LOANS (Tables)

9 Months Ended

Sep. 30, 2022

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, for the nine months ended September 30, 2022:


	Residential		Corporate Debt		Total
	(dollars in thousands)
Beginning balance January 1, 2022	$	2,272,072	$	1,968,991	$	4,241,063

Purchases / originations	5,008,390		185,269		5,193,659
Sales and transfers (1)	(5,470,437)		(1,902,444)		(7,372,881)



Principal payments	(86,329)		(231,190)		(317,519)
Gains / (losses) (2)	(166,111)		(23,320)		(189,431)
(Amortization) / accretion	(5,948)		2,694		(3,254)

Ending balance September 30, 2022	$	1,551,637	$	—	$	1,551,637


(1) Includes securitizations, syndications, transfers to securitization vehicles and corporate debt transfers to assets of disposal group held for sale and other assets. Includes transfer of residential loans to securitization vehicles with a carrying value of $5.5 billion during the nine months ended September 30, 2022. (2) Includes loan loss allowances.

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles and excluding loan warehouse facilities, at September 30, 2022 and December 31, 2021:


	September 30, 2022		December 31, 2021
	(dollars in thousands)
Fair value	$	10,322,263	$	7,768,507
Unpaid principal balance	$	11,469,486	$	7,535,855

Summary of Comprehensive Income (Loss)

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2022 and 2021 for these investments, excluding loan warehouse facilities:


	For the Three Months Ended				For the Nine Months Ended
	September 30, 2022		September 30, 2021		September 30, 2022		September 30, 2021
	(dollars in thousands)
Interest income	$	109,973	$	45,799	$	275,083	$	121,871
Net gains (losses) on disposal of investments (1)	1,103		(7,154)		(11,555)		(34,095)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)	(541,771)		12,525		(1,281,501)		49,436
Total included in net income (loss)	$	(430,695)	$	51,170	$	(1,017,973)	$	137,212

(1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (Loss)

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2022 and December 31, 2021 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans

September 30, 2022

December 31, 2021

Property location

% of Balance

Property location

% of Balance

California

46.1%

California

50.2%

New York

10.2%

New York

10.9%

Florida

8.1%

Florida

6.1%

All other (none individually greater than 5%)

35.6%

All other (none individually greater than 5%)

32.8%

Total

100.0%

Residential Mortgage Loans

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at September 30, 2022 and December 31, 2021:


	September 30, 2022		December 31, 2021
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$2 - $4,396	$501	$1 - $4,382	$513
Interest rate	2.00% - 15.00%	4.41%	0.75% - 9.24%	4.04%
Maturity	7/1/2029 - 9/1/2062	8/29/2051	7/1/2029 - 12/1/2061	12/22/2050
FICO score at loan origination	588 - 831	760	604 - 831	762
Loan-to-value ratio at loan origination	5% - 100%	67%	8% - 103%	66%