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Investment in Loans (Tables)
 9 Months Ended
Sep. 30, 2020
Receivables [Abstract]  
Summary of Investments in Loans The following table is a summary of the Company's investments in loans as of September 30, 2020 and December 31, 2019:
As of
(In thousands)September 30, 2020December 31, 2019
Loan TypeUnpaid Principal BalanceFair
Value		Unpaid Principal BalanceFair
Value
Residential mortgage loans$1,004,980 $1,030,709 $911,705 $932,203 
Commercial mortgage loans252,305 252,231 277,870 274,759 
Consumer loans150,062 152,609 179,743 186,954 
Corporate loans7,063 7,063 18,415 18,510 
Total$1,414,410 $1,442,612 $1,387,733 $1,412,426 
The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2020 and December 31, 2019.
September 30, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$996,429 $8,676 $1,005,105 $21,504 $(4,355)$1,022,254 6.23 %5.15 %1.66
Residential mortgage loans, held-for-sale8,551 (863)7,688 793 (26)8,455 4.73 %6.04 %5.50
Total$1,004,980 $7,813 $1,012,793 $22,297 $(4,381)$1,030,709 6.22 %5.16 %1.70
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)Includes $760.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $17.5 million and $(0.2) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are presented on a gross basis on the Company's Condensed Consolidated Statement of Operations. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
December 31, 2019:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$911,705 $9,354 $921,059 $13,082 $(1,938)$932,203 6.44 %5.79 %1.90
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)Includes $628.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts.
The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2020 and December 31, 2019:
September 30, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$252,305 $(122)$252,183 $535 $(487)$252,231 8.25 %8.14 %0.77
(1)Excludes commercial mortgage loans, in non-accrual status, with a fair value of $23.8 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2019:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$277,870 $(3,302)$274,568 $253 $(62)$274,759 7.65 %8.58 %1.07
(1)Excludes commercial mortgage loans, held at par in non-accrual status, with a fair value of $10.7 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The tables below detail certain information regarding the Company's consumer loans as of September 30, 2020 and December 31, 2019:
September 30, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$150,062 $7,347 $157,409 $1,430 $(6,230)$152,609 0.884
(1)Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2019:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$179,743 $5,027 $184,770 $2,561 $(377)$186,954 0.824
(1)Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The tables below detail certain information regarding the Company's corporate loans as of September 30, 2020 and December 31, 2019:
September 30, 2020:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$7,063 $7,063 19.43 %1.98
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
December 31, 2019:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)(2)
$18,415 $18,510 17.62 %0.87
(1)See Note 13 for further details on the Company's transactions involving a loan originator in which the Company also holds an equity investment.
(2)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
Financing Receivable, Past Due [Table Text Block]
The following table provides details, by accrual status, for loans that are 90 days or more past due as of September 30, 2020 and December 31, 2019:
As of
September 30, 2020December 31, 2019
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
90 days or more past due—non-accrual status
Residential mortgage loans$67,121 $64,414 $22,092 $19,401 
Commercial mortgage loans23,750 23,671 28,936 26,545 
Consumer loans1,284 1,131 5,633 5,225 
Schedules of Concentration of Risk, by Risk Factor [Table Text Block]
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019:
Property Location by U.S. StateSeptember 30, 2020December 31, 2019
California44.0 %46.6 %
Florida13.8 %11.9 %
Texas10.4 %11.9 %
Colorado2.8 %3.2 %
Massachusetts2.6 %2.9 %
Oregon2.4 %2.2 %
Arizona1.9 %2.4 %
Utah1.9 %1.9 %
Illinois1.8 %1.7 %
New Jersey1.8 %1.1 %
Nevada1.7 %1.6 %
Washington1.6 %1.6 %
New York1.3 %1.3 %
North Carolina1.2 %— %
Georgia1.1 %— %
Maryland1.0 %1.1 %
Connecticut1.0 %— %
Other7.7 %8.6 %
100.0 %100.0 %
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019:
Property Location by U.S. StateSeptember 30, 2020December 31, 2019
Florida17.6 %31.7 %
New York16.5 %17.7 %
Pennsylvania11.5 %— %
Connecticut9.3 %8.2 %
Missouri6.6 %4.6 %
Ohio6.1 %— %
California5.7 %— %
Massachusetts5.2 %4.7 %
New Jersey4.9 %13.3 %
Arizona3.7 %3.8 %
Virginia3.6 %6.8 %
Indiana2.4 %2.1 %
North Carolina2.0 %1.8 %
Nevada1.6 %1.5 %
Tennessee1.6 %1.5 %
Illinois1.3 %1.2 %
Other0.4 %1.1 %
100.0 %100.0 %
The following table summarizes the Company's exposure to counterparty risk as of September 30, 2020 and December 31, 2019.
September 30, 2020:
Amount of ExposureNumber of Counterparties with Exposure
Maximum Percentage of Exposure to a Single Counterparty(1)
(In thousands)
Cash and cash equivalents$126,783 10 28.5 %
Collateral on repurchase agreements held by dealers(2)
1,810,825 24 18.6 %
Due from brokers63,991 22 35.4 %
Receivable for securities sold(3)
5,086 2 87.0 %
(1)Each counterparty is a large creditworthy financial institution.
(2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.
(3)Included in Investment related receivables on the Condensed Consolidated Balance Sheet.
December 31, 2019:
Amount of ExposureNumber of Counterparties with Exposure
Maximum Percentage of Exposure to a Single Counterparty(1)
(In thousands)
Cash and cash equivalents$72,302 11 42.2 %
Collateral on repurchase agreements held by dealers(2)
2,793,696 28 13.8 %
Due from brokers79,829 24 30.9 %
Receivable for securities sold(3)
69,995 5 62.3 %
(1)Each counterparty is a large creditworthy financial institution.
(2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.
(3)Included in Investment related receivables on the Condensed Consolidated Balance Sheet.
Financing Receivable Credit Quality Indicators [Table Text Block]
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2020 and December 31, 2019.
As of
September 30, 2020December 31, 2019
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
Re-performing$23,002 $21,572 $27,663 $25,323 
Non-performing64,710 62,343 17,757 15,580 
Consumer Loans, Delinquency Status [Table Text Block]
The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2020 and December 31, 2019:
Days Past DueSeptember 30, 2020December 31, 2019
Current96.2 %95.3 %
30-59 Days1.6 %2.1 %
60-89 Days1.1 %1.4 %
90-119 Days0.8 %1.2 %
>120 Days0.3 %— %
100.0 %100.0 %