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Residential Whole Loans (Tables)
 9 Months Ended
Sep. 30, 2021
Receivables [Abstract]  
Residential whole loans, at carrying and fair value
The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at September 30, 2021 and December 31, 2020:
Held at Carrying ValueHeld at Fair ValueTotal
(Dollars In Thousands)September 30, 2021December 31, 2020September 30, 2021December 31, 2020September 30, 2021December 31, 2020
Purchased Performing Loans:
Non-QM loans$1,683,025 $2,357,185 $1,152,547 $— $2,835,572 $2,357,185 
Rehabilitation loans294,622 581,801 301,602 — 596,224 581,801 
Single-family rental loans368,927 446,374 372,135 — 741,062 446,374 
Seasoned performing loans110,162 136,264 — — 110,162 136,264 
Agency eligible investor loans— — 1,126,477 — 1,126,477 — 
Total Purchased Performing Loans$2,456,736 $3,521,624 $2,952,761 $— $5,409,497 $3,521,624 
Purchased Credit Deteriorated Loans$575,230 $673,708 $— $— $575,230 $673,708 
Allowance for Credit Losses$(44,102)$(86,833)$— $— $(44,102)$(86,833)
Purchased Non-Performing Loans$— $— $1,140,837 $1,216,902 $1,140,837 $1,216,902 
Total Residential Whole Loans$2,987,864 $4,108,499 $4,093,598 $1,216,902 $7,081,462 $5,325,401 
Number of loans10,361 13,112 12,307 5,622 22,668 18,734 
Financing receivable credit quality indicators
The following table presents additional information regarding the Company’s Residential whole loans at September 30, 2021 and December 31, 2020:
September 30, 2021
Fair Value / Carrying ValueUnpaid 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$2,825,883 $2,737,998 5.36 %35064 %725$2,526,620 $65,991 $18,902 $126,485 
Rehabilitation loans587,539 594,366 7.27 866 726469,292 17,939 3,432 103,703 
Single-family rental loans739,428 717,552 5.69 33070 731690,822 1,834 1,033 23,863 
Seasoned performing loans110,112 120,444 2.86 16438 722109,331 1,095 616 9,402 
Agency eligible investor loans (4)
963,462 936,748 3.40 35662 767933,633 2,818 297 — 
Total Purchased Performing Loans5,226,424 $5,107,108 5.21 %304
Purchased Credit Deteriorated Loans$551,186 $674,367 4.55 %28469 %N/A481,330 50,991 18,857 123,189 
Purchased Non-Performing Loans$1,140,837 $1,137,666 4.88 %28574 %N/A$517,924 $94,139 $39,605 $485,998 
Residential whole loans, total or weighted average$6,918,447 $6,919,141 5.10 %299

December 31, 2020
Fair Value / Carrying ValueUnpaid 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$2,336,117 $2,294,086 5.84 %35164 %712$2,042,405 $71,303 $35,697 $144,681 
Rehabilitation loans563,430 581,801 7.29 363 719390,706 29,315 25,433 136,347 
Single-family rental loans442,456 442,208 6.32 32470 730411,377 6,691 3,907 20,233 
Seasoned performing loans 136,157 149,004 3.30 17140 723136,778 2,248 1,155 8,823 
Total Purchased Performing Loans3,478,160 $3,467,099 6.04 %281
Purchased Credit Deteriorated Loans630,339 $782,319 4.46 %28776 N/A544,803 65,791 26,697 145,028 
Purchased Non-Performing Loans1,216,902 $1,282,093 4.87 %29080 N/A497,299 104,993 54,180 625,621 
Residential whole loans, total or weighted average$5,325,401 $5,531,511 5.54 %284

(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 $142.7 million and $189.9 million at September 30, 2021 and December 31, 2020, 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 70% and 69% at September 30, 2021 and December 31, 2020, 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)Excluded from the table above are approximately $163.0 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of September 30, 2021.
The following table presents certain additional credit-related information regarding our Residential whole loans, at Carrying Value:
Amortized Cost Basis by Origination Year and LTV Bands
(Dollars In Thousands)20212020201920182017PriorTotal
Non-QM loans
LTV <= 80% (1)
$71,860 $321,875 $770,456 $407,943 $40,381 $4,228 $1,616,743 
LTV > 80% (1)
4,191 28,369 15,709 14,686 3,177 150 66,282 
Total Non-QM loans$76,051 $350,244 $786,165 $422,629 $43,558 $4,378 $1,683,025 
Nine Months Ended September 30, 2021 Gross write-offs$— $— $— $37 $— $— $37 
Nine Months Ended September 30, 2021 Recoveries— — — — — — — 
Nine Months Ended September 30, 2021 Net write-offs$— $— $— $37 $— $— $37 
Rehabilitation loans
LTV <= 80% (1)
$13,717 $27,910 $214,618 $31,228 $3,427 $— $290,900 
LTV > 80% (1)
— — 1,226 796 1,700 — 3,722 
Total Rehabilitation loans$13,717 $27,910 $215,844 $32,024 $5,127 $— $294,622 
Nine Months Ended September 30, 2021 Gross write-offs$— $— $1,059 $468 $123 $— $1,650 
Nine Months Ended September 30, 2021 Recoveries— — — — — — — 
Nine Months Ended September 30, 2021 Net write-offs$— $— $1,059 $468 $123 $— $1,650 
Single family rental loans
LTV <= 80% (1)
$15,502 $37,089 $208,010 $91,783 $10,537 $— $362,921 
LTV > 80% (1)
— 513 5,406 87 — — 6,006 
Total Single family rental loans$15,502 $37,602 $213,416 $91,870 $10,537 $— $368,927 
Nine Months Ended September 30, 2021 Gross write-offs$— $— $56 $— $— $— $56 
Nine Months Ended September 30, 2021 Recoveries— — — — — — — 
Nine Months Ended September 30, 2021 Net write-offs$— $— $56 $— $— $— $56 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $105,348 $105,348 
LTV > 80% (1)
— — — — — 4,814 4,814 
Total Seasoned performing loans$— $— $— $— $— $110,162 $110,162 
Nine Months Ended September 30, 2021 Gross write-offs$— $— $— $— $— $— $— 
Nine Months Ended September 30, 2021 Recoveries— — — — — — — 
Nine Months Ended September 30, 2021 Net write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $621 $421,264 $421,885 
LTV > 80% (1)
— — — — — 153,345 153,345 
Total Purchased credit deteriorated loans$— $— $— $— $621 $574,609 $575,230 
Nine Months Ended September 30, 2021 Gross write-offs$— $— $— $— $— $406 $406 
Nine Months Ended September 30, 2021 Recoveries— — — — — — — 
Nine Months Ended September 30, 2021 Net write-offs$— $— $— $— $— $406 $406 
Total LTV <= 80% (1)
$101,079 $386,874 $1,193,084 $530,954 $54,966 $530,840 $2,797,797 
Total LTV > 80% (1)
4,191 28,882 22,341 15,569 4,877 158,309 234,169 
Total residential whole loans, at carrying value$105,270 $415,756 $1,215,425 $546,523 $59,843 $689,149 $3,031,966 
Total Gross write-offs$— $— $1,115 $505 $123 $406 $2,149 
Total Recoveries— — — — — — — 
Total Net write-offs$— $— $1,115 $505 $123 $406 $2,149 
(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 $142.7 million at September 30, 2021, 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 70% at September 30, 2021. Certain low value loans secured by vacant lots are categorized as LTV > 80%.

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

September 30, 2021
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Residential whole loans, at carrying value
Purchased credit deteriorated loans$100,905 $123,189 79.8 %
Non-QM loans$121,741 $119,572 64.5 %
Rehabilitation loans$101,012 $101,012 68.6 %
Single-family rental loans$22,767 $22,771 73.6 %
Seasoned performing loans$8,671 $9,402 51.3 %
Total Residential whole loans, at carrying value$355,096 $375,946 
Residential whole loans, at fair value
Purchased non-performing loans$484,510 $485,998 81.2 %
Purchased performing loans$10,391 $10,696 62.7 %
Total Residential whole loans, at fair value$494,901 $496,694 

December 31, 2020
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Residential whole loans, at carrying value
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 %
Total Residential whole loans, at carrying value$432,774 $455,112 
Residential whole loans, at fair value
Purchased non-performing loans$571,729 $625,621 86.8 %
Purchased performing loans$— $— — %
Total Residential whole loans, at fair value$571,729 $625,621 

(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 credit losses
The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value:
Nine Months Ended September 30, 2021
(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, 2020$21,068 $18,371 $3,918 $107 $43,369 $86,833 
Current provision(6,523)(3,700)(1,172)(41)(10,936)(22,372)
Write-offs— (1,003)— — (214)(1,217)
Allowance for credit losses at March 31, 2021$14,545 $13,668 $2,746 $66 $32,219 $63,244 
Current provision/(reversal)(2,416)(1,809)(386)(9)(3,963)(8,583)
Write-offs(37)(255)— — (108)(400)
Allowance for credit losses at June 30, 2021$12,092 $11,604 $2,360 $57 $28,148 $54,261 
Current provision/(reversal)(2,403)(2,526)(670)(7)(4,020)(9,626)
Write-offs— (393)(56)— (84)(533)
Allowance for credit losses at September 30, 2021$9,689 $8,685 $1,634 $50 $24,044 $44,102 

Nine Months Ended September 30, 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 

(1)In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $29.2 million and $73.2 million as of September 30, 2021 and 2020, respectively, with an allowance for credit losses of $355,000 and $1.6 million at September 30, 2021 and 2020, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9).
(2)Includes $94.9 million and $143.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2021 and 2020, respectively.
(3)Includes $57.4 million and $72.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2021 and 2020, respectively.
(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.
Schedule of interest income components
The following tables present the components of interest income on the Company’s Residential whole loans for the three and nine months ended September 30, 2021 and 2020:
Held at Carrying ValueHeld at Fair ValueTotal
Three Months Ended
September 30,		Three Months Ended
September 30,		Three Months Ended
September 30,
 (In Thousands)202120202021202020212020
Purchased Performing Loans:
Non-QM loans$17,437 $25,884 $6,454 $— $23,891 $25,884 
Rehabilitation loans5,808 10,863 4,110 — 9,918 10,863 
Single-family rental loans6,074 6,917 3,423 — 9,497 6,917 
Seasoned performing loans1,728 1,945 — — 1,728 1,945 
Agency eligible investor loans— — 3,360 — 3,360 — 
Total Purchased Performing Loans$31,047 $45,609 $17,347 $— $48,394 $45,609 
Purchased Credit Deteriorated Loans$10,504 $8,784 $— $— $10,504 $8,784 
Purchased Non-Performing Loans$— $— $20,704 $16,555 $20,704 $16,555 
Total Residential Whole Loans$41,551 $54,393 $38,051 $16,555 $79,602 $70,948 

Held at Carrying ValueHeld at Fair ValueTotal
Nine Months Ended
September 30,		Nine Months Ended
September 30,		Nine Months Ended
September 30,
 (In Thousands)202120202021202020212020
Purchased Performing Loans:
Non-QM loans$59,789 $112,212 $8,258 $— $68,047 $112,212 
Rehabilitation loans19,429 39,502 4,485 — 23,914 39,502 
Single-family rental loans19,594 21,528 3,890 — 23,484 21,528 
Seasoned performing loans5,260 6,799 — — 5,260 6,799 
Agency eligible investor loans— — 3,622 — 3,622 — 
Total Purchased Performing Loans$104,072 $180,041 $20,255 $— $124,327 $180,041 
Purchased Credit Deteriorated Loans$30,097 $27,265 $— $— $30,097 $27,265 
Purchased Non-Performing Loans$— $— $58,732 $54,513 $58,732 $54,513 
Total Residential Whole Loans$134,169 $207,306 $78,987 $54,513 $213,156 $261,819 
Residential whole loans, fair value, component of net gain on residential whole loans
The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three and nine months ended September 30, 2021 and 2020:
Three Months Ended
September 30,		Nine Months Ended
September 30,
 (In Thousands)2021202020212020
Net unrealized gains/(losses)$20,494 $58,863 $58,807 $(13,683)
Other Income (1)
1,321 1,453 518 3,601 
    Total$21,815 $60,316 $59,325 $(10,082)
(1)Primarily includes cash payments received from private mortgage insurance on liquidated loans and losses on liquidations of non-performing loans.