Included on the Company’s consolidated balance sheets at June 30, 2026 and December 31, 2025 are approximately $8.8 billion and $8.8 billion, respectively, of residential whole loans generally arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for loans that were 60 or more days delinquent at purchase.


	Held at Carrying Value				Held at Fair Value				Total
(Dollars in Thousands)	June 30, 2026		December 31, 2025		June 30, 2026		December 31, 2025		June 30, 2026		December 31, 2025
Non-QM loans	$	530,198	$	593,213	$	5,141,822	$	4,753,480	$	5,672,020	$	5,346,693
Business purpose loans:
Single-family rental loans	$	78,747	$	88,112	$	1,075,637	$	1,147,234	$	1,154,384	$	1,235,346
Single-family transitional loans (1) (2)	7,044		7,051		648,719		711,294		655,763		718,345
Multifamily transitional loans	—		—		320,882		489,637		320,882		489,637
Total Business purpose loans	$	85,791	$	95,163	$	2,045,238	$	2,348,165	$	2,131,029	$	2,443,328
Seasoned RPL/NPL loans	396,206		414,676		528,951		564,340		925,157		979,016
Other loans	—		—		49,054		51,022		49,054		51,022
Allowance for Credit Losses	(9,393)		(9,705)		—		—		(9,393)		(9,705)
Total Residential whole loans	$	1,002,802	$	1,093,347	$	7,765,065	$	7,717,007	$	8,767,867	$	8,810,354
Number of loans	4,661		4,941		18,772		18,824		23,433		23,765

(2)No loans were held-for-sale as of June 30, 2026 and December 31, 2025. There were no gains/(losses) on held-for-sale loans for the six months ended June 30, 2026. As of June 30, 2025, no loans were held-for-sale. For the three months ended March 31, 2025, the Company recorded a $0.5 million loss on these loans resulting from the adjustment of their carrying value to the lower of cost or market. For the three months ended June 30, 2025, the Company recorded a $0.3 million loss on these loans resulting from their sale.


	Asset Amount		Fair Value		Unpaid 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
													Current		30-59		60-89		90+
Non-QM loans	$	5,670,728	$	5,655,660	$	5,684,786	6.70	%	336	64	%	740	$	5,290,874	$	153,057	$	53,291	$	187,564	4.2	%
Business purpose loans:
Single-family rental	$	1,153,464	$	1,155,689	$	1,166,676	6.35	%	306	66	%	741	$	1,113,690	$	23,882	$	1,644	$	27,460	2.5	%
Single-family transitional (5)	654,221		654,585		671,699		10.09	%	6	68	%	754	559,111		20,782		13,167		78,639		13.7	%
Multifamily transitional (5)	320,882		320,882		360,373		10.09	%	2	90	%	750	269,854		2,439		—		88,080		24.4	%
Total business purpose loans	$	2,128,567	$	2,131,156	$	2,198,748	8.11	%		70	%		$	1,942,655	$	47,103	$	14,811	$	194,179	9.5	%
Seasoned RPL/NPL loans	919,518		934,422		1,042,205		5.07	%	241	53	%	646	756,263		105,823		35,606		144,513		17.3	%
Other loans	49,054		49,054		57,968		3.43	%	302	62	%	757	57,464		504		—		—		—	%
Residential whole loans, total or weighted average	$	8,767,867	$	8,770,292	$	8,983,707	6.85	%		64	%		$	8,047,256	$	306,487	$	103,708	$	526,256	7.0	%


	Asset Amount		Fair Value		Unpaid 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
													Current		30-59		60-89		90+
Non-QM loans	$	5,344,968	$	5,332,533	$	5,322,321	6.74	%	337	64	%	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	%	311	66	%	740	$	1,193,041	$	22,309	$	4,165	$	27,230	2.5	%
Single-family transitional (5)	717,303		717,702		732,059		10.31	%	6	69	%	750	599,798		48,180		2,535		81,546		11.5	%
Multifamily transitional (5)	489,637		489,637		531,804		10.17	%	1	64	%	749	399,686		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 loans	972,996		992,120		1,097,698		5.09	%	245	54	%	646	757,826		125,621		47,620		166,631		19.5	%
Other loans	51,022		51,022		59,283		3.43	%	308	63	%	757	59,283		—		—		—		—	%
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 June 30, 2026, the gross coupon was 6.82% for Non-QM loans, 6.37% for Single-family rental loans, 10.10% for Single-family transitional loans, 10.10% for Multifamily transitional loans, and 5.08% 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.

(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.

During the first quarter of 2026, Single-family rental loans with an unpaid principal balance of $78.9 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $2.7 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net gain on sale of $1.5 million during the first quarter of 2026. During the second quarter of 2026, Single-family rental loans with an unpaid principal balance of $92.2 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $2.3 million. Upon sale, the Company reversed $0.6 million of previously recognized unrealized gains, resulting in a net gain on sale of $1.7 million during the second quarter of 2026. Additionally, during the second quarter of 2026, Transitional loans with an unpaid principal balance of $10.8 million were sold, realizing losses, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized losses, of $7.1 million. Upon sale, the Company reversed $8.0 million of previously recognized unrealized losses, resulting in a net gain of $0.9 million during the second quarter of 2026.

During the first quarter of 2025, Single-family rental loans with an unpaid principal balance of $67.6 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $1.9 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net gain of $0.7 million during the first quarter of 2025. During the second quarter of 2025, Single-family rental loans with an unpaid principal balance of $37.4 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $1.1 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net loss of $0.1 million during the second quarter of 2025. Additionally, during the second quarter of 2025, Transitional loans with an unpaid principal balance of $31.3 million were sold, realizing losses, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized losses, of $8.5 million. Upon sale, the Company reversed $8.0 million of previously recognized unrealized losses, resulting in a net loss of $0.5 million during the second quarter of 2025.


	Six Months Ended June 30, 2026
(In Thousands)		Non-QM loans		Single-family rental loans		Single-family transitional loans (1)		Seasoned RPL/NPL loans (2)		Totals
Allowance for credit losses at December 31, 2025		$	1,725	$	918	$	1,042	$	6,020	$	9,705
Current provision/(reversal)		(317)		(156)		114		117		(242)
Write-offs		—		—		—		(26)		(26)
Allowance for credit losses at March 31, 2026		$	1,408	$	762	$	1,156	$	6,111	$	9,437
Current provision/(reversal)		(116)		158		386		(490)		(62)
Write-offs		—		—		—		18		18
Allowance for credit losses at June 30, 2026		$	1,292	$	920	$	1,542	$	5,639	$	9,393


	Six Months Ended June 30, 2025
(In Thousands)		Non-QM loans		Single-family rental loans		Single-family transitional loans (1)		Seasoned RPL/NPL loans (2)		Totals
Allowance for credit losses at December 31, 2024		$	2,125	$	366	$	1,389	$	6,785	$	10,665
Current provision/(reversal)		(197)		614		(88)		(184)		145
Write-offs		—		—		(436)		(180)		(616)
Allowance for credit losses at March 31, 2025		$	1,928	$	980	$	865	$	6,421	$	10,194
Current provision/(reversal)		87		(43)		669		78		791
Write-offs		—		—		(1,022)		(14)		(1,036)
Allowance for credit losses at June 30, 2025		$	2,015	$	937	$	512	$	6,485	$	9,949

The carrying value of Residential whole loans on nonaccrual status as of June 30, 2026 and December 31, 2025 was $571.2 million and $579.9 million, respectively. During the three and six months ended June 30, 2026, the Company recognized $2.4 million and $5.1 million, respectively, of interest income on loans on nonaccrual status, including $1.6 million and $3.4 million, respectively, on its portfolio of loans which were non-performing at acquisition. At June 30, 2026 and December 31, 2025, there were approximately $23.0 million and $25.7 million, respectively, of loans held at carrying value on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively.

During the three months ended June 30, 2026, the Company granted three loan modifications in its carrying value loan portfolio, including two term extensions and one interest rate reduction. As of June 30, 2026, the carrying value of these loans was approximately $0.84 million. As of June 30, 2026, these modifications were not delinquent for more than 30 days.

During the past 12 months, the Company granted eight loan modifications in its carrying value loan portfolio, which gave borrowers term extensions, with two of them including an interest rate reduction. The average increase in weighted average life was 1 month, and the weighted average interest rate reduction was 1.75%. As of June 30, 2026, the carrying value of these loans was approximately $1.33 million. As of June 30, 2026, only one of these loans was 120+ days delinquent.


	Amortized Cost Basis by Origination Year and LTV Bands
(In Thousands)	2026 - 2022		Prior		Total
Non-QM loans
LTV <= 80% (1)	$	—	$	527,764	$	527,764
LTV > 80% (1)	—		2,434		2,434
Total Non-QM loans	$	—	$	530,198	$	530,198
Six Months Ended June 30, 2026 Gross write-offs	$	—	$	—	$	—
Business purpose loans
LTV <= 80% (1)	$	—	$	83,643	$	83,643
LTV > 80% (1)	—		2,148		2,148
Total Business purpose loans	$	—	$	85,791	$	85,791
Six Months Ended June 30, 2026 Gross write-offs	$	—	$	—	$	—
Seasoned RPL/NPL loans
LTV <= 80% (1)	$	—	$	355,766	$	355,766
LTV > 80% (1)	—		40,440		40,440
Total Seasoned RPL/NPL loans	$	—	$	396,206	$	396,206
Six Months Ended June 30, 2026 Gross write-offs	$	—	$	8	$	8
Total LTV <= 80% (1)	$	—	$	967,173	$	967,173
Total LTV > 80% (1)	—		45,022		45,022
Total Residential whole loans, at carrying value	$	—	$	1,012,195	$	1,012,195
Six Months Ended June 30, 2026 Total Gross write-offs	$	—	$	8	$	8

(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.


	Fair Value by Origination Year
(In Thousands)	2026		2025		2024		2023		2022		Prior		Total
Non-QM loans	$	727,564	$	1,647,412	$	779,170	$	455,301	$	470,105	$	1,062,270	$	5,141,822
Business purpose loans:
Single-family rental loans	$	64,589	$	1,622	$	37,118	$	197,935	$	456,264	$	318,109	$	1,075,637
Single-family transitional loans	162,463		302,550		97,744		70,458		12,550		2,954		648,719
Multifamily transitional loans	—		—		29,333		129,758		109,177		52,614		320,882
Total Business purpose loans	$	227,052	$	304,172	$	164,195	$	398,151	$	577,991	$	373,677	$	2,045,238
Seasoned RPL/NPL loans	—		—		—		—		—		528,951		528,951
Other loans	—		—		—		—		—		49,054		49,054
Total Residential whole loans, at fair value	$	954,616	$	1,951,584	$	943,365	$	853,452	$	1,048,096	$	2,013,952	$	7,765,065


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
Fair value realized and unrealized gain/(loss)	$	(21,016)	$	33,611	$	(55,777)	$	87,991
Realized credit losses, net of recoveries	(24,464)		(9,812)		(28,836)		(13,542)
Total Residential whole loans	$	(45,480)	$	23,799	$	(84,613)	$	74,449


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
Non-QM loans	$	(22,900)	$	28,122	$	(42,284)	$	73,318
Business purpose loans:
Single-family rental loans	$	(2,202)	$	11,178	$	(751)	$	29,010
Single-family transitional loans	(1,562)		(5,568)		(3,669)		(14,717)
Multifamily transitional loans	8,098		460		(1,838)		(1,475)
Total Business purpose loans	$	4,334	$	6,070	$	(6,258)	$	12,818
Seasoned RPL/NPL loans	(2,067)		(834)		(6,640)		114
Other loans	(383)		253		(595)		1,741
Total Residential whole loans	$	(21,016)	$	33,611	$	(55,777)	$	87,991

The following table presents realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO, recognized in Net gain/(loss) on residential whole loans measured at fair value through earnings:


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
Non-QM loans	$	(396)	$	(649)	$	(547)	$	(785)
Business purpose loans:
Single-family rental loans	(574)		(3,148)		(600)		(4,344)
Single-family transitional loans	(1,110)		(1,351)		(4,435)		(3,524)
Multifamily transitional loans	(21,658)		(4,080)		(22,005)		(4,249)
Total Business purpose loans	(23,342)		(8,579)		(27,040)		(12,117)
Seasoned RPL/NPL loans	(726)		(584)		(1,249)		(640)
Other loans	—		—		—		—
Total Residential whole loans	$	(24,464)	$	(9,812)	$	(28,836)	$	(13,542)


	June 30, 2026
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Non-QM loans	$	232,699	$	240,855	66	%
Business purpose loans:
Single-family rental loans	$	28,055	$	29,104	65	%
Single-family transitional loans	77,713		91,806		85	%
Multifamily transitional loans	50,176		88,080		160	%
Total Business purpose loans	$	155,944	$	208,990
Seasoned RPL/NPL loans	164,439		180,119		60	%
Other loans	—		—		—	%
Total Residential whole loans	$	553,082	$	629,964


	December 31, 2025
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Non-QM loans	$	218,793	$	222,327	64	%
Business purpose loans:
Single-family rental loans	$	29,967	$	31,395	68	%
Single-family transitional loans	70,821		84,081		83	%
Multifamily transitional loans	54,884		87,595		68	%
Total Business purpose loans	$	155,672	$	203,071
Seasoned RPL/NPL loans	197,511		214,251		60	%
Other loans	—		—		—	%
Total Residential whole loans	$	571,976	$	639,649


	Held at Carrying Value				Held at Fair Value				Total
	Three Months Ended June 30,				Three Months Ended June 30,				Three Months Ended June 30,
(In Thousands)	2026		2025		2026		2025		2026		2025
Non-QM loans	$	7,536	$	9,334	$	75,483	$	60,933	$	83,019	$	70,267
Business purpose loans:
Single-family rental loans	$	1,063	$	1,794	$	17,088	$	19,953	$	18,151	$	21,747
Single-family transitional loans	241		2,114		15,576		21,612		15,817		23,726
Multifamily transitional loans	—		—		6,773		17,308		6,773		17,308
Total Business purpose loans	$	1,304	$	3,908	$	39,437	$	58,873	$	40,741	$	62,781
Seasoned RPL/NPL loans	6,447		7,256		10,301		13,820		16,748		21,076
Other loans	—		—		443		444		443		444
Total Residential whole loans	$	15,287	$	20,498	$	125,664	$	134,070	$	140,951	$	154,568


	Held at Carrying Value				Held at Fair Value				Total
	Six Months Ended June 30,				Six Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025		2026		2025
Non-QM loans	$	15,721	$	19,420	$	148,837	$	116,111	$	164,558	$	135,531
Business purpose loans:
Single-family rental loans	$	2,698	$	3,693	$	34,967	$	40,451	$	37,665	$	44,144
Single-family transitional loans	181		3,828		31,190		45,716		31,371		49,544
Multifamily transitional loans	—		—		15,223		37,262		15,223		37,262
Total Business purpose loans	$	2,879	$	7,521	$	81,380	$	123,429	$	84,259	$	130,950
Seasoned RPL/NPL loans	12,856		14,297		21,463		24,158		34,319		38,455
Other loans	—		—		906		942		906		942
Total Residential whole loans	$	31,456	$	41,238	$	252,586	$	264,640	$	284,042	$	305,878