v3.25.4

Fair Value | 12 Months Ended
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Dec. 31, 2025
Fair Value Disclosures [Abstract] |
Fair Value | Fair Value The following tables present financial assets and liabilities recorded at fair value on a recurring basis by level within the fair value hierarchy as of December 31, 2025 and 2024:
($ in thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2025 | Carrying value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Assets: |  |  |  |  |  |  |
CMBS, at fair value | $ | 273,783 |  |  | $ | — |  |  | $ | 273,783 |  |  | $ | — |
RMBS available-for-sale, at fair value | 49,237 |  |  | — |  |  | 49,237 |  |  | — |
Other investments | 61,578 |  |  | — |  |  | — |  |  | 61,578 |
Other assets | 17,189 |  |  | — |  |  | — |  |  | 17,189 |
Total | $ | 401,787 |  |  | $ | — |  |  | $ | 323,020 |  |  | $ | 78,767 |
($ in thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2024 | Carrying value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Assets: |  |  |  |  |  |  |
CMBS, at fair value | $ | 246,614 |  |  | $ | — |  |  | $ | 246,614 |  |  | $ | — |
RMBS available-for-sale, at fair value | 62,169 |  |  | — |  |  | 62,169 |  |  | — |
Other investments | 29,916 |  |  | — |  |  | — |  |  | 29,916 |
Total | $ | 338,699 |  |  | $ | — |  |  | $ | 308,783 |  |  | $ | 29,916 |
Reconciliation of Fair Value Measurements Categorized within Level 3 Gains and losses on investments categorized within Level 3 are recorded in other income in the consolidated statements of operations. Gains and losses on warrant liability were recorded in fair value adjustment on mark-to market liabilities in the consolidated statements of operations. The following tables summarize the changes in the Company’s Level 3 financial assets and liabilities measured at fair value on a recurring basis, for the years ended December 31, 2025 and 2024:
($ in thousands) | December 31, 2024 |  | Transfers In / (Out) of Level 3 |  | Purchases / Issuances |  | Investment Sales / Settlements |  | Gains / (Losses) Included in Earnings |  | Gains / (Losses) Included in Other Comprehensive Income |  | December 31, 2025
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Other investments | $ | 29,916 |  |  | $ | — |  |  | $ | 50,000 |  |  | $ | (9,723) |  |  | $ | (8,615) |  |  | $ | — |  |  | $ | 61,578 |
Other assets | — |  |  | — |  |  | 17,189 |  |  | — |  |  | — |  |  | — |  |  | 17,189 |
($ in thousands) | December 31, 2023 |  | Transfers In / (Out) of Level 3 |  | Purchases / Issuances |  | Investment Sales / Settlements |  | Gains / (Losses) Included in Earnings |  | Gains / (Losses) Included in Other Comprehensive Income |  | December 31, 2024
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Other investments | $ | — |  |  | $ | 21,918 |  | (1) | $ | 7,998 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 29,916 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability | 16,644 |  |  | (851) |  | (2) | 2,734 |  |  | (18,677) |  |  | (150) |  |  | — |  |  | — |
(1)Represents reclassification from equity method securities to other investments, at fair value. (2)Represents reclassification from warrant liability, at fair value to equity. See Note 8 for additional details. The Company holds an investment in a REIT, Gaea. As of December 31, 2025, the fair value of the REIT was determined based on the estimated liquidation proceeds of the entity. As of December 31, 2024, the fair value of the properties held by the REIT was estimated using either an implied capitalization rate applied to the trailing and forward 12 month net operating income for each property or, for properties under contract or listed for sale, the contract or listing price. The fair value of the Company’s investment in Gaea was $11.6 million and $21.9 million as of December 31, 2025 and 2024, respectively. The fair value for the Company’s investment in a credit risk transfer instrument (“CRT”) is calculated as the net present value of the expected cash flows on the CRT. The fair value of this investment was $8.0 million as of December 31, 2024. The Company’s CRT investment was fully settled during the year ended December 31, 2025. The Company acquired a commercial loan during the third quarter of 2025. The fair value of this loan was $17.2 million as of December 31, 2025 and is presented within other assets on the consolidated balance sheets. The Company relies on the Manager’s pricing model, as well as vendor pricing, to estimate the underlying cash flows expected to be collected on the loans. Risks inherent in the Company’s commercial loan portfolio affecting the valuation of its loans include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, such as floods or wildfires, or a pandemic and damage to or delay in realizing the value of the underlying collateral. In addition, the Company assesses the expected cash flows from the commercial loans, the fair value of the underlying collateral and other factors and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. As of December 31, 2025, the significant unobservable quantitative input used for the fair value measurement of the commercial loan was a discount rate of 8.5%. At December 31, 2025, the purchase price of the Company’s investment in the Aggregators (as defined in Note 7) of $50.0 million approximated fair value. The fair value of the investment is determined using an income approach, which estimates fair value based on projected net operating income of the underlying high quality office properties. Significant unobservable inputs used in the valuation include a discount rate and capitalization rates, which reflect current market conditions and the risks inherent in the underlying properties and cash flows. Changes in these assumptions could have a material impact on the estimated fair value. The following table summarizes certain information regarding the ranges and weighted averages of inputs used in valuing the Company’s investment in the Aggregators:
|  | Discount Rate |  | Capitalization Rate
December 31, 2025 |  | 8.3% – 13.4% (10.1%) |  | 5.5% – 7.3% (6.2%)
The following tables present financial assets and liabilities not carried at fair value, by level within the fair value hierarchy as of December 31, 2025 and 2024:
($ in thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2025 | Carrying value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Assets: |  |  |  |  |  |  |
Residential mortgage loans held-for-investment, net | $ | 362,829 |  |  | $ | — |  |  | $ | — |  |  | $ | 325,220 |
Residential mortgage loans held-for-sale, net | 29,419 |  |  | — |  |  | — |  |  | 29,419 |
Investment in debt securities held-to-maturity | 41,528 |  |  | — |  |  | 40,318 |  |  | — |
Investment in beneficial interests | 99,179 |  |  | — |  |  | — |  |  | 66,249 |
Liabilities: |  |  |  |  |  |  |
Secured bonds payable, net | $ | 226,243 |  |  | $ | — |  |  | $ | 212,811 |  |  | $ | — |
Repurchase financing agreements | 407,072 |  |  | — |  |  | 407,072 |  |  | — |
Unsecured notes, net | 108,507 |  |  | — |  |  | 107,668 |  |  | — |
($ in thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2024 | Carrying value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Assets: |  |  |  |  |  |  |
Residential mortgage loans held-for-investment, net | $ | 396,052 |  |  | $ | — |  |  | $ | — |  |  | $ | 357,119 |
Residential mortgage loans held-for-sale, net | 27,788 |  |  | — |  |  | — |  |  | 27,788 |
Investment in debt securities held-to-maturity | 46,043 |  |  | — |  |  | 43,947 |  |  | — |
Investment in beneficial interests | 89,704 |  |  | — |  |  | — |  |  | 67,044 |
Liabilities: |  |  |  |  |  |  |
Secured bonds payable, net | $ | 258,353 |  |  | $ | — |  |  | $ | 234,181 |  |  | $ | — |
Repurchase financing agreements | 356,565 |  |  | — |  |  | 356,565 |  |  | — |
Unsecured notes, net | 107,647 |  |  | — |  |  | 104,574 |  |  | — |
The Company relies on the Manager’s pricing model, as well as vendor pricing, to estimate the underlying cash flows expected to be collected on the loans. Risks inherent in the Company’s residential mortgage loan portfolio affecting the valuation of its residential mortgage loans include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, such as floods or wildfires, or a pandemic and damage to or delay in realizing the value of the underlying collateral. In addition, the Company assesses the expected cash flows from the residential mortgage loans, the fair value of the underlying collateral and other factors and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. The fair value of investments in CMBS, RMBS AFS and RMBS HTM is determined using estimates provided by the Company’s third-party pricing vendors which are then reviewed to ensure the resulting yield is comparable to market yields for similar securities. The fair value of RMBS investments in beneficial interests is determined using prices provided by the Company’s third-party pricing vendors which are then reviewed and compared to the Manager’s pricing model to ensure the resulting yield is comparable to market yields for similar securities. The fair value of secured bonds payable is estimated using prices provided by the Company’s third-party pricing vendors, which are then reviewed to ensure the resulting yield is comparable to market yields for similar securities. The Company’s repurchase financing agreements are short-term in nature, and the Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value. Fair value for unsecured notes, net is determined using indicative pricing available from an independent pricing source. The estimated fair values are not necessarily indicative of the amounts the Company could realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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