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Residential Whole Loans (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022:

						Held at Carrying Value												Held at Fair Value												Total
(Dollars in Thousands)						March 31, 2023						December 31, 2022						March 31, 2023						December 31, 2022						March 31, 2023						December 31, 2022
Purchased Performing Loans:
Non-QM loans						$	958,099					$	987,282					$	2,501,132					$	2,372,548					$	3,459,231					$	3,359,830
Transitional loans (1)						53,272						75,188						1,471,633						1,342,032						1,524,905						1,417,220
Single-family rental loans						201,563						210,833						1,265,246						1,165,741						1,466,809						1,376,574
Seasoned performing loans						79,465						82,932						—						—						79,465						82,932
Agency eligible investor loans						—						—						60,854						51,094						60,854						51,094
Total Purchased Performing Loans						$	1,292,399					$	1,356,235					$	5,298,865					$	4,931,415					$	6,591,264					$	6,287,650
Purchased Credit Deteriorated Loans						$	460,680					$	470,294					$	—					$	—					$	460,680					$	470,294
Allowance for Credit Losses						$	(33,061)					$	(35,314)					$	—					$	—					$	(33,061)					$	(35,314)
Purchased Non-Performing Loans						$	—					$	—					$	775,367					$	796,109					$	775,367					$	796,109
Total Residential Whole Loans						$	1,720,018					$	1,791,215					$	6,074,232					$	5,727,524					$	7,794,250					$	7,518,739
Number of loans						6,930						7,126						17,122						16,717						24,052						23,843

(1)As of March 31, 2023 includes $825.9 million of loans collateralized by one-to-four family residential properties and $699.0 million of loans collateralized by multi-family properties. As of December 31, 2022 includes $784.9 million of loans collateralized by one-to-four family residential properties and $632.3 million of Transitional loans collateralized by multi-family properties.

Schedule of financing receivable credit quality indicators

The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2023 and December 31, 2022:

March 31, 2023

						Fair Value / Carrying Value						Unpaid Principal Balance (“UPB”)						Weighted Average Coupon (2)						Weighted Average Term to Maturity (Months)						Weighted Average LTV Ratio (3)						Weighted Average Original FICO (4)						Aging by UPB																								60+ Delinquency %
																																																Past Due Days
(Dollars In Thousands)																																										Current						30-59						60-89						90+
Purchased Performing Loans:
Non-QM loans						$	3,452,086					$	3,683,664					5.22		%				349						65		%				735						$	3,508,600					$	74,897					$	38,599					$	61,568					2.7		%
Transitional loans (1)						1,521,279						1,537,094						8.07						11						65						746						1,449,593						14,063						7,522						65,916						4.8
Single-family rental loans						1,465,469						1,542,253						5.87						322						69						737						1,492,800						10,113						5,527						33,813						2.6
Seasoned performing loans						79,420						87,079						3.69						149						30						724						81,207						1,386						617						3,869						5.2
Agency eligible investor loans						60,854						71,890						3.46						341						67						757						70,739						661						—						490						0.7
Total Purchased Performing Loans						6,579,108						$	6,921,980					5.96		%				265																																										3.1		%
Purchased Credit Deteriorated Loans						$	439,775					$	543,594					4.71		%				275						63		%				N/A						$	394,389					$	44,939					$	18,057					$	86,209					19.2		%
Purchased Non-Performing Loans						$	775,367					$	857,388					5.07		%				275						67		%				N/A						$	443,433					$	89,259					$	35,820					$	288,876					37.9		%
Residential whole loans, total or weighted average						$	7,794,250					$	8,322,962					5.80		%				267																																										7.8		%

December 31, 2022

						Fair Value / Carrying Value						Unpaid Principal Balance (“UPB”)						Weighted Average Coupon (2)						Weighted Average Term to Maturity (Months)						Weighted Average LTV Ratio (3)						Weighted Average Original FICO (4)						Aging by UPB																								60+ Delinquency %
																																																Past Due Days
(Dollars In Thousands)																																										Current						30-59						60-89						90+
Purchased Performing Loans:
Non-QM loans						$	3,352,471					$	3,671,468					5.13		%				351						65		%				733						$	3,520,671					$	56,825					$	32,253					$	61,719					2.6		%
Transitional loans (1)						1,411,997						1,431,692						7.78						12						66						746						1,348,815						6,463						2,234						74,180						5.3		%
Single-family rental loans						1,375,297						1,485,967						5.74						324						69						737						1,442,095						8,431						7,978						27,463						2.4		%
Seasoned performing loans						82,884						90,843						3.31						151						30						714						84,514						993						937						4,399						5.9		%
Agency eligible investor loans						51,094						61,816						3.44						344						68						757						61,816						—						—						—						—		%
Total Purchased Performing Loans						6,273,743						$	6,741,786					5.78		%				271																																										3.1		%
Purchased Credit Deteriorated Loans						$	448,887					$	554,907					4.66		%				277						63		%				N/A						$	403,042					$	48,107					$	16,270					$	87,488					18.7		%
Purchased Non-Performing Loans						$	796,109					$	884,257					5.01		%				277						68		%				N/A						$	444,045					$	89,623					$	40,554					$	310,035					39.6		%
Residential whole loans, total or weighted average						$	7,518,739					$	8,180,950					5.64		%				272																																										8.1		%

(1) As of March 31, 2023 Transitional loans includes $699.0 million of loans collateralized by multi-family properties with a weighted average term to maturity of 16 months and a weighted average LTV ratio of 64%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 64%.

(2)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.

(3)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 Transitional 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 Transitional loans, totaling $223.0 million and $223.2 million at March 31, 2023 and December 31, 2022, 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 70% at March 31, 2023 and December 31, 2022, 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. 60+ LTV has been calculated on a consistent basis. (4)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)						2023						2022						2021						2020						2019						Prior						Total
Non-QM loans
LTV <= 80% (1)						$	—					$	—					$	46,905					$	185,045					$	447,565					$	251,532					$	931,047
LTV > 80% (1)						—						—						2,120						12,816						5,734						6,382						27,052
Total Non-QM loans						$	—					$	—					$	49,025					$	197,861					$	453,299					$	257,914					$	958,099
Three Months Ended March 31, 2023 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Transitional loans
LTV <= 80% (1)						$	—					$	—					$	729					$	4,738					$	32,118					$	12,497					$	50,082
LTV > 80% (1)						—						—						—						—						3,190						—						3,190
Total Transitional loans						$	—					$	—					$	729					$	4,738					$	35,308					$	12,497					$	53,272
Three Months Ended March 31, 2023 Gross write-offs						$	—					$	—					$	—					$	—					$	1,148					$	855					$	2,003
Single-family rental loans
LTV <= 80% (1)						$	—					$	—					$	13,445					$	23,537					$	113,092					$	49,275					$	199,350
LTV > 80% (1)						—						—						—						—						2,128						85						2,213
Total Single family rental loans						$	—					$	—					$	13,445					$	23,537					$	115,221					$	49,360					$	201,563
Three Months Ended March 31, 2023 Gross write-offs						$	—					$	—					$	—					$	—					$	451					$	—					$	451
Seasoned performing loans
LTV <= 80% (1)						$	—					$	—					$	—					$	—					$	—					$	76,938					$	76,938
LTV > 80% (1)						—						—						—						—						—						2,527						2,527
Total Seasoned performing loans						$	—					$	—					$	—					$	—					$	—					$	79,465					$	79,465
Three Months Ended March 31, 2023 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	—					$	—
Purchased credit deteriorated loans
LTV <= 80% (1)						$	—					$	—					$	—					$	—					$	—					$	373,929					$	373,929
LTV > 80% (1)						—						—						—						—						—						86,752						86,752
Total Purchased credit deteriorated loans						$	—					$	—					$	—					$	—					$	—					$	460,680					$	460,680
Three Months Ended March 31, 2023 Gross write-offs						$	—					$	—					$	—					$	—					$	—					$	113					$	113
Total LTV <= 80% (1)						$	—					$	—					$	61,079					$	213,320					$	592,776					$	764,170					$	1,631,345
Total LTV > 80% (1)						—						—						2,120						12,816						11,053						95,746						121,734
Total residential whole loans, at carrying value						$	—					$	—					$	63,199					$	226,136					$	603,828					$	859,916					$	1,753,080
Three Months Ended March 31, 2023 Total Gross write-offs						$	—					$	—					$	—					$	—					$	1,598					$	968					$	2,567

(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 Transitional 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 Transitional loans, totaling $223.0 million at March 31, 2023, 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 March 31, 2023. 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 60 days or more delinquent:

						March 31, 2023
(Dollars In Thousands)						Carrying Value / Fair Value						UPB						LTV (1)
Purchased Performing Loans
Non-QM loans						$	99,532					$	100,167					65.9		%
Transitional loans						71,299						73,438						66.4		%
Single-family rental loans						37,839						39,340						72.0		%
Seasoned performing loans						4,213						4,486						48.4		%
Agency eligible investor loans						407						490						64.6		%
Total Purchased Performing Loans						$	213,290					$	217,921
Purchased Credit Deteriorated Loans						$	83,861					$	104,266					72.4		%
Purchased Non-Performing Loans						$	303,400					$	324,696					76.3		%
Total Residential Whole Loans						$	600,551					$	646,883

						December 31, 2022
(Dollars In Thousands)						Carrying Value / Fair Value						UPB						LTV (1)
Purchased Performing Loans
Non-QM loans						$	93,508					$	93,972					66.7		%
Transitional loans						75,449						76,415						68.1		%
Single-family rental loans						34,653						35,441						72.1		%
Seasoned performing loans						5,049						5,336						41.7		%
Agency eligible investor loans						—						—						—		%
Total Purchased Performing Loans						$	208,659					$	211,164
Purchased Credit Deteriorated Loans						$	83,172					$	103,758					72.5		%
Purchased Non-Performing Loans						$	330,810					$	350,589					75.6		%
Total Residential Whole Loans						$	622,641					$	665,511

(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 Transitional 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 Transitional 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:

						Three Months Ended March 31, 2023
(Dollars In Thousands)						Non-QM Loans						Transitional Loans (1)(2)						Single-family Rental Loans						Seasoned Performing Loans						Purchased Credit Deteriorated Loans (3)						Totals
Allowance for credit losses at December 31, 2022						$	7,359					$	5,223					$	1,277					$	48					$	21,407					$	35,314
Current provision						(214)						406						514						(2)						(389)						315
Write-offs						—						(2,003)						(451)						—						(113)						(2,567)
Allowance for credit losses at March 31, 2023						$	7,145					$	3,626					$	1,340					$	46					$	20,905					$	33,062

						Three Months Ended March 31, 2022
(Dollars In Thousands)						Non-QM Loans						Transitional 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

(1)In connection with Transitional loans at carrying value, the Company had unfunded commitments of $6.8 million and $12.9 million as of March 31, 2023 and 2022, respectively, with an allowance for credit losses of $16,000 and $156,000 at March 31, 2023 and 2022, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7).

(2)Includes $46.4 million and $80.2 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2023 and 2022, respectively.

(3)Includes $62.0 million and $69.1 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2023 and 2022, 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 months ended March 31, 2023 and 2022:

						Held at Carrying Value												Held at Fair Value												Total
						Three Months Ended March 31,												Three Months Ended March 31,												Three Months Ended March 31,
(In Thousands)						2023						2022						2023						2022						2023						2022
Purchased Performing Loans:
Non-QM loans						$	12,674					$	13,141					$	31,415					$	19,811					$	44,089					$	32,952
Transitional loans						620						3,567						27,607						11,294						28,227						14,861
Single-family rental loans						2,977						4,693						18,336						8,632						21,313						13,325
Seasoned performing loans						1,090						1,010						—						—						1,090						1,010
Agency eligible investor loans						—						—						2,857						7,583						2,857						7,583
Total Purchased Performing Loans						$	17,361					$	22,411					$	80,215					$	47,320					$	97,576					$	69,731
Purchased Credit Deteriorated Loans						$	7,138					$	9,009					$	—					$	—					$	7,138					$	9,009
Purchased Non-Performing Loans						$	—					$	—					$	14,796					$	20,726					$	14,796					$	20,726
Total Residential Whole Loans						$	24,499					$	31,420					$	95,011					$	68,046					$	119,510					$	99,466

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Tabular disclosure of allowance for credit loss on financing receivable.

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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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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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