
(In Thousands)	June 30, 2026		December 31, 2025


REO	$	128,090	$	135,035
Commercial REO	12,762		19,885
Goodwill	61,076		61,076
Intangibles, net (1)	2,000		2,600
Capital contributions made to loan origination partners	21,088		20,182
Commercial loans	4,510		6,079
Interest receivable	108,840		111,118
Other loan related receivables	7,054		8,874
Lease right-of-use asset (2)	9,358		42,810
Other	73,630		81,488
Total Other Assets	$	428,408	$	489,147

(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).

At June 30, 2026, $128.1 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or a similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $40.7 million of residential whole loans held at carrying value and $228.1 million of residential whole loans held at fair value at June 30, 2026.


	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars In Thousands)	2026		2025		2026		2025
Balance at beginning of period	$	138,651	$	130,634	$	135,035	$	130,854
Adjustments to record at lower of cost or fair value	(3,060)		(3,565)		(7,078)		(6,777)
Transfer from residential whole loans (1)	21,735		30,286		46,988		55,734
Purchases and capital improvements, net	9		182		34		317
Disposals and other (2)	(29,245)		(21,713)		(46,889)		(44,304)
Balance at end of period	$	128,090	$	135,824	$	128,090	$	135,824
Number of properties	298		377		298		377

(1)During the three and six months ended June 30, 2026, the Company recognized $(10.5) million and $(10.7) 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 six months ended June 30, 2025, the Company recognized $(4.4) million and $(4.4) 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 six months ended June 30, 2026, the Company sold 76 and 144 REO properties for consideration of $30.7 million and $48.8 million, realizing net gains of approximately $1.6 million and $2.1 million, respectively. During the three and six months ended June 30, 2025, the Company sold 107 and 201 REO properties for consideration of $21.8 million and $46.0 million, realizing net gains of approximately $0.6 million and $2.3 million, respectively. These amounts are included in Other Income/(Loss), net on the Company’s consolidated statements of operations.

In the third quarter of 2024, the Company received 75% and 49% interests, respectively, in two VIEs through foreclosure of a multifamily property and a senior living facility underlying delinquent commercial mortgage loans. Each of these entities was determined to be a VIE but the Company was not determined to be the primary beneficiary; as a result, the investments in the entities are considered equity method investments. Each entity accounts for its respective commercial REO property (the “Commercial REO”) similarly to the manner in which the Company accounts for its residential REO. The entities generally do not own any other significant assets or carry any significant liabilities, except that the two entities contain properties encumbered by third-party financing. As of December 31, 2025, one property was considered held-for-investment and one property was considered held-for-sale. During the quarter ended June 30, 2026, the property that was held-for-investment was transferred to held-for-sale status. During the six months ended June 30, 2026, the senior living facility property considered held-for-sale was sold for net proceeds of $17.4 million, with the Company’s share of the net realized gain totaling $0.4 million.

On July 1, 2021, the Company completed the acquisition of Lima One. In connection with the acquisition of Lima One, the Company identified and recorded goodwill of $61.1 million and finite-lived intangible assets totaling $28.0 million. For the Lima One reporting unit, through the most recent testing date (October 1, 2025), no impairment has been recorded since the goodwill was initially recognized as the estimated fair value of the reporting unit has consistently exceeded its carrying value. Key assumptions used in the valuation included loan origination volume, expense levels, discount rates and capitalization multiples, all of which are subject to variability in the current market.


(Dollars in Thousands)	Carrying Value at December 31, 2025		Amortization Six months ended June 30, 2026		Carrying Value at June 30, 2026		Amortization Period (Years) (1)
Trademarks / Trade Names	$	2,200	$	(200)	$	2,000	10
Internally Developed Software	400		(400)		—		5
Total Identified Intangibles	$	2,600	$	(600)	$	2,000

The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom the Company sources residential mortgage loans through both flow arrangements and bulk purchases. At June 30, 2026, the carrying value of these investments (including adjustments for impairments or mark-to-market changes) was $21.1 million, including $6.0 million of common equity (including partnership interests) and $15.1 million of preferred equity.

Prior to December 31, 2024, the Company had elected to account for certain of these investments pursuant to the fair value option, where changes in estimated fair value were recorded in the statement of operations. Such changes in estimated fair value resulted in gains (losses) being recorded of $0.5 million and $0.9 million during the three and six months ended June 30, 2026, respectively, and $2.6 million and $3.4 million during the three and six months ended June 30, 2025, respectively.

For certain of the Company’s investments, the interests acquired to date by the Company generally do not have a readily determinable fair value. Consequently, the Company accounts for these interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. In addition, for certain partners, options or warrants have also been acquired that provide the Company with the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results.

As of December 31, 2025, the Company owned two participations in commercial mortgage bridge loans, which are accounted for at fair value under the fair value option, and are classified as Level 3 fair value measurements in the fair value hierarchy. Each of the participations is 75% of the total UPB of the related loans and the remaining interest in each loan was retained by the originator of such loan. The commercial mortgage loans are collateralized by one multifamily property and one office property. The commercial mortgage loans are first liens and bear variable interest rates. During the six months ended June 30, 2026, the commercial mortgage loan secured by the office property was sold for $1.6 million, realizing losses, before the impact of the reversal of previously recognized unrealized losses, of $2.8 million. Upon sale, the Company reversed $3.0 million of previously recognized unrealized losses, resulting in a net gain on sale of $0.2 million. Only the commercial mortgage loan secured by the multifamily property remains as of June 30, 2026.


(Dollars In Thousands)	Fair Value / Carrying Value		UPB		Weighted Average Coupon (1)		Weighted Average Term to Maturity (Months)	UPB 60+ Days Delinquent		Weighted Average LTV Ratio
Commercial Loans - June 30, 2026	$	4,510	$	4,510	10.58	%	0	$	4,510	80	%
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.

The Company’s derivative instruments include both interest rate swap agreements and ERIS swap futures, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on the Secured Overnight Financing Rate (“SOFR”), on the notional amount of the interest rate swap, or entered into futures contracts designed to replicate the economics of such an arrangement. At June 30, 2026, none of the Company’s Swaps were designated as hedges for accounting purposes.

Variation margin payments on the Company’s Swaps are treated as a legal settlement of the exposure under the related Swap contract, the effect of which reduces what would have otherwise been reported as the fair value of the Swap, generally to zero.

As of June 30, 2026, the Company had Swaps with an aggregate notional amount of $5.7 billion and an average maturity of approximately 52 months with a maximum term of approximately 123 months. The following table presents information about the Company’s Swaps at June 30, 2026 and December 31, 2025:


	June 30, 2026						December 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 months	—		—		—		—		—		—
Over 3 months to 6 months	450,000		1.12		3.68		—		—		—
Over 6 months to 12 months	975,000		1.73		3.68		450,000		1.12		3.87
Over 12 months to 24 months	90,000		3.25		3.68		1,065,000		1.85		3.87
Over 24 months to 36 months	733,000		3.13		3.68		341,500		3.23		3.87
Over 36 months to 48 months	22,800		3.17		3.68		332,800		2.96		3.87
Over 48 months to 60 months	1,849,700		3.35		3.68		1,463,900		3.36		3.87
Over 60 months to 72 months	29,000		3.99		3.68		—		—		—
Over 72 months	1,554,200		3.60		3.68		827,300		3.36		3.87
Total Swaps	$	5,703,700	2.94	%	3.68	%	$	4,480,500	2.74	%	3.87	%

(2)As of June 30, 2026, the aggregate notional amounts of Swaps include $2.1 billion of interest rate swap agreements and $3.6 billion of ERIS swap futures. As of December 31, 2025, the aggregate notional amounts of Swaps include $2.1 billion of interest rate swap agreements and $2.4 billion of ERIS swap futures.


	Three Months Ended June 30,				Six Months Ended June 30,
(In Thousands)	2026		2025		2026		2025
Income on Swaps variable receive leg	$	48,777	$	36,850	$	92,187	$	70,927
Expense on Swaps fixed pay leg	(37,946)		(21,367)		(70,311)		(40,191)
Unrealized mark-to-market gain/(loss)	33,155		(15,391)		59,921		(60,233)
Net price alignment expense on margin collateral received	(714)		(1,169)		(1,041)		(2,635)
Realized gain/(loss) on terminated Swaps	536		(17,174)		(6,223)		(17,174)


Net gain/(loss) on TBA long positions	(168)		—		1,168		—
TBA dollar roll income	985		—		985		—
Total Net gain/(loss) on derivatives	$	44,625	$	(18,251)	$	76,686	$	(49,306)

The Company entered into long positions in certain TBA securities in order to acquire Agency MBS. The table below summarizes open long positions in TBA securities as of June 30, 2026, which had an aggregate value of $2.7 million and were included in Other assets on the Company’s consolidated balance sheets. The Company did not have any open positions in TBA securities at December 31, 2025.