The Company accumulates its residential loan portfolio through acquisitions of performing, re-performing and non-performing residential loans and business purpose loans and originations of business purpose loans. It also invests in first loss subordinated securities and certain IOs issued by Freddie Mac-sponsored residential loan securitizations. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitizations and the CDOs issued to permanently finance these residential loans, representing Consolidated SLST. The Company also originates business purpose loans for sale to residential real estate investors through Constructive.

Residential loans are presented at fair value on the Company's condensed consolidated balance sheets as a result of a fair value election. Subsequent changes in fair value are reported in current period earnings and presented in unrealized gains (losses), net on the Company’s condensed consolidated statements of operations.

The following tables present the Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts and residential loans held for sale, as of September 30, 2025 and December 31, 2024, respectively (dollar amounts in thousands):


	September 30, 2025
	Residential loans (1)		Consolidated SLST (2)		Residential loans held in securitization trusts (3)		Total Residential loans		Residential loans held for sale (4)		Total
Principal	$	315,228	$	1,329,199	$	2,707,733	$	4,352,160	$	102,439	$	4,454,599
Premium / (Discount)	270		(62,042)		(28,215)		(89,987)		—		(89,987)
Change in fair value	(7,076)		(84,558)		(18,892)		(110,526)		2,597		(107,929)
Carrying value	$	308,422	$	1,182,599	$	2,660,626	$	4,151,647	$	105,036	$	4,256,683


	December 31, 2024
	Residential loans (1)		Consolidated SLST (2)		Residential loans held in securitization trusts (3)		Total Residential loans
Principal	$	652,642	$	1,111,633	$	2,365,060	$	4,129,335
Discount	(1,750)		(24,303)		(48,702)		(74,755)
Change in fair value	(18,626)		(121,658)		(72,558)		(212,842)
Carrying value	$	632,266	$	965,672	$	2,243,800	$	3,841,738

(1)Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of September 30, 2025 and December 31, 2024 (see Note 13).

(2)The Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in Consolidated SLST and the CDOs issued to permanently finance these residential loans. Consolidated SLST CDOs are included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 14). During the nine months ended September 30, 2025, the Company purchased an additional first loss subordinated security issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated assets and liabilities of the securitization (see Note 7).

(3)The Company's residential loans held in securitization trusts are pledged as collateral for CDOs issued by the Company. These CDOs are accounted for as financings and included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 14).

(4)Certain of the Company's residential loans held for sale, at fair value are pledged as collateral for repurchase agreements and warehouse facilities as of September 30, 2025 (see Note 13).

The following tables present the unrealized gains (losses), net attributable to residential loans, at fair value for the three and nine months ended September 30, 2025 and 2024, respectively (dollar amounts in thousands):


	For the Three Months Ended
	September 30, 2025						September 30, 2024
	Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts		Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts
Unrealized gains (losses), net	$	6,575	$	7,395	$	12,958	$	9,882	$	28,655	$	42,283


	For the Nine Months Ended
	September 30, 2025						September 30, 2024
	Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts		Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts
Unrealized gains (losses), net	$	14,552	$	37,100	$	45,711	$	13,934	$	27,855	$	32,995

(1)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable (see Note 17). See Note 7 for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST, which include unrealized gains (losses) on the residential loans held in Consolidated SLST presented in the table above and unrealized gains (losses) on the CDOs issued by Consolidated SLST.

The Company recognized $5.4 million of net realized losses on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2025. The Company recognized $0.6 million and $2.3 million of net realized gains on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2024, respectively. The Company also recognized $7.1 million of net realized gains on the sale of residential loans, at fair value during the three and nine months ended September 30, 2025. The Company recognized $4.7 million and $1.5 million of net realized gains on the sale of residential loans, at fair value during the three and nine months ended September 30, 2024, respectively.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2025 and December 31, 2024, respectively, are as follows:


	September 30, 2025						December 31, 2024
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans		Consolidated SLST		Residential loans held in securitization trusts
California	14.2	%	11.2	%	16.6	%	23.0	%	11.7	%	20.2	%
Florida	10.2	%	8.7	%	10.5	%	10.4	%	9.1	%	12.2	%
New York	7.2	%	10.7	%	6.7	%	6.6	%	10.8	%	6.6	%
New Jersey	7.1	%	6.2	%	6.1	%	8.0	%	6.8	%	5.2	%
Pennsylvania	6.1	%	3.8	%	5.5	%	5.1	%	3.9	%	3.8	%
Ohio	5.9	%	3.4	%	4.0	%	3.6	%	1.6	%	2.0	%
Texas	4.8	%	4.4	%	7.0	%	6.2	%	4.4	%	7.9	%
Illinois	4.1	%	7.4	%	3.3	%	2.2	%	6.3	%	3.1	%

The following table presents the fair value and aggregate unpaid principal balance of the Company's residential loans and residential loans held in securitization trusts in non-accrual status as of September 30, 2025 and December 31, 2024, respectively (dollar amounts in thousands):


	Greater than 90 days past due				Less than 90 days past due
	Fair Value		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance
September 30, 2025	$	99,764	$	116,087	$	938	$	993
December 31, 2024	159,558		183,067		8,098		8,749

Formal foreclosure proceedings were in process with respect to residential loans with an aggregate fair value of $73.7 million and an aggregate unpaid principal balance of $88.0 million as of September 30, 2025.

Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $139.4 million and $117.1 million were 90 days or more delinquent as of September 30, 2025 and December 31, 2024, respectively. In addition, formal foreclosure proceedings were in process with respect to residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $47.5 million as of September 30, 2025.

Residential loans held for sale, at fair value, consist of business purpose loans originated by Constructive and held for sale to secondary market investors as of September 30, 2025. Residential loans held for sale are presented at fair value on the Company's condensed consolidated balance sheets as a result of a fair value election. Subsequent changes in fair value are reported in current period earnings and presented in mortgage banking activities, net on the Company’s condensed consolidated statements of operations. Direct loan origination costs and loan origination fee income are immediately recognized through earnings as a result of the fair value option election.

The following table details activity of residential loans held for sale between July 15, 2025 and September 30, 2025 (dollar amounts in thousands):


Principal balance of loans acquired through business combination	$	142,324
Principal balance of loans originated	382,443
Principal balance of loans sold to third parties	(213,333)
Proceeds from repayments	(137)
Principal balance of loans transferred from residential loans held for sale to residential loans	(208,858)
Principal balance as of September 30, 2025	$	102,439

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans held for sale, at fair value as of September 30, 2025 are as follows:

The following table summarizes the components of mortgage banking activities, net for the three and nine months ended September 30, 2025 (dollar amounts in thousands):



Residential loan origination and other fees	$	5,511
Gains on residential loans held for sale, net (1)	8,592
Mortgage banking activities, net	$	14,103

(1)Includes gains on sale and unrealized gains, net of provision for loan repurchases, and gains on interest rate lock commitments. Interest rate lock commitments are accounted for by the Company as derivative instruments (see Note 10).