In connection with the Company's securitization of nonperforming mortgage loans (the “2026-MC2 Securitization”), the Company, through VCC Mortgage Securities LLC, a wholly-owned, bankruptcy-remote special purpose subsidiary of the Company (the "Depositor"), retained a Trust Certificate (the “Retained Securities”) issued by VCC 2026-MC2 Trust (the “Trust”).

The Company elected the fair value option under ASC 825-10, Financial Instruments, for the Retained Securities at the date of initial recognition, concurrent with the true sale and derecognition of the underlying nonperforming loan pool under ASC 860-20-30, Transfers and Servicing. The election was made to align the measurement of the Retained Securities with the fair value basis on which the transaction was priced and to avoid bifurcating the embedded credit and interest rate risk inherent in a subordinate beneficial interest in a securitization of nonperforming loans.

The Retained Securities are measured at fair value at each reporting date, with all changes in fair value, including changes attributable to instrument-specific credit risk, recognized in earnings.

The Trust Certificate represents the Company's retained subordinate interest in the underlying pool of mortgage loans transferred in the 2026-MC2 Securitization. The Trust Certificate had a fair value at the Closing Date of approximately 22.0% of the aggregate fair value of the Notes and the Trust Certificate, representing approximately $30.0 million of subordinated, first-loss exposure to the underlying mortgage loan pool.

The following table presents the Company's retained securities, measured at fair value on a recurring basis, by fair value hierarchy level as of June 30, 2026:



June 30, 2026	Level 1		Level 2		Level 3
	(In thousands)
Retained securities, at fair value	$	—	$	—	$	29,924

There were no changes in fair value for the three and six months ended June 30, 2026.

The trust certificate is subject to a bullet repayment structure with no scheduled principal or interest payments prior to its contractual maturity of June 25, 2056. Due to the possibility of prepayment, actual receipt of amounts due may occur prior to the certificate's contractual maturity date, and expected maturities may therefore differ from contractual maturities.

Following the 2026-MC2 Securitization, the Company continues to act as Special Servicer with respect to the mortgage loans transferred to the Trust. The Company's role as Special Servicer is limited to certain administrative functions and does not include primary servicing responsibilities or control over key decisions affecting the transferred loans, which are performed by the Master Servicer and Operating Advisor. Because the Company does not have the unilateral ability to substantively affect the transferred loans' performance, its continuing involvement as Special Servicer does not result in the recognition of a servicing asset or liability.

The Master Servicer and Operating Advisor, is not an affiliate or related party of the Company, as defined under ASC 850, Related Party Disclosures. The Company has no ownership interest in, or common control with the Master Servicer and Operating Advisor, and there are no other relationships between the Company and Master Servicer and Operating Advisor that would require disclosure as a related party transaction under ASC 850.

The Company's maximum exposure to loss as a result of its continuing involvement with, and variable interest in, the VCC 2026-MC2 Trust is limited to the carrying value of its retained securities at fair value of $29.9 million as of June 30, 2026. The Company, as Special Servicer, is not obligated to make servicing advances with respect to the underlying loans, and, other than customary representations, warranties, and indemnification obligations which the Company does not believe are material, has not retained any other recourse, guarantee, or indemnification obligations related to the transferred assets.