Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2020

Mortgage Loans on Real Estate

December 31, 2020


Asset Type	Number	Interest Rate	Maturity Date Range	Balance Sheet Reported Amount			Principal Amount of Loans Subject to Delinquent Principal or Interest
(Dollars in Thousands)
Residential Whole Loans, at Carrying Value
Original loan balance $0 - $149,999	3,947	0.00% - 16.00%	9/1/2016-8/25/2058	$	347,041		$	29,614
Original loan balance $150,000 - $299,999	4,341	0.00% - 13.49%	11/1/2018-1/1/2060	832,365			73,749
Original loan balance $300,000 - $449,999	2,064	1.50% - 9.63%	12/1/2018-5/1/2062	667,272			65,629
Original loan balance greater than $449,999	2,760	0.88% - 11.25%	12/1/2018-1/1/2061	2,348,654			286,120
	13,112			$	4,195,332	(1)	$	455,112

Residential Whole Loans, at Fair Value
Original loan balance $0 - $149,999	2,044	0.00% - 14.13%	7/26/2016-1/1/2060	$	167,671		$	70,748
Original loan balance $150,000 - $299,999	1,909	1.95% - 11.53%	3/10/2013-7/1/2060	355,854			167,303
Original loan balance $300,000 - $449,999	1,000	0.00% - 10.75%	5/1/2020-2/1/2060	313,588			165,901
Original loan balance greater than $449,999	669	1.70% - 10.20%	7/1/2017-11/1/2059	379,789			221,669
	5,622			$	1,216,902		$	625,621

	18,734			$	5,412,234	(2)	$	1,080,733

(1)Excludes an allowance for loan losses of $86.8 million at December 31, 2020.

(2)The federal income tax basis is approximately $3.9 billion.

Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate

The following table summarizes the changes in the carrying amounts of residential whole loans during the year ended December 31, 2020:


	For the Year Ended December 31, 2020
(In Thousands)	Residential Whole Loans, at Carrying Value		Residential Whole Loans, at Fair Value
Beginning Balance	$	6,066,345	$	1,381,583
Additions during period:
Purchases	1,431,673		—
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings	N/A		17,204

Deductions during period:
Repayments	(1,565,553)		(92,733)
Premium amortization/discount accretion, net	(11,590)		N/A
Provision for loan loss	(21,447)		N/A
Loan sales and repurchases	(1,766,220)		(18,530)
Transfer to REO	(24,709)		(70,622)
Ending Balance	$	4,108,499	$	1,216,902