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Residential Whole Loans | 3 Months Ended
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Mar. 31, 2021
Receivables [Abstract] |
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at March 31, 2021 and December 31, 2020 are approximately $5.2 billion and $5.3 billion, respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Residential Whole Loans, at Carrying Value The following table presents the components of the Company’s Residential whole loans, at carrying value at March 31, 2021 and December 31, 2020:
(Dollars In Thousands) |  | March 31, 2021 |  | December 31, 2020
Purchased Performing Loans: |  |  |  |
Non-QM loans |  | $ | 2,243,444 |  |  | $ | 2,357,185 |
Rehabilitation loans |  | 464,385 |  |  | 581,801 |
Single-family rental loans |  | 451,791 |  |  | 446,374 |
Seasoned performing loans |  | 128,069 |  |  | 136,264 |
Total Purchased Performing Loans |  | 3,287,689 |  |  | 3,521,624 |
Purchased Credit Deteriorated Loans |  | 644,611 |  |  | 673,708 |
Total Residential whole loans, at carrying value |  | $ | 3,932,300 |  |  | $ | 4,195,332 |
Allowance for credit losses on residential whole loans held at carrying value |  | (63,244) |  |  | (86,833) |
Total Residential whole loans at carrying value, net |  | $ | 3,869,056 |  |  | $ | 4,108,499 |
Number of loans |  | 12,575 |  |  | 13,112 |
The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value for the three months ended March 31, 2021 and 2020:
|  | Three Months Ended March 31, |  |
(In Thousands) |  | 2021 |  | 2020 |  |  |  |
Purchased Performing Loans: |  |  |  |  |  |  |  |
Non-QM loans (1) |  | $ | 22,114 |  |  | $ | 49,070 |  |  |  |  |
Rehabilitation loans |  | 6,668 |  |  | 15,327 |  |  |  |  |
Single-family rental loans |  | 6,278 |  |  | 7,343 |  |  |  |  |
Seasoned performing loans |  | 1,990 |  |  | 2,600 |  |  |  |  |
Total Purchased Performing Loans |  | 37,050 |  |  | 74,340 |  |  |  |  |
Purchased Credit Deteriorated Loans |  | 8,290 |  |  | 9,146 |  |  |  |  |
Total Residential whole loans, at carrying value |  | $ | 45,340 |  |  | $ | 83,486 |  |  |  |  |
(1) Includes interest income on Non-QM loans held-for-sale at March 31, 2020. The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at March 31, 2021: March 31, 2021
|  | Carrying Value |  | Amortized Cost Basis |  | Unpaid Principal Balance (“UPB”) |  | Weighted Average Coupon (1) |  | Weighted Average Term to Maturity (Months) |  | Weighted Average LTV Ratio (2) |  | Weighted Average Original FICO (3) |  | Aging by Amortized Cost Basis
|  |  |  |  |  |  |  |  |  |  | Past Due Days
(Dollars In Thousands) |  |  |  |  |  |  |  |  | Current |  | 30-59 |  | 60-89 |  | 90+
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans (4) |  | $ | 2,228,899 |  |  | $ | 2,243,444 |  |  | $ | 2,183,662 |  |  | 5.82 | % |  | 350 |  | 64 | % |  | 713 |  | $ | 1,975,505 |  |  | $ | 89,767 |  |  | $ | 42,912 |  |  | $ | 135,260 |
Rehabilitation loans (4) |  | 450,717 |  |  | 464,385 |  |  | 464,385 |  |  | 7.23 |  |  | 3 |  | 64 |  |  | 719 |  | 293,931 |  |  | 21,296 |  |  | 12,167 |  |  | 136,991 |
Single-family rental loans (4) |  | 449,045 |  |  | 451,791 |  |  | 447,072 |  |  | 6.29 |  |  | 320 |  | 70 |  |  | 730 |  | 421,258 |  |  | 4,507 |  |  | 1,935 |  |  | 24,091 |
Seasoned performing loans (4) |  | 128,003 |  |  | 128,069 |  |  | 139,847 |  |  | 3.12 |  |  | 169 |  | 39 |  |  | 723 |  | 115,315 |  |  | 2,445 |  |  | 1,589 |  |  | 8,721 |
Purchased Credit Deteriorated Loans (4)(5) |  | 612,392 |  |  | 644,611 |  |  | 751,759 |  |  | 4.49 |  |  | 285 |  | 75 |  |  | N/A |  | N/M |  | N/M |  | N/M |  | 117,509 |
Residential whole loans, at carrying value, total or weighted average |  | $ | 3,869,056 |  |  | $ | 3,932,300 |  |  | $ | 3,986,725 |  |  | 5.72 | % |  | 288 |  |  |  |  |  |  |  |  |  |  |  |
December 31, 2020
|  | Carrying Value |  | Amortized Cost Basis |  | Unpaid Principal Balance (“UPB”) |  | Weighted Average Coupon (1) |  | Weighted Average Term to Maturity (Months) |  | Weighted Average LTV Ratio (2) |  | Weighted Average Original FICO (3) |  | Aging by Amortized Cost Basis
|  |  |  |  |  |  |  |  |  |  | Past Due Days
(Dollars In Thousands) |  |  |  |  |  |  |  |  | Current |  | 30-59 |  | 60-89 |  | 90+
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans (4) |  | $ | 2,336,117 |  |  | $ | 2,357,185 |  |  | $ | 2,294,086 |  |  | 5.84 | % |  | 351 |  | 64 | % |  | 712 |  | $ | 2,099,134 |  |  | $ | 73,163 |  |  | $ | 36,501 |  |  | $ | 148,387 |
Rehabilitation loans (4) |  | 563,430 |  |  | 581,801 |  |  | 581,801 |  |  | 7.29 |  |  | 3 |  | 63 |  |  | 719 |  | 390,706 |  |  | 29,315 |  |  | 25,433 |  |  | 136,347 |
Single-family rental loans (4) |  | 442,456 |  |  | 446,374 |  |  | 442,208 |  |  | 6.32 |  |  | 324 |  | 70 |  |  | 730 |  | 415,386 |  |  | 6,652 |  |  | 3,948 |  |  | 20,388 |
Seasoned performing loans (4) |  | 136,157 |  |  | 136,264 |  |  | 149,004 |  |  | 3.30 |  |  | 171 |  | 40 |  |  | 723 |  | 124,877 |  |  | 2,186 |  |  | 1,170 |  |  | 8,031 |
Purchased Credit Deteriorated Loans (4)(5) |  | 630,339 |  |  | 673,708 |  |  | 782,319 |  |  | 4.46 |  |  | 287 |  | 76 |  |  | N/A |  | N/M |  | N/M |  | N/M |  | 119,621 |
Residential whole loans, at carrying value, total or weighted average |  | $ | 4,108,499 |  |  | $ | 4,195,332 |  |  | $ | 4,249,418 |  |  | 5.77 | % |  | 282 |  |  |  |  |  |  |  |  |  |  |  |
(1)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $151.7 million and $189.9 million at March 31, 2021 and December 31, 2020, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at March 31, 2021 and December 31, 2020, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4)At March 31, 2021 and December 31, 2020 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5)Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented only for loans that are more than 90 days past due. No Residential whole loans, at carrying value were sold during the three months ended March 31, 2021. During the three months ended March 31, 2020, $659.9 million of Non-QM loans were sold, realizing losses of $145.8 million. Allowance for Credit Losses The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value:
|  | Three Months Ended March 31, 2021
(Dollars In Thousands) |  | Non-QM Loans |  | Rehabilitation Loans (1)(2) |  | Single-family Rental Loans |  | Seasoned Performing Loans |  | Purchased Credit Deteriorated Loans (3) |  | Totals
Allowance for credit losses at December 31, 2020 |  | $ | 21,068 |  |  | $ | 18,371 |  |  | $ | 3,918 |  |  | $ | 107 |  |  | $ | 43,369 |  |  | $ | 86,833 |
Current provision |  | (6,523) |  |  | (3,700) |  |  | (1,172) |  |  | (41) |  |  | (10,936) |  |  | (22,372) |
Write-offs |  | — |  |  | (1,003) |  |  | — |  |  | — |  |  | (214) |  |  | (1,217) |
Allowance for credit losses at March 31, 2021 |  | $ | 14,545 |  |  | $ | 13,668 |  |  | $ | 2,746 |  |  | $ | 66 |  |  | $ | 32,219 |  |  | $ | 63,244 |
|  | Three Months Ended March 31, 2020
(Dollars In Thousands) |  | Non-QM Loans (4) |  | Rehabilitation Loans (1)(2) |  | Single-family Rental Loans |  | Seasoned Performing Loans |  | Purchased Credit Deteriorated Loans (3) |  | Totals
Allowance for credit losses at December 31, 2019 |  | $ | 388 |  |  | $ | 2,331 |  |  | $ | 62 |  |  | $ | — |  |  | $ | 244 |  |  | $ | 3,025 |
Transition adjustment on adoption of ASU 2016-13 (5) |  | 6,904 |  |  | 517 |  |  | 754 |  |  | 19 |  |  | 62,361 |  |  | 70,555 |
Current provision |  | 26,358 |  |  | 33,213 |  |  | 6,615 |  |  | 230 |  |  | 8,481 |  |  | 74,897 |
Write-offs |  | — |  |  | (428) |  |  | — |  |  | — |  |  | (219) |  |  | (647) |
Valuation adjustment on loans held for sale |  | 70,181 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 70,181 |
Allowance for credit and valuation losses at March 31, 2020 |  | $ | 103,831 |  |  | $ | 35,633 |  |  | $ | 7,431 |  |  | $ | 249 |  |  | $ | 70,867 |  |  | $ | 218,011 |
(1)In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $54.4 million and $123.1 million as of March 31, 2021 and 2020, respectively, with an allowance for credit losses of $795,905 and $3.5 million at March 31, 2021 and 2020, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9). (2)Includes $149.2 million and $110.8 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2021 and 2020, respectively. (3)Includes $87.7 million and $74.5 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2021 and 2020, respectively. (4)Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020. (5)Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans. The Company adopted ASU 2016-13 (“CECL”) on January 1, 2020 (see Note 2). The anticipated impact of the COVID-19 pandemic on expected economic conditions, including forecasted unemployment, home price appreciation, and prepayment rates, for the short to medium term resulted in significantly increased estimates of credit losses recorded under CECL for the first quarter of 2020 for residential whole loans held at carrying value. Since the end of the first quarter of 2020, primarily as a result of generally more stable markets and an ongoing economic recovery, the Company has made subsequent revisions to certain macro-economic assumptions, including its estimates related to future rates of unemployment and home price appreciation, and has made adjustments to the quantitative model outputs for relevant qualitative factors. The net impact of these assumption revisions and qualitative adjustments has resulted in a reversal of a portion of the allowance for loan loss since the end of the first quarter of 2020. The qualitative adjustments, which have the effect of increasing expected loss estimates, were determined based on a variety of factors, including differences between the Company’s loan portfolio and the loan portfolios represented by data available in regulatory filings of certain banks that are considered to have similar loan portfolios (available proxy data), and differences between current (and expected future) market conditions in comparison to market conditions that occurred in historical periods. Such differences include uncertainty with respect to the ongoing impact of the pandemic, the speed of vaccine deployment and time period for a significant portion of society to be vaccinated, the extent and timing of government stimulus efforts and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that full recovery to pre-pandemic economic conditions will take an extended period, resulting in increased delinquencies and defaults during this period compared to historical periods. Estimates of credit losses under CECL are highly sensitive to changes in assumptions and current economic conditions have increased the difficulty of accurately forecasting future conditions. The amortized cost basis of Purchased Performing Loans on nonaccrual status as of March 31, 2021 and December 31, 2020 was $363.3 million and $373.3 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2021 and December 31, 2020 was $146.4 million and $151.4 million, respectively. No interest income was recognized from loans on nonaccrual status during the three months ended March 31, 2021 and 2020. At March 31, 2021 and December 31, 2020, there were approximately $132.3 million and $130.7 million of loans on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively. In periods prior to the adoption of CECL, an allowance for loan losses was recorded when, based on current information and events, it was probable that the Company would be unable to collect all amounts due under the existing contractual terms of the loan agreement. Any required loan loss allowance would reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments were required in determining any allowance for loan loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. The following table presents certain additional credit-related information regarding our residential whole loans:
|  | Amortized Cost Basis by Origination Year and LTV Bands
(Dollars In Thousands) |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2017 |  | Prior |  | Total
Non-QM loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | 86,788 |  |  | $ | 419,564 |  |  | $ | 1,012,210 |  |  | $ | 560,489 |  |  | $ | 62,613 |  |  | $ | 5,340 |  |  | $ | 2,147,004 |
LTV > 80% (1) |  | 4,271 |  |  | 43,575 |  |  | 24,620 |  |  | 19,224 |  |  | 4,599 |  |  | 151 |  |  | 96,440 |
Total Non-QM loans |  | $ | 91,059 |  |  | $ | 463,139 |  |  | $ | 1,036,830 |  |  | $ | 579,713 |  |  | $ | 67,212 |  |  | $ | 5,491 |  |  | $ | 2,243,444 |
Three Months Ended March 31, 2021 Gross write-offs |  | $ | — |  |  |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Three Months Ended March 31, 2021 Recoveries |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Three Months Ended March 31, 2021 Net write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Rehabilitation loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | 12,867 |  |  | $ | 43,504 |  |  | $ | 341,513 |  |  | $ | 58,888 |  |  | $ | 4,071 |  |  | $ | — |  |  | $ | 460,843 |
LTV > 80% (1) |  | — |  |  | — |  |  | 1,842 |  |  | — |  |  | 1,700 |  |  | — |  |  | 3,542 |
Total Rehabilitation loans |  | $ | 12,867 |  |  | $ | 43,504 |  |  | $ | 343,355 |  |  | $ | 58,888 |  |  | $ | 5,771 |  |  | $ | — |  |  | $ | 464,385 |
Three Months Ended March 31, 2021 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | 991 |  |  | $ | 12 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,003 |
Three Months Ended March 31, 2021 Recoveries |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Three Months Ended March 31, 2021 Net write-offs |  | $ | — |  |  | $ | — |  |  | $ | 991 |  |  | $ | 12 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,003 |
Single family rental loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | 15,765 |  |  | $ | 39,564 |  |  | $ | 264,032 |  |  | $ | 112,995 |  |  | $ | 12,881 |  |  | $ | — |  |  | $ | 445,237 |
LTV > 80% (1) |  | — |  |  | 514 |  |  | 5,953 |  |  | 87 |  |  | — |  |  | — |  |  | 6,554 |
Total Single family rental loans |  | $ | 15,765 |  |  | $ | 40,078 |  |  | $ | 269,985 |  |  | $ | 113,082 |  |  | $ | 12,881 |  |  | $ | — |  |  | $ | 451,791 |
Three Months Ended March 31, 2021 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Three Months Ended March 31, 2021 Recoveries |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Three Months Ended March 31, 2021 Net write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Seasoned performing loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 122,389 |  |  | $ | 122,389 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5,680 |  |  | 5,680 |
Total Seasoned performing loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 128,069 |  |  | $ | 128,069 |
Three Months Ended March 31, 2021 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Three Months Ended March 31, 2021 Recoveries |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Three Months Ended March 31, 2021 Net write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Purchased credit deteriorated loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 627 |  |  | $ | 423,587 |  |  | $ | 424,214 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 220,397 |  |  | 220,397 |
Total Purchased credit deteriorated loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 627 |  |  | $ | 643,984 |  |  | $ | 644,611 |
Three Months Ended March 31, 2021 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 214 |  |  | $ | 214 |
Three Months Ended March 31, 2021 Recoveries |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Three Months Ended March 31, 2021 Net write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 214 |  |  | $ | 214 |
Total LTV <= 80% (1) |  | $ | 115,420 |  |  | $ | 502,632 |  |  | $ | 1,617,755 |  |  | $ | 732,372 |  |  | $ | 80,192 |  |  | $ | 551,316 |  |  | $ | 3,599,687 |
Total LTV > 80% (1) |  | 4,271 |  |  | 44,089 |  |  | 32,415 |  |  | 19,311 |  |  | 6,299 |  |  | 226,228 |  |  | 332,613 |
Total residential whole loans, at carrying value |  | $ | 119,691 |  |  | $ | 546,721 |  |  | $ | 1,650,170 |  |  | $ | 751,683 |  |  | $ | 86,491 |  |  | $ | 777,544 |  |  | $ | 3,932,300 |
Total Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | 991 |  |  | $ | 12 |  |  | $ | — |  |  | $ | 214 |  |  | $ | 1,217 |
Total Recoveries |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total Net write-offs |  | $ | — |  |  | $ | — |  |  | $ | 991 |  |  | $ | 12 |  |  | $ | — |  |  | $ | 214 |  |  | $ | 1,217 |
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $151.7 million at March 31, 2021, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at March 31, 2021. Certain low value loans secured by vacant lots are categorized as LTV > 80%. The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 90 days or more delinquent:
|  | March 31, 2021
(Dollars In Thousands) |  | Carrying Value / Fair Value |  | UPB |  | LTV (1)
Purchased Credit Deteriorated Loans |  | $ | 117,509 |  |  | $ | 142,850 |  |  | 85.9 | %
Non-QM loans |  | $ | 135,260 |  |  | $ | 132,732 |  |  | 65.7 | %
Rehabilitation loans |  | $ | 136,991 |  |  | $ | 136,991 |  |  | 65.7 | %
Single-family rental loans |  | $ | 24,091 |  |  | $ | 24,052 |  |  | 73.4 | %
Seasoned performing loans |  | $ | 8,721 |  |  | $ | 9,449 |  |  | 50.7 | %
Residential whole loans, at fair value |  | $ | 555,171 |  |  | $ | 584,025 |  |  | 82.6 | %
|  | December 31, 2020
(Dollars In Thousands) |  | Carrying Value / Fair Value |  | UPB |  | LTV (1)
Purchased Credit Deteriorated Loans |  | $ | 119,621 |  |  | $ | 145,028 |  |  | 86.7 | %
Non-QM loans |  | $ | 148,387 |  |  | $ | 144,681 |  |  | 65.9 | %
Rehabilitation loans |  | $ | 136,347 |  |  | $ | 136,347 |  |  | 65.8 | %
Single-family rental loans |  | $ | 20,388 |  |  | $ | 20,233 |  |  | 72.7 | %
Seasoned performing loans |  | $ | 8,031 |  |  | $ | 8,823 |  |  | 55.1 | %
Residential whole loans, at fair value |  | $ | 571,729 |  |  | $ | 625,621 |  |  | 86.8 | %
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. Residential Whole Loans, at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. The following table presents information regarding the Company’s residential whole loans held at fair value at March 31, 2021 and December 31, 2020:
(Dollars in Thousands) |  | March 31, 2021 (1) |  | December 31, 2020
Less than 60 Days Past Due: |  |  |  |
Outstanding principal balance |  | $ | 590,813 |  |  | $ | 602,292 |
Aggregate fair value |  | $ | 596,805 |  |  | $ | 595,521 |
Weighted Average LTV Ratio (1) |  | 69.46 | % |  | 72.57 | %
Number of loans |  | 2,975 |  |  | 3,033 |
60 Days to 89 Days Past Due: |  |  |  |
Outstanding principal balance |  | $ | 58,625 |  |  | $ | 54,180 |
Aggregate fair value |  | $ | 56,021 |  |  | $ | 49,652 |
Weighted Average LTV Ratio (1) |  | 70.56 | % |  | 82.11 | %
Number of loans |  | 293 |  |  | 263 |
90 Days or More Past Due: |  |  |  |
Outstanding principal balance |  | $ | 584,025 |  |  | $ | 625,621 |
Aggregate fair value |  | $ | 555,171 |  |  | $ | 571,729 |
Weighted Average LTV Ratio (1) |  | 82.56 | % |  | 86.78 | %
Number of loans |  | 2,170 |  |  | 2,326 |
Total Residential whole loans, at fair value |  | $ | 1,207,997 |  |  | $ | 1,216,902 |
(1)Excluded from this table are approximately $112.2 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of March 31, 2021. (2)LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three months ended March 31, 2021 and 2020:
|  | Three Months Ended March 31, |  |
(In Thousands) |  | 2021 |  | 2020 |  |  |  |
Coupon payments, realized gains, and other income received (1) |  | $ | 16,676 |  |  | $ | 19,036 |  |  |  |  |
Net unrealized gains/(losses) |  | 32,088 |  |  | (74,556) |  |  |  |  |
Net gain on transfers to REO |  | 1,045 |  |  | 2,760 |  |  |  |  |
Total |  | $ | 49,809 |  |  | $ | (52,760) |  |  |  |  |
(1)Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated 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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