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.


	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.


	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	%


	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%.

(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.

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.


	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

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.


	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%.


	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.


	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