Included on the Company’s consolidated balance sheets at September 30, 2024 and December 31, 2023 are approximately $9.0 billion and $9.0 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 loans that were 60 or more days delinquent at purchase.


	Held at Carrying Value				Held at Fair Value				Total
(Dollars in Thousands)	September 30, 2024		December 31, 2023		September 30, 2024		December 31, 2023		September 30, 2024		December 31, 2023
Business purpose loans:
Single-family transitional loans (1)	$	25,382	$	35,467	$	1,127,519	$	1,157,732	$	1,152,901	$	1,193,199
Multifamily transitional loans	—		—		1,058,079		1,168,297		1,058,079		1,168,297
Single-family rental loans (2)	119,153		172,213		1,353,909		1,462,583		1,473,062		1,634,796
Total Business purpose loans	$	144,535	$	207,680	$	3,539,507	$	3,788,612	$	3,684,042	$	3,996,292
Non-QM loans	751,550		843,884		3,421,247		2,961,693		4,172,797		3,805,577
Legacy RPL/NPL loans	467,202		498,671		658,078		705,424		1,125,280		1,204,095
Other loans	—		—		55,909		55,779		55,909		55,779
Allowance for Credit Losses	(10,657)		(20,451)		—		—		(10,657)		(20,451)
Total Residential whole loans	$	1,352,630	$	1,529,784	$	7,674,741	$	7,511,508	$	9,027,371	$	9,041,292
Number of loans	5,757		6,326		18,837		19,075		24,594		25,401

(2) As of September 30, 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. There were no other gains or losses on held-for-sale loans for the three months ended June 30, 2024 and September 30, 2024.


	Asset Amount		Fair Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (1)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (2)		Weighted Average Original FICO (3)	Aging by UPB								60+ Days Past Due %
(Dollars In Thousands)															Past Due Days
													Current		30-59		60-89		90+
Business purpose loans:
Single-family transitional (4)	$	1,151,733	$	1,152,489	$	1,158,413	10.46	%	6	67	%	748	$	1,021,676	$	41,089	$	6,034	$	89,614	8.3	%
Multifamily transitional (4)	1,058,079		1,058,079		1,102,732		9.06	%	9	67	%	748	994,102		47,898		10,800		49,932		5.5	%
Single-family rental	1,472,687		1,474,723		1,505,242		6.43	%	325	68	%	738	1,436,384		16,896		5,180		46,782		3.5	%
Total business purpose loans	$	3,682,499	$	3,685,291	$	3,766,387	8.44	%		68	%		$	3,452,162	$	105,883	$	22,014	$	186,328	5.5	%
Non-QM loans	4,171,055		4,145,143		4,264,091		6.26	%	339	64	%	735	4,013,257		100,943		37,025		112,866		3.5	%
Legacy RPL/NPL loans	1,117,908		1,147,684		1,250,859		5.15	%	255	55	%	647	854,721		128,022		48,794		219,322		21.4	%
Other loans	55,909		55,909		64,875		3.44	%	323	65	%	757	64,875		—		—		—		—	%
Residential whole loans, total or weighted average	$	9,027,371	$	9,034,027	$	9,346,212	6.99	%		64	%		$	8,385,015	$	334,848	$	107,833	$	518,516	6.7	%


	Asset Amount		Fair Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (1)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (2)		Weighted Average Original FICO (3)	Aging by UPB								60+ Days Past Due %
(Dollars In Thousands)															Past Due Days
													Current		30-59		60-89		90+
Business purpose loans:
Single-family transitional (4)	$	1,190,612	$	1,191,715	$	1,197,346	10.01	%	7	66	%	747	$	1,070,759	$	27,246	$	17,004	$	82,337	8.3	%
Multifamily transitional (4)	1,168,297		1,168,297		1,170,775		8.41	%	14	63	%	747	1,116,402		33,778		9,614		10,981		1.8	%
Single-family rental	1,630,442		1,628,734		1,729,923		6.30	%	320	70	%	738	1,636,810		12,543		12,314		68,256		4.7	%
Total business purpose loans	$	3,989,351	$	3,988,746	$	4,098,044	7.99	%		67	%		$	3,823,971	$	73,567	$	38,932	$	161,574	4.9	%
Non-QM loans (5)	3,700,052		3,644,261		3,934,798		5.78	%	344	65	%	735	3,732,327		98,017		29,587		74,867		2.7	%
Legacy RPL/NPL loans	1,192,457		1,213,199		1,355,280		5.03	%	262	59	%	648	896,587		142,240		44,609		271,844		23.3	%
Other loans	55,779		55,779		66,830		3.44	%	332	66	%	758	65,094		1,508		—		228		0.3	%
Residential whole loans, total or weighted average	$	8,937,639	$	8,901,985	$	9,454,952	6.04	%		65	%		$	8,517,979	$	315,332	$	113,128	$	508,513	6.6	%

(1)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.

(2)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. 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)For Single-family and Multifamily 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 Single-family transitional loans, totaling $459.2 million and $332.5 million at September 30, 2024 and December 31, 2023, respectively, and certain Multifamily transitional loans, totaling $568.3 million and $218.8 million at September 30, 2024 and December 31, 2023, respectively, an after repaired valuation was not available. For these loans, the weighted average LTV is calculated based on the current unpaid principal balance and the as-is value of the collateral securing the related loan.

During the three months ended March 31, 2024, Non-QM and Single-family rental loans with an unpaid principal balance of $171.0 million were sold, realizing losses, before the impact of economic hedging gains and the reversal of previously recognized unrealized losses, of $21.7 million. Upon sale, the Company reversed $23.7 million of previously recognized unrealized losses, resulting in a net gain of $2.0 million during the first quarter of 2024. During the three months ended June 30, 2024, Residential whole loans with an unpaid principal balance of $12.4 million were sold, realizing gains, before the impact of economic hedging and the reversal of previously recognized unrealized gains, of $0.4 million. Upon sale, the Company reversed $0.2 million of previously recognized unrealized gains, resulting in a net gain of $0.2 million during the second quarter of 2024. During the three months ended September 30, 2024, Residential whole loans with an unpaid principal balance of $235.6 million were sold, realizing gains, before the impact of economic hedging and the reversal of previously recognized unrealized gains, of $5.9 million. Upon sale, the Company reversed $5.8 million of previously recognized unrealized gains, resulting in a net gain of $0.1 million during the third quarter of 2024. No Residential whole loans were sold during the nine months ended September 30, 2023.


	Nine Months Ended September 30, 2024
(In Thousands)		Single-family transitional loans (1)(2)		Single-family rental loans		Non-QM loans		Legacy RPL/NPL loans (3)		Totals
Allowance for credit losses at December 31, 2023		$	2,588	$	4,355	$	1,870	$	11,638	$	20,451
Current provision/(reversal)		(473)		228		(189)		(26)		(460)
Write-offs		(416)		59		—		(22)		(379)
Allowance for credit losses March 31, 2024		$	1,699	$	4,642	$	1,681	$	11,590	$	19,612
Current provision/(reversal)		(317)		978		(326)		(1,414)		(1,079)
Write-offs		(81)		(5,011)		—		(170)		(5,262)
Allowance for credit losses at June 30, 2024		$	1,301	$	609	$	1,355	$	10,006	$	13,271
Current provision/(reversal)		48		205		387		(2,582)		(1,942)
Write-offs		(181)		(439)		—		(52)		(672)
Allowance for credit losses at September 30, 2024		$	1,168	$	375	$	1,742	$	7,372	$	10,657


	Nine Months Ended September 30, 2023
(In Thousands)		Single-family transitional loans (1)(2)		Single-family rental loans		Non-QM loans		Legacy RPL/NPL loans (3)		Totals
Allowance for credit losses at December 31, 2022		$	5,223	$	1,277	$	7,359	$	21,455	$	35,314
Current provision/(reversal)		406		514		(214)		(391)		315
Write-offs		(2,003)		(451)		—		(113)		(2,567)
Allowance for credit losses at March 31, 2023		$	3,626	$	1,340	$	7,145	$	20,951	$	33,062
Current provision/(reversal)		999		(103)		(233)		(398)		265
Write-offs		(1,785)		—		(206)		(301)		(2,292)
Allowance for credit losses at June 30, 2023		$	2,840	$	1,237	$	6,706	$	20,252	$	31,035
Current provision/(reversal)		559		329		(2,627)		487		(1,252)
Write-offs		(881)		(235)		—		(110)		(1,226)
Allowance for credit losses at September 30, 2023		$	2,518	$	1,331	$	4,079	$	20,629	$	28,557

(1)In connection with Single-family transitional loans at carrying value, the Company had unfunded commitments of $1.6 million and $5.4 million as of September 30, 2024 and 2023, respectively, with an allowance for credit losses of $0 and $38,000 at September 30, 2024 and 2023, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).

Prior to December 31, 2023, the Company’s estimates of expected losses that form the basis of the Allowance for Credit Losses included certain qualitative adjustments which had 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 included uncertainty with respect to any residual 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 may experience higher delinquencies and defaults compared to the performance in historical periods of portfolios included in the available proxy data. During 2023, the Company eliminated its qualitative adjustment and made updates to certain of its modeling assumptions which, in addition to a reduction in loan balances subject to allowances, caused a reduction in the overall allowance. 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 carrying value of Residential whole loans on nonaccrual status as of September 30, 2024 and December 31, 2023 was $618.2 million and $624.1 million, respectively. During the three and nine months ended September 30, 2024, the Company recognized $2.9 million and $9.2 million of interest income on loans on nonaccrual status, including $1.9 million on its portfolio of loans which were non-performing at acquisition. At September 30, 2024 and December 31, 2023, there were approximately $42.9 million and $51.6 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.

During the three months ended September 30, 2024, the Company granted one loan modification in its carrying value loan portfolio with a term extension. The increase in average life for the loan with term extension was fifty-one months. As of September 30, 2024, the carrying value of this loan was approximately $0.1 million. As of September 30, 2024, this loan was not greater than 90 days delinquent.

During the past 12 months, the Company has granted three loan modifications in its carrying value loan portfolio which gave borrowers term extensions. The average increase in weighted average life was forty-three months. As of September 30, 2024, the carrying value of these loans was approximately $0.3 million, and two of these modifications were delinquent for 90 or more days.


	Amortized Cost Basis by Origination Year and LTV Bands
(In Thousands)	2024 - 2022		2021		2020		Prior		Total
Business purpose loans
LTV <= 80% (1)	$	—	$	7,139	$	17,139	$	113,636	$	137,914
LTV > 80% (1)	—		—		1,970		4,651		6,621
Total Business purpose loans	$	—	$	7,139	$	19,109	$	118,287	$	144,535
Nine Months Ended September 30, 2024 Gross write-offs	$	—	$	12	$	367	$	5,690	$	6,069
Non-QM loans
LTV <= 80% (1)	$	—	$	39,485	$	157,870	$	540,769	$	738,124
LTV > 80% (1)	—		1,924		7,045		4,457		13,426
Total Non-QM loans	$	—	$	41,409	$	164,915	$	545,226	$	751,550
Nine Months Ended September 30, 2024 Gross write-offs	$	—	$	—	$	—	$	—	$	—
Legacy RPL/NPL loans
LTV <= 80% (1)	$	—	$	—	$	—	$	413,265	$	413,265
LTV > 80% (1)	—		—		—		53,937		53,937
Total Legacy RPL/NPL loans	$	—	$	—	$	—	$	467,202	$	467,202
Nine Months Ended September 30, 2024 Gross write-offs	$	—	$	—	$	—	$	245	$	245
Total LTV <= 80% (1)	$	—	$	46,624	$	175,009	$	1,067,670	$	1,289,303
Total LTV > 80% (1)	—		1,924		9,015		63,045		73,984
Total Residential whole loans, at carrying value	$	—	$	48,548	$	184,024	$	1,130,715	$	1,363,287
Nine Months Ended September 30, 2024 Total Gross write-offs	$	—	$	12	$	367	$	5,935	$	6,314

(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 Single-family and Multifamily 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 Single-family 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 is not meaningful.


	Fair Value by Origination Year
(In Thousands)	2024		2023		2022		2021		2020		Prior		Total
Single-family transitional loans	$	455,519	$	497,487	$	149,391	$	24,669	$	407	$	46	$	1,127,519
Multifamily transitional loans	86,877		518,096		322,220		130,886		—		—		1,058,079
Single-family rental loans	138,611		247,698		573,362		385,558		8,399		281		1,353,909
Non-QM loans	636,933		734,840		625,961		1,388,659		238		34,616		3,421,247
Legacy RPL/NPL loans	—		—		—		—		—		658,078		658,078
Other loans	—		—		—		55,909		—		—		55,909
Total Residential whole loans, at fair value	$	1,317,940	$	1,998,121	$	1,670,934	$	1,985,681	$	9,044	$	693,021	$	7,674,741


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2024		2023		2024		2023
Single-family transitional loans	$	(2,393)	$	362	$	(2,012)	$	1,461
Multifamily transitional loans	(3,802)		—		(3,910)		—
Single-family rental loans	(669)		(212)		(2,123)		246
Non-QM loans	—		11		88		872
Legacy RPL/NPL loans	(220)		(630)		(1,120)		(2,365)
Other loans	—		—		—		—
Total Residential whole loans	$	(7,084)	$	(469)	$	(9,077)	$	214


	September 30, 2024
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Business purpose loans:
Single-family transitional loans	$	89,616	$	95,648	84	%
Multifamily transitional loans	36,664		60,732		79	%
Single-family rental loans	40,334		51,962		103	%
Total Business purpose loans	$	166,614	$	208,342
Non-QM loans	145,875		149,891		65	%
Legacy RPL/NPL loans	248,712		268,116		63	%
Other loans	—		—		—	%
Total Residential whole loans	$	561,201	$	626,349


	December 31, 2023
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Business purpose loans:
Single-family transitional loans	$	93,960	$	99,341	66	%
Multifamily transitional loans	19,812		20,595		63	%
Single-family rental loans	65,659		80,570		109	%
Total Business purpose loans	$	179,431	$	200,506
Non-QM loans	102,252		104,454		64	%
Legacy RPL/NPL loans	290,928		316,453		69	%
Other loans	188		228		73	%
Total Residential whole loans	$	572,799	$	621,641


	Held at Carrying Value				Held at Fair Value				Total
	Three Months Ended September 30,				Three Months Ended September 30,				Three Months Ended September 30,
(In Thousands)	2024		2023		2024		2023		2024		2023
Business purpose loans:
Single-family transitional loans	$	249	$	101	$	28,237	$	22,158	$	28,486	$	22,259
Multifamily transitional loans	—		—		23,479		17,964		23,479		17,964
Single-family rental loans	2,285		2,739		24,048		21,348		26,333		24,087
Total Business purpose loans	$	2,534	$	2,840	$	75,764	$	61,470	$	78,298	$	64,310
Non-QM loans	10,357		12,276		48,110		39,448		58,467		51,724
Legacy RPL/NPL loans	7,763		8,466		12,376		15,552		20,139		24,018
Other loans	—		—		502		486		502		486
Total Residential whole loans	$	20,654	$	23,582	$	136,752	$	116,956	$	157,406	$	140,538


	Held at Carrying Value				Held at Fair Value				Total
	Nine Months Ended September 30,				Nine Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2024		2023		2024		2023		2024		2023
Business purpose loans:
Single-family transitional loans	$	642	$	1,239	$	86,104	$	56,082	$	86,746	$	57,321
Multifamily transitional loans	—		—		73,969		43,750		73,969		43,750
Single-family rental loans	7,123		8,598		73,876		59,945		80,999		68,543
Total Business purpose loans	$	7,765	$	9,837	$	233,949	$	159,777	$	241,714	$	169,614
Non-QM loans	33,306		36,595		139,771		104,735		173,077		141,330
Legacy RPL/NPL loans	23,696		25,908		40,757		47,384		64,453		73,292
Other loans	—		—		1,544		3,860		1,544		3,860
Total Residential whole loans	$	64,767	$	72,340	$	416,021	$	315,756	$	480,788	$	388,096


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2024		2023		2024		2023
Business purpose loans:
Single-family transitional loans	$	2,401	$	688	$	(1,720)	$	1,085
Multifamily transitional loans	(15,384)		2,550		(42,457)		4,624
Single-family rental loans	39,662		(38,914)		57,269		(40,805)
Total Business purpose loans	$	26,679	$	(35,676)	$	13,092	$	(35,096)
Non-QM loans	94,489		(78,560)		124,058		(76,832)
Legacy RPL/NPL loans	18,923		(15,426)		9,002		(19,928)
Other loans	3,325		(3,232)		2,181		(2,567)
Total Residential whole loans	$	143,416	$	(132,894)	$	148,333	$	(134,423)