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Residential Whole Loans (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2021 and 2020:

Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)December 31, 2021December 31, 2020December 31, 2021December 31, 2020December 31, 2021December 31, 2020
Purchased Performing Loans:
Non-QM loans$1,448,162 $2,357,185 $2,013,369 $— $3,461,531 $2,357,185 
Rehabilitation loans217,315 581,801 517,530 — 734,845 581,801 
Single-family rental loans331,808 446,374 619,415 — 951,223 446,374 
Seasoned performing loans102,041 136,264 — — 102,041 136,264 
Agency eligible investor loans— — 1,082,765 — 1,082,765 — 
Total Purchased Performing Loans$2,099,326 $3,521,624 $4,233,079 $— $6,332,405 $3,521,624 
Purchased Credit Deteriorated Loans$547,772 $673,708 $— $— $547,772 $673,708 
Allowance for Credit Losses$(39,447)$(86,833)$— $— $(39,447)$(86,833)
Purchased Non-Performing Loans$— $— $1,072,270 $1,216,902 $1,072,270 $1,216,902 
Total Residential Whole Loans$2,607,651 $4,108,499 $5,305,349 $1,216,902 $7,913,000 $5,325,401 
Number of loans9,361 13,112 14,734 5,622 24,095 18,734 
Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans at December 31, 2021 and 2020:


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 loans101,995 111,710 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 Loans$6,315,738 $6,189,012 5.05 %307
Purchased Credit Deteriorated Loans$524,992 $643,187 4.55 %28369 %N/A$456,924 $50,048 $18,736 $117,479 
Purchased Non-Performing Loans$1,072,270 $1,073,544 4.87 %28373 %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

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 Loans$3,478,160 $3,467,099 6.04 %281
Purchased Credit Deteriorated Loans$630,339 $782,319 4.46 %28776 N/A$544,803 $65,791 $26,697 $145,028 
Purchased Non-Performing Loans$1,216,902 $1,282,093 4.87 %29080 N/A$497,299 $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 $137.3 million and $189.9 million at December 31, 2021 and 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 71% and 69% at December 31, 2021 and 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.
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)
$60,441 $290,836 $662,258 $342,250 $35,833 $3,954 $1,395,572 
LTV > 80% (1)
2,770 25,075 11,164 11,545 1,886 150 52,590 
Total Non-QM loans$63,211 $315,911 $673,422 $353,795 $37,719 $4,104 $1,448,162 
Year Ended December 31, 2021 Gross write-offs$— $— $— $37 $— $— $37 
Year Ended December 31, 2021 Recoveries— — — — — — — 
Year Ended December 31, 2021 Net write-offs$— $— $— $37 $— $— $37 
Rehabilitation loans
LTV <= 80% (1)
$12,754 $24,716 $151,632 $21,534 $3,427 $— $214,063 
LTV > 80% (1)
— — 756 796 1,700 — 3,252 
Total Rehabilitation loans$12,754 $24,716 $152,388 $22,330 $5,127 $— $217,315 
Year Ended December 31, 2021 Gross write-offs$— $— $1,329 $1,296 $123 $— $2,748 
Year Ended December 31, 2021 Recoveries— — — — — — — 
Year Ended December 31, 2021 Net write-offs$— $— $1,329 $1,296 $123 $— $2,748 
Single family rental loans
LTV <= 80% (1)
$15,444 $35,727 $186,931 $77,689 $10,107 $— $325,898 
LTV > 80% (1)
— 512 5,312 86 — — 5,910 
Total Single family rental loans$15,444 $36,239 $192,243 $77,775 $10,107 $— $331,808 
Year Ended December 31, 2021 Gross write-offs$— $— $56 $5 $— $— $61 
Year Ended December 31, 2021 Recoveries— — — — — — — 
Year Ended December 31, 2021 Net write-offs$— $— $56 $5 $— $— $61 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $98,288 $98,288 
LTV > 80% (1)
— — — — — 3,754 3,754 
Total Seasoned performing loans$— $— $— $— $— $102,042 $102,042 
Year Ended December 31, 2021 Gross write-offs$— $— $— $— $— $— $— 
Year Ended December 31, 2021 Recoveries— — — — — — — 
Year Ended December 31, 2021 Net write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $618 $404,603 $405,221 
LTV > 80% (1)
— — — — — 142,551 142,551 
Total Purchased credit deteriorated loans$— $— $— $— $618 $547,154 $547,772 
Year Ended December 31, 2021 Gross write-offs$— $— $— $— $— $527 $527 
Year Ended December 31, 2021 Recoveries— — — — — — — 
Year Ended December 31, 2021 Net write-offs$— $— $— $— $— $527 $527 
Total LTV <= 80% (1)
$88,639 $351,279 $1,000,821 $441,473 $49,985 $506,845 $2,439,042 
Total LTV > 80% (1)
2,770 25,587 17,232 12,427 3,586 146,455 208,057 
Total residential whole loans, at carrying value$91,409 $376,866 $1,018,053 $453,900 $53,571 $653,300 $2,647,099 
Total Gross write-offs$— $— $1,385 $1,338 $123 $527 $3,373 
Total Recoveries— — — — — — — 
Total Net write-offs$— $— $1,385 $1,338 $123 $527 $3,373 
(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 $137.3 million at December 31, 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 71% at December 31, 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:

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 loans103,166 103,034 67.6 %
Single-family rental loans23,524 23,487 73.4 %
Seasoned performing loans7,740 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 

December 31, 2020
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$148,387 $144,681 65.9 %
Rehabilitation loans136,347 136,347 65.8 %
Single-family rental loans20,388 20,233 72.7 %
Seasoned performing loans8,031 8,823 55.1 %
Agency eligible investor loans— — — %
Total Purchased Performing Loans$313,153 $310,084 
Purchased Credit Deteriorated Loans$119,621 $145,028 86.7 %
Purchased Non-Performing Loans$571,729 $625,621 86.8 %
Total Residential whole loans$1,004,503 $1,080,733 

(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.
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:
For the Year Ended December 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 
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 
Current provision/(reversal)(1,400)(706)(178)(4)(1,142)(3,430)
Write-offs— (1,098)(5)— (122)(1,225)
Allowance for credit losses at December 31, 2021$8,289 $6,881 $1,451 $46 $22,780 $39,447 

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 

(1)In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $18.5 million and $73.2 million as of December 31, 2021 and 2020, respectively, with an allowance for credit losses of $205,000 and $1.2 million at December 31, 2021 and 2020, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $87.0 million and $143.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of December 31, 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 December 31, 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 years ended December 31, 2021, 2020 and 2019:
Held at Carrying ValueHeld at Fair ValueTotal
For the Year Ended December 31,For the Year Ended December 31,For the Year Ended December 31,
 (In Thousands)202120202019202120202019202120202019
Purchased Performing Loans:
Non-QM loans$75,517 $136,527 $116,282 $21,431 $— $— $96,948 $136,527 $116,282 
Rehabilitation loans22,424 49,484 54,419 10,705 — — 33,129 49,484 54,419 
Single-family rental loans24,863 27,722 17,742 9,306 — — 34,169 27,722 17,742 
Seasoned performing loans6,684 8,793 12,191 — — — 6,684 8,793 12,191 
Agency eligible investor loans— — — 11,667 — — 11,667 — — 
Total Purchased Performing Loans$129,488 $222,526 $200,634 $53,109 $— $— $182,597 $222,526 $200,634 
Purchased Credit Deteriorated Loans$40,130 $36,238 $43,346 $— $— $— $40,130 $36,238 $43,346 
Purchased Non-Performing Loans$— $— $— $80,741 $73,448 $114,181 $80,741 $73,448 $114,181 
Total Residential Whole Loans$169,618 $258,764 $243,980 $133,850 $73,448 $114,181 $303,468 $332,212 $358,161 
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 years ended December 31, 2021, 2020 and 2019:
For the Year Ended December 31,
 (In Thousands)202120202019
Net unrealized gains$16,243 $17,204 $47,849 
Other income/(loss) (1)
493 3,561 (3,700)
    Total$16,736 $20,765 $44,149 
(1)Primarily includes cash payments received from private mortgage insurance on liquidated loans and losses on liquidations of non-performing loans.