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Residential Whole Loans | 3 Months Ended
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Mar. 31, 2024
Receivables [Abstract] |
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at March 31, 2024 and December 31, 2023 are approximately $9.1 billion and $9.0 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. The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2024 and December 31, 2023:
|  | Held at Carrying Value |  | Held at Fair Value |  | Total
(Dollars in Thousands) |  | March 31, 2024 |  | December 31, 2023 |  | March 31, 2024 |  | December 31, 2023 |  | March 31, 2024 |  | December 31, 2023
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 816,617 |  |  | $ | 843,884 |  |  | $ | 3,021,769 |  |  | $ | 2,961,693 |  |  | $ | 3,838,386 |  |  | $ | 3,805,577 |
Transitional loans (1) |  | 29,098 |  |  | 35,467 |  |  | 2,465,674 |  |  | 2,326,029 |  |  | 2,494,772 |  |  | 2,361,496 |
Single-family rental loans (2) |  | 148,943 |  |  | 172,213 |  |  | 1,430,021 |  |  | 1,462,583 |  |  | 1,578,964 |  |  | 1,634,796 |
Seasoned performing loans |  | 66,065 |  |  | 68,945 |  |  | — |  |  | — |  |  | 66,065 |  |  | 68,945 |
Agency eligible investor loans |  | — |  |  | — |  |  | 54,654 |  |  | 55,779 |  |  | 54,654 |  |  | 55,779 |
Total Purchased Performing Loans |  | $ | 1,060,723 |  |  | $ | 1,120,509 |  |  | $ | 6,972,118 |  |  | $ | 6,806,084 |  |  | $ | 8,032,841 |  |  | $ | 7,926,593 |
Purchased Credit Deteriorated Loans |  | $ | 423,647 |  |  | $ | 429,726 |  |  | $ | — |  |  | $ | — |  |  | $ | 423,647 |  |  | $ | 429,726 |
Allowance for Credit Losses |  | $ | (19,612) |  |  | $ | (20,451) |  |  | $ | — |  |  | $ | — |  |  | $ | (19,612) |  |  | $ | (20,451) |
Purchased Non-Performing Loans |  | $ | — |  |  | $ | — |  |  | $ | 681,789 |  |  | $ | 705,424 |  |  | $ | 681,789 |  |  | $ | 705,424 |
Total Residential Whole Loans |  | $ | 1,464,758 |  |  | $ | 1,529,784 |  |  | $ | 7,653,907 |  |  | $ | 7,511,508 |  |  | $ | 9,118,665 |  |  | $ | 9,041,292 |
Number of loans |  | 6,148 |  |  | 6,326 |  |  | 19,561 |  |  | 19,075 |  |  | 25,709 |  |  | 25,401 |
(1)As of March 31, 2024, includes $1.3 billion of loans collateralized by one-to-four family residential properties, including $506.5 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, 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. (2) As of March 31, 2024, no loans were held-for-sale and as of December 31, 2023, $13.6 million of held-for sale loans were included in the carrying value. For the three months ended March 31, 2024, the Company recorded a $0.5 million gain on these loans resulting from their sale. The following table presents additional information regarding the Company’s Residential whole loans at March 31, 2024 and December 31, 2023: March 31, 2024
|  | 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 |  | $ | 3,836,705 |  |  | $ | 4,059,991 |  |  | 6.02 | % |  | 342 |  | 65 | % |  | 734 |  | $ | 3,814,533 |  |  | $ | 115,484 |  |  | $ | 41,428 |  |  | $ | 88,546 |  |  | 3.2 | %
Transitional loans (1) |  | 2,493,073 |  |  | 2,502,067 |  |  | 9.45 |  |  | 9 |  | 64 |  |  | 747 |  | 2,306,508 |  |  | 44,621 |  |  | 18,459 |  |  | 132,479 |  |  | 6.0 |
Single-family rental loans |  | 1,574,322 |  |  | 1,665,788 |  |  | 6.52 |  |  | 331 |  | 69 |  |  | 738 |  | 1,571,772 |  |  | 17,395 |  |  | 6,452 |  |  | 70,169 |  |  | 4.6 |
Seasoned performing loans |  | 66,045 |  |  | 72,658 |  |  | 4.77 |  |  | 140 |  | 28 |  |  | 725 |  | 70,016 |  |  | 1,271 |  |  | 43 |  |  | 1,328 |  |  | 1.9 |
Agency eligible investor loans |  | 54,654 |  |  | 66,297 |  |  | 3.44 |  |  | 329 |  | 66 |  |  | 757 |  | 65,064 |  |  | 523 |  |  | 223 |  |  | 487 |  |  | 1.1 |
Total Purchased Performing Loans |  | 8,024,799 |  |  | $ | 8,366,801 |  |  | 7.11 | % |  | 238 |  |  |  |  |  |  |  |  |  |  |  |  |  | 4.3 | %
Purchased Credit Deteriorated Loans |  | $ | 412,077 |  |  | $ | 499,761 |  |  | 4.85 | % |  | 265 |  | 58 | % |  | N/A |  | $ | 373,341 |  |  | $ | 46,972 |  |  | $ | 16,784 |  |  | $ | 62,664 |  |  | 15.9 | %
Purchased Non-Performing Loans |  | $ | 681,789 |  |  | $ | 753,035 |  |  | 5.24 | % |  | 268 |  | 60 | % |  | N/A |  | $ | 437,507 |  |  | $ | 90,223 |  |  | $ | 31,434 |  |  | $ | 193,871 |  |  | 29.9 | %
Residential whole loans, total or weighted average |  | $ | 9,118,665 |  |  | $ | 9,619,597 |  |  | 6.21 | % |  | 227 |  |  |  |  |  |  |  |  |  |  |  |  |  | 6.9 | %
December 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 (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 | %
(1) As of March 31, 2024, Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 12 months and a weighted average LTV ratio of 63%. 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%. (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 $608.9 million and $551.3 million at March 31, 2024 and December 31, 2023, 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 67% and 68% at March 31, 2024 and December 31, 2023, 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. (5)Excluded from the table above are approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2023. During the three months ended March 31, 2024, Non-QM and Single-Family Rental loans with an unpaid principal balance of $171.0 million were sold, realizing losses, before the impact of economic hedging gains and the reversal of previously recognized unrealized losses, of $21.7 million. Upon sale, the Company reversed $23.7 million of previously recognized unrealized losses, resulting in a net gain of $2.0 million during the quarter. No Residential whole loans were sold during the three months ended March 31, 2023. Allowance for Credit Losses 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, 2024
(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, 2023 |  | $ | 1,870 |  |  | $ | 2,588 |  |  | $ | 4,355 |  |  | $ | 21 |  |  | $ | 11,617 |  |  | $ | 20,451 |
Current provision/(reversal) |  | (189) |  |  | (473) |  |  | 228 |  |  | (1) |  |  | (25) |  |  | (460) |
Write-offs |  | — |  |  | (416) |  |  | 59 |  |  | — |  |  | (22) |  |  | (379) |
Allowance for credit losses March 31, 2024 |  | $ | 1,681 |  |  | $ | 1,699 |  |  | $ | 4,642 |  |  | $ | 20 |  |  | $ | 11,570 |  |  | $ | 19,612 |
|  | 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/(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 |
(1)In connection with Transitional loans at carrying value, the Company had unfunded commitments of $2.0 million and $6.8 million as of March 31, 2024 and 2023, respectively, with an allowance for credit losses of $0 and $16,000 at March 31, 2024 and 2023, respectively. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 7). (2)Includes $21.9 million and $46.4 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2024 and 2023, respectively. (3)Includes $50.5 million and $62.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2024 and 2023, respectively. (4)Includes $10.6 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2024. 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 March 31, 2024 and December 31, 2023 was $317.3 million and $266.9 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2024 and December 31, 2023 was $61.2 million and $66.5 million, respectively. The fair value of Purchased Non-performing Loans on nonaccrual status as of March 31, 2024 and December 31, 2023 was $298.6 million and $315.4 million, respectively. During the three months ended March 31, 2024, the Company recognized $3.3 million of interest income on loans on nonaccrual status, including $2.2 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2024 and December 31, 2023, there were approximately $51.0 million and $51.6 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 March 31, 2024, 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 twenty-nine months. As of March 31, 2024, the carrying value of this loan was approximately $0.1 million. As of March 31, 2024, this loan was not greater than 90 days delinquent. During the past 12 months, the Company has granted five loan modifications in its carrying value loan portfolio which gave borrowers term extensions. The average increase in weighted average life was twenty-four months. As of March 31, 2024, the carrying value of these loans was approximately $0.6 million, and one of these modifications was delinquent for more than 90 days. 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) |  | 2024 |  | 2023 |  | 2022 |  | 2021 |  | 2020 |  | Prior |  | Total
Non-QM loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 42,349 |  |  | $ | 164,663 |  |  | $ | 591,730 |  |  | $ | 798,742 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | 1,386 |  |  | 10,169 |  |  | 6,320 |  |  | 17,875 |
Total Non-QM loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 43,735 |  |  | $ | 174,832 |  |  | $ | 598,050 |  |  | $ | 816,617 |
Three Months Ended March 31, 2024 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Transitional loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 156 |  |  | $ | 3,915 |  |  | $ | 25,027 |  |  | $ | 29,098 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total Transitional loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 156 |  |  | $ | 3,915 |  |  | $ | 25,027 |  |  | $ | 29,098 |
Three Months Ended March 31, 2024 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 416 |  |  | $ | 416 |
Single-family rental loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 7,861 |  |  | $ | 18,648 |  |  | $ | 109,439 |  |  | $ | 135,948 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | 408 |  |  | 12,587 |  |  | 12,995 |
Total Single family rental loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 7,861 |  |  | $ | 19,056 |  |  | $ | 122,026 |  |  | $ | 148,943 |
Three Months Ended March 31, 2024 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (59) |  |  | $ | — |  |  | $ | (59) |
Seasoned performing loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 63,739 |  |  | $ | 63,739 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 2,326 |  |  | 2,326 |
Total Seasoned performing loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 66,065 |  |  | $ | 66,065 |
Three Months Ended March 31, 2024 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Purchased credit deteriorated loans |  |  |  |  |  |  |  |  |  |  |  |  |  |
LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 364,008 |  |  | $ | 364,008 |
LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 59,639 |  |  | 59,639 |
Total Purchased credit deteriorated loans |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 423,647 |  |  | $ | 423,647 |
Three Months Ended March 31, 2024 Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 22 |  |  | $ | 22 |
Total LTV <= 80% (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 50,366 |  |  | $ | 187,226 |  |  | $ | 1,153,943 |  |  | $ | 1,391,535 |
Total LTV > 80% (1) |  | — |  |  | — |  |  | — |  |  | 1,386 |  |  | 10,577 |  |  | 80,872 |  |  | 92,835 |
Total residential whole loans, at carrying value |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 51,752 |  |  | $ | 197,803 |  |  | $ | 1,234,815 |  |  | $ | 1,484,370 |
Three Months Ended March 31, 2024 Total Gross write-offs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (59) |  |  | $ | 438 |  |  | $ | 379 |
(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 $608.9 million at March 31, 2024, 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 67% at March 31, 2024. 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, 2024
(Dollars In Thousands) |  | Carrying Value / Fair Value |  | UPB |  | LTV (1)
Purchased Performing Loans |  |  |  |  |  |
Non-QM loans |  | $ | 126,310 |  |  | $ | 129,974 |  |  | 65.2 | %
Transitional loans |  | 142,423 |  |  | 150,938 |  |  | 65.9 | %
Single-family rental loans |  | 63,173 |  |  | 76,621 |  |  | 111.0 | %
Seasoned performing loans |  | 1,373 |  |  | 1,371 |  |  | 24.6 | %
Agency eligible investor loans |  | 582 |  |  | 710 |  |  | 71.7 | %
Total Purchased Performing Loans |  | $ | 333,861 |  |  | $ | 359,614 |  |  |
Purchased Credit Deteriorated Loans |  | $ | 63,432 |  |  | $ | 79,448 |  |  | 64.3 | %
Purchased Non-Performing Loans |  | $ | 212,437 |  |  | $ | 225,305 |  |  | 69.6 | %
Total Residential Whole Loans |  | $ | 609,730 |  |  | $ | 664,367 |  |  |
|  | 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 |  |  |
(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. The following tables present the components of interest income on the Company’s Residential whole loans for the three months ended March 31, 2024 and 2023:
|  | 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) |  | 2024 |  | 2023 |  | 2024 |  | 2023 |  | 2024 |  | 2023
Purchased Performing Loans: |  |  |  |  |  |  |  |  |  |  |  |
Non-QM loans |  | $ | 11,420 |  |  | $ | 12,674 |  |  | $ | 44,441 |  |  | $ | 31,415 |  |  | $ | 55,861 |  |  | $ | 44,089 |
Transitional loans |  | 241 |  |  | 620 |  |  | 52,975 |  |  | 27,607 |  |  | 53,216 |  |  | 28,227 |
Single-family rental loans |  | 2,561 |  |  | 2,977 |  |  | 24,541 |  |  | 18,336 |  |  | 27,102 |  |  | 21,313 |
Seasoned performing loans |  | 1,124 |  |  | 1,090 |  |  | — |  |  | — |  |  | 1,124 |  |  | 1,090 |
Agency eligible investor loans |  | — |  |  | — |  |  | 517 |  |  | 2,857 |  |  | 517 |  |  | 2,857 |
Total Purchased Performing Loans |  | $ | 15,346 |  |  | $ | 17,361 |  |  | $ | 122,474 |  |  | $ | 80,215 |  |  | $ | 137,820 |  |  | $ | 97,576 |
Purchased Credit Deteriorated Loans |  | $ | 6,355 |  |  | $ | 7,138 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,355 |  |  | $ | 7,138 |
Purchased Non-Performing Loans |  | $ | — |  |  | $ | — |  |  | $ | 13,490 |  |  | $ | 14,796 |  |  | $ | 13,490 |  |  | $ | 14,796 |
Total Residential Whole Loans |  | $ | 21,701 |  |  | $ | 24,499 |  |  | $ | 135,964 |  |  | $ | 95,011 |  |  | $ | 157,665 |  |  | $ | 119,510 |

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- Definition The entire disclosure for claims held for amounts due a entity, excluding financing receivables. Examples include, but are not limited to, trade accounts receivables, notes receivables, loans receivables. Includes disclosure for allowance for credit losses. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 310 -SubTopic 10 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//310-10/tableOfContent + Details
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