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Investment in Loans (Tables)
 3 Months Ended
Mar. 31, 2021
Receivables [Abstract]  
Summary of 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 $1,453,480 
The tables below detail certain information regarding the Company's residential mortgage loans as of March 31, 2021 and December 31, 2020.
March 31, 2021:
Gross UnrealizedWeighted Average
($ 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 $(0.1) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are included on the Company's Condensed Consolidated Statement of Operations in Unrealized gains (losses) on securities and loans, net. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
The tables below detail certain information regarding the Company's commercial mortgage loans as of March 31, 2021 and December 31, 2020:
March 31, 2021:
Gross UnrealizedWeighted Average
($ 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 $31.5 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The tables below detail certain information regarding the Company's consumer loans as of March 31, 2021 and December 31, 2020:
March 31, 2021:
Gross UnrealizedWeighted Average
($ 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 $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The tables below detail certain information regarding the Company's corporate loans as of March 31, 2021 and December 31, 2020:
March 31, 2021:
Weighted Average
($ 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
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 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 
Schedules of Exposure to Counterparty Risk
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 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 %
The following table summarizes the Company's exposure to counterparty risk as of March 31, 2021 and December 31, 2020.
March 31, 2021:
Amount of ExposureNumber of Counterparties with Exposure
Maximum Percentage of Exposure to a Single Counterparty(1)
(In thousands)
Cash and cash equivalents$149,350 7 26.1 %
Collateral on repurchase agreements held by dealers(2)
2,226,054 24 16.6 %
Due from brokers91,814 23 25.4 %
Receivable for securities sold(3)
5,147 3 95.8 %
(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, 2020:
Amount of ExposureNumber of Counterparties with Exposure
Maximum Percentage of Exposure to a Single Counterparty(1)
(In thousands)
Cash and cash equivalents$111,647 8 40.1 %
Collateral on repurchase agreements held by dealers(2)
1,860,059 24 15.3 %
Due from brokers63,147 22 28.9 %
Receivable for securities sold(3)
1,416 2 94.5 %
(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 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 
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 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 %