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Investment in Loans
 3 Months Ended
Mar. 31, 2021
Receivables [Abstract]  
Investment in Loans Investment in Loans
The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, and corporate loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of March 31, 2021 and December 31, 2020:
As of
(In thousands)March 31, 2021December 31, 2020
Loan TypeUnpaid Principal BalanceFair
Value		Unpaid Principal BalanceFair
Value
Residential mortgage loans$1,236,923 $1,280,637 $1,150,303 $1,187,069 
Commercial mortgage loans235,077 235,948 212,716 213,031 
Consumer loans51,488 52,705 48,180 47,525 
Corporate loans13,226 13,226 5,855 5,855 
Total$1,536,714 $1,582,516 $1,417,054 $1,453,480 
The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in our loan portfolio can be amplified by exogenous shocks impacting our borrowers such as man-made or natural disasters, including the COVID-19 pandemic.
The following table provides details, by accrual status, for loans that are 90 days or more past due as of March 31, 2021 and December 31, 2020:
As of
March 31, 2021December 31, 2020
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
90 days or more past due—non-accrual status
Residential mortgage loans$54,588 $50,646 $64,509 $60,381 
Commercial mortgage loans34,373 34,265 44,233 44,052 
Consumer loans900 665 1,015 930 
Residential Mortgage Loans
The tables below detail certain information regarding the Company's residential mortgage loans as of March 31, 2021 and December 31, 2020.
March 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$1,236,923 $18,997 $1,255,920 $29,604 $(4,887)$1,280,637 6.12 %4.21 %1.34
(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 $961.3 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $27.5 million and $(0.2) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are included on the Company's Condensed Consolidated Statement of Operations in Unrealized gains (losses) on securities and loans, net. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
December 31, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$1,150,303 $14,263 $1,164,566 $27,892 $(5,389)$1,187,069 6.19 %5.60 %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 $801.3 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $24.8 million and $(0.1) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are included on the Company's Condensed Consolidated Statement of Operations in Unrealized gains (losses) on securities and loans, net. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
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 March 31, 2021 and December 31, 2020:
Property Location by U.S. StateMarch 31, 2021December 31, 2020
California42.8 %43.1 %
Florida15.5 %14.8 %
Texas9.9 %10.2 %
Colorado2.8 %3.1 %
Massachusetts2.8 %2.6 %
Oregon2.2 %2.2 %
Arizona2.2 %2.0 %
Nevada2.1 %1.9 %
Illinois1.9 %1.8 %
Utah1.6 %1.7 %
New York1.6 %1.6 %
Washington1.3 %1.4 %
New Jersey1.2 %1.4 %
Georgia1.2 %1.3 %
North Carolina1.2 %1.1 %
Connecticut1.1 %0.9 %
Maryland0.9 %1.0 %
Other7.7 %7.9 %
100.0 %100.0 %
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of March 31, 2021 and December 31, 2020.
As of
March 31, 2021December 31, 2020
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
Re-performing$17,185 $15,821 $18,120 $16,741 
Non-performing53,289 49,586 62,009 58,169 
As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of March 31, 2021 and December 31, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $1.6 million and $2.2 million, respectively, related to adverse changes in estimated future cash flows on its residential mortgage loans, primarily due to the economic impact of the COVID-19 pandemic. Certain of the Company's residential mortgage loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such loans; as of both March 31, 2021 and December 31, 2020, the estimated credit losses on such loans was $0.2 million. The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible; for the three-month period ended March 31, 2021, the Company recognized realized losses on these loans of $33 thousand, which are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. No such realized losses were recognized for the three-month period ended March 31, 2020.
As of March 31, 2021 and December 31, 2020, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $16.4 million and $14.9 million, respectively.
Commercial Mortgage Loans
The tables below detail certain information regarding the Company's commercial mortgage loans as of March 31, 2021 and December 31, 2020:
March 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$235,077 $1,110 $236,187 $216 $(455)$235,948 8.19 %8.19 %0.83
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $34.3 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$212,716 $290 $213,006 $479 $(454)$213,031 8.38 %8.28 %0.62
(1)Excludes commercial mortgage loans, held at par in non-accrual status, with a fair value of $31.5 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 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 March 31, 2021 and December 31, 2020:
Property Location by U.S. StateMarch 31, 2021December 31, 2020
Florida27.6 %23.8 %
New York16.6 %15.2 %
Connecticut10.9 %11.2 %
Ohio8.8 %7.3 %
Missouri7.6 %7.9 %
Massachusetts5.9 %6.1 %
California5.7 %5.9 %
Arizona4.2 %4.3 %
Virginia4.1 %4.2 %
Indiana2.7 %2.8 %
North Carolina2.1 %2.2 %
Nevada1.8 %1.9 %
Illinois1.3 %1.4 %
New Jersey0.7 %5.8 %
100.0 %100.0 %
As of March 31, 2021, the Company had four non-performing commercial mortgage loans with an unpaid principal balance and fair value of $34.4 million and $34.3 million, respectively. As of December 31, 2020, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $31.8 million and $31.5 million, respectively.
As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of both March 31, 2021 and December 31, 2020, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $0.4 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans.
As of December 31, 2020, the Company had one commercial mortgage loans with a fair value of $10.5 million that was in the process of foreclosure. The Company did not have any commercial mortgage loans in the process of foreclosure as of March 31, 2021.
Consumer Loans
The tables below detail certain information regarding the Company's consumer loans as of March 31, 2021 and December 31, 2020:
March 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$51,488 $1,616 $53,104 $990 $(1,389)$52,705 1.044
(1)Includes $0.5 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$48,180 $72 $48,252 $1,160 $(1,887)$47,525 1.047
(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 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 March 31, 2021 and December 31, 2020:
Days Past DueMarch 31, 2021December 31, 2020
Current95.2 %90.4 %
30-59 Days2.0 %3.4 %
60-89 Days1.4 %3.3 %
90-119 Days1.3 %2.8 %
>120 Days0.1 %0.1 %
100.0 %100.0 %
During the three-month periods ended March 31, 2021 and 2020, the Company charged off $3.6 million and $4.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of March 31, 2021 and December 31, 2020, the Company held charged-off consumer loans with an aggregate fair value of $0.5 million and $0.6 million, respectively, for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of March 31, 2021 and December 31, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $1.3 million and $2.9 million, respectively, on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible; for the three-month period ended March 31, 2021, the Company recognized realized losses on these loans of $1.3 million. No such realized losses were recognized for the three-month period ended March, 31, 2020.
Corporate Loans
The tables below detail certain information regarding the Company's corporate loans as of March 31, 2021 and December 31, 2020:
March 31, 2021:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$13,226 $13,226 21.02 %3.13
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
December 31, 2020:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$5,855 $5,855 20.00 %1.75