XML 47 R27.htm IDEA: XBRL DOCUMENT v3.20.4
Residential Whole Loans (Tables)
 12 Months Ended
Dec. 31, 2020
Receivables [Abstract]  
Residential Whole Loans, at Carrying Value
The following table presents the components of the Company’s Residential whole loans, at carrying value at December 31, 2020 and 2019:
(Dollars In Thousands)December 31, 2020December 31, 2019
Purchased Performing Loans:
Non-QM loans$2,357,185 $3,707,245 
Rehabilitation loans581,801 1,026,097 
Single-family rental loans446,374 460,742 
Seasoned performing loans136,264 176,569 
Total Purchased Performing Loans3,521,624 5,370,653 
Purchased Credit Deteriorated Loans (1)
673,708 698,717 
Total Residential whole loans, at carrying value$4,195,332 $6,069,370 
Allowance for credit losses on residential whole loans held at carrying value(86,833)(3,025)
Total Residential whole loans at carrying value, net$4,108,499 $6,066,345 
Number of loans13,112 17,082 

(1) The amortized cost basis of Purchased Credit Deteriorated Loans was increased by $62.6 million on January 1, 2020 in connection with the adoption of ASU 2016-13.
Schedule of Interest Income Components
The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value for the years ended December 31, 2020, 2019 and 2018:
For the Year Ended December 31,
(In Thousands)202020192018
Purchased Performing Loans:
Non-QM loans$136,527 $116,282 $31,036 
Rehabilitation loans49,484 54,419 15,975 
Single-family rental loans27,722 17,742 3,315 
Seasoned performing loans8,793 12,191 5,818 
Total Purchased Performing Loans222,526 200,634 56,144 
Purchased Credit Deteriorated Loans36,238 43,346 44,777 
Total Residential whole loans, at carrying value$258,764 $243,980 $100,921 
Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at December 31, 2020:

December 31, 2020
Carrying ValueAmortized Cost BasisUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (1)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (2)
Weighted Average Original FICO (3)
Aging by Amortized Cost Basis
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased Performing Loans:
Non-QM loans (4)
$2,336,117 $2,357,185 $2,294,086 5.84 %35164 %712$2,099,134 $73,163 $36,501 $148,387 
Rehabilitation loans (4)
563,430 581,801 581,801 7.29 363 719390,706 29,315 25,433 136,347 
Single-family rental loans (4)
442,456 446,374 442,208 6.32 32470 730415,386 6,652 3,948 20,388 
Seasoned performing loans (4)
136,157 136,264 149,004 3.30 17140 723124,877 2,186 1,170 8,031 
Purchased Credit Deteriorated Loans (4)(5)
630,339 673,708 782,319 4.46 28776 N/AN/MN/MN/M119,621 
Residential whole loans, at carrying value, total or weighted average$4,108,499 $4,195,332 $4,249,418 5.77 %282

December 31, 2019
Carrying ValueAmortized Cost BasisUnpaid Principal Balance (“UPB”)
Weighted Average Coupon (1)
Weighted Average Term to Maturity (Months)
Weighted Average LTV Ratio (2)
Weighted Average Original FICO (3)
Aging by UPB
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased
   Performing Loans:
Non-QM loans (4)
$3,706,857 $3,707,245 $3,592,701 5.96 %36867 %716$3,492,533 $59,963 $19,605 $20,600 
Rehabilitation loans (4)
1,023,766 1,026,097 1,026,097 7.30 864 717868,281 67,747 27,437 62,632 
Single-family rental loans (4)
460,679 460,741 457,146 6.29 32470 734432,936 15,948 2,047 6,215 
Seasoned performing loans
176,569 176,569 192,151 4.24 18146 723187,683 2,164 430 1,874 
Purchased Credit Impaired Loans (5)
698,474 698,718 873,326 4.46 29481 N/AN/MN/MN/M108,998 
Residential whole loans, at carrying value, total or weighted average
$6,066,345 $6,069,370 $6,141,421 5.96 %288

(1)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees.
(2)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $189.9 million and $269.2 million at December 31, 2020 and December 31, 2019, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at December 31, 2020 and December 31, 2019, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
(3)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.
(4)At December 31, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses.
(5)Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent.
The following tables present certain additional credit-related information regarding our residential whole loans:

Amortized Cost Basis by Origination Year and LTV Bands
(Dollars In Thousands)20202019201820172016PriorTotal
Non-QM loans
LTV < 80% (1)
$429,241 $1,111,534 $621,201 $67,547 $5,597 $— $2,235,120 
LTV >= 80% (1)
59,931 29,185 24,163 8,634 152 — 122,065 
Total Non-QM loans$489,172 $1,140,719 $645,364 $76,181 $5,749 $— $2,357,185 
Year Ended December 31, 2020 Gross write-offs$— $117 $— $— $117 
Year Ended December 31, 2020 Recoveries— — — — — — — 
Year Ended December 31, 2020 Net write-offs$— $— $117 $— $— $— $117 
Rehabilitation loans
LTV < 80% (1)
$44,153 $448,646 $70,046 $4,203 $— $— $567,048 
LTV >= 80% (1)
774 11,731 548 1,700 — — 14,753 
Total Rehabilitation loans$44,927 $460,377 $70,594 $5,903 $— $— $581,801 
Year Ended December 31, 2020 Gross write-offs$— $21 $1,447 $32 $— $— $1,500 
Year Ended December 31, 2020 Recoveries— — — — — — — 
Year Ended December 31, 2020 Net write-offs$— $21 $1,447 $32 $— $— $1,500 
Single family rental loans
LTV < 80% (1)
$34,342 $267,165 $117,523 $13,119 $— $— $432,149 
LTV >= 80% (1)
1,394 12,619 212 — — — 14,225 
Total Single family rental loans$35,736 $279,784 $117,735 $13,119 $— $— $446,374 
Year Ended December 31, 2020 Gross write-offs$— $— $— $— $— $— $— 
Year Ended December 31, 2020 Recoveries— — — — — — — 
Year Ended December 31, 2020 Net write-offs$— $— $— $— $— $— $— 
Seasoned performing loans
LTV < 80% (1)
$— $— $— $— $— $130,316 $130,316 
LTV >= 80% (1)
— — — — 79 5,869 5,948 
Total Seasoned performing loans$— $— $— $— $79 $136,185 $136,264 
Year Ended December 31, 2020 Gross write-offs$— $— $— $— $— $— $— 
Year Ended December 31, 2020 Recoveries— — — — — — — 
Year Ended December 31, 2020 Net write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV < 80% (1)
$— $— $— $630 $4,872 $427,193 $432,695 
LTV >= 80% (1)
— — — — 1,260 239,753 241,013 
Total Purchased credit deteriorated loans$— $— $— $630 $6,132 $666,946 $673,708 
Year Ended December 31, 2020 Gross write-offs$— $— $— $— $— $768 $768 
Year Ended December 31, 2020 Recoveries— — — — — — — 
Year Ended December 31, 2020 Net write-offs$— $— $— $— $— $768 $768 
Total LTV < 80% (1)
$507,736 $1,827,345 $808,770 $85,499 $10,469 $557,509 $3,797,328 
Total LTV >= 80% (1)
62,099 53,535 24,923 10,334 1,491 245,622 398,004 
Total residential whole loans, at carrying value$569,835 $1,880,880 $833,693 $95,833 $11,960 $803,131 $4,195,332 
Total Gross write-offs$— $21 $1,564 $32 $— $768 $2,385 
Total Recoveries— — — — — — — 
Total Net write-offs$— $21 $1,564 $32 $— $768 $2,385 
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $189.9 million at December 31, 2020, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at December 31, 2020. Certain low value loans secured by vacant lots are categorized as LTV >= 80%.


The following table presents certain information regarding the LTVs of the Company’s Residential whole loans that are 90 days or more delinquent:

December 31, 2020
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Credit Deteriorated Loans$119,621 $145,028 86.7 %
Non-QM loans$148,387 $144,681 65.9 %
Rehabilitation loans$136,347 $136,347 65.8 %
Single-family rental loans$20,388 $20,233 72.7 %
Seasoned performing loans$8,031 $8,823 55.1 %
Residential whole loans, at fair value$571,729 $625,621 86.8 %
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
Schedule of Activity in Allowance for Loan Losses, Residential Whole Loans
The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value:
For the Year Ended December 31, 2020
(Dollars In Thousands)Non-QM Loans
Rehabilitation Loans (1)(2)
Single-family Rental LoansSeasoned Performing Loans
Purchased Credit Deteriorated Loans (3)
Totals
Allowance for credit losses at December 31, 2019$388 $2,331 $62 $— $244 $3,025 
Transition adjustment on adoption of ASU 2016-13 (4)
6,904 517 754 19 62,361 70,555 
Current provision26,358 33,213 6,615 230 8,481 74,897 
Write-offs— (428)— — (219)(647)
Valuation adjustment on loans held for sale70,181 — — — — 70,181 
Allowance for credit and valuation losses at March 31, 2020$103,831 $35,633 $7,431 $249 $70,867 $218,011 
Current provision/(reversal)(2,297)(5,213)(500)(25)(2,579)(10,614)
Write-offs— (420)— — (207)(627)
Valuation adjustment on loans held for sale(70,181)— — — — (70,181)
Allowance for credit losses at June 30, 2020$31,353 $30,000 $6,931 $224 $68,081 $136,589 
Current provision/(reversal)(4,568)(7,140)(1,906)(74)(16,374)(30,062)
Write-offs(32)(227)— — (22)(281)
Allowance for credit losses at September 30, 2020$26,753 $22,633 $5,025 $150 $51,685 $106,246 
Current provision/(reversal)(5,599)(3,837)(1,107)(43)(7,997)(18,583)
Write-offs(86)(425)— — (319)(830)
Allowance for credit losses at December 31, 2020$21,068 $18,371 $3,918 $107 $43,369 $86,833 

For the Year Ended December 31, 2019
(Dollars In Thousands)Non-QM LoansRehabilitation LoansSingle-family Rental LoansSeasoned Performing LoansPurchased Credit Deteriorated LoansTotals
Allowance for credit losses at December 31, 2018$— $— $— $— $968 $968 
Current provision— 500 — — 183 683 
Write-offs— — — — — — 
Allowance for credit losses at March 31, 2019$— $500 $— $— $1,151 $1,651 
Current provision— — — — 385 385 
Write-offs— (50)— — — (50)
Allowance for credit losses at June 30, 2019$— $450 $— $— $1,536 $1,986 
Current provision— — — — 347 347 
Write-offs— (62)— — — (62)
Allowance for credit losses at September 30, 2019$— $388 $— $— $1,883 $2,271 
Current provision/(reversal)388 2,220 62 — (1,639)1,031 
Write-offs— (277)— — — (277)
Allowance for credit losses at December 31, 2019$388 $2,331 $62 $— $244 $3,025 

(1)In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $60.6 million, with an allowance for credit losses of $1.2 million at December 31, 2020. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9).
(2)Includes $161.8 million of loans that were assessed for credit losses based on a collateral dependent methodology.
(3)Includes $70.3 million of loans that were assessed for credit losses based on a collateral dependent methodology.
(4)Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans.
Residential Whole Loans, Fair Value
The following table presents information regarding the Company’s residential whole loans held at fair value at December 31, 2020 and 2019:
 (Dollars in Thousands)
December 31, 2020December 31, 2019
Less than 60 Days Past Due:
Outstanding principal balance
$602,292 $666,026 
Aggregate fair value
$595,521 $641,616 
Weighted Average LTV Ratio (1)
72.57 %76.69 %
Number of loans
3,033 3,159 
60 Days to 89 Days Past Due:
Outstanding principal balance
$54,180 $58,160 
Aggregate fair value
$49,652 $53,485 
Weighted Average LTV Ratio (1)
82.11 %79.48 %
Number of loans
263 313 
90 Days or More Past Due:
Outstanding principal balance$625,621 $767,320 
Aggregate fair value$571,729 $686,482 
Weighted Average LTV Ratio (1)
86.78 %89.69 %
Number of loans2,326 2,983 
    Total Residential whole loans, at fair value$1,216,902 $1,381,583 

(1)LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans
The following table presents the components of Net gain on residential whole loans measured at fair value through earnings for the years ended December 31, 2020, 2019 and 2018:
For the Year Ended December 31,
 (In Thousands)202020192018
Coupon payments, realized gains, and other income received (1)
$72,700 $91,438 $81,602 
Net unrealized gains17,204 47,849 36,725 
Net gain on transfers to REO
4,309 19,043 19,292 
    Total$94,213 $158,330 $137,619 
(1)Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans.