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Investment in Loans (Tables)
 6 Months Ended
Jun. 30, 2022
Receivables [Abstract]  
Summary of Investments in Loans The following table is a summary of the Company's investments in loans as of June 30, 2022 and December 31, 2021:
As of
(In thousands)June 30, 2022December 31, 2021
Loan TypeUnpaid Principal BalanceFair
Value		Unpaid Principal BalanceFair
Value
Residential mortgage loans$3,130,882 $2,995,584 $1,969,874 $2,016,228 
Commercial mortgage loans478,842 477,378 326,438 326,197 
Consumer loans7,501 7,410 59,881 62,365 
Corporate loans10,448 10,448 10,531 10,531 
Total$3,627,673 $3,490,820 $2,366,724 $2,415,321 
The tables below detail certain information regarding the Company's residential mortgage loans as of June 30, 2022 and December 31, 2021.
June 30, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$3,130,882 $45,714 $3,176,596 $4,351 $(185,363)$2,995,584 5.80 %4.71 %4.17
(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 $1.562 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $12 thousand and $(135.4) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
December 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$1,958,807 $45,462 $2,004,269 $13,792 $(13,173)$2,004,888 5.63 %4.67 %2.06
Residential mortgage loans, held-for-sale11,067 (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 $(3.7) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
The tables below detail certain information regarding the Company's commercial mortgage loans as of June 30, 2022 and December 31, 2021:
June 30, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$478,842 $— $478,842 $74 $(1,538)$477,378 7.52 %7.32 %1.26
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $31.5 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$326,438 $— $326,438 $76 $(317)$326,197 7.05 %6.99 %1.33
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $15.5 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The tables below detail certain information regarding the Company's consumer loans as of June 30, 2022 and December 31, 2021:
June 30, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$7,501 $1,492 $8,993 $560 $(2,143)$7,410 0.909
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$59,881 $3,212 $63,093 $809 $(1,537)$62,365 0.944
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The tables below detail certain information regarding the Company's corporate loans as of June 30, 2022 and December 31, 2021:
June 30, 2022:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$10,448 $10,448 16.81 %3.49
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
December 31, 2021:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$10,531 $10,531 16.14 %4.01
(1)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 loan type, for loans that are 90 days or more past due as of June 30, 2022 and December 31, 2021:
As of
June 30, 2022December 31, 2021
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
90 days or more past due—non-accrual status
Residential mortgage loans$31,079 $28,338 $36,528 $33,288 
Commercial mortgage loans31,500 31,465 15,500 15,462 
Consumer loans226 191 600 589 
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 June 30, 2022 and December 31, 2021:
Property Location by U.S. StateJune 30, 2022December 31, 2021
California36.7 %40.2 %
Florida16.3 %14.9 %
Texas10.4 %11.9 %
Utah3.4 %2.9 %
Arizona3.0 %2.1 %
Colorado2.1 %2.0 %
Nevada2.1 %1.9 %
North Carolina2.1 %1.8 %
Georgia2.0 %1.5 %
Illinois1.9 %2.0 %
Massachusetts1.9 %2.2 %
Tennessee1.9 %1.6 %
Washington1.7 %1.5 %
New Jersey1.5 %1.1 %
New York1.5 %1.7 %
Oregon1.5 %1.8 %
Connecticut1.2 %1.2 %
Pennsylvania1.2 %— %
Other7.6 %7.7 %
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 June 30, 2022 and December 31, 2021:
Property Location by U.S. StateJune 30, 2022December 31, 2021
Florida23.8 %32.3 %
Texas11.4 %— %
Arizona9.1 %9.3 %
New York8.8 %13.5 %
Georgia7.7 %— %
New Jersey5.2 %5.1 %
Michigan4.7 %4.9 %
Massachusetts4.6 %— %
North Carolina4.1 %5.9 %
Illinois4.0 %— %
Ohio3.9 %7.3 %
Oklahoma3.5 %— %
Tennessee2.3 %7.7 %
Connecticut1.9 %3.5 %
New Hampshire1.9 %3.5 %
Pennsylvania1.3 %— %
Rhode Island1.1 %— %
Washington0.7 %— %
Missouri— %7.0 %
100.0 %100.0 %
The following table summarizes the Company's exposure to counterparty risk as of June 30, 2022 and December 31, 2021.
June 30, 2022:
Amount of ExposureNumber of Counterparties with Exposure
Maximum Percentage of Exposure to a Single Counterparty(1)
(In thousands)
Cash and cash equivalents$224,451 8 73.2 %
Collateral on repurchase agreements held by dealers(2)
3,430,694 24 23.5 %
Due from brokers93,939 21 43.0 %
Receivable for securities sold(3)
36,696 5 34.8 %
(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 Consolidated Balance Sheet.
December 31, 2021:
Amount of ExposureNumber of Counterparties with Exposure
Maximum Percentage of Exposure to a Single Counterparty(1)
(In thousands)
Cash and cash equivalents$92,661 9 46.9 %
Collateral on repurchase agreements held by dealers(2)
2,822,847 23 33.5 %
Due from brokers93,549 19 29.1 %
Receivable for securities sold(3)
11,014 3 50.7 %
(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 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 June 30, 2022 and December 31, 2021.
As of
June 30, 2022December 31, 2021
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
Re-performing$10,385 $9,497 $20,712 $20,611 
Non-performing29,248 26,586 33,949 30,806 
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 June 30, 2022 and December 31, 2021.
Days Past DueJune 30, 2022December 31, 2021
Current90.5 %96.0 %
30-59 Days3.9 %1.7 %
60-89 Days2.6 %1.3 %
90-119 Days2.9 %1.0 %
>120 Days0.1 %— %
100.0 %100.0 %