| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following table presents the carrying values and fair values of assets and liabilities recorded at fair value on a recurring basis as of September 30, 2026 and December 31, 2025. It excludes cash and cash equivalents and other short-term receivables and payables for which the carrying value approximates fair value due to their short-term nature and are classified within Level 1. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 | | December 31, 2025 | | | Carrying Value / Fair Value | | Level 1 | | Level 2 | | Level 3 | | Carrying Value / Fair Value | | Level 1 | | Level 2 | | Level 3 | | Assets: | | | | | | | | | | | | | | | | | | RTLs | | $ | 448,931 | | | $ | — | | | $ | — | | | $ | 448,931 | | | $ | 176,584 | | | $ | — | | | $ | — | | | $ | 176,584 | | | NQMs | | 214,359 | | | — | | | — | | | 214,359 | | | 87,630 | | | — | | | — | | | 87,630 | | | Derivative assets | | 1,103 | | | 1,103 | | | — | | | — | | | — | | | — | | | — | | | — | | | Total Assets | | $ | 664,393 | | | $ | 1,103 | | | $ | — | | | $ | 663,290 | | | $ | 264,214 | | | $ | — | | | $ | — | | | $ | 264,214 | | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | | Secured financings | | $ | (512,944) | | | $ | — | | | $ | (512,944) | | | $ | — | | | $ | (207,084) | | | $ | — | | | $ | (207,084) | | | $ | — | | | Total Liabilities | | $ | (512,944) | | | $ | — | | | $ | (512,944) | | | $ | — | | | $ | (207,084) | | | $ | — | | | $ | (207,084) | | | $ | — | |
The following tables summarize the changes in the Company’s Level 3 financial assets measured at fair value on a recurring basis: | | | | | | | | | | | | | | | | | | | | | | | RTLs | | NQMs | | Total | | Balance at June 30, 2026 | | $ | 380,209 | | | $ | 199,490 | | | $ | 579,699 | | | Acquisition and funding activities | | 112,184 | | | 27,196 | | | 139,380 | | | Paydowns | | (44,155) | | | (10,002) | | | (54,157) | | | Fair Value Adjustments due to: | | | | | | | Realization of cash flows | | (17) | | | (244) | | | (261) | | | Other factors | | 710 | | | (2,081) | | | (1,371) | | | Balance at September 30, 2026 | | $ | 448,931 | | | $ | 214,359 | | | $ | 663,290 | | | Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date | | $ | 690 | | | $ | (2,201) | | | $ | (1,511) | |
| | | | | | | | | | | | | | | | | | | | | | | RTLs | | NQMs | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance at December 31, 2025 | | $ | 176,584 | | | $ | 87,630 | | | $ | 264,214 | | | Acquisition and funding activities | | 396,683 | | | 151,399 | | | 548,082 | | | Paydowns | | (125,244) | | | (21,468) | | | (146,712) | | | Fair Value Adjustments due to: | | | | | | | Realization of cash flows | | (72) | | | (492) | | | (564) | | | Other factors | | 980 | | | (2,710) | | | (1,730) | | | Balance at September 30, 2026 | | $ | 448,931 | | | $ | 214,359 | | | $ | 663,290 | | | Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date | | $ | 1,020 | | | $ | (2,733) | | | $ | (1,713) | |
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| Schedule of Weighted Averages of Inputs |
The following table summarizes certain information regarding the ranges and weighted averages of significant inputs (weighted by fair value) used in valuing RTLs, at fair value classified as Level 3: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Discount Rate | | Prepayment Rate | | Default Rate | | Loss Severity | | September 30, 2026 | $ | 448,931 | | | 7.0% – 10.0% (7.8%) | | 40.0% | | 1.0% | | 15.0% | | December 31, 2025 | $ | 176,584 | | | 7.6% – 8.7% (8.0%) | | 50.0% | | 1.3% | | 25.0% |
The following table summarizes certain information regarding the ranges and weighted averages of significant inputs (weighted by fair value) used in valuing residential mortgage loans, at fair value classified as Level 3: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Discount Rate | | Prepayment Rate | | Default Rate | | Loss Incidence | | September 30, 2026 | | $ | 214,359 | | | 5.9% – 7.7% (6.3%) | | 4.1% – 26.9% (9.1%) | | 0.0% – 5.6% (0.4%) | | 3.2% | | December 31, 2025 | | $ | 87,630 | | | 5.6% – 6.9% (6.0%) | | 5.8% – 26.9% (16.8%) | | 0.0% – 1.6% (0.4%) | | 0.1% |
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