The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, corporate, and reverse mortgage 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 December 31, 2022 and 2021:


	As of
(In thousands)	December 31, 2022				December 31, 2021
Loan Type	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
Residential mortgage loans	$	3,404,544	$	3,115,518	$	1,969,874	$	2,016,228
Commercial mortgage loans	406,721		404,324		326,438		326,197
Consumer loans	5,190		4,843		59,881		62,365
Corporate loans	4,132		4,086		10,531		10,531
Reverse mortgage loans	7,788,490		8,097,237		—		—
Total	$	11,609,077	$	11,626,008	$	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.

The following table provides details, by loan type, for residential and commercial mortgage and consumer loans that are 90 days or more past due as of December 31, 2022 and 2021:


	As of
	December 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	$	50,994	$	47,022	$	36,528	$	33,288
Commercial mortgage loans	17,656		17,583		15,500		15,462
Consumer loans	170		145		600		589

December 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)	$	3,225,997	$	43,806	$	3,269,803	$	2,143	$	(327,316)	$	2,944,630	6.39	%	5.97	%	3.57
Residential mortgage loans, held-for-sale	178,547		311		178,858		464		(8,434)		170,888		6.68		6.44	%	3.99
Total residential mortgage loans	$	3,404,544	$	44,117	$	3,448,661	$	2,607	$	(335,750)	$	3,115,518	6.41	%	5.99	%	3.59

(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 $1.665 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(291.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 12 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 12 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 December 31, 2022 and 2021:


Property Location by U.S. State	December 31, 2022		December 31, 2021
California	33.2	%	40.2	%
Florida	17.2	%	14.9	%
Texas	10.3	%	11.9	%
Utah	3.4	%	2.9	%
Arizona	3.1	%	2.1	%
North Carolina	2.8	%	1.8	%
Georgia	2.6	%	1.5	%
Pennsylvania	2.3	%	0.9	%
Tennessee	2.1	%	1.6	%
Massachusetts	1.9	%	2.2	%
Nevada	1.8	%	1.9	%
New Jersey	1.8	%	1.1	%
Colorado	1.7	%	2.0	%
Washington	1.7	%	1.5	%
Illinois	1.6	%	2.0	%
New York	1.4	%	1.7	%
Oregon	1.3	%	1.8	%
Ohio	1.1	%	0.7	%
Maryland	1.0	%	0.7	%
Connecticut	0.9	%	1.2	%
Other	6.8	%	5.4	%
	100.0	%	100.0	%


	As of
	December 31, 2022				December 31, 2021
(In thousands)	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
Re-performing	$	9,903	$	8,836	$	20,712	$	20,611
Non-performing	49,144		45,110		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 December 31, 2022 and 2021, the Company had expected future credit losses related to adverse changes in estimated future cash flows, which it tracks for purposes of calculating interest income, of $23.7 million and $3.0 million, respectively, related to 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 December 31, 2021, the estimated credit losses on such loans was $0.1 million; there were no estimated credit losses on such loans at December 31, 2022.

The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible. For the years ended December 31, 2021 and 2020, the Company recognized realized losses on these loans of $(33) thousand and $(0.8) million, respectively; no such realized losses were recognized during the year ended December 31, 2022. Such losses are reflected in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.

As of December 31, 2022 and 2021, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $27.7 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	$	406,721	$	—	$	406,721	$	1	$	(2,398)	$	404,324	10.76	%	10.66	%	0.93

(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 December 31, 2022 and 2021:


Property Location by U.S. State	December 31, 2022		December 31, 2021
Florida	20.5	%	32.3	%
Texas	13.4	%	—	%
New York	9.4	%	13.5	%
Arizona	9.0	%	9.3	%
New Jersey	6.2	%	5.1	%
Massachusetts	5.5	%	—	%
Michigan	5.5	%	4.9	%
Georgia	5.4	%	—	%
Illinois	4.6	%	—	%
Oklahoma	4.2	%	—	%
Ohio	3.8	%	7.3	%
North Carolina	3.7	%	5.9	%
Connecticut	2.2	%	3.5	%
New Hampshire	2.2	%	3.5	%
Louisiana	1.5	%	—	%
Pennsylvania	1.5	%	—	%
Rhode Island	1.0	%	—	%
Tennessee	—	%	7.7	%
Missouri	—	%	7.0	%
Other	0.4	%	—	%
	100.0	%	100.0	%

As of December 31, 2022, the Company had two non-performing commercial mortgage loans with an unpaid principal balance and fair value of $17.7 million and $17.6 million, respectively. As of December 31, 2021, the Company had one non-

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 December 31, 2022 and 2021, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $2.4 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	$	5,190	$	(43)	$	5,147	$	341	$	(645)	$	4,843	0.81	10

(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.

During the year ended December 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 12, Participation in Multi-Seller Consumer Loan Securitization. This sale resulted in a significant reduction in the size of the Company's consumer loan portfolio as of December 31, 2022 as compared to December 31, 2021.

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 December 31, 2022 and 2021.


Days Past Due	December 31, 2022		December 31, 2021
Current	90.3	%	96.0	%
30-59 Days	4.2	%	1.7	%
60-89 Days	2.3	%	1.3	%
90-119 Days	3.1	%	1.0	%
>120 Days	0.1	%	—	%
	100.0	%	100.0	%

During the years ended December 31, 2022, 2021, and 2020, the Company charged off $3.0 million, $3.6 million, and $20.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of December 31, 2022 and 2021, the Company held charged-off consumer loans with an aggregate fair value of $0.2 million and $0.3 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 December 31, 2022 and 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.5 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 years ended December 31, 2022, 2021, and 2020, the Company recognized realized losses on these loans of $(2.1) million, $(1.4) million, and $(3.2) million, respectively.

December 31, 2022:


					Weighted Average
($ in thousands)	Unpaid Principal Balance		Fair Value		Rate		Remaining Term (Years)
Corporate loans, held-for-investment(1)	$	4,132	$	4,086	5.47	%	2.74


					Weighted Average
($ in thousands)	Unpaid Principal Balance		Fair Value		Coupon		Life (Years)
Reverse mortgage loans, held-for-investment
HECM loans collateralizing HMBS	$	7,577,139	$	7,873,964	5.80	%	4.99
Unsecuritized HECM loans	110,911		119,671		6.53	%	7.15
Total reverse mortgage loans, held-for-investment	7,688,050		7,993,635		5.81	%	5.02
Reverse mortgage loans, held-for-sale	100,440		103,602		10.35	%	17.63
Total reverse mortgage loans	$	7,788,490	$	8,097,237	5.87	%	5.18

As of December 31, 2022, the Company had $267.0 million in unpaid principal balance of inactive reverse mortgage loans, of which $265.9 million related to HECM loans and the remainder was related to proprietary reverse mortgage loans.

The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of December 31, 2022.


Property Location by U.S. State	December 31, 2022
California	31.5	%
Florida	9.1	%
Colorado	6.4	%
Arizona	5.7	%
Washington	4.9	%
Utah	4.5	%
Texas	4.0	%
Oregon	2.8	%
Massachusetts	2.4	%
Idaho	2.3	%
New York	2.2	%
Nevada	2.1	%
North Carolina	1.9	%
Virginia	1.7	%
Ohio	1.5	%
Maryland	1.4	%
New Jersey	1.4	%
South Carolina	1.4	%
Georgia	1.3	%
Pennsylvania	1.2	%
Tennessee	1.1	%
Other	9.2	%
	100.0	%