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Residential Loans, at Fair Value (Tables)
 3 Months Ended
Mar. 31, 2021
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]  
Schedule of Residential Mortgage Loans At Fair Value
The following table presents the Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts, as of March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

March 31, 2021December 31, 2020
Residential loans(1)
Consolidated SLST (2)
Residential loans held in securitization trusts (3)
Total
Residential loans(1)
Consolidated SLST (2)
Residential loans held in securitization trusts (3)
Total
Principal$1,317,342 $1,203,223 $669,605 $3,190,170 $1,097,528 $1,231,669 $696,543 $3,025,740 
(Discount)/premium(42,722)(152)(40,202)(83,076)(42,259)1,337 (41,506)(82,428)
Unrealized gains42,087 8,437 48,664 99,188 35,661 33,779 36,414 105,854 
Carrying value$1,316,707 $1,211,508 $678,067 $3,206,282 $1,090,930 $1,266,785 $691,451 $3,049,166 
(1)Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of March 31, 2021 and December 31, 2020 (see Note 10).
(2)The Company invests in first loss subordinated securities and certain IOs issued by a Freddie Mac-sponsored residential loan securitization. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitization and the CDOs issued to permanently finance these residential loans, representing Consolidated SLST. Consolidated SLST CDOs are included in collateralized debt obligations on the Company's condensed consolidated balance sheets.
(3)The Company's residential loans held in securitization trusts are pledged as collateral for CDOs issued by the Company. These CDOs are accounted for as financings and included in collateralized debt obligations on the Company's condensed consolidated balance sheets (see Note 11).
Schedule of Components of Net Gain on Residential Mortgage Loans at Fair Value
The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the three months ended March 31, 2021 and 2020, respectively (dollar amounts in thousands):

Three Months Ended
March 31, 2021March 31, 2020
Residential loans
Consolidated SLST (1)
Residential loans held in securitization trustsResidential loans
Consolidated SLST (1)
Residential loans held in securitization trusts
Unrealized gains (losses), net$6,426 $(25,343)$12,251 $(81,680)$(88,100)$(1,730)

(1)The fair value of residential loans held in Consolidated SLST is determined in accordance with the practical expedient in ASC 810, Consolidation ("ASC 810") (see Note 14). See Note 7 for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST.
Schedule of Geographic Concentration of Credit Risk
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of March 31, 2021 and December 31, 2020, respectively, are as follows:

March 31, 2021December 31, 2020
Residential loansConsolidated SLSTResidential loans held in securitization trustsResidential loansConsolidated SLSTResidential loans held in securitization trusts
California24.5 %10.8 %19.6 %23.6 %10.9 %19.8 %
Florida12.8 %10.5 %8.1 %13.1 %10.5 %8.1 %
New York8.7 %9.3 %9.2 %9.2 %9.3 %8.9 %
New Jersey6.2 %7.2 %5.7 %5.6 %7.1 %5.6 %
Texas5.4 %4.0 %4.4 %5.6 %4.0 %4.3 %
Maryland2.7 %3.8 %6.1 %2.8 %3.8 %6.3 %
Illinois2.4 %6.8 %2.5 %2.5 %6.8 %2.7 %
The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of March 31, 2021 and December 31, 2020, respectively, are as follows:
March 31, 2021December 31, 2020
Tennessee15.6 %14.3 %
Texas12.5 %11.4 %
Georgia11.1 %10.1 %
Alabama10.6 %9.7 %
Florida9.3 %8.5 %
South Carolina7.8 %7.2 %
Missouri6.2 %5.7 %
Ohio5.6 %5.2 %
North Carolina5.3 %4.9 %
Schedule of Residential Mortgage Loans, Fair Value Compared to Unpaid Principal
The following table presents the fair value and aggregate unpaid principal balance of the Company's residential loans and residential loans held in securitization trusts in non-accrual status as of March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

Greater than 90 days past dueLess than 90 days past due
Fair ValueUnpaid Principal BalanceFair ValueUnpaid Principal Balance
March 31, 2021$144,992 $166,159 $14,828 $16,142 
December 31, 2020149,444 169,553 16,057 17,748