Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2020

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Schedule IV - Mortgage Loans on Real Estate

(dollar amounts in thousands)

December 31, 2020


Asset Type	Number of Loans	Interest Rate	Maturity Date	Carrying Value		Principal Amount of Loans Subject to Delinquent Principal or Interest
Residential loans
First lien loans
Original loan amount $0 - $99,999	1,335	1.38% - 14.99%	04/01/2012 - 09/01/2060	$	66,968	$	6,285
Original loan amount $100,000 - $199,999	1,323	2.00% - 11.84%	07/01/2018 - 11/01/2060	163,575		13,176
Original loan amount $200,000 - $299,999	616	0.00% - 11.38%	08/01/2022 - 10/01/2060	134,048		12,380
Original loan amount over $299,999	753	1.88% - 9.63%	08/01/2025 - 10/01/2060	326,591		25,432

Second lien loans
Original loan amount $0 - $99,999	421	5.75% - 9.00%	12/01/2030 - 05/01/2050	18,222		579
Original loan amount $100,000 - $199,999	50	6.25% - 9.13%	11/01/2032 - 04/01/2050	6,212		—
Original loan amount $200,000 - $299,999	18	6.25% - 8.63%	03/01/2046 - 01/01/2050	3,953		—

Business purpose loans
Original loan amount $0 - $99,999	176	7.75% - 15.00%	01/07/2020 - 10/01/2022	20,610		160
Original loan amount $100,000 - $199,999	290	7.85% - 14.50%	01/09/2020 - 07/01/2023	53,684		1,218
Original loan amount $200,000 - $299,999	175	7.85% - 12.50%	03/01/2020 - 01/01/2023	46,937		2,187
Original loan amount over $299,999	339	7.00% - 12.99%	03/01/2020 - 01/01/2023	250,130		4,615

Residential loans held in securitization trusts
First lien loans
Original loan amount $0 - $99,999	1,204	1.63% - 13.33%	01/08/2015 - 10/01/2060	64,247		8,744
Original loan amount $100,000 - $199,999	1,591	1.88% - 12.80%	03/01/2021 - 10/01/2060	181,487		21,816
Original loan amount $200,000 - $299,999	782	1.75% - 11.44%	11/01/2023 - 08/01/2060	150,240		20,409
Original loan amount over $299,999	832	1.38% - 9.79%	04/01/2023 - 10/01/2060	295,477		52,553

Consolidated SLST
First lien loans	7,645	1.38% - 10.50%	03/01/2021 - 10/01/2059	1,266,785		236,739
				$	3,049,166	$	406,293

Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate


	For the year ended December 31,
(in thousands)	2020		2019		2018
Beginning balance	$	20,780,548	$	12,707,625	$	10,157,126
Cumulative-effect adjustment for implementation of fair value option (1)	5,812		—		—
Additions during period:
Purchases	569,557		8,762,553		2,983,295
Accretion of purchase discount	5,265		11,234		19,940
Consolidation of mezzanine loans due to business combination	—		—		—
Change in realized and unrealized gains	101,957		638,557		4,096
Deductions during period:
Repayments of principal	(674,337)		(1,052,812)		(182,163)
Collection of interest	—		(11,429)		(21,754)
Transfer to investment securities available for sale (2)	(237,297)		—		—
Transfer to REO	(8,509)		(6,105)		(7,998)
Cost of loans sold (2)	(17,478,478)		(213,871)		(109,000)
Provision for loan loss	—		2,780		(1,235)
Change in realized and unrealized losses	—		—		(85,115)
Amortization of premium	(15,352)		(57,984)		(49,567)
Balance at end of period	$	3,049,166	$	20,780,548	$	12,707,625

(1)As of January 1, 2020, the Company has elected to account for all residential loans using the fair value option (see Note 2).

(2)During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the multi-family loans held in the Consolidated K-Series and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 4).