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Residential Loans, at Fair Value
 9 Months Ended
Sep. 30, 2021
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]  
Residential Loans, at Fair Value Residential Loans, at Fair Value
The Company’s acquired residential loans, including performing, re-performing and non-performing residential loans, and business purpose loans, are presented at fair value on the Company's condensed consolidated balance sheets as a result of a fair value election. Subsequent changes in fair value are reported in current period earnings and presented in unrealized gains (losses), net on the Company’s condensed consolidated statements of operations.
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 September 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
September 30, 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$1,307,557 $1,118,001 $792,466 $3,218,024 $1,097,528 $1,231,669 $696,543 $3,025,740 
(Discount)/premium(43,303)(2,190)(36,644)(82,137)(42,259)1,337 (41,506)(82,428)
Unrealized gains60,965 21,194 55,761 137,920 35,661 33,779 36,414 105,854 
Carrying value$1,325,219 $1,137,005 $811,583 $3,273,807 $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 September 30, 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).

The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the three and nine months ended September 30, 2021 and 2020, respectively (dollar amounts in thousands):

Three Months Ended
September 30, 2021September 30, 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$8,280 $6,287 $11,794 $25,583 $41,063 $10,143 

Nine Months Ended
September 30, 2021September 30, 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$15,715 $(12,585)$28,936 $(17,899)$28,014 $8,418 
(1)In accordance with the practical expedient in ASC 810, Consolidation ("ASC 810") the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of the CDOs issued by Consolidated SLST, including investment securities we own, as the fair value of these instruments is more observable (see Note 14). See Note 7 for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST, which include unrealized gains (losses) on the residential loans held in Consolidated SLST presented in the table above and unrealized gains (losses) on the CDOs issued by Consolidated SLST.

The Company recognized $0.9 million and $1.4 million of net realized gains on the sale of residential loans, at fair value for the three and nine months ended September 30, 2021. The Company recognized $18.2 million of net realized losses on the sale of residential loans, at fair value during the nine months ended September 30, 2020. The Company also recognized $5.5 million and $13.7 million of net realized gains on the payoff of residential loans, at fair value for the three and nine months ended September 30, 2021. The Company recognized $2.4 million and $6.5 million of net realized gains on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2020, respectively.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2021 and December 31, 2020, respectively, are as follows:

September 30, 2021December 31, 2020
Residential loansConsolidated SLSTResidential loans held in securitization trustsResidential loansConsolidated SLSTResidential loans held in securitization trusts
California22.3 %10.8 %23.0 %23.6 %10.9 %19.8 %
Florida10.9 %10.6 %10.0 %13.1 %10.5 %8.1 %
New York8.2 %9.5 %9.1 %9.2 %9.3 %8.9 %
New Jersey6.4 %7.2 %6.1 %5.6 %7.1 %5.6 %
Texas6.5 %3.9 %4.3 %5.6 %4.0 %4.3 %
Illinois3.1 %6.9 %2.2 %2.5 %6.8 %2.7 %

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 September 30, 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
September 30, 2021$102,688 $115,169 $16,969 $17,241 
December 31, 2020149,444 169,553 16,057 17,748 
Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $147.8 million and $236.7 million were 90 days or more delinquent as of September 30, 2021 and December 31, 2020, respectively.