Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2021

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, 2021


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	1,120	0.00% - 14.99%	09/23/2013 - 08/01/2061	$	57,475	$	1,030
Original loan amount $100,000 - $199,999	1,341	2.00% - 11.84%	05/14/2022 - 11/01/2061	173,951		2,001
Original loan amount $200,000 - $299,999	763	0.00% - 10.86%	07/01/2027 - 10/01/2061	170,794		3,378
Original loan amount over $299,999	968	1.88% - 9.13%	08/01/2025 - 05/01/2061	417,639		9,205

Second lien loans
Original loan amount $0 - $99,999	245	5.75% - 8.88%	09/01/2031 - 05/01/2050	10,126		576
Original loan amount $100,000 - $199,999	19	6.25% - 8.63%	11/01/2032 - 04/01/2050	2,291		—
Original loan amount $200,000 - $299,999	6	6.75% - 8.13%	03/01/2046 - 01/01/2050	1,333		—

Business purpose loans
Original loan amount $0 - $99,999	452	4.25% - 13.99%	01/07/2020 - 01/01/2052	56,598		1,818
Original loan amount $100,000 - $199,999	453	3.75% - 13.49%	01/09/2020 - 01/01/2052	80,298		1,437
Original loan amount $200,000 - $299,999	309	3.50% - 12.50%	04/19/2020 - 01/01/2052	87,576		1,755
Original loan amount over $299,999	688	3.50% - 12.00%	05/29/2020 - 01/01/2052	645,209		5,874

Residential loans held in securitization trusts
First lien loans
Original loan amount $0 - $99,999	1,178	1.38% - 12.13%	04/01/2012 - 10/01/2061	64,755		8,968
Original loan amount $100,000 - $199,999	1,390	0.00% - 11.85%	12/01/2021 - 10/01/2061	162,907		19,276
Original loan amount $200,000 - $299,999	619	1.75% - 11.90%	11/01/2023 - 09/01/2061	123,285		16,348
Original loan amount over $299,999	673	1.38% - 9.75%	12/01/2025 - 09/01/2061	241,055		30,946

Business purpose loans
Original loan amount $0 - $99,999	60	7.25% - 13.50%	09/01/2021 - 12/01/2022	6,797		—
Original loan amount $100,000 - $199,999	81	7.50% - 12.99%	09/01/2021 - 07/01/2023	13,680		169
Original loan amount $200,000 - $299,999	73	6.50% - 12.00%	10/01/2021 - 06/01/2023	19,006		200


Original loan amount over $299,999	178	6.50% - 11.00%	09/01/2021 - 10/29/2023	169,944		—

Consolidated SLST
First lien loans	6,802	1.38% - 10.50%	01/01/2022 - 09/01/2061	1,070,882		135,906
				$	3,575,601	$	238,887

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


	For the year ended December 31,
(in thousands)	2021		2020		2019
Beginning balance	$	3,049,166	$	20,780,548	$	12,707,625
Cumulative-effect adjustment for implementation of fair value option (1)	—		5,812		—
Additions during period:
Purchases	1,581,979		569,557		8,762,553
Accretion of purchase discount	4,154		5,265		11,234

Change in realized and unrealized gains	44,564		101,957		638,557
Deductions during period:
Repayments of principal	(1,018,176)		(674,337)		(1,052,812)
Collection of interest	—		—		(11,429)
Transfer to investment securities available for sale (2)	—		(237,297)		—
Transfer to REO	(4,133)		(8,509)		(6,105)
Cost of loans sold (2)	(77,127)		(17,478,478)		(213,871)
Provision for loan loss	—		—		2,780

Amortization of premium	(4,826)		(15,352)		(57,984)
Balance at end of period	$	3,575,601	$	3,049,166	$	20,780,548

(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 7).