Included on the Company’s consolidated balance sheets at September 30, 2023 and December 31, 2022 are approximately $8.4 billion and $7.5 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.


	Held at Carrying Value				Held at Fair Value				Total
(Dollars in Thousands)	September 30, 2023		December 31, 2022		September 30, 2023		December 31, 2022		September 30, 2023		December 31, 2022
Purchased Performing Loans:
Non-QM loans	$	873,790	$	987,282	$	2,700,473	$	2,372,548	$	3,574,263	$	3,359,830
Transitional loans (1)	37,946		75,188		2,059,655		1,342,032		2,097,601		1,417,220
Single-family rental loans	182,879		210,833		1,333,484		1,165,741		1,516,363		1,376,574
Seasoned performing loans	72,675		82,932		—		—		72,675		82,932
Agency eligible investor loans	—		—		53,148		51,094		53,148		51,094
Total Purchased Performing Loans	$	1,167,290	$	1,356,235	$	6,146,760	$	4,931,415	$	7,314,050	$	6,287,650

Purchased Credit Deteriorated Loans	$	438,913	$	470,294	$	—	$	—	$	438,913	$	470,294

Allowance for Credit Losses	$	(28,557)	$	(35,314)	$	—	$	—	$	(28,557)	$	(35,314)

Purchased Non-Performing Loans	$	—	$	—	$	699,810	$	796,109	$	699,810	$	796,109

Total Residential Whole Loans	$	1,577,646	$	1,791,215	$	6,846,570	$	5,727,524	$	8,424,216	$	7,518,739

Number of loans	6,493		7,126		18,639		16,717		25,132		23,843

(1)As of September 30, 2023 includes $1.1 billion of loans collateralized by one-to-four family residential properties, including $415.9 million of loans collateralized by new construction projects at origination, and $1.0 billion of Transitional 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, including $283.1 million of loans collateralized by new construction projects at origination, and $632.3 million of Transitional loans collateralized by multi-family properties.


	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	$	3,570,184	$	3,963,235	5.60	%	346	65	%	735	$	3,808,303	$	68,171	$	23,230	$	63,531	2.2	%
Transitional loans (1)	2,095,083		2,105,552		8.89		11	64		746	1,989,050		25,717		15,771		75,014		4.3
Single-family rental loans	1,515,032		1,667,902		6.16		321	68		737	1,586,313		17,947		28,249		35,393		3.8
Seasoned performing loans	72,647		79,751		4.38		145	28		725	75,016		1,271		911		2,553		4.3
Agency eligible investor loans	53,148		68,472		3.44		335	66		757	68,244		—		—		228		0.3
Total Purchased Performing Loans	7,306,094		$	7,884,912	6.56	%	249												3.1	%

Purchased Credit Deteriorated Loans	$	418,312	$	517,611	4.79	%	270	59	%	N/A	$	389,166	$	41,615	$	14,018	$	72,812	16.8	%

Purchased Non-Performing Loans	$	699,810	$	798,902	5.17	%	272	63	%	N/A	$	449,936	$	95,456	$	28,310	$	225,200	31.7	%

Residential whole loans, total or weighted average	$	8,424,216	$	9,201,425	5.87	%	244												6.4	%


	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 September 30, 2023 Transitional loans includes $1.0 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 15 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 73%.

(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 $423.6 million and $223.2 million at September 30, 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 September 30, 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.

During the three months ended December 31, 2022, Agency eligible investor loans with an unpaid principal balance of $337.8 million were sold, realizing losses, before the impact of economic hedging gains and the reversal of previously recognized unrealized losses of $72.3 million. In addition, in the fourth quarter of 2022, the Agency eligible investor loan securitizations were deconsolidated from the Company’s financial statements which resulted in the de-recognition of Agency eligible investor loans with an unpaid principal balance of $598.0 million. No Residential whole loans were sold during the nine months ended September 30, 2023 and 2022.


	Nine Months Ended September 30, 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/(reversal)	(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
Current provision/(reversal)	(233)		999		(103)		(4)		(394)		265
Write-offs	(206)		(1,785)		—		—		(301)		(2,292)
Allowance for credit losses at June 30, 2023	$	6,706	$	2,840	$	1,237	$	42	$	20,210	$	31,035
Current provision/(reversal)	(2,627)		559		329		(14)		501		(1,252)
Write-offs	—		(881)		(235)		—		(110)		(1,226)
Allowance for credit losses at September 30, 2023	$	4,079	$	2,518	$	1,331	$	28	$	20,601	$	28,557


	Nine Months Ended September 30, 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/(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

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 any residual impact of the COVID-19 pandemic, anticipated inflation and increasing market interest rates, and heightened political uncertainty. The Company’s estimates of credit losses reflect the Company’s expectation that the performance of its portfolio will experience higher delinquencies and defaults compared to the performance in historical periods of portfolios included in the available proxy data. 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 September 30, 2023 and December 31, 2022 was $221.5 million and $195.1 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of September 30, 2023 and December 31, 2022 was $68.9 million and $80.5 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of September 30, 2023 and December 31, 2022 was $325.0 million and $413.1 million, respectively. During the three and nine months ended September 30, 2023, the Company recognized $4.0 million and $11.5 million of interest income on loans on nonaccrual status, including $2.3 million and $7.6 million, respectively, on its portfolio of loans which were non-performing at acquisition. At September 30, 2023 and December 31, 2022, there were approximately $52.8 million and $71.7 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. During the three months ended September 30, 2023, the Company granted one loan modification in its carrying value loan portfolio which gave a borrower a term extension. The increase in weighted average life was twelve months. As of September 30, 2023, the carrying value of this loan was approximately $214,000. As of September 30, 2023, this loan was current. During the nine months ended September 30, 2023, the Company granted three loan modifications in its carrying value loan portfolio which gave borrowers term extensions. The average increase in weighted average life was twelve months. As of September 30, 2023, the carrying value of these loans were approximately $379,000. As of September 30, 2023, these loans were all current.


	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)	$	—	$	—	$	44,885	$	172,296	$	407,541	$	226,678	$	851,400
LTV > 80% (1)	—		—		1,396		11,470		4,481		5,044		22,391
Total Non-QM loans	$	—	$	—	$	46,281	$	183,766	$	412,022	$	231,722	$	873,791
Nine Months Ended September 30, 2023 Gross write-offs	$	—	$	—	$	—	$	71	$	25	$	110	$	206

Transitional loans
LTV <= 80% (1)	$	—	$	—	$	504	$	3,915	$	23,565	$	7,782	$	35,766
LTV > 80% (1)	—		—		—		—		2,180		—		2,180
Total Transitional loans	$	—	$	—	$	504	$	3,915	$	25,745	$	7,782	$	37,946
Nine Months Ended September 30, 2023 Gross write-offs	$	—	$	—	$	14	$	47	$	2,970	$	1,639	$	4,670

Single-family rental loans
LTV <= 80% (1)	$	—	$	—	$	12,256	$	21,300	$	105,721	$	41,917	$	181,194
LTV > 80% (1)	—		—		—		—		1,600		85		1,685
Total Single family rental loans	$	—	$	—	$	12,256	$	21,300	$	107,321	$	42,002	$	182,879
Nine Months Ended September 30, 2023 Gross write-offs	$	—	$	—	$	—	$	71	$	614	$	—	$	685

Seasoned performing loans
LTV <= 80% (1)	$	—	$	—	$	—	$	—	$	—	$	70,272	$	70,272
LTV > 80% (1)	—		—		—		—		—		2,403		2,403
Total Seasoned performing loans	$	—	$	—	$	—	$	—	$	—	$	72,675	$	72,675
Nine Months Ended September 30, 2023 Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	—	$	—

Purchased credit deteriorated loans
LTV <= 80% (1)	$	—	$	—	$	—	$	—	$	—	$	373,572	$	373,572
LTV > 80% (1)	—		—		—		—		—		65,341		65,341
Total Purchased credit deteriorated loans	$	—	$	—	$	—	$	—	$	—	$	438,913	$	438,913
Nine Months Ended September 30, 2023 Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	524	$	524

Total LTV <= 80% (1)	$	—	$	—	$	57,645	$	197,511	$	536,827	$	720,221	$	1,512,204
Total LTV > 80% (1)	—		—		1,396		11,470		8,261		72,873		94,000
Total residential whole loans, at carrying value	$	—	$	—	$	59,041	$	208,981	$	545,088	$	793,094	$	1,606,204
Nine Months Ended September 30, 2023 Total Gross write-offs	$	—	$	—	$	14	$	189	$	3,609	$	2,273	$	6,085

(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 $423.6 million at September 30, 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 September 30, 2023. Certain low value loans secured by vacant lots are categorized as LTV > 80%.


	September 30, 2023
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Purchased Performing Loans
Non-QM loans	$	84,584	$	86,761	66.9	%
Transitional loans	86,451		90,785		65.0	%
Single-family rental loans	55,313		63,642		73.3	%
Seasoned performing loans	3,437		3,464		29.9	%
Agency eligible investor loans	187		228		73.4	%
Total Purchased Performing Loans	$	229,972	$	244,880

Purchased Credit Deteriorated Loans	$	69,849	$	86,830	64.1	%

Purchased Non-Performing Loans	$	238,545	$	253,510	70.8	%

Total Residential Whole Loans	$	538,366	$	585,220


	December 31, 2022
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Purchased Performing Loans
Non-QM loans	$	61,812	$	61,719	67.9	%
Transitional loans	73,266		74,180		68.1	%
Single-family rental loans	27,466		27,463		72.9	%
Seasoned performing loans	4,127		4,399		42.2	%
Agency eligible investor loans	—		—		—	%
Total Purchased Performing Loans	$	166,671	$	167,761

Purchased Credit Deteriorated Loans	$	69,402	$	87,488	74.8	%

Purchased Non-Performing Loans	$	296,697	$	310,035	76.9	%

Total Residential Whole Loans	$	532,770	$	565,284

(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.


	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)	2023		2022		2023		2022		2023		2022
Purchased Performing Loans:
Non-QM loans	$	12,276	$	13,646	$	39,448	$	27,012	$	51,724	$	40,658
Transitional loans	101		784		40,122		18,558		40,223		19,342
Single-family rental loans	2,739		3,658		21,348		15,340		24,087		18,998
Seasoned performing loans	1,095		1,227		—		—		1,095		1,227
Agency eligible investor loans	—		—		486		7,542		486		7,542
Total Purchased Performing Loans	$	16,211	$	19,315	$	101,404	$	68,452	$	117,615	$	87,767

Purchased Credit Deteriorated Loans	$	7,371	$	7,916	$	—	$	—	$	7,371	$	7,916

Purchased Non-Performing Loans	$	—	$	—	$	15,552	$	18,732	$	15,552	$	18,732

Total Residential Whole Loans	$	23,582	$	27,231	$	116,956	$	87,184	$	140,538	$	114,415


	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)	2023		2022		2023		2022		2023		2022
Purchased Performing Loans:
Non-QM loans	$	36,595	$	39,041	$	104,735	$	69,080	$	141,330	$	108,121
Transitional loans	1,239		5,621		99,832		43,768		101,071		49,389
Single-family rental loans	8,598		12,134		59,945		36,603		68,543		48,737
Seasoned performing loans	3,312		3,392		—		—		3,312		3,392
Agency eligible investor loans	—		—		3,860		22,731		3,860		22,731
Total Purchased Performing Loans	$	49,744	$	60,188	$	268,372	$	172,182	$	318,116	$	232,370

Purchased Credit Deteriorated Loans	$	22,596	$	25,597	$	—	$	—	$	22,596	$	25,597

Purchased Non-Performing Loans	$	—	$	—	$	47,384	$	58,268	$	47,384	$	58,268

Total Residential Whole Loans	$	72,340	$	85,785	$	315,756	$	230,450	$	388,096	$	316,235