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Residential Whole Loans (Tables)
 12 Months Ended
Dec. 31, 2022
Receivables [Abstract]  
Schedule of 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, 2022 and 2021:

Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)December 31, 2022December 31, 2021December 31, 2022December 31, 2021December 31, 2022December 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 loans210,833 331,808 1,165,741 619,415 1,376,574 951,223 
Seasoned performing loans82,932 102,041 — — 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 loans7,126 9,361 16,717 14,734 23,843 24,095 
(1)As of December 31, 2022 includes $784.9 million of loans collateralized by one-to-four family residential properties and $632.3 million of loans collateralized by multi-family properties. As of December 31, 2021, includes $521.0 million of loans collateralized by one-to-four family residential properties and $213.9 million of loans collateralized by multi-family properties.
Schedule of Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans at December 31, 2022 and 2021:

December 31, 2022
Fair Value / Carrying ValueUnpaid 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 UPB60+ Delinquency %
Past Due Days
(Dollars In Thousands)Current30-5960-8990+
Purchased Performing Loans:
Non-QM loans$3,352,471 $3,671,468 5.13 %35165 %733$3,520,671 $56,825 $32,253 $61,719 2.6 %
Transitional loans (1)
1,411,997 1,431,692 7.78 1266 7461,348,815 6,463 2,234 74,180 5.3 
Single-family rental loans1,375,297 1,485,967 5.74 32469 7371,442,095 8,431 7,978 27,463 2.4 
Seasoned performing loans82,884 90,843 3.31 15130 71484,514 993 937 4,399 5.9 
Agency eligible investor loans51,094 61,816 3.44 34468 75761,816 — — — — 
Total Purchased Performing Loans$6,273,743 $6,741,786 5.78 %2713.1 %
Purchased Credit Deteriorated Loans$448,887 $554,907 4.66 %27763 %N/A$403,042 $48,107 $16,270 $87,488 18.7 %
Purchased Non-Performing Loans$796,109 $884,257 5.01 %27768 %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 %2728.1 %


December 31, 2021
Fair Value / Carrying ValueUnpaid 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 UPB60+ Delinquency %
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 3.5 %
Transitional loans (1)
727,964 731,154 7.18 1167 735616,733 5,834 5,553 103,034 14.9 
Single-family rental loans949,772 924,498 5.46 32970 732898,166 2,150 695 23,487 2.6 
Seasoned performing loans 101,995 111,710 2.76 16237 722102,047 938 481 8,244 7.8 
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 %3074.2 %
Purchased Credit Deteriorated Loans$524,992 $643,187 4.55 %28369 %N/A$456,924 $50,048 $18,736 $117,479 21.2 %
Purchased Non-Performing Loans$1,072,270 $1,073,544 4.87 %28373 %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 %30111.2 %
(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%.
(2)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.
(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.
(4)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)20222021202020192018PriorTotal
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%.
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, 2022
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$61,812 $61,719 67.9 %
Transitional loans73,266 74,180 68.1 %
Single-family rental loans27,466 27,463 72.9 %
Seasoned performing loans4,127 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 ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$96,473 $94,755 64.6 %
Transitional 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 

(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.
Schedule of 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, 2022
(Dollars In Thousands)Non-QM Loans
Transitional 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 
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 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 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 

(1)In connection with purchased Transitional loans at carrying value, the Company had unfunded commitments of $8.0 million and $18.5 million as of December 31, 2022 and 2021, respectively, with an allowance for credit losses of $29,000 and $205,000 at December 31, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $56.1 million and $87.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of December 31, 2022 and 2021, respectively.
(3)Includes $48.5 million and $57.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of December 31, 2022 and 2021, respectively.
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, 2022, 2021 and 2020:

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)202220212020202220212020202220212020
Purchased Performing Loans:
Non-QM loans$51,359 $75,517 $136,527 $98,384 $21,431 $— $149,743 $96,948 $136,527 
Transitional loans7,810 22,424 49,484 67,714 10,705 — 75,524 33,129 49,484 
Single-family rental loans15,314 24,863 27,722 53,661 9,306 — 68,975 34,169 27,722 
Seasoned performing loans4,673 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