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Investment in Loans
 3 Months Ended
Mar. 31, 2023
Receivables [Abstract]  
Investment in Loans Investment in Loans
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 March 31, 2023 and December 31, 2022:
As of
(In thousands)March 31, 2023December 31, 2022
Loan TypeUnpaid Principal BalanceFair
Value		Unpaid Principal BalanceFair
Value
Residential mortgage loans$3,261,327 $3,024,744 $3,404,544 $3,115,518 
Commercial mortgage loans376,291 374,233 406,721 404,324 
Consumer loans4,341 3,969 5,190 4,843 
Corporate loans4,965 4,920 4,132 4,086 
Reverse mortgage loans8,038,532 8,404,701 7,788,490 8,097,237 
Total$11,685,456 $11,812,567 $11,609,077 $11,626,008 
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 March 31, 2023 and December 31, 2022:
As of
March 31, 2023December 31, 2022
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
90 days or more past due—non-accrual status
Residential mortgage loans$72,398 $68,094 $50,994 $47,022 
Commercial mortgage loans28,261 28,117 17,656 17,583 
Consumer loans124 102 170 145 
Residential Mortgage Loans
The tables below detail certain information regarding the Company's residential mortgage loans as of March 31, 2023 and December 31, 2022.
March 31, 2023:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$3,261,327 $42,841 $3,304,168 $3,882 $(283,306)$3,024,744 6.56 %6.17 %4.22
(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 $1.663 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(251.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 12 for additional information.
December 31, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized
Cost		GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$3,225,997 $43,806 $3,269,803 $2,143 $(327,316)$2,944,630 6.39 %5.97 %3.57
Residential mortgage loans, held-for-sale178,547 311 178,858 464 (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.
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, 2023 and December 31, 2022:
Property Location by U.S. StateMarch 31, 2023December 31, 2022
California32.1 %33.2 %
Florida18.2 %17.2 %
Texas10.2 %10.3 %
Utah3.4 %3.4 %
Arizona3.0 %3.1 %
North Carolina2.8 %2.8 %
Georgia2.7 %2.6 %
Pennsylvania2.5 %2.3 %
Tennessee2.1 %2.1 %
New Jersey2.0 %1.8 %
Massachusetts1.9 %1.9 %
Nevada1.7 %1.8 %
Illinois1.7 %1.6 %
Colorado1.6 %1.7 %
Washington1.6 %1.7 %
New York1.4 %1.4 %
Oregon1.2 %1.3 %
Ohio1.1 %1.1 %
Maryland1.0 %1.0 %
Connecticut1.0 %0.9 %
Other6.8 %6.8 %
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, 2023 and December 31, 2022.
As of
March 31, 2023December 31, 2022
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
Re-performing$9,475 $8,190 $9,903 $8,836 
Non-performing71,211 67,030 49,144 45,110 
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, 2023 and December 31, 2022, 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 $23.4 million and $23.7 million, respectively, related to its residential mortgage loans.
As of March 31, 2023 and December 31, 2022, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $43.4 million and $27.7 million, respectively.
Commercial Mortgage Loans
The tables below detail certain information regarding the Company's commercial mortgage loans as of March 31, 2023 and December 31, 2022:
March 31, 2023:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$376,291 $— $376,291 $2 $(2,060)$374,233 11.26 %11.12 %0.82
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $28.1 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$406,721 $— $406,721 $1 $(2,398)$404,324 10.76 %10.66 %0.93
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $17.6 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, 2023 and December 31, 2022:
Property Location by U.S. StateMarch 31, 2023December 31, 2022
Florida19.2 %20.5 %
Texas14.4 %13.4 %
New York14.2 %9.4 %
Arizona7.7 %9.0 %
Massachusetts6.3 %5.5 %
Michigan6.0 %5.5 %
New Jersey5.5 %6.2 %
Illinois5.0 %4.6 %
Oklahoma4.5 %4.2 %
Ohio4.1 %3.8 %
Georgia4.0 %5.4 %
North Carolina4.0 %3.7 %
Connecticut2.4 %2.2 %
Louisiana1.7 %1.5 %
Pennsylvania— %1.5 %
New Hampshire— %2.2 %
Rhode Island— %1.0 %
Other1.0 %0.4 %
100.0 %100.0 %
As of March 31, 2023, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $28.3 million and $28.1 million, respectively. As of December 31, 2022, the Company had two non-performing commercial mortgage loan with an unpaid principal balance and fair value of $17.7 million and $17.6 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, 2023 and December 31, 2022, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $2.1 million and $2.4 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans.
The Company did not have any commercial mortgage loans in the process of foreclosure as of March 31, 2023 or December 31, 2022.
Consumer Loans
The tables below detail certain information regarding the Company's consumer loans as of March 31, 2023 and December 31, 2022:
March 31, 2023:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$4,341 $186 $4,527 $274 $(832)$3,969 0.7811
(1)Includes $0.1 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$5,190 $(43)$5,147 $341 $(645)$4,843 0.8110
(1)Includes $0.2 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, 2023 and December 31, 2022.
Days Past DueMarch 31, 2023December 31, 2022
Current89.3 %90.3 %
30-59 Days4.5 %4.2 %
60-89 Days3.4 %2.3 %
90-119 Days2.6 %3.1 %
>120 Days0.2 %0.1 %
100.0 %100.0 %
During the three-month periods ended March 31, 2023 and 2022, the Company charged off $0.2 million and $1.3 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of March 31, 2023 and December 31, 2022, the Company held charged-off consumer loans with an aggregate fair value of $0.1 million and $0.2 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 both March 31, 2023 and December 31, 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.5 million, 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, 2023 and 2022, the Company recognized realized losses on these loans of $(0.3) million and $(26) thousand, respectively.
Corporate Loans
The tables below detail certain information regarding the Company's corporate loans as of March 31, 2023 and December 31, 2022:
March 31, 2023:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$4,965 $4,920 8.05 %2.36
(1)See Note 23 for further details on the Company's unfunded commitments related to certain of its corporate loans.
December 31, 2022:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$4,132 $4,086 5.47 %2.74
(1)See Note 23 for further details on the Company's unfunded commitments related to certain of its corporate loans.
Reverse Mortgage Loans
The table below details certain information regarding the Company's reverse mortgage loans as of March 31, 2023 and December 31, 2022.
March 31, 2023:
Weighted Average
($ in thousands)Unpaid Principal BalanceFair ValueCouponLife (Years)
Reverse mortgage loans, held-for-investment
HECM loans collateralizing HMBS$7,723,014 $8,078,684 6.12 %5.10
Unsecuritized HECM loans(1)
186,402 187,783 6.69 %4.73
Total reverse mortgage loans, held-for-investment7,909,416 8,266,467 6.14 %5.09
Reverse mortgage loans, held-for-sale129,116 138,234 10.47 %16.81
Total reverse mortgage loans$8,038,532 $8,404,701 6.21 %5.28
(1)Includes unpoolable HECM loans with an unpaid principal balance of $80.5 million.
December 31, 2022:
Weighted Average
($ in thousands)Unpaid Principal BalanceFair ValueCouponLife (Years)
Reverse mortgage loans, held-for-investment
HECM loans collateralizing HMBS$7,577,139 $7,873,964 5.80 %4.99
Unsecuritized HECM loans110,911 119,671 6.53 %7.15
Total reverse mortgage loans, held-for-investment7,688,050 7,993,635 5.81 %5.02
Reverse mortgage loans, held-for-sale100,440 103,602 10.35 %17.63
Total reverse mortgage loans$7,788,490 $8,097,237 5.87 %5.18
Unpoolable HECM loans can include unsecuritized subsequent tail loans on inactive HECM loans as well as HECM loans that have reached 98% of their respective maximum claim amount, or the "MCA, and repurchased from the HMBS pool, or "HECM Buyout Loans." The MCA is equal to the lesser of a home's appraised value at the point in time that the conditional commitment is issued or the maximum loan limit that can be insured by FHA. Unpoolable HECM loans are not eligible for securitization into HMBS.
HECM loans where the borrower is deceased, no longer occupies the property, or is delinquent on tax and/or insurance payments, are categorized as "inactive." Inactive HECM loans are generally foreclosed upon and subsequently sold. Active
HECM loans that have reached the MCA and have been repurchased from the HMBS pool, or "ABOs," are subsequently assigned to the U.S. Department of Housing and Urban Development, or "HUD," which then reimburses the Company for the outstanding debt on the repurchased loan, up to the MCA. For inactive HECM Buyout Loans, or "NABOs," following resolution of the loan the Company files a claim with HUD for any recoverable remaining principal and advance balances. The timing and amount of the Company obligations with respect to MCA repurchases is uncertain as repurchase is dependent largely on circumstances outside of the Company’s control, including the amount and timing of future draws and the status of the loan.
The following table provides details on the Company's unpoolable HECM loans as of March 31, 2023:
(In thousands)March 31, 2023
Unpoolable HECM Loan TypeUnpaid
Principal Balance		Fair Value
ABOs$55,656 $51,963 
NABOs20,499 16,352 
HECM tail loans(1)
4,392 4,411 
Total unpoolable HECM loans$80,547 $72,726 
(1)Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan.
In March 2023, the Company entered into various agreements including a Master Loan Purchase and Servicing Agreement (the "MLPS Agreement") with a third party (the "MLPS Counterparty"), whereby it agreed to purchase and service HECM Buyout Loans with an unpaid principal balance of $80.1 million that had been previously repurchased from various HMBS pools by a third party HMBS issuer, and simultaneously finance such loans with the MLPS Counterparty. As of March 31, 2023, the Company held HECM Buyout Loans purchased under the MLPS Agreement with a fair value of $65.0 million, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. Under the terms of the purchase, the Company held back a portion of the proceeds which are to be paid to the MLPS Counterparty once an extended due diligence period concludes; as of March 31, 2023, $4.4 million was due to the MLPS Counterparty pursuant to this holdback, which is included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet.
As of March 31, 2023, the Company had $299.2 million in unpaid principal balance of inactive reverse mortgage loans, of which $296.5 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. 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 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 March 31, 2023 and December 31, 2022.
Property Location by U.S. StateMarch 31, 2023December 31, 2022
California27.9 %31.5 %
Florida9.2 %9.1 %
Colorado6.7 %6.4 %
Arizona5.9 %5.7 %
Washington5.2 %4.9 %
Utah4.8 %4.5 %
Texas4.3 %4.0 %
Oregon3.0 %2.8 %
Massachusetts2.6 %2.4 %
Idaho2.6 %2.3 %
New York2.4 %2.2 %
Nevada2.2 %2.1 %
North Carolina2.0 %1.9 %
Virginia1.8 %1.7 %
Ohio1.6 %1.5 %
Georgia1.5 %1.3 %
Maryland1.5 %1.4 %
New Jersey1.4 %1.4 %
South Carolina1.4 %1.4 %
Pennsylvania1.3 %1.2 %
Tennessee1.2 %1.1 %
Other9.5 %9.2 %
100.0 %100.0 %