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Residential Whole Loans (Tables) | 3 Months Ended
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Mar. 31, 2021
Receivables [Abstract] |
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 |
Schedule of Interest Income Components | 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.
Financing Receivable Credit Quality Indicators | 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. 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.
Schedule of 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.
Residential Whole Loans, Fair Value | 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.
Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans | 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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