Included on the Company’s consolidated balance sheets at December 31, 2023 and 2022 are approximately $9.0 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)	December 31, 2023		December 31, 2022		December 31, 2023		December 31, 2022		December 31, 2023		December 31, 2022
Purchased Performing Loans:
Non-QM loans	$	843,884	$	987,282	$	2,961,693	$	2,372,548	$	3,805,577	$	3,359,830
Transitional loans (1)	35,467		75,188		2,326,029		1,342,032		2,361,496		1,417,220
Single-family rental loans (2)	172,213		210,833		1,462,583		1,165,741		1,634,796		1,376,574
Seasoned performing loans	68,945		82,932		—		—		68,945		82,932
Agency eligible investor loans	—		—		55,779		51,094		55,779		51,094
Total Purchased Performing Loans	$	1,120,509	$	1,356,235	$	6,806,084	$	4,931,415	$	7,926,593	$	6,287,650

Purchased Credit Deteriorated Loans	$	429,726	$	470,294	$	—	$	—	$	429,726	$	470,294

Allowance for Credit Losses	$	(20,451)	$	(35,314)	$	—	$	—	$	(20,451)	$	(35,314)

Purchased Non-Performing Loans	$	—	$	—	$	705,424	$	796,109	$	705,424	$	796,109

Total Residential Whole Loans	$	1,529,784	$	1,791,215	$	7,511,508	$	5,727,524	$	9,041,292	$	7,518,739

Number of loans	6,326		7,126		19,075		16,717		25,401		23,843

(1) As of December 31, 2023 includes $1.2 billion of loans collateralized by one-to-four family residential properties, including $471.1 million of loans collateralized by new construction projects at origination, and $1.2 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 (5)	$	3,700,052	$	3,934,798	5.78	%	344	65	%	735	$	3,732,327	$	98,017	$	29,587	$	74,867	2.7	%
Transitional loans (1)	2,358,909		2,368,121		9.22		10	64		747	2,187,161		61,024		26,618		93,318		5.1
Single-family rental loans	1,630,442		1,729,923		6.30		320	70		738	1,636,810		12,543		12,314		68,256		4.7
Seasoned performing loans	68,924		75,715		4.58		143	28		725	72,126		1,045		235		2,309		3.4
Agency eligible investor loans	55,779		66,830		3.44		332	66		758	65,094		1,508		—		228		0.3
Total Purchased Performing Loans	$	7,814,106	$	8,175,387	6.86	%	240												3.8	%

Purchased Credit Deteriorated Loans	$	418,109	$	506,828	4.83	%	267	59	%	N/A	$	379,970	$	44,731	$	12,814	$	69,313	16.2	%

Purchased Non-Performing Loans	$	705,424	$	772,737	5.21	%	270	62	%	N/A	$	444,491	$	96,464	$	31,560	$	200,222	30.0	%

Residential whole loans, total or weighted average	$	8,937,639	$	9,454,952	6.04	%	234												6.6	%


	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 December 31, 2023 Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 14 months and a weighted average LTV ratio of 63%. 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%.

(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 $551.3 million and $223.2 million at December 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 68% and 70% at December 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.

During 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, during 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. During 2023, Non-QM loans with an unpaid principal balance of $101.2 million were sold, realizing losses, before the impact of economic hedging gains and the reversal of previously recognized unrealized losses, of $26.4 million.


	For the Year Ended December 31, 2023
(Dollars In Thousands)	Non-QM Loans		Transitional Loans (1)(2)		Single-family Rental Loans (4)		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
Current provision/(reversal)	(2,208)		230		3,123		(7)		(8,975)		(7,838)
Write-offs	—		(161)		(99)		—		(9)		(269)
Allowance for credit losses at December 31, 2023	$	1,871	$	2,587	$	4,354	$	21	$	11,617	$	20,451


	For the Year Ended December 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 and valuation 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
Current provision/(reversal)	471		(13)		(37)		(1)		(1,996)		(1,576)
Write-offs	—		(294)		—		—		(8)		(302)
Allowance for credit losses at December 31, 2022	$	7,359	$	5,223	$	1,277	$	48	$	21,407	$	35,314

Prior to December 31, 2023, the Company’s estimates of expected losses that form the basis of the Allowance for Credit Losses included certain qualitative adjustments which had 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 included 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 may experience higher delinquencies and defaults compared to the performance in historical periods of portfolios included in the available proxy data. During 2023, the Company eliminated its qualitative adjustment and made updates to certain of its modeling assumptions which, in addition to a reduction in loan balances subject to allowances, caused a reduction in the overall allowance. 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 December 31, 2023 and December 31, 2022 was $266.9 million and $195.1 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of December 31, 2023 and December 31, 2022 was $66.5 million and $80.5 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of December 31, 2023 and December 31, 2022 was $315.4 million and $413.1 million, respectively. During the year ended December 31, 2023, the Company recognized $14.9 million of interest income on loans on nonaccrual status, including $9.8 million on its portfolio of loans which were non-performing at acquisition. At December 31, 2023 and December 31, 2022, there were approximately $51.6 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 year ended December 31, 2023, the Company granted four loan modifications in its carrying value loan portfolio which gave borrowers term extensions. The average increase in weighted average life was 23 months. As of December 31, 2023, the carrying value of these loans were approximately $563,000. As of December 31, 2023, one of these modifications was delinquent for more than 90 days and three were 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)	$	—	$	—	$	43,610	$	167,368	$	395,894	$	217,863	$	824,735
LTV > 80% (1)	—		—		1,391		10,420		3,960		3,377		19,148
Total Non-QM loans	$	—	$	—	$	45,001	$	177,788	$	399,854	$	221,240	$	843,883
Year Ended December 31, 2023 Gross write-offs	$	—	$	—	$	—	$	71	$	25	$	110	$	206



Transitional loans
LTV <= 80% (1)	$	—	$	—	$	504	$	3,915	$	21,086	$	7,782	$	33,287
LTV > 80% (1)	—		—		—		—		2,180		—		2,180
Total Transitional loans	$	—	$	—	$	504	$	3,915	$	23,266	$	7,782	$	35,467
Year Ended December 31, 2023 Gross write-offs	$	—	$	—	$	14	$	47	$	3,130	$	1,639	$	4,830



Single-family rental loans
LTV <= 80% (1)	$	—	$	—	$	11,234	$	20,043	$	91,040	$	36,530	$	158,847
LTV > 80% (1)	—		—		—		296		12,343		727		13,366
Total Single-family rental loans	$	—	$	—	$	11,234	$	20,339	$	103,383	$	37,257	$	172,213
Year Ended December 31, 2023 Gross write-offs	$	—	$	—	$	—	$	160	$	624	$	—	$	784



Seasoned performing loans
LTV <= 80% (1)	$	—	$	—	$	—	$	—	$	—	$	66,563	$	66,563
LTV > 80% (1)	—		—		—		—		—		2,382		2,382
Total Seasoned performing loans	$	—	$	—	$	—	$	—	$	—	$	68,945	$	68,945
Year Ended December 31, 2023 Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	—	$	—



Purchased credit deteriorated loans
LTV <= 80% (1)	$	—	$	—	$	—	$	—	$	—	$	367,748	$	367,748
LTV > 80% (1)	—		—		—		—		—		61,978		61,978
Total Purchased credit deteriorated loans	$	—	$	—	$	—	$	—	$	—	$	429,726	$	429,726
Year Ended December 31, 2023 Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	534	$	534



Total LTV <= 80% (1)	$	—	$	—	$	55,348	$	191,326	$	508,020	$	696,486	$	1,451,180
Total LTV > 80% (1)	—		—		1,391		10,716		18,483		68,464		99,054
Total residential whole loans, at carrying value	$	—	$	—	$	56,739	$	202,042	$	526,503	$	764,950	$	1,550,234
Year Ended December 31, 2023 Total Gross write-offs	$	—	$	—	$	14	$	278	$	3,779	$	2,283	$	6,354

(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 $551.3 million at December 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 68% at December 31, 2023. Certain low value loans secured by vacant lots are categorized as LTV > 80%.


	December 31, 2023
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Purchased Performing Loans
Non-QM loans	$	102,252	$	104,454	63.9	%
Transitional loans	113,772		119,936		65.1	%
Single-family rental loans	65,659		80,570		109.1	%
Seasoned performing loans	2,520		2,544		33.6	%
Agency eligible investor loans	188		228		73.4	%
Total Purchased Performing Loans	$	284,391	$	307,732

Purchased Credit Deteriorated Loans	$	66,089	$	82,127	64.3	%

Purchased Non-Performing Loans	$	222,319	$	231,782	70.7	%

Total Residential Whole Loans	$	572,799	$	621,641


	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
	For the Year Ended December 31,						For the Year Ended December 31,						For the Year Ended December 31,
(In Thousands)	2023		2022		2021		2023		2022		2021		2023		2022		2021
Purchased Performing Loans:
Non-QM loans	$	47,471	$	51,359	$	75,517	$	145,856	$	98,384	$	21,431	$	193,327	$	149,743	$	96,948
Transitional loans	1,346		7,810		22,424		148,083		67,714		10,705		149,429		75,524		33,129
Single-family rental loans	11,167		15,314		24,863		82,974		53,661		9,306		94,141		68,975		34,169
Seasoned performing loans	4,504		4,673		6,684		—		—		—		4,504		4,673		6,684
Agency eligible investor loans	—		—		—		4,372		30,361		11,667		4,372		30,361		11,667
Total Purchased Performing Loans	$	64,488	$	79,156	$	129,488	$	381,285	$	250,120	$	53,109	$	445,773	$	329,276	$	182,597

Purchased Credit Deteriorated Loans	$	29,646	$	33,427	$	40,130	$	—	$	—	$	—	$	29,646	$	33,427	$	40,130

Purchased Non-Performing Loans	$	—	$	—	$	—	$	62,464	$	78,520	$	80,741	$	62,464	$	78,520	$	80,741

Total Residential Whole Loans	$	94,134	$	112,583	$	169,618	$	443,749	$	328,640	$	133,850	$	537,883	$	441,223	$	303,468