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LOANS | 9 Months Ended
--- | ---
Sep. 30, 2024
Receivables [Abstract] |
LOANS |
6. LOANS
The Company invests in residential loans. Loans are classified as either held for investment or held for sale. Loans are eligible to be accounted for under the fair value option. If loans are elected under the fair value option, they are carried at fair value with changes in fair value recognized in earnings. Otherwise, loans held for investment are carried at cost less impairment and loans held for sale are accounted for at the lower of cost or fair value. Excluding loans transferred or pledged to securitization vehicles, as of September 30, 2024 and December 31, 2023, the Company had $2.3 billion and $2.4 billion, respectively, of loans for which the fair value option was elected. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. The carrying value of the Company’s residential loans held for sale was $0.8 million and $1.2 million at September 30, 2024 and December 31, 2023, respectively. The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles, for the nine months ended September 30, 2024:
| Residential Loans |  |  |  |  |  |  |  |
| (dollars in thousands)
Beginning balance January 1, 2024 | $ | 2,353,084 |  |  |  |  |  |  |  |  |
Purchases / originations | 9,329,964 |  |  |  |  |  |  |  |  |
Sales and transfers (1) | (9,287,090) |  |  |  |  |  |  |  |  |
Principal payments | (103,691) |  |  |  |  |  |  |  |  |
Gains / (losses) | 25,189 |  |  |  |  |  |  |  |  |
(Amortization) / accretion | (11,843) |  |  |  |  |  |  |  |  |
Ending balance September 30, 2024 | $ | 2,305,613 |  |  |  |  |  |  |  |  |
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $8.8 billion during the nine months ended September 30, 2024.
Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company also consolidates securitization trusts in which it retained securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts. The mortgage loans are secured by first liens on primarily one-to-four family residential properties. A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases. Pursuant to the custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians. At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian, the mortgage loan documents including the mortgage note, the mortgage and other related loan documents. In addition, a complete credit file for the related mortgage and borrower must be delivered to the subsidiary prior to the date of purchase. 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, at September 30, 2024 and December 31, 2023:
| September 30, 2024 | December 31, 2023
| (dollars in thousands)
Fair value | $ | 23,349,620 |  | $ | 15,660,706 |
Unpaid principal balance | $ | 23,711,456 |  | $ | 16,611,204 |
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, 2024 and 2023 for these investments:
| For the Three Months Ended |  | For the Nine Months Ended
| September 30, 2024 |  | September 30, 2023 |  | September 30, 2024 |  | September 30, 2023
| (dollars in thousands)
Interest income | $ | 346,031 |  |  | $ | 181,965 |  |  | $ | 899,867 |  |  | $ | 491,397 |
Net gains (losses) on disposal of investments (1) | 1,535 |  |  | (1,087) |  |  | (1,810) |  |  | (3,358) |
Net unrealized gains (losses) on instruments measured at fair value through earnings (1) | 558,161 |  |  | (418,776) |  |  | 469,462 |  |  | (326,096) |
Total included in net income (loss) | $ | 905,727 |  |  | $ | (237,898) |  |  | $ | 1,367,519 |  |  | $ | 161,943 |
(1) These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss).
The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2024 and December 31, 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:
Geographic Concentrations of Residential Mortgage Loans
September 30, 2024 |  | December 31, 2023
Property location | % of Balance |  | Property location | % of Balance
California | 38.3% |  | California | 40.1%
New York | 10.9% |  | Florida | 10.6%
Florida | 10.6% |  | New York | 10.5%
Texas | 5.6% |  | Texas | 5.6%
All other (none individually greater than 5%) | 34.6% |  | All other (none individually greater than 5%) | 33.2%
Total | 100.0% |  |  | 100.0%
The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at September 30, 2024 and December 31, 2023:
| September 30, 2024 |  | December 31, 2023
| Portfolio Range | Portfolio Weighted Average |  | Portfolio Range | Portfolio Weighted Average
| (dollars in thousands)
Unpaid principal balance | $1 - $4,396 |  | $475 |  | $1 - $4,396 |  | $477
Interest rate | 2.00% - 18.00% |  | 6.31% |  | 2.00% - 13.25% |  | 5.63%
Maturity | 7/1/2029 - 10/1/2064 |  | 11/4/2052 |  | 7/1/2029 - 12/1/2063 |  | 4/22/2052
FICO score at loan origination | 549 - 850 |  | 758 |  | 549 - 850 |  | 758
Loan-to-value ratio at loan origination | 3% - 100% |  | 68% |  | 3% - 100% |  | 68%
At September 30, 2024 and December 31, 2023, approximately 15% and 11%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate.

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- Definition The entire disclosure for claims held for amounts due to entity, excluding financing receivables. Examples include, but are not limited to, trade accounts receivables, notes receivables, loans receivables. Includes disclosure for allowance for credit losses. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 310 -SubTopic 10 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/310-10/tableOfContent Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 835 -SubTopic 30 -Name Accounting Standards Codification -Section 45 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482925/835-30-45-2 + Details
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