If this is from a story, I'd be tempted to use inverted commas:
He wasn’t really surprised. "What did the Yanks expect, lending money to trailer trash?" he thought, grateful for the fact that mortgage lending was regulated in the UK.
or perhaps italics:
He wasn’t really surprised. What did the Yanks expect, lending money to trailer trash? he thought, grateful for the fact that mortgage lending was regulated in the UK.
But maybe Vv would find that over fussy. You should always take Verbivore's opinions on such matters before my own.
But Sue, they're only opinions, and I shouldn't value mine over yours. :-)
I did consider quotation marks or italics (and if either were to be employed, I'd go for the italics), but yes, I think too fussy. There are many, many examples of published books where thoughts are not "quoted" or highlighted; the context usually makes the meaning / intention clear.
"STYLE is knowing who you are, what you want to say, and not giving a damn." — Gore Vidal "STYLE is knowing what sort of play you're in." — Sir John Gielgud