
	As of
(In thousands)	March 31, 2022				December 31, 2021
Loan Type	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
Residential mortgage loans	$	2,452,210	$	2,433,007	$	1,969,874	$	2,016,228
Commercial mortgage loans	430,031		429,954		326,438		326,197
Consumer loans	10,865		9,878		59,881		62,365
Corporate loans	11,788		11,788		10,531		10,531
Total	$	2,904,894	$	2,884,627	$	2,366,724	$	2,415,321

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, such as the COVID-19 pandemic.


	As of
	March 31, 2022				December 31, 2021
(In thousands)	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
90 days or more past due—non-accrual status
Residential mortgage loans	$	32,426	$	29,681	$	36,528	$	33,288
Commercial mortgage loans	31,500		31,460		15,500		15,462
Consumer loans	612		521		600		589

March 31, 2022:


							Gross Unrealized						Weighted Average
($ in thousands)	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield		Life (Years)(1)
Residential mortgage loans, held-for-investment(2)	$	2,452,210	$	49,023	$	2,501,233	$	3,879	$	(72,105)	$	2,433,007	5.59	%	4.38	%	3.28

(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 $1.318 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $2.0 million and $(41.6) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information.


							Gross Unrealized						Weighted Average
($ in thousands)	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield		Life (Years)(1)
Residential mortgage loans, held-for-investment(2)	$	1,958,807	$	45,462	$	2,004,269	$	13,792	$	(13,173)	$	2,004,888	5.63	%	4.67	%	2.06
Residential mortgage loans, held-for-sale	11,067		(1,423)		9,644		1,707		(11)		11,340		4.58		5.94	%	0.08
Total residential mortgage loans	$	1,969,874	$	44,039	$	2,013,913	$	15,499	$	(13,184)	$	2,016,228	5.63	%	4.68	%	2.05

(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 $1.042 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $11.5 million and $(3.7) million of gross unrealized gains and gross unrealized losses, respectively. 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, 2022 and December 31, 2021:


Property Location by U.S. State	March 31, 2022		December 31, 2021
California	38.0	%	40.2	%
Florida	15.0	%	14.9	%
Texas	12.0	%	11.9	%
Utah	3.8	%	2.9	%
Arizona	2.7	%	2.1	%
Illinois	2.1	%	2.0	%
Massachusetts	2.1	%	2.2	%
Nevada	2.1	%	1.9	%
Colorado	2.0	%	2.0	%
North Carolina	1.9	%	1.8	%
Tennessee	1.9	%	1.6	%
Georgia	1.6	%	1.5	%
Oregon	1.6	%	1.8	%
Washington	1.6	%	1.5	%
New York	1.5	%	1.7	%
Connecticut	1.2	%	1.2	%
New Jersey	1.2	%	1.1	%
Other	7.7	%	7.7	%
	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, 2022 and December 31, 2021.


	As of
	March 31, 2022				December 31, 2021
(In thousands)	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
Re-performing	$	10,402	$	9,767	$	20,712	$	20,611
Non-performing	30,808		28,150		33,949		30,806

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, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $8.5 million and $3.0 million, respectively, related to adverse changes in estimated future cash flows on its residential mortgage loans. 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 March 31, 2022 and December 31, 2021, the estimated credit losses on such loans was $7 thousand and $0.1 million, respectively.

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; no such realized losses were recognized during the three-month period ended March 31, 2022. Such losses are reflected in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.

As of March 31, 2022 and December 31, 2021, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $10.0 million and $8.1 million, respectively.


							Gross Unrealized						Weighted Average
($ in thousands)	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield(1)		Life (Years)(2)
Commercial mortgage loans, held-for-investment	$	430,031	$	—	$	430,031	$	86	$	(163)	$	429,954	6.70	%	6.50	%	1.34

(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.


							Gross Unrealized						Weighted Average
($ in thousands)	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield(1)		Life (Years)(2)
Commercial mortgage loans, held-for-investment	$	326,438	$	—	$	326,438	$	76	$	(317)	$	326,197	7.05	%	6.99	%	1.33

(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, 2022 and December 31, 2021:


Property Location by U.S. State	March 31, 2022		December 31, 2021
Florida	30.3	%	32.3	%
Arizona	12.9	%	9.3	%
New York	12.5	%	13.5	%
North Carolina	6.7	%	5.9	%
Massachusetts	6.6	%	—	%
New Jersey	6.4	%	5.1	%
Illinois	5.6	%	—	%
Ohio	5.6	%	7.3	%
Michigan	3.7	%	4.9	%
Tennessee	3.2	%	7.7	%
Connecticut	2.7	%	3.5	%
New Hampshire	2.7	%	3.5	%
Pennsylvania	1.1	%	—	%
Missouri	—	%	7.0	%
	100.0	%	100.0	%

As of March 31, 2022, the Company had two non-performing commercial mortgage loans with an unpaid principal balance and fair value of $31.5 million and $31.5 million, respectively. As of December 31, 2021, the Company had one non-performing commercial mortgage loan with an unpaid principal balance and fair value of $15.5 million and $15.5 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 March 31, 2022 and December 31, 2021, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $0.2 million and $0.3 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans.


							Gross Unrealized						Weighted Average
($ in thousands)	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value(1)		Life (Years)(2)	Delinquency (Days)
Consumer loans, held-for-investment	$	10,865	$	208	$	11,073	$	513	$	(1,708)	$	9,878	0.94	16

(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.


							Gross Unrealized						Weighted Average
($ in thousands)	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value(1)		Life (Years)(2)	Delinquency (Days)
Consumer loans, held-for-investment	$	59,881	$	3,212	$	63,093	$	809	$	(1,537)	$	62,365	0.94	4

(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, 2022 and December 31, 2021. During the quarter ended March 31, 2022, the Company sold the majority of its performing consumer loans, with an unpaid principal balance of $47.7 million, to a securitization trust. See Note 10, Participation in Multi-Seller Consumer Loan Securitization. This sale resulted in a significant change in the composition of our consumer loan portfolio at March 31, 2022 as compared to December 31, 2021.


Days Past Due	March 31, 2022		December 31, 2021
Current	78.2	%	96.0	%
30-59 Days	9.1	%	1.7	%
60-89 Days	7.1	%	1.3	%
90-119 Days	5.5	%	1.0	%
>120 Days	0.1	%	—	%
	100.0	%	100.0	%

During the three-month periods ended March 31, 2022 and 2021, the Company charged off $1.3 million and $1.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of both March 31,

2022 and December 31, 2021, the Company held charged-off consumer loans with an aggregate fair value of $0.3 million, 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, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $1.2 million and $1.3 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 periods ended March 31, 2022 and 2021, the Company recognized realized losses on these loans of $(26) thousand and $(1.3) million, respectively.

March 31, 2022:


					Weighted Average
($ in thousands)	Unpaid Principal Balance		Fair Value		Rate		Remaining Term (Years)
Corporate loans, held-for-investment(1)	$	11,788	$	11,788	15.19	%	3.61


					Weighted Average
($ in thousands)	Unpaid Principal Balance		Fair Value		Rate		Remaining Term (Years)
Corporate loans, held-for-investment(1)	$	10,531	$	10,531	16.14	%	4.01