Loans (Tables)

12 Months Ended

Dec. 31, 2022

Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio

The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).


	Unpaid Principal Balance						Gross Unrealized						Weighted Average
December 31, 2022			Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield		Life (Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans	$	2,596,843	$	64,740	$	2,661,583	$	—	$	(306,835)	$	2,354,748	5.19	%	4.91	%	10.26
Agency-Eligible Loans	1,244,422		(1,164)		1,243,258		—		(161,805)		1,081,453		4.04	%	4.07	%	10.08
Re- and Non-Performing Loans	325,120		(36,982)		288,138		1,972		(19,165)		270,945		3.68	%	6.66	%	6.33
Total Securitized residential mortgage loans, at fair value	$	4,166,385	$	26,594	$	4,192,979	$	1,972	$	(487,805)	$	3,707,146	4.73	%	4.80	%	9.90

Residential mortgage loans, at fair value
Non-Agency Loans (3)	$	406,294	$	(7,902)	$	398,392	$	2,775	$	(30,006)	$	371,161	5.36	%	5.54	%	6.14
Agency-Eligible Loans (3)	48,657		18		48,675		94		(1,907)		46,862		6.00	%	5.99	%	4.73
Re- and Non-Performing Loans	3,520		(2,000)		1,520		1,908		—		3,428		N/A		72.78	%	1.87
Total Residential mortgage loans, at fair value	$	458,471	$	(9,884)	$	448,587	$	4,777	$	(31,913)	$	421,451	5.43	%	6.13	%	5.96

Total as of December 31, 2022	$	4,624,856	$	16,710	$	4,641,566	$	6,749	$	(519,718)	$	4,128,597	4.80%		4.93%		9.51

	Unpaid Principal Balance						Gross Unrealized						Weighted Average
December 31, 2021			Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield		Life (Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans	$	777,828	$	30,739	$	808,567	$	5,821	$	(1,005)	$	813,383	5.13	%	3.96	%	4.50

Re- and Non-Performing Loans	377,923		(44,971)		332,952		14,914		(3,115)		344,751		3.55	%	5.90	%	7.17
Total Securitized residential mortgage loans, at fair value	$	1,155,751	$	(14,232)	$	1,141,519	$	20,735	$	(4,120)	$	1,158,134	4.61	%	4.53	%	5.37

Residential mortgage loans, at fair value
Non-Agency Loans	$	987,290	$	35,647	$	1,022,937	$	9,336	$	(1,458)	$	1,030,815	4.75	%	3.76	%	5.01
Agency-Eligible Loans	429,424		10,039		439,463		1,723		(349)		440,837		3.64	%	3.19	%	6.84
Re- and Non-Performing Loans	6,528		(3,536)		2,992		2,328		—		5,320		N/A		31.18	%	2.24
Total Residential mortgage loans, at fair value	$	1,423,242	$	42,150	$	1,465,392	$	13,387	$	(1,807)	$	1,476,972	4.41	%	3.69	%	5.55

Total as of December 31, 2021	$	2,578,993	$	27,918	$	2,606,911	$	34,122	$	(5,927)	$	2,635,106	4.50	%	4.06	%	5.47

(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal.

(2)Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets.

(3)Includes fair value of $46.8 million and $18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets. Subsequent to year end, these loans were sold. Refer to Note 14 for additional detail.

During the year ended December 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below (in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail.


	Unpaid Principal Balance		Fair Value
Non-Agency Loans	$	1,580,547	$	1,593,026
Agency-Eligible Loans	993,126		986,734
Total	$	2,573,673	$	2,579,760

During the years ended December 31, 2022 and 2021, the Company sold Non-Agency, Agency-Eligible Loans, and Re- and Non-Performing Loans, as detailed below ($ in thousands).


	Number of Loans	Proceeds		Realized Gains		Realized Losses
Year Ended December 31, 2022
Non-Agency Loans	18	$	10,049	$	—	$	(1,133)
Agency-Eligible Loans	150	43,718		37		(2,623)

Year Ended December 31, 2021
Non-Agency Loans (1)	150	$	91,952	$	—	$	(1,304)
Re- and Non-Performing Loans	1	1,604		626		—
Securitized Re- and Non-Performing Loans	380	46,352		7,601		(769)

(1)The Non-Agency Loans sold during the year ended December 31, 2021 were sold into an unconsolidated securitization trust. Certain senior tranches in the securitization were sold to third-parties with the Company retaining the subordinate tranches, which are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. The Company participated in this securitization alongside a private fund under the management of Angelo Gordon. See Note 10 for more detail.

Summary of Credit Quality Information on Residential Mortgage Loans

The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).


	Unpaid Principal Balance			Weighted Average (1)(2)			Aging by Unpaid Principal Balance (1)(3)
December 31, 2022			Loan Count (1)	Original LTV Ratio		Current FICO (4)	Current		30-59 Days		60-89 Days		90+ Days
Securitized residential mortgage loans
Non-Agency Loans	$	2,596,843	5,169	69.13	%	730	$	2,550,634	$	26,210	$	8,415	$	11,584
Agency-Eligible Loans	1,244,422		3,839	66.25	%	757	1,239,114		5,062		246		—
Re- and Non-Performing Loans	325,120		2,226	79.61	%	643	220,124		34,865		10,937		59,194
Total Securitized residential mortgage loans	$	4,166,385	11,234	69.09	%	731	$	4,009,872	$	66,137	$	19,598	$	70,778
Residential mortgage loans
Non-Agency Loans	$	406,294	655	71.22	%	734	$	399,036	$	4,967	$	1,404	$	887
Agency-Eligible Loans	48,657		138	70.94	%	749	47,918		739		—		—
Re- and Non-Performing Loans (1)	3,520		N/A	N/A		N/A	N/A		N/A		N/A		N/A
Total Residential mortgage loans	$	458,471	793	71.19	%	735	$	446,954	$	5,706	$	1,404	$	887
Total as of December 31, 2022	$	4,624,856	12,027	69.29	%	731	$	4,456,826	$	71,843	$	21,002	$	71,665

	Unpaid Principal Balance			Weighted Average (1)(2)			Aging by Unpaid Principal Balance (1)(3)
December 31, 2021			Loan Count (1)	Original LTV Ratio		Current FICO (4)	Current		30-59 Days		60-89 Days		90+ Days
Securitized residential mortgage loans
Non-Agency Loans	$	777,828	1,562	68.03	%	733	$	767,734	$	6,495	$	1,036	$	2,563

Re- and Non-Performing Loans	377,923		2,540	79.20	%	639	256,094		35,974		12,324		73,531
Total Securitized residential mortgage loans	$	1,155,751	4,102	71.68	%	697	$	1,023,828	$	42,469	$	13,360	$	76,094
Residential mortgage loans
Non-Agency Loans	$	987,290	1,886	69.39	%	737	$	967,910	$	9,101	$	1,630	$	8,649
Agency-Eligible Loans	429,424		1,339	65.44	%	754	425,594		3,830		—		—
Re- and Non-Performing Loans (1)	6,528		N/A	N/A		N/A	N/A		N/A		N/A		N/A
Total Residential mortgage loans	$	1,423,242	3,225	68.19	%	742	$	1,393,504	$	12,931	$	1,630	$	8,649
Total as of December 31, 2021	$	2,578,993	7,327	69.76	%	723	$	2,417,332	$	55,400	$	14,990	$	84,743

(1)Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

(2)Amounts are weighted based on unpaid principal balance.

(3)As of December 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $31.4 million and $33.7 million, respectively. As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively.

(4)Weighted average current FICO excludes borrowers where FICO scores were not available. Data is as of November 30, 2022 and November 30, 2021, respectively.

Schedule of Certain Concentrations of Credit Risk Within the Company's Mortgage Loan Portfolio

December 31, 2022 and 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.


Geographic Concentration of Credit Risk (1)	December 31, 2022		December 31, 2021
California	33	%	35	%
New York	16	%	15	%
Florida	11	%	11	%
New Jersey	6	%	6	%
Texas	5	%	3	%

(1)Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

Schedule of Changes in the Accretable Portion of Discounts

The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the years ended December 31, 2022 and 2021, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).


	Year Ended
	December 31, 2022		December 31, 2021
Beginning Balance	$	46,521	$	56,907

Accretion	(6,599)		(5,106)
Reclassifications from/(to) non-accretable difference	2,615		1,044
Disposals	(300)		(6,324)
Ending Balance	$	42,237	$	46,521

Schedule of Variable Interest Entities

The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of December 31, 2022 and 2021 ($ in thousands):


	December 31, 2022					December 31, 2021
	Carrying Value		Weighted Average			Carrying Value		Weighted Average
			Yield		Life (Years) (1)			Yield		Life (Years) (1)
Assets
Non-Agency VIEs	$	2,354,748	4.91	%	10.26	$	813,383	3.96	%	4.50
Agency-Eligible VIEs	1,081,453		4.07	%	10.08	—		—	%	—
RPL/NPL VIEs	270,945		6.66	%	6.33	344,751		5.90	%	7.17
Securitized residential mortgage loans, at fair value	$	3,707,146	4.80	%	9.90	$	1,158,134	4.53	%	5.37
Restricted cash	1,194					1,467
Other assets	19,064					6,457
Total Assets	$	3,727,404				$	1,166,058

Liabilities
Non-Agency VIEs	$	2,089,308	4.31	%	6.41	$	746,970	1.63	%	2.36
Agency-Eligible VIEs	989,285		3.90	%	9.47	—		—	%	—
RPL/NPL VIEs	183,759		3.10	%	3.13	252,245		3.06	%	3.75
Securitized debt, at fair value (2)	$	3,262,352	4.12	%	7.26	$	999,215	2.00	%	2.71
Other liabilities	11,342					1,482
Total Liabilities	$	3,273,694				$	1,000,697

Total Equity (3)	$	453,710				$	165,361

(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(2)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs.

(3)As of December 31, 2022 and 2021, the Company had outstanding financing arrangements of $232.1 million and $71.3 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs. See Note 6 for more detail regarding the Company's financing arrangements.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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