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Residential Whole Loans
 3 Months Ended
Mar. 31, 2023
Receivables [Abstract]  
Residential Whole Loans Residential Whole Loans
Included on the Company’s consolidated balance sheets at March 31, 2023 and December 31, 2022 are approximately $7.8 billion and $7.5 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.

The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2023 and December 31, 2022:
Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)March 31, 2023December 31, 2022March 31, 2023December 31, 2022March 31, 2023December 31, 2022
Purchased Performing Loans:
Non-QM loans$958,099 $987,282 $2,501,132 $2,372,548 $3,459,231 $3,359,830 
Transitional loans (1)
53,272 75,188 1,471,633 1,342,032 1,524,905 1,417,220 
Single-family rental loans201,563 210,833 1,265,246 1,165,741 1,466,809 1,376,574 
Seasoned performing loans79,465 82,932 — — 79,465 82,932 
Agency eligible investor loans— — 60,854 51,094 60,854 51,094 
Total Purchased Performing Loans$1,292,399 $1,356,235 $5,298,865 $4,931,415 $6,591,264 $6,287,650 
Purchased Credit Deteriorated Loans$460,680 $470,294 $— $— $460,680 $470,294 
Allowance for Credit Losses$(33,061)$(35,314)$— $— $(33,061)$(35,314)
Purchased Non-Performing Loans$— $— $775,367 $796,109 $775,367 $796,109 
Total Residential Whole Loans$1,720,018 $1,791,215 $6,074,232 $5,727,524 $7,794,250 $7,518,739 
Number of loans6,930 7,126 17,122 16,717 24,052 23,843 
(1)As of March 31, 2023 includes $825.9 million of loans collateralized by one-to-four family residential properties and $699.0 million of loans collateralized by multi-family properties. As of December 31, 2022 includes $784.9 million of loans collateralized by one-to-four family residential properties and $632.3 million of Transitional loans collateralized by multi-family properties.
The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2023 and December 31, 2022:
March 31, 2023
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$3,452,086 $3,683,664 5.22 %34965 %735$3,508,600 $74,897 $38,599 $61,568 2.7 %
Transitional loans (1)
1,521,279 1,537,094 8.07 1165 7461,449,593 14,063 7,522 65,916 4.8 
Single-family rental loans1,465,469 1,542,253 5.87 32269 7371,492,800 10,113 5,527 33,813 2.6 
Seasoned performing loans79,420 87,079 3.69 14930 72481,207 1,386 617 3,869 5.2 
Agency eligible investor loans60,854 71,890 3.46 34167 75770,739 661 — 490 0.7 
Total Purchased Performing Loans6,579,108 $6,921,980 5.96 %2653.1 %
Purchased Credit Deteriorated Loans$439,775 $543,594 4.71 %27563 %N/A$394,389 $44,939 $18,057 $86,209 19.2 %
Purchased Non-Performing Loans$775,367 $857,388 5.07 %27567 %N/A$443,433 $89,259 $35,820 $288,876 37.9 %
Residential whole loans, total or weighted average$7,794,250 $8,322,962 5.80 %2677.8 %

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 Loans6,273,743 $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 %

(1) As of March 31, 2023 Transitional loans includes $699.0 million of loans collateralized by multi-family properties with a weighted average term to maturity of 16 months and a weighted average LTV ratio of 64%. 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 64%.
(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 $223.0 million and $223.2 million at March 31, 2023 and December 31, 2022, 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 69% and 70% at March 31, 2023 and December 31, 2022, 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. 60+ LTV has been calculated on a consistent basis.
(4)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available.

During the three months ended December 31, 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. In addition, in the fourth quarter of 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. No Residential whole loans were sold during the three months ended March 31, 2023 and 2022.

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, 2023
(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, 2022$7,359 $5,223 $1,277 $48 $21,407 $35,314 
Current provision(214)406 514 (2)(389)315 
Write-offs— (2,003)(451)— (113)(2,567)
Allowance for credit losses at March 31, 2023$7,145 $3,626 $1,340 $46 $20,905 $33,062 

Three Months Ended March 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 

(1)In connection with Transitional loans at carrying value, the Company had unfunded commitments of $6.8 million and $12.9 million as of March 31, 2023 and 2022, respectively, with an allowance for credit losses of $16,000 and $156,000 at March 31, 2023 and 2022, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $46.4 million and $80.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2023 and 2022, respectively.
(3)Includes $62.0 million and $69.1 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2023 and 2022, 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, 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 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, 2023 and December 31, 2022 was $192.5 million and $195.1 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2023 and December 31, 2022 was $79.4 million and $80.5 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of March 31, 2023 and December 31, 2022 was $389.1 million and $413.1 million, respectively. During the three months ended March 31, 2023, the Company recognized $3.6 million of interest income on loans on nonaccrual status, including $2.5 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2023 and December 31, 2022, there were approximately $70.2 million and $71.7 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. There were no carrying value loans that were modified during the three months ended March 31, 2023.

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)20232022202120202019PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $— $46,905 $185,045 $447,565 $251,532 $931,047 
LTV > 80% (1)
— — 2,120 12,816 5,734 6,382 27,052 
Total Non-QM loans$— $— $49,025 $197,861 $453,299 $257,914 $958,099 
Three Months Ended March 31, 2023 Gross write-offs$— $— $— $— $— $— $— 
Transitional loans
LTV <= 80% (1)
$— $— $729 $4,738 $32,118 $12,497 $50,082 
LTV > 80% (1)
— — — — 3,190 — 3,190 
Total Transitional loans$— $— $729 $4,738 $35,308 $12,497 $53,272 
Three Months Ended March 31, 2023 Gross write-offs$— $— $— $— $1,148 $855 $2,003 
Single-family rental loans
LTV <= 80% (1)
$— $— $13,445 $23,537 $113,092 $49,275 $199,350 
LTV > 80% (1)
— — — — 2,128 85 2,213 
Total Single family rental loans$— $— $13,445 $23,537 $115,221 $49,360 $201,563 
Three Months Ended March 31, 2023 Gross write-offs$— $— $— $— $451 $— $451 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $76,938 $76,938 
LTV > 80% (1)
— — — — — 2,527 2,527 
Total Seasoned performing loans$— $— $— $— $— $79,465 $79,465 
Three Months Ended March 31, 2023 Gross write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $373,929 $373,929 
LTV > 80% (1)
— — — — — 86,752 86,752 
Total Purchased credit deteriorated loans$— $— $— $— $— $460,680 $460,680 
Three Months Ended March 31, 2023 Gross write-offs$— $— $— $— $— $113 $113 
Total LTV <= 80% (1)
$— $— $61,079 $213,320 $592,776 $764,170 $1,631,345 
Total LTV > 80% (1)
— — 2,120 12,816 11,053 95,746 121,734 
Total residential whole loans, at carrying value$— $— $63,199 $226,136 $603,828 $859,916 $1,753,080 
Three Months Ended March 31, 2023 Total Gross write-offs$— $— $— $— $1,598 $968 $2,567 
(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 $223.0 million at March 31, 2023, 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 69% at March 31, 2023. 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 60 days or more delinquent:

March 31, 2023
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$99,532 $100,167 65.9 %
Transitional loans71,299 73,438 66.4 %
Single-family rental loans37,839 39,340 72.0 %
Seasoned performing loans4,213 4,486 48.4 %
Agency eligible investor loans 407 490 64.6 %
Total Purchased Performing Loans$213,290 $217,921 
Purchased Credit Deteriorated Loans$83,861 $104,266 72.4 %
Purchased Non-Performing Loans$303,400 $324,696 76.3 %
Total Residential Whole Loans$600,551 $646,883 

December 31, 2022
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$93,508 $93,972 66.7 %
Transitional loans75,449 76,415 68.1 %
Single-family rental loans34,653 35,441 72.1 %
Seasoned performing loans5,049 5,336 41.7 %
Agency eligible investor loans— — — %
Total Purchased Performing Loans$208,659 $211,164 
Purchased Credit Deteriorated Loans$83,172 $103,758 72.5 %
Purchased Non-Performing Loans$330,810 $350,589 75.6 %
Total Residential Whole Loans$622,641 $665,511 

(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.
The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2023 and 2022:
Held at Carrying ValueHeld at Fair ValueTotal
Three Months Ended
March 31,		Three Months Ended
March 31,		Three Months Ended
March 31,
 (In Thousands)202320222023202220232022
Purchased Performing Loans:
Non-QM loans$12,674 $13,141 $31,415 $19,811 $44,089 $32,952 
Transitional loans620 3,567 27,607 11,294 28,227 14,861 
Single-family rental loans2,977 4,693 18,336 8,632 21,313 13,325 
Seasoned performing loans1,090 1,010 — — 1,090 1,010 
Agency eligible investor loans— — 2,857 7,583 2,857 7,583 
Total Purchased Performing Loans$17,361 $22,411 $80,215 $47,320 $97,576 $69,731 
Purchased Credit Deteriorated Loans$7,138 $9,009 $— $— $7,138 $9,009 
Purchased Non-Performing Loans$— $— $14,796 $20,726 $14,796 $20,726 
Total Residential Whole Loans$24,499 $31,420 $95,011 $68,046 $119,510 $99,466