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LOANS (Tables) | 9 Months Ended
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Sep. 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 nine months ended September 30, 2023:
| Residential |  |  |  |  |  |  |  |
| (dollars in thousands)
Beginning balance January 1, 2023 | $ | 1,809,832 |  |  |  |  |  |  |  |  |
Purchases / originations | 3,438,802 |  |  |  |  |  |  |  |  |
Sales and transfers (1) | (3,375,118) |  |  |  |  |  |  |  |  |
Principal payments | (82,602) |  |  |  |  |  |  |  |  |
Gains / (losses) | 8,093 |  |  |  |  |  |  |  |  |
(Amortization) / accretion | (5,867) |  |  |  |  |  |  |  |  |
Ending balance September 30, 2023 | $ | 1,793,140 |  |  |  |  |  |  |  |  |
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $3.4 billion during the nine months ended September 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 September 30, 2023 and December 31, 2022:
| September 30, 2023 | December 31, 2022
| (dollars in thousands)
Fair value | $ | 13,243,486 |  | $ | 10,931,744 |
Unpaid principal balance | $ | 14,910,846 |  | $ | 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 nine months ended September 30, 2023 and 2022 for these investments, excluding loan warehouse facilities:
| For the Three Months Ended |  | For the Nine Months Ended
| September 30, 2023 |  | September 30, 2022 |  | September 30, 2023 |  | September 30, 2022
| (dollars in thousands)
Interest income | $ | 181,965 |  |  | $ | 109,973 |  |  | $ | 491,397 |  |  | $ | 275,083 |
Net gains (losses) on disposal of investments (1) | (1,087) |  |  | 1,103 |  |  | (3,358) |  |  | (11,555) |
Net unrealized gains (losses) on instruments measured at fair value through earnings (1) | (418,776) |  |  | (541,771) |  |  | (326,096) |  |  | (1,281,501) |
Total included in net income (loss) | $ | (237,898) |  |  | $ | (430,695) |  |  | $ | 161,943 |  |  | $ | (1,017,973) |
(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 September 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
September 30, 2023 |  | December 31, 2022
Property location | % of Balance |  | Property location | % of Balance
California | 41.9% |  | California | 44.8%
New York | 10.3% |  | New York | 10.3%
Florida | 10.1% |  | Florida | 8.3%
Texas | 5.4% |  | 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 September 30, 2023 and December 31, 2022:
| September 30, 2023 |  | December 31, 2022
| Portfolio Range | Portfolio Weighted Average |  | Portfolio Range | Portfolio Weighted Average
| (dollars in thousands)
Unpaid principal balance | $1 - $4,396 |  | $477 |  | $3 - $4,396 |  | $489
Interest rate | 2.00% - 12.00% |  | 5.28% |  | 2.00% - 15.00% |  | 4.61%
Maturity | 7/1/2029 - 9/1/2063 |  | 2/9/2052 |  | 7/1/2029 - 1/1/2063 |  | 10/6/2051
FICO score at loan origination | 549 - 839 |  | 758 |  | 588 - 831 |  | 759
Loan-to-value ratio at loan origination | 5% - 100% |  | 68% |  | 5% - 100% |  | 68%

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