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, 2023 and 2022:


	As of
(In thousands)	December 31, 2023				December 31, 2022
Loan Type	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
Residential mortgage loans	$	3,305,757	$	3,093,912	$	3,404,544	$	3,115,518
Commercial mortgage loans	281,531		266,595		406,721		404,324
Consumer loans	2,081		1,759		5,190		4,843
Corporate loans	6,379		5,819		4,132		4,086
Reverse mortgage loans	8,568,271		8,938,551		7,788,490		8,097,237
Total	$	12,164,019	$	12,306,636	$	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 the 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, 2023 and 2022:


	As of
	December 31, 2023				December 31, 2022
(In thousands)	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
90 days or more past due—non-accrual status
Residential mortgage loans	$	127,685	$	120,087	$	50,994	$	47,022
Commercial mortgage loans	47,736		33,314		17,656		17,583
Consumer loans	94		66		170		145

December 31, 2023:


							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)	$	3,305,757	$	37,831	$	3,343,588	$	5,554	$	(255,230)	$	3,093,912	7.17	%	6.77	%	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 $1.555 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(228.0) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 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)	$	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 13 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, 2023 and 2022:


Property Location by U.S. State	December 31, 2023		December 31, 2022
California	32.2	%	33.2	%
Florida	21.4	%	17.2	%
Texas	9.5	%	10.3	%
Utah	3.2	%	3.4	%
Arizona	2.7	%	3.1	%
Pennsylvania	2.7	%	2.3	%
Georgia	2.6	%	2.6	%
North Carolina	2.2	%	2.8	%
New Jersey	2.1	%	1.8	%
Illinois	1.8	%	1.6	%
Washington	1.8	%	1.7	%
Colorado	1.5	%	1.7	%
Massachusetts	1.5	%	1.9	%
Nevada	1.5	%	1.8	%
Tennessee	1.5	%	2.1	%
New York	1.2	%	1.4	%
Oregon	1.2	%	1.3	%
Ohio	0.9	%	1.1	%
Maryland	0.8	%	1.0	%
Other	7.7	%	7.7	%
	100.0	%	100.0	%


	As of
	December 31, 2023				December 31, 2022
(In thousands)	Unpaid Principal Balance		Fair Value		Unpaid Principal Balance		Fair Value
Re-performing	$	4,252	$	3,761	$	9,903	$	8,836
Non-performing	127,085		119,524		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 December 31, 2023 and 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 $17.2 million and $23.7 million, respectively, related to its residential mortgage loans.

As of December 31, 2023 and 2022, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $85.6 million and $27.7 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	$	281,531	$	(13,648)	$	267,883	$	—	$	(1,288)	$	266,595	11.44	%	11.45	%	0.79

(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	$	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.

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, 2023 and 2022:


Property Location by U.S. State	December 31, 2023		December 31, 2022
Illinois	18.6	%	4.6	%
Texas	15.6	%	13.4	%
Florida	13.9	%	20.5	%
New York	8.9	%	9.4	%
Arizona	7.5	%	9.0	%
Oklahoma	6.0	%	4.2	%
Ohio	5.5	%	3.8	%
Georgia	5.3	%	5.4	%
Michigan	4.5	%	5.5	%
New Jersey	3.8	%	6.2	%
Connecticut	3.2	%	2.2	%
North Carolina	2.7	%	3.7	%
Alabama	2.3	%	—	%
Louisiana	2.2	%	1.5	%
Massachusetts	—	%	5.5	%
New Hampshire	—	%	2.2	%
Pennsylvania	—	%	1.5	%
Other	—	%	1.4	%
	100.0	%	100.0	%

As of December 31, 2023, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $47.7 million and $33.3 million, respectively. 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 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, 2023 and 2022, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $1.3 million and $2.4 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans.

As of December 31, 2023, the Company had two commercial mortgage loans in the process of foreclosure; such loans had an unpaid principal balance and fair value of $25.9 million and $25.1 million, respectively. The Company did not have any commercial mortgage loans in the process of foreclosure as of December 31, 2022.


							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	$	2,081	$	(120)	$	1,961	$	127	$	(329)	$	1,759	0.75	18

(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	$	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.

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, 2023 and 2022.


Days Past Due	December 31, 2023		December 31, 2022
Current	81.0	%	90.3	%
30-59 Days	7.9	%	4.2	%
60-89 Days	6.6	%	2.3	%
90-119 Days	4.0	%	3.1	%
>120 Days	0.5	%	0.1	%
	100.0	%	100.0	%

During the years ended December 31, 2023, 2022, and 2021, the Company charged off $0.5 million, $3.0 million, and $3.6 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of December 31, 2023 and 2022, the Company held charged-off consumer loans with an aggregate fair value of $35 thousand 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 December 31, 2023 and 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.3 million and $0.5 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,

December 31, 2023:


					Weighted Average
($ in thousands)	Unpaid Principal Balance		Fair Value		Rate		Remaining Term (Years)
Corporate loans, held-for-investment(1)	$	6,379	$	5,819	10.13	%	1.52

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, 2023, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.6 million; there were no such expected future credit losses as of December 31, 2022.


					Weighted Average
($ in thousands)	Unpaid Principal Balance		Fair Value		Coupon		Life (Years)
Reverse mortgage loans, held-for-investment
HECM loans collateralizing HMBS	$	8,166,222	$	8,506,423	6.82	%	5.10
Unsecuritized HECM loans(1)	103,063		102,553		7.15	%	6.12
Total reverse mortgage loans, held-for-investment	8,269,285		8,608,976		6.83	%	5.11
Reverse mortgage loans, held-for-sale	298,986		329,575		10.67	%	16.78
Total reverse mortgage loans	$	8,568,271	$	8,938,551	6.96	%	5.54


					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

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

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." 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.


(In thousands)	December 31, 2023
Unpoolable HECM Loan Type	Unpaid Principal Balance		Fair Value
ABOs	$	8,508	$	6,897
NABOs	14,562		10,167
Other HECM loans(1)	4,883		4,908
Total unpoolable HECM loans	$	27,953	$	21,972

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 December 31, 2023, the Company held HECM Buyout Loans purchased under the MLPS Agreement with a fair value of $8.9 million, which are included in Loans, at fair value on the Consolidated Balance Sheet.

As of December 31, 2023, the Company had $290.4 million in unpaid principal balance of inactive reverse mortgage loans, of which $280.6 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 December 31, 2023 and December 31, 2022.


Property Location by U.S. State	December 31, 2023		December 31, 2022
California	28.7	%	31.5	%
Florida	8.8	%	9.1	%
Colorado	7.1	%	6.4	%
Arizona	6.3	%	5.7	%
Washington	5.3	%	4.9	%
Utah	5.0	%	4.5	%
Texas	4.8	%	4.0	%
Oregon	3.0	%	2.8	%
Idaho	2.7	%	2.3	%
Massachusetts	2.4	%	2.4	%
New York	2.2	%	2.2	%
Nevada	2.1	%	2.1	%
North Carolina	2.1	%	1.9	%
Virginia	1.6	%	1.7	%
Georgia	1.6	%	1.3	%
Ohio	1.5	%	1.5	%
South Carolina	1.4	%	1.4	%
New Jersey	1.3	%	1.4	%
Tennessee	1.3	%	1.1	%
Maryland	1.1	%	1.4	%
Pennsylvania	1.1	%	1.2	%
Other	8.6	%	9.2	%
	100.0	%	100.0	%