Loans

9 Months Ended

Sep. 30, 2024

Residential mortgage loans

The tables below detail information regarding the Company’s residential mortgage loan portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.


	Unpaid Principal Balance						Gross Unrealized						Weighted Average
September 30, 2024			Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield (1)		Life (Years) (2)
Securitized residential mortgage loans, at fair value (3)
Non-Agency Loans (4)	$	6,242,559	$	(6,609)	$	6,235,950	$	74,835	$	(258,620)	$	6,052,165	5.60	%	5.60	%	8.77

Re- and Non-Performing Loans	202,824		(14,682)		188,142		—		(13,609)		174,533		3.95	%	6.10	%	5.71
Total Securitized residential mortgage loans, at fair value	$	6,445,383	$	(21,291)	$	6,424,092	$	74,835	$	(272,229)	$	6,226,698	5.55	%	5.62	%	8.67

Residential mortgage loans, at fair value
Agency-Eligible Loans	$	109,219	$	2,448	$	111,667	$	1,154	$	—	$	112,821	7.58	%	6.76	%	3.73
Home Equity Loans (5)	130,652		4,620		135,272		1,582		—		136,854		10.72	%	9.62	%	4.25
Non-Agency Loans	14,018		(248)		13,770		133		(498)		13,405		7.57	%	4.52	%	3.61
Re- and Non-Performing Loans	2,094		(1,234)		860		1,107		—		1,967		N/A		111.21	%	1.46
Total Residential mortgage loans, at fair value	$	255,983	$	5,586	$	261,569	$	3,976	$	(498)	$	265,047	9.19	%	8.46	%	3.97

Total as of September 30, 2024	$	6,701,366	$	(15,705)	$	6,685,661	$	78,811	$	(272,727)	$	6,491,745	5.69	%	5.73	%	8.49

	Unpaid Principal Balance						Gross Unrealized						Weighted Average
December 31, 2023			Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield (1)		Life (Years) (2)
Securitized residential mortgage loans, at fair value (3)
Non-Agency Loans (4)	$	5,599,960	$	(32,250)	$	5,567,710	$	29,603	$	(422,144)	$	5,175,169	5.19	%	5.51	%	10.37
Re- and Non-Performing Loans	217,098		(17,465)		199,633		199		(16,720)		183,112		3.88	%	6.30	%	6.10
Total Securitized residential mortgage loans, at fair value	$	5,817,058	$	(49,715)	$	5,767,343	$	29,802	$	(438,864)	$	5,358,281	5.14	%	5.54	%	10.21

Residential mortgage loans, at fair value
Agency-Eligible Loans	$	212,350	$	3,535	$	215,885	$	4,824	$	—	$	220,709	7.94	%	7.28	%	3.37
Non-Agency Loans	92,033		835		92,868		2,222		(574)		94,516		8.10	%	7.29	%	3.14
Re- and Non-Performing Loans	2,604		(1,630)		974		1,432		—		2,406		N/A		112.97	%	1.69
Total Residential mortgage loans, at fair value	$	306,987	$	2,740	$	309,727	$	8,478	$	(574)	$	317,631	7.99	%	8.08	%	3.29

Total as of December 31, 2023	$	6,124,045	$	(46,975)	$	6,077,070	$	38,280	$	(439,438)	$	5,675,912	5.28	%	5.68	%	9.86

(1)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans. The weighted average yield of the Company's securitized residential mortgage loans and residential mortgage loans based on the fair value of the underlying loans as of September 30, 2024 was 5.70% and 8.90%, respectively.

(2)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.

(3)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.

(4)Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization.

(5)Home Equity Loans includes certain loans which were sold subsequent to quarter end. Refer to Note 13 for additional details.

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


	Unpaid Principal Balance		Loan Count (1)	Aging by Unpaid Principal Balance (1)(2)
September 30, 2024					Current		30-59 Days		60-89 Days		90+ Days
Securitized residential mortgage loans
Non-Agency Loans	$	6,242,559	15,494		$	6,071,142	$	75,212	$	38,362	$	57,843
Re- and Non-Performing Loans	202,824		1,374		145,403		16,959		5,948		34,514
Total Securitized residential mortgage loans	$	6,445,383	16,868		$	6,216,545	$	92,171	$	44,310	$	92,357
Residential mortgage loans
Agency-Eligible Loans	$	109,219	235		$	109,219	$	—	$	—	$	—
Home Equity Loans	130,652		1,725		130,652		—		—		—
Non-Agency Loans	14,018		25		5,998		1,210		1,297		5,513
Re- and Non-Performing Loans (1)	2,094		N/A		N/A		N/A		N/A		N/A
Total Residential mortgage loans	$	255,983	1,985		$	245,869	$	1,210	$	1,297	$	5,513
Total as of September 30, 2024	$	6,701,366	18,853		$	6,462,414	$	93,381	$	45,607	$	97,870

	Unpaid Principal Balance		Loan Count (1)	Aging by Unpaid Principal Balance (1)(2)
December 31, 2023					Current		30-59 Days		60-89 Days		90+ Days
Securitized residential mortgage loans
Non-Agency Loans	$	5,599,960	13,460		$	5,446,631	$	68,242	$	30,873	$	54,214
Re- and Non-Performing Loans	217,098		1,495		154,632		17,145		4,780		40,541
Total Securitized residential mortgage loans	$	5,817,058	14,955		$	5,601,263	$	85,387	$	35,653	$	94,755
Residential mortgage loans
Agency-Eligible Loans	$	212,350	536		$	211,499	$	851	$	—	$	—
Non-Agency Loans	92,033		170		83,582		1,010		615		6,826
Re- and Non-Performing Loans (1)	2,604		N/A		N/A		N/A		N/A		N/A
Total Residential mortgage loans	$	306,987	706		$	295,081	$	1,861	$	615	$	6,826
Total as of December 31, 2023	$	6,124,045	15,661		$	5,896,344	$	87,248	$	36,268	$	101,581

(1)Loan count and aging data exclude 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)As of September 30, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $33.9 million and loans in the process of foreclosure with a fair value of $60.5 million. As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $41.7 million and loans in the process of foreclosure with a fair value of $51.8 million.

As of September 30, 2024 and December 31, 2023, 10.2% and 12.0%, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.

During the three and nine months ended September 30, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).


	Three Months Ended								Nine Months Ended
	September 30, 2024				September 30, 2023				September 30, 2024				September 30, 2023
	Unpaid Principal Balance		Fair Value (1)		Unpaid Principal Balance		Fair Value (1)		Unpaid Principal Balance		Fair Value (1)		Unpaid Principal Balance		Fair Value (1)
Agency-Eligible Loans	$	380,542	$388,733		$	418,248	$414,560		$	1,054,749	$1,073,436		$	473,749	$471,223
Home Equity Loans	131,533		136,206		—		—		131,533		136,206		—		—
Non-Agency Loans	—		—		286,453		291,196		23,506		23,796		468,909		476,674
Total	$	512,075	$	524,939	$	704,701	$	705,756	$	1,209,788	$	1,233,438	$	942,658	$	947,897

(1)Fair value represents purchase price at acquisition.

For the three and nine months ended September 30, 2024 and 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).


	Three Months Ended							Nine Months Ended
	Number of Loans	Proceeds		Realized Gains		Realized Losses		Number of Loans	Proceeds		Realized Gains		Realized Losses
September 30, 2024
Agency-Eligible Loans	190	$	73,614	$	356	$	(276)	190	$	73,614	$	356	$	(276)
Non-Agency Loans	160	86,349		1,274		(137)		160	86,349		1,274		(137)

September 30, 2023
Agency-Eligible Loans	—	$	—	$	—	$	—	47	$	18,474	$	69	$	(85)
Non-Agency Loans	132	73,778		302		(739)		413	220,558		1,353		(11,884)
Re- and Non-Performing Loans	560	68,693		3,729		(4,068)		560	68,693		3,729		(4,068)

The Company’s residential mortgage loan portfolio consists of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk as of September 30, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.


Geographic Concentration of Credit Risk (1)	September 30, 2024		December 31, 2023
California	35	%	38	%
New York	11	%	13	%
Florida	11	%	10	%
Texas	6	%	6	%
New Jersey	5	%	5	%

(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.

Variable interest entities

The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs. The Company was determined to be the primary beneficiary of certain VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets. In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5% of the fair value of the Certificates issued in the securitization. The Company's continuing involvement in these securitizations represents its retained Certificates and the ability to purchase all of the outstanding Certificates upon the occurrence of certain events through an optional redemption right held by the Company. The Company has also engaged a related party of the Manager and direct subsidiary of TPG Angelo Gordon to act as the servicing administrator of certain securitization trusts.

The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of September 30, 2024 and December 31, 2023 ($ in thousands).


	September 30, 2024					December 31, 2023
	Carrying Value		Weighted Average			Carrying Value		Weighted Average
			Yield (1)		Life (Years) (2)			Yield (1)		Life (Years) (2)
Assets
Securitized residential mortgage loans, at fair value (3)	$	6,052,165	5.60	%	8.77	$	5,175,169	5.51	%	10.37
Other assets	29,864					25,105
Total Assets	$	6,082,029				$	5,200,274

Liabilities
Securitized debt, at fair value (3) (4)	$	5,391,483	5.15	%	6.47	$	4,597,490	4.94	%	7.52
Other liabilities	21,345					17,269
Total Liabilities	$	5,412,828				$	4,614,759

Total Equity (5)	$	669,201				$	585,515

(1)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans or securities. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans or securities. The weighted average yield of the Company's securitized residential mortgage loans and securitized debt based on the fair value as of September 30, 2024 was 5.69% and 5.25%, respectively.

(2)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.

(3)Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization.

(4)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 Non-Agency VIEs.

(5)As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $364.6 million and $301.2 million, respectively, collateralized by $661.5 million and $578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements.

The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of September 30, 2024 and December 31, 2023 ($ in thousands).


	September 30, 2024					December 31, 2023
	Carrying Value		Weighted Average			Carrying Value		Weighted Average
			Yield (1)		Life (Years) (2)			Yield (1)		Life (Years) (2)
Assets
Securitized residential mortgage loans, at fair value	$	174,533	6.10	%	5.71	$	183,112	6.30	%	6.10
Restricted cash	10					10
Other assets	1,958					2,056
Total Assets	$	176,501				$	185,178

Liabilities
Securitized debt, at fair value (3)	$	106,069	3.32	%	3.67	$	114,133	3.25	%	3.77
Other liabilities	306					328
Total Liabilities	$	106,375				$	114,461

Total Equity (4)	$	70,126				$	70,717

(3)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 RPL/NPL VIEs.

(4)As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $42.7 million and $44.9 million, respectively, collateralized by $66.3 million and $67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements.

Revolving Mortgage Investment Trust 2015-1QR2

Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was acquired in the WMC acquisition and held Non-Agency Loans and real estate owned ("REO"). RMI 2015 Trust issued a trust certificate that was wholly-owned by the Company and represented the entire beneficial interest in Non-Agency Loans and REO held by the trust. The Company consolidated the trust since it met the definition of a VIE and the Company was determined to be the primary beneficiary. The Company classified the underlying Non-Agency Loans and REO owned by the trust in the "Residential mortgage loans, at fair value" and "Other assets" line items on the consolidated balance sheets, respectively, and eliminated the intercompany trust certificate in consolidation.

As of September 30, 2024, there were no residential mortgage loans or REO in the RMI 2015 Trust. As of December 31, 2023, the RMI 2015 Trust held Non-Agency Loans with a fair value of $6.6 million and REO with a carrying value of $3.4 million.

Legacy WMC Commercial loans

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.


September 30, 2024			Premium / (Discount)		Amortized Cost		Gross Unrealized Gains		Fair Value		Weighted Average					Maturity Date (6)	LTV (7)		Location
Loan (1)(2)(3)	Unpaid Principal Balance										Coupon		Yield (4)		Life (Years) (5)
Loan A (8)	$	7,259	$	(90)	$	7,169	$	48	$	7,217	9.36	%	10.32	%	0.68	5/6/2025	61.63	%	IL, FL
Loan B (8)	13,206		(163)		13,043		88		13,131		9.36	%	10.32	%	0.68	5/6/2025	75.33	%	CA
Loan C (8)	24,535		(304)		24,231		164		24,395		9.36	%	10.32	%	0.68	5/6/2025	77.22	%	NY
Loan D (9)	22,204		(189)		22,015		117		22,132		8.54	%	8.23	%	0.93	8/6/2025	42.50	%	CT
Total	$	67,204	$	(746)	$	66,458	$	417	$	66,875	9.09	%	9.63	%	0.76		63.68	%


December 31, 2023			Premium / (Discount)		Amortized Cost		Gross Unrealized Gains		Fair Value		Weighted Average					Maturity Date (6)	LTV (7)		Location
Loan (1)(2)(3)	Unpaid Principal Balance										Coupon		Yield (4)		Life (Years) (5)
Loan A (8)	$	7,259	$	(137)	$	7,122	$	12	$	7,134	9.55	%	10.16	%	1.44	5/6/2025	61.63	%	IL, FL
Loan B (8)	13,206		(249)		12,957		22		12,979		9.55	%	10.16	%	1.44	5/6/2025	75.33	%	CA
Loan C (8)	24,535		(463)		24,072		40		24,112		9.55	%	10.16	%	1.44	5/6/2025	77.22	%	NY
Loan D (9)	22,204		(147)		22,057		21		22,078		8.72	%	8.17	%	1.69	8/6/2025	42.50	%	CT
Total	$	67,204	$	(996)	$	66,208	$	95	$	66,303	9.27	%	9.50	%	1.52		63.61	%

(1)The Company has the contractual right to receive a balloon payment for each loan.

(2)Each commercial loan investment is a first mortgage loan.

(3)Each commercial loan has a current payment status.

(4)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans. The weighted average yield of the Company's commercial loans based on the fair value of the underlying loans as of September 30, 2024 was 9.63%.

(5)Actual maturities of commercial loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal.

(6)Represents maturity date of the last possible extension option.

(7)Represents the LTV at acquisition. The total LTV on commercial loans is presented based on fair value.

(8)Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels.

(9)Loan D has a floating rate coupon equal to 3.38% plus one-month SOFR and is collateralized by a retail property.