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Residential Whole Loans
 3 Months Ended
Mar. 31, 2022
Receivables [Abstract]  
Residential Whole Loans Residential Whole Loans
Included on the Company’s consolidated balance sheets at March 31, 2022 and December 31, 2021 are approximately $8.3 billion and $7.9 billion, respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for Purchased Non-performing Loans.

The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2022 and December 31, 2021:
Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)March 31, 2022December 31, 2021March 31, 2022December 31, 2021March 31, 2022December 31, 2021
Purchased Performing Loans:
Non-QM loans$1,265,731 $1,448,162 $2,391,632 $2,013,369 $3,657,363 $3,461,531 
Rehabilitation loans154,508 217,315 735,849 517,530 890,357 734,845 
Single-family rental loans283,090 331,808 870,407 619,415 1,153,497 951,223 
Seasoned performing loans98,269 102,041 — — 98,269 102,041 
Agency eligible investor loans— — 991,633 1,082,765 991,633 1,082,765 
Total Purchased Performing Loans$1,801,598 $2,099,326 $4,989,521 $4,233,079 $6,791,119 $6,332,405 
Purchased Credit Deteriorated Loans$518,450 $547,772 $— $— $518,450 $547,772 
Allowance for Credit Losses$(35,457)$(39,447)$— $— $(35,457)$(39,447)
Purchased Non-Performing Loans$— $— $987,794 $1,072,270 $987,794 $1,072,270 
Total Residential Whole Loans$2,284,591 $2,607,651 $5,977,315 $5,305,349 $8,261,906 $7,913,000 
Number of loans8,506 9,361 16,706 14,734 25,212 24,095 
The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2022 and December 31, 2021:
March 31, 2022
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 (4)
$3,621,124 $3,670,937 4.92 %35665 %733$3,431,011 $119,445 $30,355 $90,126 
Rehabilitation loans885,155 886,942 7.11 1267 740783,366 14,118 3,178 86,280 
Single-family rental loans1,152,195 1,168,778 5.26 32470 7351,133,996 13,436 547 20,799 
Seasoned performing loans98,224 107,624 2.71 15936 72298,569 634 97 8,324 
Agency eligible investor loans991,633 1,034,815 3.40 35162 7671,026,214 7,595 814 192 
Total Purchased Performing Loans6,748,331 $6,869,096 5.00 %302
Purchased Credit Deteriorated Loans$496,871 $610,651 4.57 %28069 %N/A428,302 51,517 18,942 111,890 
Purchased Non-Performing Loans$987,794 $1,017,658 4.89 %28073 %N/A$464,770 $85,856 $40,454 $426,578 
Residential whole loans, total or weighted average$8,232,996 $8,497,405 4.96 %298

December 31, 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$3,453,242 $3,361,164 5.07 %35566 %731$3,165,964 $77,581 $22,864 $94,755 
Rehabilitation loans727,964 731,154 7.18 1167 735616,733 5,834 5,553 103,034 
Single-family rental loans949,772 924,498 5.46 32970 732898,166 2,150 695 23,487 
Seasoned performing loans 101,995 111,710 2.76 16237 722102,047 938 481 8,244 
Agency eligible investor loans1,082,765 1,060,486 3.40 35462 7671,039,257 21,229 — — 
Total Purchased Performing Loans6,315,738 $6,189,012 5.05 %307
Purchased Credit Deteriorated Loans524,992 $643,187 4.55 %28369 N/A456,924 50,048 18,736 117,479 
Purchased Non-Performing Loans1,072,270 $1,073,544 4.87 %28373 N/A492,481 87,041 40,876 453,146 
Residential whole loans, total or weighted average$7,913,000 $7,905,743 4.99 %301

(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 $160.5 million and $137.3 million at March 31, 2022 and December 31, 2021, 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 74% and 71% at March 31, 2022 and December 31, 2021, 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 $28.9 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2022.


No Residential whole loans were sold during the three months ended March 31, 2022 and 2021.
Allowance for 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:
Three Months Ended March 31, 2022
(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, 2021$8,289 $6,881 $1,451 $46 $22,780 $39,447 
Current provision(909)(1,460)(122)(1)(975)(3,467)
Write-offs(51)(219)(27)— (226)(523)
Allowance for credit losses at March 31, 2022$7,329 $5,202 $1,302 $45 $21,579 $35,457 

Three Months Ended March 31, 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 

(1)In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $12.9 million and $54.4 million as of March 31, 2022 and 2021, respectively, with an allowance for credit losses of $156,000 and $795,905 at March 31, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $80.2 million and $149.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively.
(3)Includes $69.1 million and $87.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2022 and 2021, respectively.

The Company’s estimates of expected losses that form the basis of the Allowance for Credit Losses include certain qualitative adjustments which have the effect of increasing expected loss estimates. These qualitative adjustments were determined based on a variety of factors, including differences between the Company’s loan portfolio and the loan portfolios represented by data available in regulatory filings of certain banks that are considered to have similar loan portfolios (available proxy data), and differences between current (and expected future) market conditions in comparison to market conditions that occurred in historical periods. Such differences include uncertainty with respect to the ongoing impact of the COVID-19 pandemic, the extent and timing of government stimulus efforts, anticipated inflation and increasing market interest rates, and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that full recovery to pre-pandemic economic conditions will take an extended period, resulting in increased delinquencies and defaults during this period compared to historical periods. Estimates of credit losses under credit losses on financial instruments (“CECL”) are highly sensitive to changes in assumptions and current economic conditions have increased the difficulty of accurately forecasting future conditions.

The amortized cost basis of Purchased Performing Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $221.1 million and $240.2 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $101.2 million and $108.9 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of March 31, 2022 and December 31, 2021 was $550.8 million and $588.1 million, respectively. During the three months ended March 31, 2022, the Company recognized $4.3 million of interest income on loans on nonaccrual status, including $3.0 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2022 and December 31, 2021, there were approximately $107.2 million and $107.4 million, respectively, of loans held at carrying value on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively.
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)20222021202020192018PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $55,222 $246,102 $584,293 $302,545 $34,265 $1,222,427 
LTV > 80% (1)
— 2,762 18,918 9,580 10,416 1,628 43,304 
Total Non-QM loans$— $57,984 $265,020 $593,873 $312,961 $35,893 $1,265,731 
Three Months Ended March 31, 2022 Gross write-offs$— $— $— $— $51 $— $51 
Rehabilitation loans
LTV <= 80% (1)
$— $4,046 $19,342 $92,938 $14,673 $3,057 $134,056 
LTV > 80% (1)
— — 2,280 11,739 4,734 1,699 20,452 
Total Rehabilitation loans$— $4,046 $21,622 $104,677 $19,407 $4,756 $154,508 
Three Months Ended March 31, 2022 Gross write-offs$— $— $— $199 $20 $— $219 
Single family rental loans
LTV <= 80% (1)
$— $14,747 $30,245 $165,098 $57,566 $9,602 $277,258 
LTV > 80% (1)
— — 512 5,234 86 — 5,832 
Total Single family rental loans$— $14,747 $30,757 $170,332 $57,652 $9,602 $283,090 
Three Months Ended March 31, 2022 Gross write-offs$— $— $— $27 $— $— $27 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $95,307 $95,307 
LTV > 80% (1)
— — — — — 2,962 2,962 
Total Seasoned performing loans$— $— $— $— $— $98,269 $98,269 
Three Months Ended March 31, 2022 Gross write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $387,985 $387,985 
LTV > 80% (1)
— — — — — 130,465 130,465 
Total Purchased credit deteriorated loans$— $— $— $— $— $518,450 $518,450 
Three Months Ended March 31, 2022 Gross write-offs$— $— $— $— $— $226 $226 
Total LTV <= 80% (1)
$— $74,015 $295,689 $842,329 $374,784 $530,216 $2,117,033 
Total LTV > 80% (1)
— 2,762 21,710 26,553 15,236 136,754 203,015 
Total residential whole loans, at carrying value$— $76,777 $317,399 $868,882 $390,020 $666,970 $2,320,048 
Total Gross write-offs$— $— $— $226 $71 $226 $523 

(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 $160.5 million at March 31, 2022, 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 74% at March 31, 2022. 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:

March 31, 2022
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$91,200 $90,126 65.6 %
Rehabilitation loans$86,272 $86,280 73.3 %
Single-family rental loans$20,845 $20,799 73.5 %
Seasoned performing loans$7,780 $8,324 43.7 %
Agency eligible investor loans $180 $192 73.7 %
Total Purchased Performing Loans$206,277 $205,721 
Purchased Credit Deteriorated Loans$90,190 $111,890 78.2 %
Purchased Non-Performing Loans$424,871 $426,578 79.4 %
Total Residential whole loans$721,338 $744,189 

December 31, 2021
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$96,473 $94,755 64.6 %
Rehabilitation loans$103,166 $103,034 67.6 %
Single-family rental loans$23,524 $23,487 73.4 %
Seasoned performing loans$7,740 $8,244 45.6 %
Agency eligible investor loans$— $— — %
Total Purchased Performing Loans$230,903 $229,520 
Purchased Credit Deteriorated Loans$95,899 $117,479 79.1 %
Purchased Non-Performing Loans$454,443 $453,146 80.2 %
Total Residential whole loans$781,245 $800,145 

(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.
The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2022 and 2021:
Held at Carrying ValueHeld at Fair ValueTotal
Three Months Ended
March 31,		Three Months Ended
March 31,		Three Months Ended
March 31,
 (In Thousands)202220212022202120222021
Purchased Performing Loans:
Non-QM loans$13,141 $22,189 $19,811 $— $32,952 $22,189 
Rehabilitation loans3,567 6,668 11,294 — 14,861 6,668 
Single-family rental loans4,693 7,081 8,632 — 13,325 7,081 
Seasoned performing loans1,010 1,991 — — 1,010 1,991 
Agency eligible investor loans— — 7,583 — 7,583 — 
Total Purchased Performing Loans$22,411 $37,929 $47,320 $— $69,731 $37,929 
Purchased Credit Deteriorated Loans$9,009 $8,290 $— $— $9,009 $8,290 
Purchased Non-Performing Loans$— $— $20,726 $18,319 $20,726 $18,319 
Total Residential Whole Loans$31,420 $46,219 $68,046 $18,319 $99,466 $64,538 

The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three months ended March 31, 2022 and 2021:
Three Months Ended
March 31,
 (In Thousands)20222021
Net unrealized (losses)/gains$(287,935)$32,088 
Other Income (1)
(440)(598)
    Total$(288,375)$31,490 
(1)Primarily includes cash payments received from private mortgage insurance on liquidated loans and losses on liquidations of non-performing loans.