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Residential Whole Loans (Tables)

9 Months Ended

Sep. 30, 2022

Receivables [Abstract]

Schedule of 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 September 30, 2022 and December 31, 2021:

						Held at Carrying Value												Held at Fair Value												Total
(Dollars in Thousands)						September 30, 2022						December 31, 2021						September 30, 2022						December 31, 2021						September 30, 2022						December 31, 2021
Purchased Performing Loans:
Non-QM loans						$	1,030,504					$	1,448,162					$	2,362,221					$	2,013,369					$	3,392,725					$	3,461,531
Residential transition loans (1)						92,762						217,315						1,156,406						517,530						1,249,168						734,845
Single-family rental loans						224,302						331,808						1,096,780						619,415						1,321,082						951,223
Seasoned performing loans						87,028						102,041						—						—						87,028						102,041
Agency eligible investor loans						—						—						852,996						1,082,765						852,996						1,082,765
Total Purchased Performing Loans						$	1,434,596					$	2,099,326					$	5,468,403					$	4,233,079					$	6,902,999					$	6,332,405
Purchased Credit Deteriorated Loans						$	480,679					$	547,772					$	—					$	—					$	480,679					$	547,772
Allowance for Credit Losses						$	(37,192)					$	(39,447)					$	—					$	—					$	(37,192)					$	(39,447)
Purchased Non-Performing Loans						$	—					$	—					$	847,563					$	1,072,270					$	847,563					$	1,072,270
Total Residential Whole Loans						$	1,878,083					$	2,607,651					$	6,315,966					$	5,305,349					$	8,194,049					$	7,913,000
Number of loans						7,388						9,361						18,805						14,734						26,193						24,095

(1)Includes $523.3 million and $213.9 million of Residential transition loans collateralized by multi-family properties as of September 30, 2022 and December 31, 2021, respectively.

Schedule of financing receivable credit quality indicators

The following table presents additional information regarding the Company’s Residential whole loans at September 30, 2022 and December 31, 2021:

September 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						$	3,385,837					$	3,669,113					5.06		%				353						65		%				733						$	3,534,877					$	50,120					$	20,285					$	63,831
Residential transition loans						1,243,638						1,261,611						7.41						13						66						745						1,174,054						8,047						2,000						77,510
Single-family rental loans						1,319,768						1,436,439						5.61						326						69						737						1,406,215						3,704						767						25,753
Seasoned performing loans						86,979						95,443						3.09						155						30						713						87,887						911						300						6,345
Agency eligible investor loans						852,996						1,008,857						3.40						345						61						767						1,005,580						1,301						758						1,218
Total Purchased Performing Loans						6,889,218						$	7,471,463					5.31		%				287
Purchased Credit Deteriorated Loans						$	457,268					$	567,166					4.62		%				279						64		%				N/A						$	415,369					$	37,675					$	17,814					$	96,308
Purchased Non-Performing Loans						$	847,563					$	926,661					4.97		%				279						69		%				N/A						$	454,086					$	83,492					$	45,854					$	343,229
Residential whole loans, total or weighted average						$	8,194,049					$	8,965,290					5.24		%				286

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
Residential transition 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 Residential transition 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 Residential transition loans, totaling $194.1 million and $137.3 million at September 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 71% and 71% at September 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)						$	—					$	47,909					$	199,510					$	476,591					$	245,908					$	29,082					$	999,000
LTV > 80% (1)						—						2,135						14,379						7,142						6,790						1,060						31,506
Total Non-QM loans						$	—					$	50,044					$	213,889					$	483,733					$	252,698					$	30,142					$	1,030,506
Nine Months Ended September 30, 2022 Gross write-offs						$	—					$	—					$	—					$	—					$	51					$	—					$	51
Residential transition loans
LTV <= 80% (1)						$	—					$	2,037					$	7,698					$	57,070					$	13,065					$	3,047					$	82,917
LTV > 80% (1)						—						—						—						4,594						3,552						1,699						9,845
Total Residential transition loans						$	—					$	2,037					$	7,698					$	61,664					$	16,617					$	4,746					$	92,762
Nine Months Ended September 30, 2022 Gross write-offs						$	—					$	—					$	92					$	317					$	41					$	—					$	450
Single-family rental loans
LTV <= 80% (1)						$	—					$	13,822					$	26,569					$	127,766					$	49,619					$	3,213					$	220,989
LTV > 80% (1)						—						—						406						2,821						86						—						3,313
Total Single family rental loans						$	—					$	13,822					$	26,975					$	130,587					$	49,705					$	3,213					$	224,302
Nine Months Ended September 30, 2022 Gross write-offs						$	—					$	—					$	—					$	205					$	68					$	—					$	273
Seasoned performing loans
LTV <= 80% (1)						$	—					$	—					$	—					$	—					$	—					$	84,120					$	84,120
LTV > 80% (1)						—						—						—						—						—						2,908						2,908
Total Seasoned performing loans						$	—					$	—					$	—					$	—					$	—					$	87,028					$	87,028
Nine Months Ended September 30, 2022 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Purchased credit deteriorated loans
LTV <= 80% (1)						$	—					$	—					$	—					$	—					$	—					$	383,865					$	383,865
LTV > 80% (1)						—						—						—						—						—						96,814						96,814
Total Purchased credit deteriorated loans						$	—					$	—					$	—					$	—					$	—					$	480,679					$	480,679
Nine Months Ended September 30, 2022 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	391					$	391
Total LTV <= 80% (1)						$	—					$	63,768					$	233,777					$	661,427					$	308,592					$	503,327					$	1,770,891
Total LTV > 80% (1)						—						2,135						14,785						14,557						10,428						102,481						144,386
Total residential whole loans, at carrying value						$	—					$	65,903					$	248,562					$	675,984					$	319,020					$	605,808					$	1,915,277
Nine Months Ended September 30, 2022 Total Gross write-offs						$	—					$	—					$	92					$	522					$	160					$	391					$	1,165

(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 Residential transition 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 Residential transition loans, totaling $194.1 million at September 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 71% at September 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:

						September 30, 2022
(Dollars In Thousands)						Carrying Value / Fair Value						UPB						LTV (1)
Purchased Performing Loans
Non-QM loans						$	64,036					$	63,831					67.7		%
Residential transition loans						$	76,514					$	77,510					69.9		%
Single-family rental loans						$	25,901					$	25,753					74.9		%
Seasoned performing loans						$	5,850					$	6,345					45.4		%
Agency eligible investor loans						$	1,049					$	1,218					61.7		%
Total Purchased Performing Loans						$	173,350					$	174,657
Purchased Credit Deteriorated Loans						$	76,762					$	96,308					75.8		%
Purchased Non-Performing Loans						$	331,847					$	343,229					78.5		%
Total Residential Whole Loans						$	581,959					$	614,194

						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		%
Residential transition 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 Residential transition 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 Residential transition 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 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:

						Nine Months Ended September 30, 2022
(Dollars In Thousands)						Non-QM Loans						Residential Transition 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/(reversal)						(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
Current provision/(reversal)						(242)						583						83						3						120						547
Write-offs						—						(114)						(61)						—						(107)						(282)
Allowance for credit losses at September 30, 2022						$	6,888					$	5,530					$	1,314					$	49					$	23,411					$	37,192

						Nine Months Ended September 30, 2021
(Dollars In Thousands)						Non-QM Loans						Residential Transition 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/(reversal)						(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
Current provision/(reversal)						(2,403)						(2,526)						(670)						(7)						(4,020)						(9,626)
Write-offs												(393)						(56)						—						(84)						(533)
Allowance for credit losses at September 30, 2021						$	9,689					$	8,685					$	1,634					$	50					$	24,044					$	44,102

(1)In connection with purchased Residential transition loans at carrying value, the Company had unfunded commitments of $8.4 million and $29.2 million as of September 30, 2022 and 2021, respectively, with an allowance for credit losses of $84,000 and $355,000 at September 30, 2022 and 2021, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).

(2)Includes $66.7 million and $94.9 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 30, 2022 and 2021, respectively.

(3)Includes $56.2 million and $57.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of September 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 nine months ended September 30, 2022 and 2021:

						Held at Carrying Value												Held at Fair Value												Total
						Three Months Ended September 30,												Three Months Ended September 30,												Three Months Ended September 30,
(In Thousands)						2022						2021						2022						2021						2022						2021
Purchased Performing Loans:
Non-QM loans						$	13,646					$	17,437					$	27,012					$	6,454					$	40,658					$	23,891
Residential transition loans						784						5,808						18,558						4,110						19,342						9,918
Single-family rental loans						3,658						6,074						15,340						3,423						18,998						9,497
Seasoned performing loans						1,227						1,728						—						—						1,227						1,728
Agency eligible investor loans						—						—						7,542						3,360						7,542						3,360
Total Purchased Performing Loans						$	19,315					$	31,047					$	68,452					$	17,347					$	87,767					$	48,394
Purchased Credit Deteriorated Loans						$	7,916					$	10,504					$	—					$	—					$	7,916					$	10,504
Purchased Non-Performing Loans						$	—					$	—					$	18,732					$	20,704					$	18,732					$	20,704
Total Residential Whole Loans						$	27,231					$	41,551					$	87,184					$	38,051					$	114,415					$	79,602

						Held at Carrying Value												Held at Fair Value												Total
						Nine Months Ended September 30,												Nine Months Ended September 30,												Nine Months Ended September 30,
(In Thousands)						2022						2021						2022						2021						2022						2021
Purchased Performing Loans:
Non-QM loans						$	39,041					$	59,789					$	69,080					$	8,258					$	108,121					$	68,047
Residential transition loans						5,621						19,429						43,768						4,485						49,389						23,914
Single-family rental loans						12,134						19,594						36,603						3,890						48,737						23,484
Seasoned performing loans						3,392						5,260						—						—						3,392						5,260
Agency eligible investor loans						—						—						22,731						3,622						22,731						3,622
Total Purchased Performing Loans						$	60,188					$	104,072					$	172,182					$	20,255					$	232,370					$	124,327
Purchased Credit Deteriorated Loans						$	25,597					$	30,097					$	—					$	—					$	25,597					$	30,097
Purchased Non-Performing Loans						$	—					$	—					$	58,268					$	58,732					$	58,268					$	58,732
Total Residential Whole Loans						$	85,785					$	134,169					$	230,450					$	78,987					$	316,235					$	213,156

Schedule of 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 nine months ended September 30, 2022 and 2021:

						Three Months Ended September 30,												Nine Months Ended September 30,
(In Thousands)						2022						2021						2022						2021
Net unrealized (losses)/gains						$	(291,818)					$	20,494					$	(797,934)					$	58,807
Other Income (1)						(57)						1,321						1,270						518
Total						$	(291,875)					$	21,815					$	(796,664)					$	59,325

(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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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 https://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 https://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 https://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
-URI https://asc.fasb.org/extlink&oid=123577603&loc=SL6953659-111524

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