Residential Loans, at Fair Value

3 Months Ended

Mar. 31, 2022

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

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 its 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 March 31, 2022 and December 31, 2021, respectively (dollar amounts in thousands):


	March 31, 2022								December 31, 2021
	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	$	1,750,555	$	1,037,648	$	1,246,266	$	4,034,469	$	1,682,138	$	1,071,228	$	776,438	$	3,529,804
(Discount)/premium	(25,427)		(3,802)		(51,932)		(81,161)		(44,256)		(2,998)		(37,011)		(84,265)
Unrealized (losses) gains	(3,910)		(63,993)		68,022		119		65,408		2,652		62,002		130,062
Carrying value	$	1,721,218	$	969,853	$	1,262,356	$	3,953,427	$	1,703,290	$	1,070,882	$	801,429	$	3,575,601

(1)Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of March 31, 2022 and December 31, 2021 (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 (see Note 11).

(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 months ended March 31, 2022 and 2021, respectively (dollar amounts in thousands):


	For the Three Months Ended
	March 31, 2022						March 31, 2021
	Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts		Residential loans		Consolidated SLST (1)		Residential loans held in securitization trusts
Unrealized (losses) gains, net	$	(25,524)	$	(66,645)	$	(37,774)	$	6,426	$	(25,343)	$	12,251

(1)In accordance with the practical expedient in 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 $3.9 million and $3.3 million of net realized gains on the payoff of residential loans, at fair value during the three months ended March 31, 2022 and 2021, respectively. The Company recognized $0.2 million of net realized gains on the sale of residential loans, at fair value for the three months ended March 31, 2021.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of March 31, 2022 and December 31, 2021, respectively, are as follows:


	March 31, 2022						December 31, 2021
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans		Consolidated SLST		Residential loans held in securitization trusts
California	21.4	%	10.4	%	21.9	%	21.7	%	10.5	%	22.0	%
New York	10.2	%	9.8	%	7.4	%	8.8	%	9.8	%	9.2	%
Florida	9.3	%	10.4	%	10.0	%	10.4	%	10.5	%	8.9	%
Texas	7.8	%	4.0	%	5.6	%	7.4	%	4.0	%	4.3	%
New Jersey	7.0	%	7.4	%	4.7	%	5.9	%	7.3	%	6.4	%
Massachusetts	5.4	%	2.7	%	7.5	%	4.6	%	2.7	%	5.6	%
Illinois	3.2	%	7.2	%	2.2	%	2.7	%	7.1	%	2.3	%

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, 2022 and December 31, 2021, respectively (dollar amounts in thousands):


	Greater than 90 days past due				Less than 90 days past due
	Fair Value		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance
March 31, 2022	$	105,776	$	115,668	$	12,334	$	12,526
December 31, 2021	92,990		102,981		17,102		17,716

Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $140.6 million and $135.9 million were 90 days or more delinquent as of March 31, 2022 and December 31, 2021, respectively.