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Residential Whole Loans (Tables)

6 Months Ended

Jun. 30, 2022

Receivables [Abstract]

Residential whole loans, at carrying and fair value

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

Financing receivable credit quality indicators

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.

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.

Financing receivable, allowance for credit loss

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.

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, 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

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, 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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-Section 50
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-Section 50
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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 https://asc.fasb.org/extlink&oid=124255953&loc=SL82919230-210447

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