v3.21.2

Investment in Loans | 9 Months Ended
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Sep. 30, 2021
Receivables [Abstract] |
Investment in Loans | Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, and corporate loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of September 30, 2021 and December 31, 2020:
|  | As of
(In thousands) |  | September 30, 2021 |  | December 31, 2020
Loan Type |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  | Fair Value
Residential mortgage loans |  | $ | 1,602,548 |  |  | $ | 1,656,701 |  |  | $ | 1,150,303 |  |  | $ | 1,187,069 |
Commercial mortgage loans |  | 267,388 |  |  | 267,591 |  |  | 212,716 |  |  | 213,031 |
Consumer loans |  | 53,515 |  |  | 55,676 |  |  | 48,180 |  |  | 47,525 |
Corporate loans |  | 16,828 |  |  | 16,561 |  |  | 5,855 |  |  | 5,855 |
Total |  | $ | 1,940,279 |  |  | $ | 1,996,529 |  |  | $ | 1,417,054 |  |  | $ | 1,453,480 |
The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in our loan portfolio can be amplified by exogenous shocks impacting our borrowers such as man-made or natural disasters, including the COVID-19 pandemic. The following table provides details, by accrual status, for loans that are 90 days or more past due as of September 30, 2021 and December 31, 2020:
|  | As of
|  | September 30, 2021 |  | December 31, 2020
(In thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  | Fair Value
90 days or more past due—non-accrual status |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ | 37,010 |  |  | $ | 34,003 |  |  | $ | 64,509 |  |  | $ | 60,381 |
Commercial mortgage loans |  | 39,842 |  |  | 40,023 |  |  | 44,233 |  |  | 44,052 |
Consumer loans |  | 501 |  |  | 488 |  |  | 1,015 |  |  | 930 |
Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2021 and December 31, 2020. September 30, 2021:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield |  | Life (Years)(1)
Residential mortgage loans, held-for-investment(2) |  | $ | 1,602,548 |  |  | $ | 34,431 |  |  | $ | 1,636,979 |  |  | $ | 25,125 |  |  | $ | (5,403) |  |  | $ | 1,656,701 |  |  | 5.79 | % |  | 4.56 | % |  | 1.95
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $917.3 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $20.4 million and $(0.4) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are included on the Company's Condensed Consolidated Statement of Operations in Unrealized gains (losses) on securities and loans, net. See Residential Mortgage Loan Securitizations in Note 10 for additional information. December 31, 2020:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield |  | Life (Years)(1)
Residential mortgage loans, held-for-investment(2) |  | $ | 1,150,303 |  |  | $ | 14,263 |  |  | $ | 1,164,566 |  |  | $ | 27,892 |  |  | $ | (5,389) |  |  | $ | 1,187,069 |  |  | 6.19 | % |  | 5.60 | % |  | 1.90
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $801.3 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $24.8 million and $(0.1) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are included on the Company's Condensed Consolidated Statement of Operations in Unrealized gains (losses) on securities and loans, net. See Residential Mortgage Loan Securitizations in Note 10 for additional information. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2021 and December 31, 2020:
Property Location by U.S. State |  | September 30, 2021 |  | December 31, 2020
California |  | 41.2 | % |  | 43.1 | %
Florida |  | 15.0 | % |  | 14.8 | %
Texas |  | 11.7 | % |  | 10.2 | %
Colorado |  | 2.6 | % |  | 3.1 | %
Utah |  | 2.6 | % |  | 1.7 | %
Arizona |  | 2.3 | % |  | 2.0 | %
Massachusetts |  | 2.3 | % |  | 2.6 | %
Illinois |  | 2.2 | % |  | 1.8 | %
Nevada |  | 1.8 | % |  | 1.9 | %
New York |  | 1.7 | % |  | 1.6 | %
Oregon |  | 1.6 | % |  | 2.2 | %
Washington |  | 1.6 | % |  | 1.4 | %
North Carolina |  | 1.6 | % |  | 1.1 | %
Georgia |  | 1.2 | % |  | 1.3 | %
Connecticut |  | 1.2 | % |  | 0.9 | %
New Jersey |  | 1.0 | % |  | 1.4 | %
Maryland |  | 0.8 | % |  | 1.0 | %
Other |  | 7.6 | % |  | 7.9 | %
|  | 100.0 | % |  | 100.0 | %
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2021 and December 31, 2020.
|  | As of
|  | September 30, 2021 |  | December 31, 2020
(In thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  | Fair Value
Re-performing |  | $ | 18,164 |  |  | $ | 17,424 |  |  | $ | 18,120 |  |  | $ | 16,741 |
Non-performing |  | 34,904 |  |  | 32,107 |  |  | 62,009 |  |  | 58,169 |
As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of September 30, 2021 and December 31, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $1.5 million and $2.2 million, respectively, related to adverse changes in estimated future cash flows on its residential mortgage loans. Certain of the Company's residential mortgage loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such loans; as of both September 30, 2021 and December 31, 2020, the estimated credit losses on such loans was $0.2 million. The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible. For the three-month periods ended September 30, 2020, the Company recognized realized losses on these loans of $(51) thousand; no such realized losses were recognized for the three-month period ended September 30, 2021. For the nine-month periods ended September 30, 2021 and 2020, the Company recognized realized losses on these loans of $(33) thousand and $(0.5) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. As of September 30, 2021 and December 31, 2020, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $12.9 million and $14.9 million, respectively. Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2021 and December 31, 2020: September 30, 2021:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield(1) |  | Life (Years)(2)
Commercial mortgage loans, held-for-investment |  | $ | 267,388 |  |  | $ | 38 |  |  | $ | 267,426 |  |  | $ | 338 |  |  | $ | (173) |  |  | $ | 267,591 |  |  | 7.88 | % |  | 7.84 | % |  | 0.98
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $40.0 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2020:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield(1) |  | Life (Years)(2)
Commercial mortgage loans, held-for-investment |  | $ | 212,716 |  |  | $ | 290 |  |  | $ | 213,006 |  |  | $ | 479 |  |  | $ | (454) |  |  | $ | 213,031 |  |  | 8.38 | % |  | 8.28 | % |  | 0.62
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $31.5 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2021 and December 31, 2020:
Property Location by U.S. State |  | September 30, 2021 |  | December 31, 2020
Florida |  | 26.6 | % |  | 23.8 | %
New York |  | 20.2 | % |  | 15.2 | %
Connecticut |  | 7.0 | % |  | 11.2 | %
Missouri |  | 6.8 | % |  | 7.9 | %
Arizona |  | 6.2 | % |  | 4.3 | %
Ohio |  | 5.9 | % |  | 7.3 | %
North Carolina |  | 5.7 | % |  | 2.2 | %
New Jersey |  | 5.0 | % |  | 5.8 | %
California |  | 4.7 | % |  | 5.9 | %
Michigan |  | 4.7 | % |  | — | %
New Hampshire |  | 3.4 | % |  | — | %
Indiana |  | 2.3 | % |  | 2.8 | %
Nevada |  | 1.5 | % |  | 1.9 | %
Massachusetts |  | — | % |  | 6.1 | %
Virginia |  | — | % |  | 4.2 | %
Illinois |  | — | % |  | 1.4 | %
|  | 100.0 | % |  | 100.0 | %
As of September 30, 2021, the Company had six non-performing commercial mortgage loans with an unpaid principal balance and fair value of $39.8 million and $40.0 million, respectively. As of December 31, 2020, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $31.8 million and $31.5 million, respectively. As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of September 30, 2021 and December 31, 2020, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $0.2 million and $0.4 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans. As of December 31, 2020, the Company had one commercial mortgage loan with a fair value of $10.5 million that was in the process of foreclosure. The Company did not have any commercial mortgage loans in the process of foreclosure as of September 30, 2021. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of September 30, 2021 and December 31, 2020: September 30, 2021:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value(1) |  | Life (Years)(2) |  | Delinquency (Days)
Consumer loans, held-for-investment |  | $ | 53,515 |  |  | $ | 2,405 |  |  | $ | 55,920 |  |  | $ | 910 |  |  | $ | (1,154) |  |  | $ | 55,676 |  |  | 0.96 |  | 3
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2020:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value(1) |  | Life (Years)(2) |  | Delinquency (Days)
Consumer loans, held-for-investment |  | $ | 48,180 |  |  | $ | 72 |  |  | $ | 48,252 |  |  | $ | 1,160 |  |  | $ | (1,887) |  |  | $ | 47,525 |  |  | 1.04 |  | 7
(1)Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2021 and December 31, 2020:
Days Past Due |  | September 30, 2021 |  | December 31, 2020
Current |  | 96.7 | % |  | 90.4 | %
30-59 Days |  | 1.4 | % |  | 3.4 | %
60-89 Days |  | 1.0 | % |  | 3.3 | %
90-119 Days |  | 0.9 | % |  | 2.8 | %
>120 Days |  | — | % |  | 0.1 | %
|  | 100.0 | % |  | 100.0 | %
During the three-month periods ended September 30, 2021 and 2020, the Company charged off $0.5 million and $3.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. During the nine-month periods ended September 30, 2021 and 2020, the Company charged off $2.9 million and $13.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of September 30, 2021 and December 31, 2020, the Company held charged-off consumer loans with an aggregate fair value of $0.3 million and $0.6 million, respectively, for which the Company has determined that it is probable the servicer will be able to collect principal and interest. As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of September 30, 2021 and December 31, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $1.0 million and $2.9 million, respectively, on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible. For the three- and nine-month periods ended September 30, 2021, the Company recognized realized losses on these loans of $(0.1) million and $(1.4) million. For the three- and nine-month periods ended September 30, 2020, the Company recognized realized losses on these loans of $(0.1) million. Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of September 30, 2021 and December 31, 2020: September 30, 2021:
|  |  |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Rate |  | Remaining Term (Years)
Corporate loans, held-for-investment(1) |  | $ | 16,828 |  |  | $ | 16,561 |  |  | 17.68 | % |  | 2.91
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2020:
|  |  |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Rate |  | Remaining Term (Years)
Corporate loans, held-for-investment(1) |  | $ | 5,855 |  |  | $ | 5,855 |  |  | 20.00 | % |  | 1.75
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.

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- Definition The entire disclosure for claims held for amounts due a 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 -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 10 -URI http://asc.fasb.org/subtopic&trid=2196772 + Details
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