Included on the Company’s consolidated balance sheets at December 31, 2022 and 2021 are approximately $7.5 billion and $7.9 billion, respectively, of residential whole loans generally 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.


	Held at Carrying Value				Held at Fair Value				Total
(Dollars in Thousands)	December 31, 2022		December 31, 2021		December 31, 2022		December 31, 2021		December 31, 2022		December 31, 2021
Purchased Performing Loans:
Non-QM loans	$	987,282	$	1,448,162	$	2,372,548	$	2,013,369	$	3,359,830	$	3,461,531
Transitional loans (1)	75,188		217,315		1,342,032		517,530		1,417,220		734,845
Single-family rental loans	210,833		331,808		1,165,741		619,415		1,376,574		951,223
Seasoned performing loans	82,932		102,041		—		—		82,932		102,041
Agency eligible investor loans	—		—		51,094		1,082,765		51,094		1,082,765
Total Purchased Performing Loans	$	1,356,235	$	2,099,326	$	4,931,415	$	4,233,079	$	6,287,650	$	6,332,405

Purchased Credit Deteriorated Loans	$	470,294	$	547,772	$	—	$	—	$	470,294	$	547,772

Allowance for Credit Losses	$	(35,314)	$	(39,447)	$	—	$	—	$	(35,314)	$	(39,447)

Purchased Non-Performing Loans	$	—	$	—	$	796,109	$	1,072,270	$	796,109	$	1,072,270

Total Residential Whole Loans	$	1,791,215	$	2,607,651	$	5,727,524	$	5,305,349	$	7,518,739	$	7,913,000

Number of loans	7,126		9,361		16,717		14,734		23,843		24,095


	Fair Value / Carrying Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (2)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (3)		Weighted Average Original FICO (4)	Aging by UPB								60+ Delinquency %
													Past Due Days
(Dollars In Thousands)											Current		30-59		60-89		90+
Purchased Performing Loans:
Non-QM loans	$	3,352,471	$	3,671,468	5.13	%	351	65	%	733	$	3,520,671	$	56,825	$	32,253	$	61,719	2.6	%
Transitional loans (1)	1,411,997		1,431,692		7.78		12	66		746	1,348,815		6,463		2,234		74,180		5.3
Single-family rental loans	1,375,297		1,485,967		5.74		324	69		737	1,442,095		8,431		7,978		27,463		2.4
Seasoned performing loans	82,884		90,843		3.31		151	30		714	84,514		993		937		4,399		5.9
Agency eligible investor loans	51,094		61,816		3.44		344	68		757	61,816		—		—		—		—
Total Purchased Performing Loans	$	6,273,743	$	6,741,786	5.78	%	271												3.1	%

Purchased Credit Deteriorated Loans	$	448,887	$	554,907	4.66	%	277	63	%	N/A	$	403,042	$	48,107	$	16,270	$	87,488	18.7	%

Purchased Non-Performing Loans	$	796,109	$	884,257	5.01	%	277	68	%	N/A	$	444,045	$	89,623	$	40,554	$	310,035	39.6	%

Residential whole loans, total or weighted average	$	7,518,739	$	8,180,950	5.64	%	272												8.1	%


	Fair Value / Carrying Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (2)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (3)		Weighted Average Original FICO (4)	Aging by UPB								60+ Delinquency %
													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	3.5	%
Transitional loans (1)	727,964		731,154		7.18		11	67		735	616,733		5,834		5,553		103,034		14.9
Single-family rental loans	949,772		924,498		5.46		329	70		732	898,166		2,150		695		23,487		2.6
Seasoned performing loans	101,995		111,710		2.76		162	37		722	102,047		938		481		8,244		7.8
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												4.2	%

Purchased Credit Deteriorated Loans	$	524,992	$	643,187	4.55	%	283	69	%	N/A	$	456,924	$	50,048	$	18,736	$	117,479	21.2	%

Purchased Non-Performing Loans	$	1,072,270	$	1,073,544	4.87	%	283	73	%	N/A	$	492,481	$	87,041	$	40,876	$	453,146	46.0	%

Residential whole loans, total or weighted average	$	7,913,000	$	7,905,743	4.99	%	301												11.2	%

(1)As of December 31, 2022 Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 73%. As of December 31, 2021, Transitional loans includes $213.9 million of loans collateralized by multi-family properties with a weighted average term to maturity of 23 months and a weighted average LTV ratio of 80%.

(3)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 Transitional 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 Transitional loans, totaling $223.2 million and $137.3 million at December 31, 2022 and 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 70% and 71% at December 31, 2022 and 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.

During 2022, Agency eligible investor loans with an unpaid principal balance of $337.8 million were sold, realizing losses, before the impact of economic hedging gains and the reversal of previously recognized unrealized losses of $72.3 million. No Residential whole loans were sold during 2021. During 2020, $1.8 billion of Non-QM loans were sold, realizing losses of $273.0 million, and Purchased Non-Performing loans with an aggregate unpaid principal of $24.1 million were sold, realizing net losses of approximately $800,000. In addition, in 2022, the Agency eligible investor loan securitizations were deconsolidated from the Company’s financial statements which resulted in the de-recognition of Agency eligible investor loans with an unpaid principal balance of $598.0 million (see Note 14 for further discussion).


	For the Year Ended December 31, 2022
(Dollars In Thousands)	Non-QM Loans		Transitional 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
Current provision/(reversal)	(199)		(23)		174		1		1,877		1,830
Write-offs	—		(118)		(184)		—		(58)		(360)
Allowance for credit losses at June 30, 2022	$	7,130	$	5,061	$	1,292	$	46	$	23,398	$	36,927
Current provision/(reversal)	(242)		583		83		3		120		547
Write-offs	—		(114)		(61)		—		(107)		(282)
Allowance for credit losses at September 30, 2022	$	6,888	$	5,530	$	1,314	$	49	$	23,411	$	37,192
Current provision/(reversal)	471		(13)		(37)		(1)		(1,996)		(1,576)
Write-offs	—		(294)		—		—		(8)		(302)
Allowance for credit losses at December 31, 2022	$	7,359	$	5,223	$	1,277	$	48	$	21,407	$	35,314


	For the Year Ended December 31, 2021
(Dollars In Thousands)	Non-QM Loans		Transitional 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 and valuation 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

The Company adopted the accounting standard addressing the measurement of credit losses on financial instruments (“CECL”) on January 1, 2020. The anticipated impact of the COVID-19 pandemic on expected economic conditions, including forecasted unemployment, home price appreciation, and prepayment rates, for the short to medium term resulted in significantly increased estimates of credit losses recorded under CECL for the first quarter of 2020 for residential whole loans held at carrying value. Since the end of the first quarter of 2020, primarily as a result of generally more stable markets and an ongoing

economic recovery, the Company has made subsequent revisions to certain macroeconomic assumptions, including its estimates related to future rates of unemployment and home price appreciation, and has made adjustments to the quantitative model outputs for relevant qualitative factors. The net impact of these assumption revisions and qualitative adjustments, as well as reductions in balances subject to CECL, has resulted in a reversal of a portion of the allowance for loan loss since the end of the first quarter of 2020. 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, anticipated inflation and increasing market interest rates, and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that the performance of its portfolio will experience higher delinquencies and defaults compared to the performance in historical periods of portfolios included in the available proxy data. Estimates of credit losses under 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 December 31, 2022 and December 31, 2021 was $195.1 million and $240.2 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of December 31, 2022 and December 31, 2021 was $80.5 million and $108.9 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of December 31, 2022 and December 31, 2021 was $413.1 million and $588.1 million, respectively. During the year ended December 31, 2022, the Company recognized $18.8 million of interest income on loans on nonaccrual status, including $13.2 million on its portfolio of loans which were non-performing at acquisition. At December 31, 2022 and December 31, 2021, there were approximately $71.7 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.


	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)	$	—	$	47,343	$	189,257	$	460,422	$	232,400	$	28,516	$	957,938
LTV > 80% (1)	—		2,128		14,330		5,752		6,078		1,056		29,344
Total Non-QM loans	$	—	$	49,471	$	203,587	$	466,174	$	238,478	$	29,572	$	987,282
Year Ended December 31, 2022 Gross write-offs	$	—	$	—	$	—	$	—	$	51	$	—	$	51



Transitional loans
LTV <= 80% (1)	$	—	$	1,182	$	5,153	$	44,815	$	12,727	$	3,047	$	66,924
LTV > 80% (1)	—		—		—		4,594		1,971		1,699		8,264
Total Transitional loans	$	—	$	1,182	$	5,153	$	49,409	$	14,698	$	4,746	$	75,188
Year Ended December 31, 2022 Gross write-offs	$	—	$	—	$	92	$	367	$	287	$	—	$	746



Single-family rental loans
LTV <= 80% (1)	$	—	$	13,487	$	25,036	$	119,112	$	47,476	$	3,195	$	208,306
LTV > 80% (1)	—		—		313		2,129		85		—		2,527
Total Single-family rental loans	$	—	$	13,487	$	25,349	$	121,241	$	47,561	$	3,195	$	210,833
Year Ended December 31, 2022 Gross write-offs	$	—	$	—	$	—	$	205	$	68	$	—	$	273



Seasoned performing loans
LTV <= 80% (1)	$	—	$	—	$	—	$	—	$	—	$	80,341	$	80,341
LTV > 80% (1)	—		—		—		—		—		2,591		2,591
Total Seasoned performing loans	$	—	$	—	$	—	$	—	$	—	$	82,932	$	82,932
Year Ended December 31, 2022 Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	—	$	—



Purchased credit deteriorated loans
LTV <= 80% (1)	$	—	$	—	$	—	$	—	$	—	$	378,816	$	378,816
LTV > 80% (1)	—		—		—		—		—		91,478		91,478
Total Purchased credit deteriorated loans	$	—	$	—	$	—	$	—	$	—	$	470,294	$	470,294
Year Ended December 31, 2022 Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	400	$	400



Total LTV <= 80% (1)	$	—	$	62,012	$	219,446	$	624,349	$	292,603	$	493,915	$	1,692,325
Total LTV > 80% (1)	—		2,128		14,643		12,475		8,134		96,824		134,204
Total residential whole loans, at carrying value	$	—	$	64,140	$	234,089	$	636,824	$	300,737	$	590,739	$	1,826,529
Year Ended December 31, 2022 Total Gross write-offs	$	—	$	—	$	92	$	572	$	406	$	400	$	1,470

(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 Transitional 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 Transitional loans, totaling $223.2 million at December 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 70% at December 31, 2022. Certain low value loans secured by vacant lots are categorized as LTV > 80%.


	December 31, 2022
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Purchased Performing Loans
Non-QM loans	$	61,812	$	61,719	67.9	%
Transitional loans	73,266		74,180		68.1	%
Single-family rental loans	27,466		27,463		72.9	%
Seasoned performing loans	4,127		4,399		42.2	%
Agency eligible investor loans	—		—		—
Total Purchased Performing Loans	$	166,671	$	167,761

Purchased Credit Deteriorated Loans	$	69,402	$	87,488	74.8	%

Purchased Non-Performing Loans	$	296,697	$	310,035	76.9	%

Total Residential Whole Loans	$	532,770	$	565,284


	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	%
Transitional 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 Transitional 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 Transitional 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.


	Held at Carrying Value						Held at Fair Value						Total
	For the Year Ended December 31,						For the Year Ended December 31,						For the Year Ended December 31,
(In Thousands)	2022		2021		2020		2022		2021		2020		2022		2021		2020
Purchased Performing Loans:
Non-QM loans	$	51,359	$	75,517	$	136,527	$	98,384	$	21,431	$	—	$	149,743	$	96,948	$	136,527
Transitional loans	7,810		22,424		49,484		67,714		10,705		—		75,524		33,129		49,484
Single-family rental loans	15,314		24,863		27,722		53,661		9,306		—		68,975		34,169		27,722
Seasoned performing loans	4,673		6,684		8,793		—		—		—		4,673		6,684		8,793
Agency eligible investor loans	—		—		—		30,361		11,667		—		30,361		11,667		—
Total Purchased Performing Loans	$	79,156	$	129,488	$	222,526	$	250,120	$	53,109	$	—	$	329,276	$	182,597	$	222,526

Purchased Credit Deteriorated Loans	$	33,427	$	40,130	$	36,238	$	—	$	—	$	—	$	33,427	$	40,130	$	36,238

Purchased Non-Performing Loans	$	—	$	—	$	—	$	78,520	$	80,741	$	73,448	$	78,520	$	80,741	$	73,448

Total Residential Whole Loans	$	112,583	$	169,618	$	258,764	$	328,640	$	133,850	$	73,448	$	441,223	$	303,468	$	332,212