LOANS (Tables)

3 Months Ended

Mar. 31, 2023

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

Loan Investment Activity

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 three months ended March 31, 2023:

	Residential
	(dollars in thousands)
Beginning balance January 1, 2023	$	1,809,832
Purchases / originations	927,497
Sales and transfers (1)	(1,091,342)
Principal payments	(23,526)
Gains / (losses)	21,820
(Amortization) / accretion	(1,459)
Ending balance March 31, 2023	$	1,642,822
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $1.1 billion during the three months ended March 31, 2023.

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 March 31, 2023 and December 31, 2022:

	March 31, 2023		December 31, 2022
	(dollars in thousands)
Fair value	$	11,920,410	$	10,931,744
Unpaid principal balance	$	12,978,189	$	12,247,346

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 months ended March 31, 2023 and 2022 for these investments, excluding loan warehouse facilities:

	For the Three Months Ended
	March 31, 2023		March 31, 2022
	(dollars in thousands)
Interest income	$	147,231	$	73,465
Net gains (losses) on disposal of investments (1)	(776)		(7,338)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)	260,441		(415,248)
Total included in net income (loss)	$	406,896	$	(349,121)
(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 March 31, 2023 and December 31, 2022 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans
March 31, 2023		December 31, 2022
Property location	% of Balance	Property location	% of Balance
California	43.7%	California	44.8%
New York	10.0%	New York	10.3%
Florida	8.9%	Florida	8.3%
Texas	5.3%	Texas	5.1%
All other (none individually greater than 5%)	32.1%	All other (none individually greater than 5%)	31.5%
Total	100.0%		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 March 31, 2023 and December 31, 2022:

	March 31, 2023		December 31, 2022
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$3 - $4,396	$488	$3 - $4,396	$489
Interest rate	2.00% - 15.00%	4.83%	2.00% - 15.00%	4.61%
Maturity	7/1/2029 - 2/1/2063	11/9/2051	7/1/2029 - 1/1/2063	10/6/2051
FICO score at loan origination	588 - 831	759	588 - 831	759
Loan-to-value ratio at loan origination	5% - 100%	68%	5% - 100%	68%