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.


	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

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.


							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.


							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

(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.


							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

(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.


							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

(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.


							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

(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.

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