v3.22.2.2

Investment in Loans (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2022
Receivables [Abstract] |
Summary of Investments in Loans | The following table is a summary of the Company's investments in loans as of September 30, 2022 and December 31, 2021:
|  | As of
(In thousands) |  | September 30, 2022 |  | December 31, 2021
Loan Type |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  | Fair Value
Residential mortgage loans |  | $ | 3,597,404 |  |  | $ | 3,348,810 |  |  | $ | 1,969,874 |  |  | $ | 2,016,228 |
Commercial mortgage loans |  | 465,924 |  |  | 464,513 |  |  | 326,438 |  |  | 326,197 |
Consumer loans |  | 6,203 |  |  | 6,038 |  |  | 59,881 |  |  | 62,365 |
Corporate loans |  | 3,534 |  |  | 3,534 |  |  | 10,531 |  |  | 10,531 |
Total |  | $ | 4,073,065 |  |  | $ | 3,822,895 |  |  | $ | 2,366,724 |  |  | $ | 2,415,321 |
The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2022 and December 31, 2021. September 30, 2022:
|  |  |  |  |  |  |  | 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) |  | $ | 3,281,521 |  |  | $ | 42,821 |  |  | $ | 3,324,342 |  |  | $ | 2,494 |  |  | $ | (274,648) |  |  | $ | 3,052,188 |  |  | 6.22 | % |  | 5.53 | % |  | 3.99
Residential mortgage loans, held-for-sale |  | 315,883 |  |  | 3,762 |  |  | 319,645 |  |  | 96 |  |  | (23,119) |  |  | 296,622 |  |  | 6.16 |  |  | 5.91 | % |  | 5.41
Total residential mortgage loans |  | $ | 3,597,404 |  |  | $ | 46,583 |  |  | $ | 3,643,987 |  |  | $ | 2,590 |  |  | $ | (297,767) |  |  | $ | 3,348,810 |  |  | 6.22 | % |  | 5.56 | % |  | 4.11
(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 $1.763 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $70 thousand and $(233.4) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information. December 31, 2021:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ 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) |  | $ | 1,958,807 |  |  | $ | 45,462 |  |  | $ | 2,004,269 |  |  | $ | 13,792 |  |  | $ | (13,173) |  |  | $ | 2,004,888 |  |  | 5.63 | % |  | 4.67 | % |  | 2.06
Residential mortgage loans, held-for-sale |  | 11,067 |  |  | (1,423) |  |  | 9,644 |  |  | 1,707 |  |  | (11) |  |  | 11,340 |  |  | 4.58 |  |  | 5.94 | % |  | 0.08
Total residential mortgage loans |  | $ | 1,969,874 |  |  | $ | 44,039 |  |  | $ | 2,013,913 |  |  | $ | 15,499 |  |  | $ | (13,184) |  |  | $ | 2,016,228 |  |  | 5.63 | % |  | 4.68 | % |  | 2.05
(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 $1.042 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $11.5 million and $(3.7) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information. The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ 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 |  | $ | 465,924 |  |  | $ | — |  |  | $ | 465,924 |  |  | $ | 42 |  |  | $ | (1,453) |  |  | $ | 464,513 |  |  | 8.39 | % |  | 9.01 | % |  | 1.06
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $31.8 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2021:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ 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 |  | $ | 326,438 |  |  | $ | — |  |  | $ | 326,438 |  |  | $ | 76 |  |  | $ | (317) |  |  | $ | 326,197 |  |  | 7.05 | % |  | 6.99 | % |  | 1.33
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $15.5 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's consumer loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value(1) |  | Life (Years)(2) |  | Delinquency (Days)
Consumer loans, held-for-investment |  | $ | 6,203 |  |  | $ | (49) |  |  | $ | 6,154 |  |  | $ | 440 |  |  | $ | (556) |  |  | $ | 6,038 |  |  | 0.86 |  | 9
(1)Includes $0.2 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2021:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value(1) |  | Life (Years)(2) |  | Delinquency (Days)
Consumer loans, held-for-investment |  | $ | 59,881 |  |  | $ | 3,212 |  |  | $ | 63,093 |  |  | $ | 809 |  |  | $ | (1,537) |  |  | $ | 62,365 |  |  | 0.94 |  | 4
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's corporate loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
|  |  |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Rate |  | Remaining Term (Years)
Corporate loans, held-for-investment(1) |  | $ | 3,534 |  |  | $ | 3,534 |  |  | 6.27 | % |  | 3.09
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2021:
|  |  |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Rate |  | Remaining Term (Years)
Corporate loans, held-for-investment(1) |  | $ | 10,531 |  |  | $ | 10,531 |  |  | 16.14 | % |  | 4.01
(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 loan type, for loans that are 90 days or more past due as of September 30, 2022 and December 31, 2021:
|  | As of
|  | September 30, 2022 |  | December 31, 2021
(In thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  | Fair Value
90 days or more past due—non-accrual status |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ | 38,382 |  |  | $ | 35,505 |  |  | $ | 36,528 |  |  | $ | 33,288 |
Commercial mortgage loans |  | 31,800 |  |  | 31,773 |  |  | 15,500 |  |  | 15,462 |
Consumer loans |  | 169 |  |  | 157 |  |  | 600 |  |  | 589 |
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, 2022 and December 31, 2021:
Property Location by U.S. State |  | September 30, 2022 |  | December 31, 2021
California |  | 34.2 | % |  | 40.2 | %
Florida |  | 16.6 | % |  | 14.9 | %
Texas |  | 10.5 | % |  | 11.9 | %
Utah |  | 3.5 | % |  | 2.9 | %
Arizona |  | 3.0 | % |  | 2.1 | %
North Carolina |  | 2.6 | % |  | 1.8 | %
Georgia |  | 2.4 | % |  | 1.5 | %
Tennessee |  | 2.3 | % |  | 1.6 | %
Pennsylvania |  | 2.1 | % |  | 0.9 | %
Massachusetts |  | 1.9 | % |  | 2.2 | %
Nevada |  | 1.9 | % |  | 1.9 | %
New Jersey |  | 1.8 | % |  | 1.1 | %
Illinois |  | 1.7 | % |  | 2.0 | %
Washington |  | 1.7 | % |  | 1.5 | %
Colorado |  | 1.6 | % |  | 2.0 | %
New York |  | 1.3 | % |  | 1.7 | %
Oregon |  | 1.3 | % |  | 1.8 | %
Maryland |  | 1.0 | % |  | 0.7 | %
Connecticut |  | 0.9 | % |  | 1.2 | %
Other |  | 7.7 | % |  | 6.1 | %
|  | 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, 2022 and December 31, 2021:
Property Location by U.S. State |  | September 30, 2022 |  | December 31, 2021
Florida |  | 20.8 | % |  | 32.3 | %
Texas |  | 11.7 | % |  | — | %
New York |  | 10.6 | % |  | 13.5 | %
Arizona |  | 9.3 | % |  | 9.3 | %
Georgia |  | 6.7 | % |  | — | %
New Jersey |  | 5.4 | % |  | 5.1 | %
Michigan |  | 4.8 | % |  | 4.9 | %
Massachusetts |  | 4.8 | % |  | — | %
Illinois |  | 4.1 | % |  | — | %
Ohio |  | 4.0 | % |  | 7.3 | %
Oklahoma |  | 3.6 | % |  | — | %
North Carolina |  | 3.3 | % |  | 5.9 | %
Tennessee |  | 2.3 | % |  | 7.7 | %
Connecticut |  | 1.9 | % |  | 3.5 | %
New Hampshire |  | 1.9 | % |  | 3.5 | %
Louisiana |  | 1.3 | % |  | — | %
Pennsylvania |  | 1.3 | % |  | — | %
Rhode Island |  | 1.1 | % |  | — | %
Missouri |  | — | % |  | 7.0 | %
Other |  | 1.1 | % |  | — | %
|  | 100.0 | % |  | 100.0 | %
The following table summarizes the Company's exposure to counterparty risk as of September 30, 2022 and December 31, 2021. September 30, 2022:
|  | Amount of Exposure |  | Number of Counterparties with Exposure |  | Maximum Percentage of Exposure to a Single Counterparty(1)
|  | (In thousands) |  |  |  |
Cash and cash equivalents |  | $ | 175,230 |  |  | 7 |  |  | 56.8 | %
Collateral on repurchase agreements held by dealers(2) |  | 3,488,212 |  |  | 24 |  |  | 24.5 | %
Due from brokers |  | 86,957 |  |  | 20 |  |  | 29.7 | %
Receivable for securities sold(3) |  | 32,094 |  |  | 7 |  |  | 44.6 | %
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of September 30, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet. December 31, 2021:
|  | Amount of Exposure |  | Number of Counterparties with Exposure |  | Maximum Percentage of Exposure to a Single Counterparty(1)
|  | (In thousands) |  |  |  |
Cash and cash equivalents |  | $ | 92,661 |  |  | 9 |  |  | 46.9 | %
Collateral on repurchase agreements held by dealers(2) |  | 2,822,847 |  |  | 23 |  |  | 33.5 | %
Due from brokers |  | 93,549 |  |  | 19 |  |  | 29.1 | %
Receivable for securities sold(3) |  | 11,014 |  |  | 3 |  |  | 50.7 | %
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of December 31, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the 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, 2022 and December 31, 2021.
|  | As of
|  | September 30, 2022 |  | December 31, 2021
(In thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Unpaid Principal Balance |  | Fair Value
Re-performing |  | $ | 9,751 |  |  | $ | 8,597 |  |  | $ | 20,712 |  |  | $ | 20,611 |
Non-performing |  | 36,738 |  |  | 33,969 |  |  | 33,949 |  |  | 30,806 |
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, 2022 and December 31, 2021.
Days Past Due |  | September 30, 2022 |  | December 31, 2021
Current |  | 91.9 | % |  | 96.0 | %
30-59 Days |  | 3.5 | % |  | 1.7 | %
60-89 Days |  | 1.9 | % |  | 1.3 | %
90-119 Days |  | 2.6 | % |  | 1.0 | %
>120 Days |  | 0.1 | % |  | — | %
|  | 100.0 | % |  | 100.0 | %

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- Definition Tabular disclosure of financing receivables by credit quality indicator. The credit quality indicator is a statistic about the credit quality of financing receivables. Examples include, but not limited to, consumer credit risk scores, credit-rating-agency ratings, an entity's internal credit risk grades, loan-to-value ratios, collateral, collection experience and other internal metrics. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 20 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=124255953&loc=SL82919230-210447 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 10 -Section 50 -Paragraph 29 -URI http://asc.fasb.org/extlink&oid=123577603&loc=SL6953659-111524 + Details
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