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Residential Whole Loans (Tables)

6 Months Ended

Jun. 30, 2021

Receivables [Abstract]

Residential whole loans, at carrying value

The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at June 30, 2021 and December 31, 2020:

						Held at Carrying Value												Held at Fair Value												Total
(Dollars In Thousands)						June 30, 2021						December 31, 2020						June 30, 2021						December 31, 2020						June 30, 2021						December 31, 2020
Purchased Performing Loans:
Non-QM loans						$	1,960,855					$	2,357,185					$	479,859					$	—					$	2,440,714					$	2,357,185
Rehabilitation loans						364,463						581,801						68,234						—						432,697						581,801
Single-family rental loans						417,544						446,374						109,685						—						527,229						446,374
Seasoned performing loans						118,366						136,264						—						—						118,366						136,264
Agency eligible investor loans						—						—						308,626						—						308,626						—
Total Purchased Performing Loans						$	2,861,228					$	3,521,624					$	966,404					$	—					$	3,827,632					$	3,521,624
Purchased Credit Deteriorated Loans						$	609,157					$	673,708					$	—					$	—					$	609,157					$	673,708
Allowance for Credit Losses						$	(54,261)					$	(86,833)					$	—					$	—					$	(54,261)					$	(86,833)
Purchased Non-Performing Loans						$	—					$	—					$	1,168,451					$	1,216,902					$	1,168,451					$	1,216,902
Total Residential Whole Loans						$	3,416,124					$	4,108,499					$	2,134,855					$	1,216,902					$	5,550,979					$	5,325,401
Number of loans						11,434						13,112						7,158						5,622						18,592						18,734

Financing receivable credit quality indicators

The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at June 30, 2021:

June 30, 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)						$	1,948,763					$	1,960,855					$	1,908,905					5.81		%				347						63		%				712						$	1,725,889					$	58,059					$	36,856					$	140,051
Rehabilitation loans (4)						352,859						364,463						364,463						7.21						5						65						723						226,865						17,150						11,506						108,942
Single-family rental loans (4)						415,184						417,544						413,060						6.29						322						69						730						386,091						5,858						3,000						22,595
Seasoned performing loans (4)						118,309						118,366						129,536						2.96						167						39						722						107,762						943						538						9,123
Purchased Credit Deteriorated Loans (4)(5)						581,009						609,157						712,102						4.54						284						71						N/A						N/M						N/M						N/M						105,487
Residential whole loans, at carrying value, total or weighted average						$	3,416,124					$	3,470,385					$	3,528,066					5.67		%				289

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 $134.2 million and $189.9 million at June 30, 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 69% and 69% at June 30, 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 June 30, 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, at Carrying Value:

						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)						$	78,630					$	372,416					$	890,461					$	480,645					$	48,635					$	5,301					$	1,876,088
LTV > 80% (1)						4,206						39,402						19,981						16,585						4,442						151						84,767
Total Non-QM loans						$	82,836					$	411,818					$	910,442					$	497,230					$	53,077					$	5,452					$	1,960,855
Six Months Ended June 30, 2021 Gross write-offs						$	—					$	—					$	—					$	37					$	—					$	—					$	37
Six Months Ended June 30, 2021 Recoveries						—						—						—						—						—						—						—
Six Months Ended June 30, 2021 Net write-offs						$	—					$	—					$	—					$	37					$	—					$	—					$	37
Rehabilitation loans
LTV <= 80% (1)						$	14,042					$	37,161					$	262,144					$	44,333					$	3,857					$	—					$	361,537
LTV > 80% (1)						—						—						1,226						—						1,700						—						2,926
Total Rehabilitation loans						$	14,042					$	37,161					$	263,370					$	44,333					$	5,557					$	—					$	364,463
Six Months Ended June 30, 2021 Gross write-offs						$	—					$	—					$	1,052					$	186					$	20					$	—					$	1,258
Six Months Ended June 30, 2021 Recoveries						—						—						—						—						—						—						—
Six Months Ended June 30, 2021 Net write-offs						$	—					$	—					$	1,052					$	186					$	20					$	—					$	1,258
Single family rental loans
LTV <= 80% (1)						$	15,618					$	38,458					$	240,444					$	104,531					$	12,050					$	—					$	411,101
LTV > 80% (1)						—						513						5,843						87						—						—						6,443
Total Single family rental loans						$	15,618					$	38,971					$	246,287					$	104,618					$	12,050					$	—					$	417,544
Six Months Ended June 30, 2021 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Six Months Ended June 30, 2021 Recoveries						—						—						—						—						—						—						—
Six Months Ended June 30, 2021 Net write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Seasoned performing loans
LTV <= 80% (1)						$	—					$	—					$	—					$	—					$	—					$	112,734					$	112,734
LTV > 80% (1)						—						—						—						—						—						5,632						5,632
Total Seasoned performing loans						$	—					$	—					$	—					$	—					$	—					$	118,366					$	118,366
Six Months Ended June 30, 2021 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Six Months Ended June 30, 2021 Recoveries						—						—						—						—						—						—						—
Six Months Ended June 30, 2021 Net write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Purchased credit deteriorated loans
LTV <= 80% (1)						$	—					$	—					$	—					$	—					$	624					$	434,978					$	435,602
LTV > 80% (1)						—						—						—						—						—						173,555						173,555
Total Purchased credit deteriorated loans						$	—					$	—					$	—					$	—					$	624					$	608,533					$	609,157
Six Months Ended June 30, 2021 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	322					$	322
Six Months Ended June 30, 2021 Recoveries						—						—						—						—						—						—						—
Six Months Ended June 30, 2021 Net write-offs						$	—					$	—					$	—					$	—					$	—					$	322					$	322
Total LTV <= 80% (1)						$	108,290					$	448,035					$	1,393,049					$	629,509					$	65,166					$	553,013					$	3,197,062
Total LTV > 80% (1)						4,206						39,915						27,050						16,672						6,142						179,338						273,323
Total residential whole loans, at carrying value						$	112,496					$	487,950					$	1,420,099					$	646,181					$	71,308					$	732,351					$	3,470,385
Total Gross write-offs						$	—					$	—					$	1,052					$	223					$	20					$	322					$	1,617
Total Recoveries						—						—						—						—						—						—						—
Total Net write-offs						$	—					$	—					$	1,052					$	223					$	20					$	322					$	1,617

(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 $134.2 million at June 30, 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 69% at June 30, 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:

						June 30, 2021
(Dollars In Thousands)						Carrying Value / Fair Value						UPB						LTV (1)
Residential whole loans, at carrying value
Purchased credit deteriorated loans						$	105,487					$	128,147					84.6		%
Non-QM loans						$	140,051					$	137,252					65.8		%
Rehabilitation loans						$	108,942					$	108,942					67.9		%
Single-family rental loans						$	22,595					$	22,595					73.7		%
Seasoned performing loans						$	9,123					$	9,792					50.1		%
Total Residential whole loans, at carrying value						$	386,198					$	406,728
Residential whole loans, at fair value
Purchased non-performing loans						$	510,611					$	527,572					82.2		%
Purchased performing loans						$	2,974					$	3,003					65.3		%
Total Residential whole loans, at fair value						$	513,585					$	530,575

						December 31, 2020
(Dollars In Thousands)						Carrying Value / Fair Value						UPB						LTV (1)
Residential whole loans, at carrying value
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		%
Total Residential whole loans, at carrying value						$	432,774					$	455,112
Residential whole loans, at fair value
Purchased non-performing loans						$	571,729					$	625,621					86.8		%
Purchased performing loans						$	—					$	—					—		%
Total Residential whole loans, at fair value						$	571,729					$	625,621

(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:

						Six Months Ended June 30, 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
Current provision/(reversal)						(2,416)						(1,809)						(386)						(9)						(3,963)						(8,583)
Write-offs						(37)						(255)						—						—						(108)						(400)
Allowance for credit losses at June 30, 2021						$	12,092					$	11,604					$	2,360					$	57					$	28,148					$	54,261

						Six Months Ended June 30, 2020
(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, 2019						$	388					$	2,331					$	62					$	—					$	244					$	3,025
Transition adjustment on adoption of ASU 2016-13 (4)						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
Current provision/(reversal)						(2,297)						(5,213)						(500)						(25)						(2,579)						(10,614)
Write-offs						—						(420)						—						—						(207)						(627)
Valuation adjustment on loans held for sale						(70,181)						—						—						—						—						(70,181)
Allowance for credit losses at June 30, 2020						$	31,353					$	30,000					$	6,931					$	224					$	68,081					$	136,589

(1)In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $40.3 million and $94.5 million as of June 30, 2021 and 2020, respectively, with an allowance for credit losses of $512,000 and $2.1 million at June 30, 2021 and 2020, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9).

(2)Includes $120.4 million and $181.8 million of loans that were assessed for credit losses based on a collateral dependent methodology as of June 30, 2021 and 2020, respectively.

(3)Includes $83.1 million and $100.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of June 30, 2021 and 2020, respectively.

(4)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.

Schedule of interest income components

The following tables present the components of interest income on the Company’s Residential whole loans for the three and six months ended June 30, 2021 and 2020:

						Held at Carrying Value												Held at Fair Value												Total
						Three Months Ended June 30,												Three Months Ended June 30,												Three Months Ended June 30,
(In Thousands)						2021						2020						2021						2020						2021						2020
Purchased Performing Loans:
Non-QM loans						$	20,164					$	37,259					$	1,804					$	—					$	21,968					$	37,259
Rehabilitation loans						6,954						13,312						375						—						7,329						13,312
Single-family rental loans						6,439						7,268						467						—						6,906						7,268
Seasoned performing loans						1,540						2,253						—						—						1,540						2,253
Agency eligible investor loans						—						—						262						—						262						—
Total Purchased Performing Loans						$	35,097					$	60,092					$	2,908					$	—					$	38,005					$	60,092
Purchased Credit Deteriorated Loans						$	11,303					$	9,335					$	—					$	—					$	11,303					$	9,335
Purchased Non-Performing Loans						$	—					$	—					$	19,708					$	15,410					$	19,708					$	15,410
Total Residential Whole Loans						$	46,400					$	69,427					$	22,616					$	15,410					$	69,016					$	84,837

						Held at Carrying Value												Held at Fair Value												Total
						Six Months Ended June 30,												Six Months Ended June 30,												Six Months Ended June 30,
(In Thousands)						2021						2020						2021						2020						2021						2020
Purchased Performing Loans:
Non-QM loans						$	42,352					$	86,329					$	1,804					$	—					$	44,156					$	86,329
Rehabilitation loans						13,621						28,639						375						—						13,996						28,639
Single-family rental loans						13,520						14,611						467						—						13,987						14,611
Seasoned performing loans						3,531						4,853						—						—						3,531						4,853
Agency eligible investor loans						—						—						262						—						262						—
Total Purchased Performing Loans						$	73,024					$	134,432					$	2,908					$	—					$	75,932					$	134,432
Purchased Credit Deteriorated Loans						$	19,593					$	18,481					$	—					$	—					$	19,593					$	18,481
Purchased Non-Performing Loans						$	—					$	—					$	38,029					$	37,959					$	38,029					$	37,959
Total Residential Whole Loans						$	92,617					$	152,913					$	40,937					$	37,959					$	133,554					$	190,872

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 and six months ended June 30, 2021 and 2020:

						Three Months Ended June 30,												Six Months Ended June 30,
(In Thousands)						2021						2020						2021						2020
Net unrealized gains/(losses)						$	6,226					$	2,010					$	38,313					$	(72,546)
Other Income (1)						(205)						2,900						(803)						2,147
Total						$	6,021					$	4,910					$	37,510					$	(70,399)

(1)Primarily includes cash payments received from private mortgage insurance on liquidated loans and losses on liquidations of non-performing loans.

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- Definition

Tabular disclosure of allowance for credit loss on financing receivable.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 10
-Section 50
-Paragraph 11B
-URI http://asc.fasb.org/extlink&oid=123577603&loc=SL6953423-111524

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 326
-SubTopic 20
-Section 50
-Paragraph 13
-URI http://asc.fasb.org/extlink&oid=124255953&loc=SL82919249-210447

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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
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