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LOANS (Tables)

6 Months Ended

Jun. 30, 2023

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Loan Investment Activity

The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, for the six months ended June 30, 2023:

			Residential
			(dollars in thousands)
Beginning balance January 1, 2023			$	1,809,832
Purchases / originations			1,934,157
Sales and transfers (1)			(2,544,578)
Principal payments			(58,070)
Gains / (losses)			16,751
(Amortization) / accretion			(3,772)
Ending balance June 30, 2023			$	1,154,320
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $2.5 billion during the six months ended June 30, 2023.

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles and excluding loan warehouse facilities, at June 30, 2023 and December 31, 2022:

			June 30, 2023			December 31, 2022
			(dollars in thousands)
Fair value			$	12,472,739		$	10,931,744
Unpaid principal balance			$	13,743,613		$	12,247,346

Summary of Comprehensive Income (Loss)

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2023 and 2022 for these investments, excluding loan warehouse facilities:

			For the Three Months Ended												For the Six Months Ended
			June 30, 2023						June 30, 2022						June 30, 2023						June 30, 2022
			(dollars in thousands)
Interest income			$	162,202					$	91,645					$	309,432					$	165,110
Net gains (losses) on disposal of investments (1)			(1,495)						(5,321)						(2,272)						(12,658)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)			(167,759)						(324,481)						92,680						(739,729)
Total included in net income (loss)			$	(7,052)					$	(238,157)					$	399,840					$	(587,277)
(1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (loss).

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2023 and December 31, 2022 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans
June 30, 2023									December 31, 2022
Property location			% of Balance						Property location			% of Balance
California			43.2%						California			44.8%
New York			10.0%						New York			10.3%
Florida			9.2%						Florida			8.3%
Texas			5.3%						Texas			5.1%
All other (none individually greater than 5%)			32.3%						All other (none individually greater than 5%)			31.5%
Total			100.0%									100.0%

Residential Mortgage Loans

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at June 30, 2023 and December 31, 2022:

			June 30, 2023												December 31, 2022
			Portfolio Range						Portfolio Weighted Average						Portfolio Range						Portfolio Weighted Average
			(dollars in thousands)
Unpaid principal balance			$3 - $4,396						$481						$3 - $4,396						$489
Interest rate			2.00% - 12.00%						4.97%						2.00% - 15.00%						4.61%
Maturity			7/1/2029 - 6/1/2063						12/9/2051						7/1/2029 - 1/1/2063						10/6/2051
FICO score at loan origination			588 - 839						758						588 - 831						759
Loan-to-value ratio at loan origination			5% - 100%						68%						5% - 100%						68%

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