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Residential Whole Loans (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023:
Held at Carrying ValueHeld at Fair ValueTotal
(Dollars in Thousands)March 31, 2024December 31, 2023March 31, 2024December 31, 2023March 31, 2024December 31, 2023
Purchased Performing Loans:
Non-QM loans$816,617 $843,884 $3,021,769 $2,961,693 $3,838,386 $3,805,577 
Transitional loans (1)
29,098 35,467 2,465,674 2,326,029 2,494,772 2,361,496 
Single-family rental loans (2)148,943 172,213 1,430,021 1,462,583 1,578,964 1,634,796 
Seasoned performing loans66,065 68,945 — — 66,065 68,945 
Agency eligible investor loans— — 54,654 55,779 54,654 55,779 
Total Purchased Performing Loans$1,060,723 $1,120,509 $6,972,118 $6,806,084 $8,032,841 $7,926,593 
Purchased Credit Deteriorated Loans$423,647 $429,726 $— $— $423,647 $429,726 
Allowance for Credit Losses$(19,612)$(20,451)$— $— $(19,612)$(20,451)
Purchased Non-Performing Loans$— $— $681,789 $705,424 $681,789 $705,424 
Total Residential Whole Loans$1,464,758 $1,529,784 $7,653,907 $7,511,508 $9,118,665 $9,041,292 
Number of loans6,148 6,326 19,561 19,075 25,709 25,401 
(1)As of March 31, 2024, includes $1.3 billion of loans collateralized by one-to-four family residential properties, including $506.5 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, 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.
(2) As of March 31, 2024, no loans were held-for-sale and as of December 31, 2023, $13.6 million of held-for sale loans were included in the carrying value. For the three months ended March 31, 2024, the Company recorded a $0.5 million gain on these loans resulting from their sale.
Schedule of Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2024 and December 31, 2023:

March 31, 2024
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$3,836,705 $4,059,991 6.02 %34265 %734$3,814,533 $115,484 $41,428 $88,546 3.2 %
Transitional loans (1)
2,493,073 2,502,067 9.45 964 7472,306,508 44,621 18,459 132,479 6.0 
Single-family rental loans1,574,322 1,665,788 6.52 33169 7381,571,772 17,395 6,452 70,169 4.6 
Seasoned performing loans66,045 72,658 4.77 14028 72570,016 1,271 43 1,328 1.9 
Agency eligible investor loans54,654 66,297 3.44 32966 75765,064 523 223 487 1.1 
Total Purchased Performing Loans8,024,799 $8,366,801 7.11 %2384.3 %
Purchased Credit Deteriorated Loans$412,077 $499,761 4.85 %26558 %N/A$373,341 $46,972 $16,784 $62,664 15.9 %
Purchased Non-Performing Loans$681,789 $753,035 5.24 %26860 %N/A$437,507 $90,223 $31,434 $193,871 29.9 %
Residential whole loans, total or weighted average$9,118,665 $9,619,597 6.21 %2276.9 %
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 %
(1) As of March 31, 2024, Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 12 months and a weighted average LTV ratio of 63%. 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%.
(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 $608.9 million and $551.3 million at March 31, 2024 and December 31, 2023, 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 67% and 68% at March 31, 2024 and December 31, 2023, 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)20242023202220212020PriorTotal
Non-QM loans
LTV <= 80% (1)
$— $— $— $42,349 $164,663 $591,730 $798,742 
LTV > 80% (1)
— — — 1,386 10,169 6,320 17,875 
Total Non-QM loans$— $— $— $43,735 $174,832 $598,050 $816,617 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $— $— 
Transitional loans
LTV <= 80% (1)
$— $— $— $156 $3,915 $25,027 $29,098 
LTV > 80% (1)
— — — — — — — 
Total Transitional loans$— $— $— $156 $3,915 $25,027 $29,098 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $416 $416 
Single-family rental loans
LTV <= 80% (1)
$— $— $— $7,861 $18,648 $109,439 $135,948 
LTV > 80% (1)
— — — — 408 12,587 12,995 
Total Single family rental loans$— $— $— $7,861 $19,056 $122,026 $148,943 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $(59)$— $(59)
Seasoned performing loans
LTV <= 80% (1)
$— $— $— $— $— $63,739 $63,739 
LTV > 80% (1)
— — — — — 2,326 2,326 
Total Seasoned performing loans$— $— $— $— $— $66,065 $66,065 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $— $— 
Purchased credit deteriorated loans
LTV <= 80% (1)
$— $— $— $— $— $364,008 $364,008 
LTV > 80% (1)
— — — — — 59,639 59,639 
Total Purchased credit deteriorated loans$— $— $— $— $— $423,647 $423,647 
Three Months Ended March 31, 2024 Gross write-offs$— $— $— $— $— $22 $22 
Total LTV <= 80% (1)
$— $— $— $50,366 $187,226 $1,153,943 $1,391,535 
Total LTV > 80% (1)
— — — 1,386 10,577 80,872 92,835 
Total residential whole loans, at carrying value$— $— $— $51,752 $197,803 $1,234,815 $1,484,370 
Three Months Ended March 31, 2024 Total Gross write-offs$— $— $— $— $(59)$438 $379 
(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 $608.9 million at March 31, 2024, 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 67% at March 31, 2024. 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, 2024
(Dollars In Thousands)Carrying Value / Fair ValueUPB
LTV (1)
Purchased Performing Loans
Non-QM loans$126,310 $129,974 65.2 %
Transitional loans142,423 150,938 65.9 %
Single-family rental loans63,173 76,621 111.0 %
Seasoned performing loans1,373 1,371 24.6 %
Agency eligible investor loans 582 710 71.7 %
Total Purchased Performing Loans$333,861 $359,614 
Purchased Credit Deteriorated Loans$63,432 $79,448 64.3 %
Purchased Non-Performing Loans$212,437 $225,305 69.6 %
Total Residential Whole Loans$609,730 $664,367 

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 
(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 March 31, 2024 and December 31, 2023:
(In Thousands)Fair Value / Carrying ValueUPBWeighted Average CouponWeighted Average Term to Maturity (Months)UPB 60+ Days Delinquent
Weighted Average LTV Ratio
Commercial Loans - March 31, 2024$45,793 $46,633 13.29 %2$29,931 65 %
Commercial Loans - December 31, 2023$51,426 $51,602 13.18 %2$3,521 66 %
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:
Three Months Ended March 31, 2024
(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, 2023$1,870 $2,588 $4,355 $21 $11,617 $20,451 
Current provision/(reversal)(189)(473)228 (1)(25)(460)
Write-offs— (416)59 — (22)(379)
Allowance for credit losses March 31, 2024
$1,681 $1,699 $4,642 $20 $11,570 $19,612 

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/(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 
(1)In connection with Transitional loans at carrying value, the Company had unfunded commitments of $2.0 million and $6.8 million as of March 31, 2024 and 2023, respectively, with an allowance for credit losses of $0 and $16,000 at March 31, 2024 and 2023, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).
(2)Includes $21.9 million and $46.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2024 and 2023, respectively.
(3)Includes $50.5 million and $62.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2024 and 2023, respectively.
(4)Includes $10.6 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2024.
Schedule of Interest Income Components
The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2024 and 2023:
Held at Carrying ValueHeld at Fair ValueTotal
Three Months Ended
March 31,		Three Months Ended
March 31,		Three Months Ended
March 31,
 (In Thousands)202420232024202320242023
Purchased Performing Loans:
Non-QM loans$11,420 $12,674 $44,441 $31,415 $55,861 $44,089 
Transitional loans241 620 52,975 27,607 53,216 28,227 
Single-family rental loans
2,561 2,977 24,541 18,336 27,102 21,313 
Seasoned performing loans1,124 1,090 — — 1,124 1,090 
Agency eligible investor loans— — 517 2,857 517 2,857 
Total Purchased Performing Loans$15,346 $17,361 $122,474 $80,215 $137,820 $97,576 
Purchased Credit Deteriorated Loans$6,355 $7,138 $— $— $6,355 $7,138 
Purchased Non-Performing Loans$— $— $13,490 $14,796 $13,490 $14,796 
Total Residential Whole Loans$21,701 $24,499 $135,964 $95,011 $157,665 $119,510