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Residential Whole Loans (Tables)
 9 Months Ended
Sep. 30, 2023
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 September 30, 2023 and December 31, 2022:
Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)September 30, 2023December 31, 2022September 30, 2023December 31, 2022September 30, 2023December 31, 2022
Purchased Performing Loans:
Non-QM loans$873,790 $987,282 $2,700,473 $2,372,548 $3,574,263 $3,359,830 
Transitional loans (1)
37,946 75,188 2,059,655 1,342,032 2,097,601 1,417,220 
Single-family rental loans182,879 210,833 1,333,484 1,165,741 1,516,363 1,376,574 
Seasoned performing loans72,675 82,932 — — 72,675 82,932 
Agency eligible investor loans— — 53,148 51,094 53,148 51,094 
Total Purchased Performing Loans$1,167,290 $1,356,235 $6,146,760 $4,931,415 $7,314,050 $6,287,650 
Purchased Credit Deteriorated Loans$438,913 $470,294 $— $— $438,913 $470,294 
Allowance for Credit Losses$(28,557)$(35,314)$— $— $(28,557)$(35,314)
Purchased Non-Performing Loans$— $— $699,810 $796,109 $699,810 $796,109 
Total Residential Whole Loans$1,577,646 $1,791,215 $6,846,570 $5,727,524 $8,424,216 $7,518,739 
Number of loans6,493 7,126 18,639 16,717 25,132 23,843 
(1)As of September 30, 2023 includes $1.1 billion of loans collateralized by one-to-four family residential properties, including $415.9 million of loans collateralized by new construction projects at origination, and $1.0 billion of Transitional 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, including $283.1 million of loans collateralized by new construction projects at origination, and $632.3 million of Transitional 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 September 30, 2023 and December 31, 2022:
September 30, 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$3,570,184 $3,963,235 5.60 %34665 %735$3,808,303 $68,171 $23,230 $63,531 2.2 %
Transitional loans (1)
2,095,083 2,105,552 8.89 1164 7461,989,050 25,717 15,771 75,014 4.3 
Single-family rental loans1,515,032 1,667,902 6.16 32168 7371,586,313 17,947 28,249 35,393 3.8 
Seasoned performing loans72,647 79,751 4.38 14528 72575,016 1,271 911 2,553 4.3 
Agency eligible investor loans53,148 68,472 3.44 33566 75768,244 — — 228 0.3 
Total Purchased Performing Loans7,306,094 $7,884,912 6.56 %2493.1 %
Purchased Credit Deteriorated Loans$418,312 $517,611 4.79 %27059 %N/A$389,166 $41,615 $14,018 $72,812 16.8 %
Purchased Non-Performing Loans$699,810 $798,902 5.17 %27263 %N/A$449,936 $95,456 $28,310 $225,200 31.7 %
Residential whole loans, total or weighted average$8,424,216 $9,201,425 5.87 %2446.4 %

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 September 30, 2023 Transitional loans includes $1.0 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 15 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 73%.
(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 $423.6 million and $223.2 million at September 30, 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 September 30, 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.
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)
$— $— $44,885 $172,296 $407,541 $226,678 $851,400 
LTV > 80% (1)
— — 1,396 11,470 4,481 5,044 22,391 
Total Non-QM loans$— $— $46,281 $183,766 $412,022 $231,722 $873,791 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $71 $25 $110 $206 
Transitional loans
LTV <= 80% (1)
$— $— $504 $3,915 $23,565 $7,782 $35,766 
LTV > 80% (1)
— — — — 2,180 — 2,180 
Total Transitional loans$— $— $504 $3,915 $25,745 $7,782 $37,946 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $14 $47 $2,970 $1,639 $4,670 
Single-family rental loans
LTV <= 80% (1)
$— $— $12,256 $21,300 $105,721 $41,917 $181,194 
LTV > 80% (1)
— — — — 1,600 85 1,685 
Total Single family rental loans$— $— $12,256 $21,300 $107,321 $42,002 $182,879 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $71 $614 $— $685 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $70,272 $70,272 
LTV > 80% (1)
— — — — — 2,403 2,403 
Total Seasoned performing loans$— $— $— $— $— $72,675 $72,675 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $373,572 $373,572 
LTV > 80% (1)
— — — — — 65,341 65,341 
Total Purchased credit deteriorated loans$— $— $— $— $— $438,913 $438,913 
Nine Months Ended September 30, 2023 Gross write-offs$— $— $— $— $— $524 $524 
Total LTV <= 80% (1)
$— $— $57,645 $197,511 $536,827 $720,221 $1,512,204 
Total LTV > 80% (1)
— — 1,396 11,470 8,261 72,873 94,000 
Total residential whole loans, at carrying value$— $— $59,041 $208,981 $545,088 $793,094 $1,606,204 
Nine Months Ended September 30, 2023 Total Gross write-offs$— $— $14 $189 $3,609 $2,273 $6,085 

(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 $423.6 million at September 30, 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 September 30, 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:

September 30, 2023
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$84,584 $86,761 66.9 %
Transitional loans86,451 90,785 65.0 %
Single-family rental loans55,313 63,642 73.3 %
Seasoned performing loans3,437 3,464 29.9 %
Agency eligible investor loans 187 228 73.4 %
Total Purchased Performing Loans$229,972 $244,880 
Purchased Credit Deteriorated Loans$69,849 $86,830 64.1 %
Purchased Non-Performing Loans$238,545 $253,510 70.8 %
Total Residential Whole Loans$538,366 $585,220 

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 

(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 table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2023 and December 31, 2022:

(In Thousands)Fair Value / Carrying Value
UPB
Weighted Average CouponWeighted Average Term to Maturity (Months)UPB 60+ Days Delinquent
Commercial Mortgage Loans - September 30, 2023
$76,546 $76,546 12.93 %3$3,389 
Commercial Mortgage Loans - December 31, 2022
$61,510 $61,510 11.54 %10$— 
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:
Nine Months Ended September 30, 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/(reversal)(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 
Current provision/(reversal)(233)999 (103)(4)(394)265 
Write-offs(206)(1,785)— — (301)(2,292)
Allowance for credit losses at June 30, 2023$6,706 $2,840 $1,237 $42 $20,210 $31,035 
Current provision/(reversal)(2,627)559 329 (14)501 (1,252)
Write-offs— (881)(235)— (110)(1,226)
Allowance for credit losses at September 30, 2023
$4,079 $2,518 $1,331 $28 $20,601 $28,557 

Nine Months Ended September 30, 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/(reversal)(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 

(1)In connection with Transitional loans at carrying value, the Company had unfunded commitments of $5.4 million and $8.4 million as of September 30, 2023 and 2022, respectively, with an allowance for credit losses of $38,000 and $84,000 at September 30, 2023 and 2022, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $28.7 million and $66.7 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2023 and 2022, respectively.(3)Includes $52.6 million and $56.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2023 and 2022, respectively.
Schedule of interest income components
The following tables present the components of interest income on the Company’s Residential whole loans for the three and nine months ended September 30, 2023 and 2022:
Held at Carrying ValueHeld at Fair ValueTotal
Three Months Ended
September 30,		Three Months Ended
September 30,		Three Months Ended
September 30,
 (In Thousands)202320222023202220232022
Purchased Performing Loans:
Non-QM loans$12,276 $13,646 $39,448 $27,012 $51,724 $40,658 
Transitional loans101 784 40,122 18,558 40,223 19,342 
Single-family rental loans2,739 3,658 21,348 15,340 24,087 18,998 
Seasoned performing loans1,095 1,227 — — 1,095 1,227 
Agency eligible investor loans— — 486 7,542 486 7,542 
Total Purchased Performing Loans$16,211 $19,315 $101,404 $68,452 $117,615 $87,767 
Purchased Credit Deteriorated Loans$7,371 $7,916 $— $— $7,371 $7,916 
Purchased Non-Performing Loans$— $— $15,552 $18,732 $15,552 $18,732 
Total Residential Whole Loans$23,582 $27,231 $116,956 $87,184 $140,538 $114,415 
Held at Carrying ValueHeld at Fair ValueTotal
Nine Months Ended
September 30,		Nine Months Ended
September 30,		Nine Months Ended
September 30,
 (In Thousands)202320222023202220232022
Purchased Performing Loans:
Non-QM loans$36,595 $39,041 $104,735 $69,080 $141,330 $108,121 
Transitional loans1,239 5,621 99,832 43,768 101,071 49,389 
Single-family rental loans8,598 12,134 59,945 36,603 68,543 48,737 
Seasoned performing loans3,312 3,392 — — 3,312 3,392 
Agency eligible investor loans— — 3,860 22,731 3,860 22,731 
Total Purchased Performing Loans$49,744 $60,188 $268,372 $172,182 $318,116 $232,370 
Purchased Credit Deteriorated Loans$22,596 $25,597 $— $— $22,596 $25,597 
Purchased Non-Performing Loans$— $— $47,384 $58,268 $47,384 $58,268 
Total Residential Whole Loans$72,340 $85,785 $315,756 $230,450 $388,096 $316,235