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Residential Whole Loans | 6 Months Ended
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Jun. 30, 2022
Receivables [Abstract] |
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at June 30, 2022 and December 31, 2021 are approximately $8.2 billion and $7.9 billion, respectively, of residential whole loans generally 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. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for Purchased Non-performing Loans. The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at June 30, 2022 and December 31, 2021:
|  | Held at Carrying Value |  | Held at Fair Value |  | Total
(Dollars in Thousands) |  | June 30, 2022 |  | December 31, 2021 |  | June 30, 2022 |  | December 31, 2021 |  | June 30, 2022 |  | December 31, 2021
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 1,113,696 |  |  | $ | 1,448,162 |  |  | $ | 2,381,214 |  |  | $ | 2,013,369 |  |  | $ | 3,494,910 |  |  | $ | 3,461,531 |
Rehabilitation loans |  | 111,164 |  |  | 217,315 |  |  | 932,667 |  |  | 517,530 |  |  | 1,043,831 |  |  | 734,845 |
Single-family rental loans |  | 247,129 |  |  | 331,808 |  |  | 1,016,109 |  |  | 619,415 |  |  | 1,263,238 |  |  | 951,223 |
Seasoned performing loans |  | 92,909 |  |  | 102,041 |  |  | — |  |  | — |  |  | 92,909 |  |  | 102,041 |
Agency eligible investor loans |  | — |  |  | — |  |  | 912,245 |  |  | 1,082,765 |  |  | 912,245 |  |  | 1,082,765 |
Total Purchased Performing Loans |  | $ | 1,564,898 |  |  | $ | 2,099,326 |  |  | $ | 5,242,235 |  |  | $ | 4,233,079 |  |  | $ | 6,807,133 |  |  | $ | 6,332,405 |
Purchased Credit Deteriorated Loans |  | $ | 498,317 |  |  | $ | 547,772 |  |  | $ | — |  |  | $ | — |  |  | $ | 498,317 |  |  | $ | 547,772 |
Allowance for Credit Losses |  | $ | (36,927) |  |  | $ | (39,447) |  |  | $ | — |  |  | $ | — |  |  | $ | (36,927) |  |  | $ | (39,447) |
Purchased Non-Performing Loans |  | $ | — |  |  | $ | — |  |  | $ | 922,058 |  |  | $ | 1,072,270 |  |  | $ | 922,058 |  |  | $ | 1,072,270 |
Total Residential Whole Loans |  | $ | 2,026,288 |  |  | $ | 2,607,651 |  |  | $ | 6,164,293 |  |  | $ | 5,305,349 |  |  | $ | 8,190,581 |  |  | $ | 7,913,000 |
Number of loans |  | 7,813 |  |  | 9,361 |  |  | 17,762 |  |  | 14,734 |  |  | 25,575 |  |  | 24,095 |
The following table presents additional information regarding the Company’s Residential whole loans at June 30, 2022 and December 31, 2021: June 30, 2022
|  | Fair Value / Carrying Value |  | 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 UPB
|  |  |  |  |  |  |  |  |  | Past Due Days
(Dollars In Thousands) |  |  |  |  |  |  |  | Current |  | 30-59 |  | 60-89 |  | 90+
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 3,487,780 |  |  | $ | 3,636,992 |  |  | 4.96 | % |  | 356 |  | 65 | % |  | 734 |  | $ | 3,465,427 |  |  | $ | 76,261 |  |  | $ | 17,781 |  |  | $ | 77,523 |
Rehabilitation loans |  | 1,038,770 |  |  | 1,044,722 |  |  | 7.18 |  |  | 13 |  | 67 |  |  | 743 |  | 952,587 |  |  | 3,230 |  |  | 6,913 |  |  | 81,992 |
Single-family rental loans |  | 1,261,946 |  |  | 1,319,956 |  |  | 5.40 |  |  | 326 |  | 70 |  |  | 737 |  | 1,283,285 |  |  | 5,169 |  |  | 2,009 |  |  | 29,493 |
Seasoned performing loans |  | 92,863 |  |  | 101,811 |  |  | 2.82 |  |  | 156 |  | 31 |  |  | 722 |  | 93,000 |  |  | 807 |  |  | 577 |  |  | 7,427 |
Agency eligible investor loans |  | 912,245 |  |  | 1,015,832 |  |  | 3.40 |  |  | 348 |  | 61 |  |  | 767 |  | 1,011,769 |  |  | 2,653 |  |  | 596 |  |  | 814 |
Total Purchased Performing Loans |  | 6,793,604 |  |  | $ | 7,119,313 |  |  | 5.11 | % |  | 296 |  |  |  |  |  |  |  |  |  |  |  |
Purchased Credit Deteriorated Loans |  | $ | 474,919 |  |  | $ | 587,058 |  |  | 4.57 | % |  | 280 |  | 65 | % |  | N/A |  | 425,803 |  |  | 40,047 |  |  | 17,416 |  |  | 103,792 |
Purchased Non-Performing Loans |  | $ | 922,058 |  |  | $ | 969,007 |  |  | 4.92 | % |  | 280 |  | 70 | % |  | N/A |  | $ | 460,929 |  |  | $ | 83,631 |  |  | $ | 34,546 |  |  | $ | 389,901 |
Residential whole loans, total or weighted average |  | $ | 8,190,581 |  |  | $ | 8,675,378 |  |  | 5.06 | % |  | 293 |  |  |  |  |  |  |  |  |  |  |  |
December 31, 2021
|  | Fair Value / Carrying Value |  | 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 UPB
|  |  |  |  |  |  |  |  |  | Past Due Days
(Dollars In Thousands) |  |  |  |  |  |  |  | Current |  | 30-59 |  | 60-89 |  | 90+
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 3,453,242 |  |  | $ | 3,361,164 |  |  | 5.07 | % |  | 355 |  | 66 | % |  | 731 |  | $ | 3,165,964 |  |  | $ | 77,581 |  |  | $ | 22,864 |  |  | $ | 94,755 |
Rehabilitation loans |  | 727,964 |  |  | 731,154 |  |  | 7.18 |  |  | 11 |  | 67 |  |  | 735 |  | 616,733 |  |  | 5,834 |  |  | 5,553 |  |  | 103,034 |
Single-family rental loans |  | 949,772 |  |  | 924,498 |  |  | 5.46 |  |  | 329 |  | 70 |  |  | 732 |  | 898,166 |  |  | 2,150 |  |  | 695 |  |  | 23,487 |
Seasoned performing loans |  | 101,995 |  |  | 111,710 |  |  | 2.76 |  |  | 162 |  | 37 |  |  | 722 |  | 102,047 |  |  | 938 |  |  | 481 |  |  | 8,244 |
Agency eligible investor loans |  | 1,082,765 |  |  | 1,060,486 |  |  | 3.40 |  |  | 354 |  | 62 |  |  | 767 |  | 1,039,257 |  |  | 21,229 |  |  | — |  |  | — |
Total Purchased Performing Loans |  | 6,315,738 |  |  | $ | 6,189,012 |  |  | 5.05 | % |  | 307 |  |  |  |  |  |  |  |  |  |  |  |
Purchased Credit Deteriorated Loans |  | 524,992 |  |  | $ | 643,187 |  |  | 4.55 | % |  | 283 |  | 69 |  |  | N/A |  | 456,924 |  |  | 50,048 |  |  | 18,736 |  |  | 117,479 |
Purchased Non-Performing Loans |  | 1,072,270 |  |  | $ | 1,073,544 |  |  | 4.87 | % |  | 283 |  | 73 |  |  | N/A |  | 492,481 |  |  | 87,041 |  |  | 40,876 |  |  | 453,146 |
Residential whole loans, total or weighted average |  | $ | 7,913,000 |  |  | $ | 7,905,743 |  |  | 4.99 | % |  | 301 |  |  |  |  |  |  |  |  |  |  |  |
(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 $172.3 million and $137.3 million at June 30, 2022 and December 31, 2021, 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 72% and 71% at June 30, 2022 and December 31, 2021, 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. No Residential whole loans were sold during the six months ended June 30, 2022 and 2021. 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:
|  | Six Months Ended June 30, 2022
(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, 2021 |  | $ | 8,289 |  |  | $ | 6,881 |  |  | $ | 1,451 |  |  | $ | 46 |  |  | $ | 22,780 |  |  | $ | 39,447 |
Current provision |  | (909) |  |  | (1,460) |  |  | (122) |  |  | (1) |  |  | (975) |  |  | (3,467) |
Write-offs |  | (51) |  |  | (219) |  |  | (27) |  |  | — |  |  | (226) |  |  | (523) |
Allowance for credit losses at March 31, 2022 |  | $ | 7,329 |  |  | $ | 5,202 |  |  | $ | 1,302 |  |  | $ | 45 |  |  | $ | 21,579 |  |  | $ | 35,457 |
Current provision/(reversal) |  | (199) |  |  | (23) |  |  | 174 |  |  | 1 |  |  | 1,877 |  |  | 1,830 |
Write-offs |  | — |  |  | (118) |  |  | (184) |  |  | — |  |  | (58) |  |  | (360) |
Allowance for credit losses at June 30, 2022 |  | $ | 7,130 |  |  | $ | 5,061 |  |  | $ | 1,292 |  |  | $ | 46 |  |  | $ | 23,398 |  |  | $ | 36,927 |
|  | 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 |
(1)In connection with purchased Rehabilitation loans at carrying value, the Company had unfunded commitments of $10.1 million and $40.3 million as of June 30, 2022 and 2021, respectively, with an allowance for credit losses of $110,000 and $512,000 at June 30, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2)Includes $71.9 million and $120.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of June 30, 2022 and 2021, respectively. (3)Includes $63.8 million and $83.1 million of loans that were assessed for credit losses based on a collateral dependent methodology as of June 30, 2022 and 2021, respectively. The Company’s estimates of expected losses that form the basis of the Allowance for Credit Losses include certain qualitative adjustments which have the effect of increasing expected loss estimates. These qualitative adjustments 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 COVID-19 pandemic, the extent and timing of government stimulus efforts, anticipated inflation and increasing market interest rates, 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 credit losses on financial instruments (“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 June 30, 2022 and December 31, 2021 was $216.5 million and $240.2 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of June 30, 2022 and December 31, 2021 was $94.0 million and $108.9 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of June 30, 2022 and December 31, 2021 was $497.5 million and $588.1 million, respectively. During the three and six months ended June 30, 2022, the Company recognized $5.0 million and $9.3 million of interest income on loans on nonaccrual status, including $3.5 million and $6.5 million, respectively, on its portfolio of loans which were non-performing at acquisition. At June 30, 2022 and December 31, 2021, there were approximately $89.6 million and $107.4 million, respectively, of loans held at carrying value 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. 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) |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | Prior |  | Total
Non-QM loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | 50,488 |  |  | $ | 213,384 |  |  | $ | 519,616 |  |  | $ | 264,276 |  |  | $ | 30,517 |  |  | $ | 1,078,281 |
LTV > 80% (1) |  | — |  |  | 2,147 |  |  | 15,582 |  |  | 8,203 |  |  | 7,861 |  |  | 1,622 |  |  | 35,415 |
Total Non-QM loans |  | $ | — |  |  | $ | 52,635 |  |  | $ | 228,966 |  |  | $ | 527,819 |  |  | $ | 272,137 |  |  | $ | 32,139 |  |  | $ | 1,113,696 |
Six Months Ended June 30, 2022 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 51 |  |  | $ | — |  |  | $ | 51 |
Rehabilitation loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | 3,061 |  |  | $ | 11,823 |  |  | $ | 60,678 |  |  | $ | 14,040 |  |  | $ | 3,047 |  |  | $ | 92,649 |
LTV > 80% (1) |  | — |  |  | — |  |  | 2,280 |  |  | 10,984 |  |  | 3,552 |  |  | 1,699 |  |  | 18,515 |
Total Rehabilitation loans |  | $ | — |  |  | $ | 3,061 |  |  | $ | 14,103 |  |  | $ | 71,662 |  |  | $ | 17,592 |  |  | $ | 4,746 |  |  | $ | 111,164 |
Six Months Ended June 30, 2022 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 296 |  |  | $ | 41 |  |  | $ | — |  |  | $ | 337 |
Single family rental loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | 14,165 |  |  | $ | 28,485 |  |  | $ | 139,279 |  |  | $ | 53,695 |  |  | $ | 5,566 |  |  | $ | 241,190 |
LTV > 80% (1) |  | — |  |  | — |  |  | 511 |  |  | 5,342 |  |  | 86 |  |  | — |  |  | 5,939 |
Total Single family rental loans |  | $ | — |  |  | $ | 14,165 |  |  | $ | 28,996 |  |  | $ | 144,621 |  |  | $ | 53,781 |  |  | $ | 5,566 |  |  | $ | 247,129 |
Six Months Ended June 30, 2022 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 199 |  |  | $ | 13 |  |  | $ | — |  |  | $ | 212 |
Seasoned performing loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 89,973 |  |  | $ | 89,973 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 2,936 |  |  | 2,936 |
Total Seasoned performing loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 92,909 |  |  | $ | 92,909 |
Six Months Ended June 30, 2022 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Purchased credit deteriorated loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 393,206 |  |  | $ | 393,206 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 105,111 |  |  | 105,111 |
Total Purchased credit deteriorated loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 498,317 |  |  | $ | 498,317 |
Six Months Ended June 30, 2022 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 284 |  |  | $ | 284 |
Total LTV <= 80% (1) |  | $ | — |  |  | $ | 67,714 |  |  | $ | 253,692 |  |  | $ | 719,573 |  |  | $ | 332,011 |  |  | $ | 522,309 |  |  | $ | 1,895,299 |
Total LTV > 80% (1) |  | — |  |  | 2,147 |  |  | 18,373 |  |  | 24,529 |  |  | 11,499 |  |  | 111,368 |  |  | 167,916 |
Total residential whole loans, at carrying value |  | $ | — |  |  | $ | 69,861 |  |  | $ | 272,065 |  |  | $ | 744,102 |  |  | $ | 343,510 |  |  | $ | 633,677 |  |  | $ | 2,063,215 |
Six Months Ended June 30, 2022 Total Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 495 |  |  | $ | 105 |  |  | $ | 284 |  |  | $ | 884 |
(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 $172.3 million at June 30, 2022, 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 72% at June 30, 2022. 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, 2022
(Dollars In Thousands) |  | Carrying Value / Fair Value |  | UPB |  | LTV (1)
Purchased Performing Loans |  |  |  |  |  |
Non-QM loans |  | $ | 78,037 |  |  | $ | 77,523 |  |  | 66.6 | %
Rehabilitation loans |  | $ | 81,432 |  |  | $ | 81,992 |  |  | 70.8 | %
Single-family rental loans |  | $ | 29,577 |  |  | $ | 29,493 |  |  | 75.2 | %
Seasoned performing loans |  | $ | 6,854 |  |  | $ | 7,427 |  |  | 45.4 | %
Agency eligible investor loans |  | $ | 718 |  |  | $ | 814 |  |  | 59.2 | %
Total Purchased Performing Loans |  | $ | 196,618 |  |  | $ | 197,249 |  |  |
Purchased Credit Deteriorated Loans |  | $ | 83,606 |  |  | $ | 103,792 |  |  | 77.1 | %
Purchased Non-Performing Loans |  | $ | 385,233 |  |  | $ | 389,901 |  |  | 79.7 | %
Total Residential whole loans |  | $ | 665,457 |  |  | $ | 690,942 |  |  |
|  | December 31, 2021
(Dollars In Thousands) |  | Carrying Value / Fair Value |  | UPB |  | LTV (1)
Purchased Performing Loans |  |  |  |  |  |
Non-QM loans |  | $ | 96,473 |  |  | $ | 94,755 |  |  | 64.6 | %
Rehabilitation loans |  | $ | 103,166 |  |  | $ | 103,034 |  |  | 67.6 | %
Single-family rental loans |  | $ | 23,524 |  |  | $ | 23,487 |  |  | 73.4 | %
Seasoned performing loans |  | $ | 7,740 |  |  | $ | 8,244 |  |  | 45.6 | %
Agency eligible investor loans |  | $ | — |  |  | $ | — |  |  | — | %
Total Purchased Performing Loans |  | $ | 230,903 |  |  | $ | 229,520 |  |  |
Purchased Credit Deteriorated Loans |  | $ | 95,899 |  |  | $ | 117,479 |  |  | 79.1 | %
Purchased Non-Performing Loans |  | $ | 454,443 |  |  | $ | 453,146 |  |  | 80.2 | %
Total Residential whole loans |  | $ | 781,245 |  |  | $ | 800,145 |  |  |
(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. 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, 2022 and 2021:
|  | 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) |  | 2022 |  | 2021 |  | 2022 |  | 2021 |  | 2022 |  | 2021
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 12,255 |  |  | $ | 20,164 |  |  | $ | 22,257 |  |  | $ | 1,804 |  |  | $ | 34,512 |  |  | $ | 21,968 |
Rehabilitation loans |  | 1,271 |  |  | 6,954 |  |  | 13,917 |  |  | 375 |  |  | 15,188 |  |  | 7,329 |
Single-family rental loans |  | 3,783 |  |  | 6,439 |  |  | 12,630 |  |  | 467 |  |  | 16,413 |  |  | 6,906 |
Seasoned performing loans |  | 1,155 |  |  | 1,540 |  |  | — |  |  | — |  |  | 1,155 |  |  | 1,540 |
Agency eligible investor loans |  | — |  |  | — |  |  | 7,604 |  |  | 262 |  |  | 7,604 |  |  | 262 |
Total Purchased Performing Loans |  | $ | 18,464 |  |  | $ | 35,097 |  |  | $ | 56,408 |  |  | $ | 2,908 |  |  | $ | 74,872 |  |  | $ | 38,005 |
Purchased Credit Deteriorated Loans |  | $ | 8,672 |  |  | $ | 11,303 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,672 |  |  | $ | 11,303 |
Purchased Non-Performing Loans |  | $ | — |  |  | $ | — |  |  | $ | 18,810 |  |  | $ | 19,708 |  |  | $ | 18,810 |  |  | $ | 19,708 |
Total Residential Whole Loans |  | $ | 27,136 |  |  | $ | 46,400 |  |  | $ | 75,218 |  |  | $ | 22,616 |  |  | $ | 102,354 |  |  | $ | 69,016 |
|  | 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) |  | 2022 |  | 2021 |  | 2022 |  | 2021 |  | 2022 |  | 2021
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 25,395 |  |  | $ | 42,352 |  |  | $ | 42,068 |  |  | $ | 1,804 |  |  | $ | 67,463 |  |  | $ | 44,156 |
Rehabilitation loans |  | 4,837 |  |  | 13,621 |  |  | 25,210 |  |  | 375 |  |  | 30,047 |  |  | 13,996 |
Single-family rental loans |  | 8,476 |  |  | 13,520 |  |  | 21,263 |  |  | 467 |  |  | 29,739 |  |  | 13,987 |
Seasoned performing loans |  | 2,165 |  |  | 3,531 |  |  | — |  |  | — |  |  | 2,165 |  |  | 3,531 |
Agency eligible investor loans |  | — |  |  | — |  |  | 15,189 |  |  | 262 |  |  | 15,189 |  |  | 262 |
Total Purchased Performing Loans |  | $ | 40,873 |  |  | $ | 73,024 |  |  | $ | 103,730 |  |  | $ | 2,908 |  |  | $ | 144,603 |  |  | $ | 75,932 |
Purchased Credit Deteriorated Loans |  | $ | 17,681 |  |  | $ | 19,593 |  |  | $ | — |  |  | $ | — |  |  | $ | 17,681 |  |  | $ | 19,593 |
Purchased Non-Performing Loans |  | $ | — |  |  | $ | — |  |  | $ | 39,536 |  |  | $ | 38,029 |  |  | $ | 39,536 |  |  | $ | 38,029 |
Total Residential Whole Loans |  | $ | 58,554 |  |  | $ | 92,617 |  |  | $ | 143,266 |  |  | $ | 40,937 |  |  | $ | 201,820 |  |  | $ | 133,554 |
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, 2022 and 2021:
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Net unrealized (losses)/gains |  | $ | (218,181) |  |  | $ | 6,226 |  |  | $ | (506,116) |  |  | $ | 38,313 |
Other Income (1) |  | 1,767 |  |  | (205) |  |  | 1,327 |  |  | (803) |
Total |  | $ | (216,414) |  |  | $ | 6,021 |  |  | $ | (504,789) |  |  | $ | 37,510 |
(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 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 https://asc.fasb.org/subtopic&trid=2196772 + Details
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