XML 47 R28.htm IDEA: XBRL DOCUMENT v3.24.0.1
Residential Whole Loans (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2023 and 2022:

Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)December 31, 2023December 31, 2022December 31, 2023December 31, 2022December 31, 2023December 31, 2022
Purchased Performing Loans:
Non-QM loans$843,884 $987,282 $2,961,693 $2,372,548 $3,805,577 $3,359,830 
Transitional loans (1)
35,467 75,188 2,326,029 1,342,032 2,361,496 1,417,220 
Single-family rental loans (2)
172,213 210,833 1,462,583 1,165,741 1,634,796 1,376,574 
Seasoned performing loans68,945 82,932 — — 68,945 82,932 
Agency eligible investor loans— — 55,779 51,094 55,779 51,094 
Total Purchased Performing Loans$1,120,509 $1,356,235 $6,806,084 $4,931,415 $7,926,593 $6,287,650 
Purchased Credit Deteriorated Loans$429,726 $470,294 $— $— $429,726 $470,294 
Allowance for Credit Losses$(20,451)$(35,314)$— $— $(20,451)$(35,314)
Purchased Non-Performing Loans$— $— $705,424 $796,109 $705,424 $796,109 
Total Residential Whole Loans$1,529,784 $1,791,215 $7,511,508 $5,727,524 $9,041,292 $7,518,739 
Number of loans6,326 7,126 19,075 16,717 25,401 23,843 
(1) As of December 31, 2023 includes $1.2 billion of loans collateralized by one-to-four family residential properties, including $471.1 million of loans collateralized by new construction projects at origination, and $1.2 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.
(2) As of December 31, 2023, includes held-for-sale loans with a carrying value of $13.6 million. For the 12 months ended December 31, 2023, the Company recorded a $1.2 million loss on these loans resulting from adjusting their carrying value to the lower of cost or fair value.
Schedule of Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans at December 31, 2023 and 2022:

December 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 (5)
$3,700,052 $3,934,798 5.78 %34465 %735$3,732,327 $98,017 $29,587 $74,867 2.7 %
Transitional loans (1)
2,358,909 2,368,121 9.22 1064 7472,187,161 61,024 26,618 93,318 5.1 
Single-family rental loans1,630,442 1,729,923 6.30 32070 7381,636,810 12,543 12,314 68,256 4.7 
Seasoned performing loans68,924 75,715 4.58 14328 72572,126 1,045 235 2,309 3.4 
Agency eligible investor loans55,779 66,830 3.44 33266 75865,094 1,508 — 228 0.3 
Total Purchased Performing Loans$7,814,106 $8,175,387 6.86 %2403.8 %
Purchased Credit Deteriorated Loans$418,109 $506,828 4.83 %26759 %N/A$379,970 $44,731 $12,814 $69,313 16.2 %
Purchased Non-Performing Loans$705,424 $772,737 5.21 %27062 %N/A$444,491 $96,464 $31,560 $200,222 30.0 %
Residential whole loans, total or weighted average$8,937,639 $9,454,952 6.04 %2346.6 %


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 loans 82,884 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 %
(1)As of December 31, 2023 Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 14 months and a weighted average LTV ratio of 63%. 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 $551.3 million and $223.2 million at December 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 68% and 70% at December 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.
(5)Excluded from the table above are approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of December 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)
$— $— $43,610 $167,368 $395,894 $217,863 $824,735 
LTV > 80% (1)
— — 1,391 10,420 3,960 3,377 19,148 
Total Non-QM loans$— $— $45,001 $177,788 $399,854 $221,240 $843,883 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $71 $25 $110 $206 
Transitional loans
LTV <= 80% (1)
$— $— $504 $3,915 $21,086 $7,782 $33,287 
LTV > 80% (1)
— — — — 2,180 — 2,180 
Total Transitional loans$— $— $504 $3,915 $23,266 $7,782 $35,467 
Year Ended December 31, 2023 Gross write-offs
$— $— $14 $47 $3,130 $1,639 $4,830 
Single-family rental loans
LTV <= 80% (1)
$— $— $11,234 $20,043 $91,040 $36,530 $158,847 
LTV > 80% (1)
— — — 296 12,343 727 13,366 
Total Single-family rental loans$— $— $11,234 $20,339 $103,383 $37,257 $172,213 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $160 $624 $— $784 
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $66,563 $66,563 
LTV > 80% (1)
— — — — — 2,382 2,382 
Total Seasoned performing loans$— $— $— $— $— $68,945 $68,945 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $367,748 $367,748 
LTV > 80% (1)
— — — — — 61,978 61,978 
Total Purchased credit deteriorated loans$— $— $— $— $— $429,726 $429,726 
Year Ended December 31, 2023 Gross write-offs
$— $— $— $— $— $534 $534 
Total LTV <= 80% (1)
$— $— $55,348 $191,326 $508,020 $696,486 $1,451,180 
Total LTV > 80% (1)
— — 1,391 10,716 18,483 68,464 99,054 
Total residential whole loans, at carrying value$— $— $56,739 $202,042 $526,503 $764,950 $1,550,234 
Year Ended December 31, 2023 Total Gross write-offs
$— $— $14 $278 $3,779 $2,283 $6,354 

(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 $551.3 million at December 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 68% at December 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:

December 31, 2023
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$102,252 $104,454 63.9 %
Transitional loans113,772 119,936 65.1 %
Single-family rental loans65,659 80,570 109.1 %
Seasoned performing loans2,520 2,544 33.6 %
Agency eligible investor loans188 228 73.4 %
Total Purchased Performing Loans$284,391 $307,732 
Purchased Credit Deteriorated Loans$66,089 $82,127 64.3 %
Purchased Non-Performing Loans$222,319 $231,782 70.7 %
Total Residential Whole Loans$572,799 $621,641 

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 December 31, 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 - December 31, 2023$51,426 $51,602 13.18 %2$3,521 
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:
For the Year Ended December 31, 2023
(Dollars In Thousands)Non-QM Loans
Transitional Loans (1)(2)
Single-family Rental Loans (4)
Seasoned 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 
Current provision/(reversal)(2,208)230 3,123 (7)(8,975)(7,838)
Write-offs— (161)(99)— (9)(269)
Allowance for credit losses at December 31, 2023
$1,871 $2,587 $4,354 $21 $11,617 $20,451 

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 and valuation 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 

(1)In connection with Transitional loans at carrying value, the Company had unfunded commitments of $2.5 million and $8.0 million as of December 31, 2023 and 2022, respectively, with an allowance for credit losses of $0 and $29,000 at December 31, 2023 and 2022, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $26.3 million and $56.1 million of loans that were assessed for credit losses based on a collateral dependent methodology as of December 31, 2023 and 2022, respectively.
(3)Includes $53.0 million and $48.5 million of loans that were assessed for credit losses based on a collateral dependent methodology as of December 31, 2023 and 2022, respectively.
(4)Includes $10.6 million of loans that were assessed for credit losses based on a collateral dependent methodology as of December 31, 2023.
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, 2023, 2022 and 2021:

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)202320222021202320222021202320222021
Purchased Performing Loans:
Non-QM loans$47,471 $51,359 $75,517 $145,856 $98,384 $21,431 $193,327 $149,743 $96,948 
Transitional loans1,346 7,810 22,424 148,083 67,714 10,705 149,429 75,524 33,129 
Single-family rental loans
11,167 15,314 24,863 82,974 53,661 9,306 94,141 68,975 34,169 
Seasoned performing loans4,504 4,673 6,684 — — — 4,504 4,673 6,684 
Agency eligible investor loans— — — 4,372 30,361 11,667 4,372 30,361 11,667 
Total Purchased Performing Loans$64,488 $79,156 $129,488 $381,285 $250,120 $53,109 $445,773 $329,276 $182,597 
Purchased Credit Deteriorated Loans$29,646 $33,427 $40,130 $— $— $— $29,646 $33,427 $40,130 
Purchased Non-Performing Loans$— $— $— $62,464 $78,520 $80,741 $62,464 $78,520 $80,741 
Total Residential Whole Loans$94,134 $112,583 $169,618 $443,749 $328,640 $133,850 $537,883 $441,223 $303,468