billion of interest rate swap agreements.
(3)Reflects the benchmark variable rate due from the counterparty at the date presented. This rate adjusts daily based on SOFR.
September 30, 2026December 31, 2025
(Dollars in thousands)
 Notional Amount
Settlement Date
Notional Amount
Settlement Date
TBA Security
MBS 30 year 5.0% coupon
$128,000 10/13/2026$— — 
MBS 30 year 5.5% coupon
$350,000 10/13/2026$— — 
Schedule of Derivative Earnings
The following table presents the components of Net gain/(loss) on derivatives, which is presented in Other Income/(Loss), net in the consolidated statements of operations:
Three Months Ended September 30,Nine Months Ended September 30,
 (In Thousands)2026202520262025
Income on Swaps variable receive leg$54,509 $39,383 $146,695 $110,311 
Expense on Swaps fixed pay leg(42,937)(23,383)(113,248)(63,574)
Unrealized mark-to-market gain/(loss)172,320 (5,981)232,241 (66,214)
Net price alignment expense on margin collateral received(1,527)(974)(2,567)(3,609)
Realized gain/(loss) on terminated Swaps— (8,845)(6,223)(26,020)
Net gain/(loss) on TBA long positions(25,542)— (24,374)— 
TBA dollar roll income2,022 — 3,008 — 
Total Net gain/(loss) on derivatives$158,845 $200 $235,532 $(49,106)