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 March 31, 2022 and December 31, 2021: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Held at Carrying Value | | Held at Fair Value | | Total | (Dollars in Thousands) | | March 31, 2022 | | December 31, 2021 | | March 31, 2022 | | December 31, 2021 | | March 31, 2022 | | December 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 loans | | 154,508 | | | 217,315 | | | 735,849 | | | 517,530 | | | 890,357 | | | 734,845 | | Single-family rental loans | | 283,090 | | | 331,808 | | | 870,407 | | | 619,415 | | | 1,153,497 | | | 951,223 | | Seasoned performing loans | | 98,269 | | | 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 loans | | 8,506 | | | 9,361 | | | 16,706 | | | 14,734 | | | 25,212 | | | 24,095 | |
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Financing receivable credit quality indicators |
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 Value | | Unpaid 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) | | | | | | | | Current | | 30-59 | | 60-89 | | 90+ | Purchased Performing Loans: | | | | | | | | | | | | | | | | | | | | | Non-QM loans (4) | | $ | 3,621,124 | | | $ | 3,670,937 | | | 4.92 | % | | 356 | | 65 | % | | 733 | | $ | 3,431,011 | | | $ | 119,445 | | | $ | 30,355 | | | $ | 90,126 | | Rehabilitation loans | | 885,155 | | | 886,942 | | | 7.11 | | | 12 | | 67 | | | 740 | | 783,366 | | | 14,118 | | | 3,178 | | | 86,280 | | Single-family rental loans | | 1,152,195 | | | 1,168,778 | | | 5.26 | | | 324 | | 70 | | | 735 | | 1,133,996 | | | 13,436 | | | 547 | | | 20,799 | | Seasoned performing loans | | 98,224 | | | 107,624 | | | 2.71 | | | 159 | | 36 | | | 722 | | 98,569 | | | 634 | | | 97 | | | 8,324 | | Agency eligible investor loans | | 991,633 | | | 1,034,815 | | | 3.40 | | | 351 | | 62 | | | 767 | | 1,026,214 | | | 7,595 | | | 814 | | | 192 | | Total Purchased Performing Loans | | 6,748,331 | | | $ | 6,869,096 | | | 5.00 | % | | 302 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Purchased Credit Deteriorated Loans | | $ | 496,871 | | | $ | 610,651 | | | 4.57 | % | | 280 | | 69 | % | | N/A | | 428,302 | | | 51,517 | | | 18,942 | | | 111,890 | | | | | | | | | | | | | | | | | | | | | | | Purchased Non-Performing Loans | | $ | 987,794 | | | $ | 1,017,658 | | | 4.89 | % | | 280 | | 73 | % | | 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 Value | | Unpaid 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) | | | | | | | | Current | | 30-59 | | 60-89 | | 90+ | Purchased Performing Loans: | | | | | | | | | | | | | | | | | | | | | Non-QM loans | | $ | 3,453,242 | | | $ | 3,361,164 | | | 5.07 | % | | 355 | | 66 | % | | 731 | | $ | 3,165,964 | | | $ | 77,581 | | | $ | 22,864 | | | $ | 94,755 | | Rehabilitation loans | | 727,964 | | | 731,154 | | | 7.18 | | | 11 | | 67 | | | 735 | | 616,733 | | | 5,834 | | | 5,553 | | | 103,034 | | Single-family rental loans | | 949,772 | | | 924,498 | | | 5.46 | | | 329 | | 70 | | | 732 | | 898,166 | | | 2,150 | | | 695 | | | 23,487 | | Seasoned performing loans | | 101,995 | | | 111,710 | | | 2.76 | | | 162 | | 37 | | | 722 | | 102,047 | | | 938 | | | 481 | | | 8,244 | | Agency eligible investor loans | | 1,082,765 | | | 1,060,486 | | | 3.40 | | | 354 | | 62 | | | 767 | | 1,039,257 | | | 21,229 | | | — | | | — | | Total Purchased Performing Loans | | 6,315,738 | | | $ | 6,189,012 | | | 5.05 | % | | 307 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Purchased Credit Deteriorated Loans | | 524,992 | | | $ | 643,187 | | | 4.55 | % | | 283 | | 69 | | | N/A | | 456,924 | | | 50,048 | | | 18,736 | | | 117,479 | | | | | | | | | | | | | | | | | | | | | | | Purchased Non-Performing Loans | | 1,072,270 | | | $ | 1,073,544 | | | 4.87 | % | | 283 | | 73 | | | N/A | | 492,481 | | | 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. 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) | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 | | Prior | | Total | 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 Value | | UPB | | 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 Value | | UPB | | 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.
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Financing receivable, allowance for credit loss |
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 Loans | | Seasoned 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 Loans | | Seasoned 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.
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