v3.21.2

Investment in Loans (Tables)

9 Months Ended

Sep. 30, 2021

Receivables [Abstract]

Summary of 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 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 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 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 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.

Financing Receivable, Past Due [Table Text Block]

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

Schedules of Exposure to Counterparty Risk

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 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		%

The following table summarizes the Company's exposure to counterparty risk as of September 30, 2021 and December 31, 2020.

September 30, 2021:

						Amount of Exposure						Number of Counterparties with Exposure						Maximum Percentage of Exposure to a Single Counterparty(1)
						(In thousands)
Cash and cash equivalents						$	103,617					8						29.2		%
Collateral on repurchase agreements held by dealers(2)						2,443,429						24						28.2		%
Due from brokers						89,983						22						30.6		%
Receivable for securities sold(3)						26,992						3						49.3		%

(1)Each counterparty is a large creditworthy financial institution.

(2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.

(3)Included in Investment related receivables on the Condensed Consolidated Balance Sheet.

December 31, 2020:

						Amount of Exposure						Number of Counterparties with Exposure						Maximum Percentage of Exposure to a Single Counterparty(1)
						(In thousands)
Cash and cash equivalents						$	111,647					8						40.1		%
Collateral on repurchase agreements held by dealers(2)						1,860,059						24						15.3		%
Due from brokers						63,147						22						28.9		%
Receivable for securities sold(3)						1,416						2						94.5		%

(1)Each counterparty is a large creditworthy financial institution.

(2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.

(3)Included in Investment related receivables on the Condensed Consolidated Balance Sheet.

Financing Receivable Credit Quality Indicators [Table Text Block]

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

Consumer Loans, Delinquency Status [Table Text Block]

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		%

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