Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2022

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, 2022


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	333	2.00% - 14.99%	09/23/2013 - 10/01/2062	$	9,272	$	462
Original loan amount $100,000 - $199,999	333	2.13% - 11.72%	11/22/2024 - 01/01/2062	37,214		405
Original loan amount $200,000 - $299,999	270	1.88% - 7.50%	02/01/2033 - 08/01/2062	49,466		866
Original loan amount over $299,999	390	1.99% - 8.50%	08/01/2027 - 01/01/2061	141,546		648

Second lien loans
Original loan amount $0 - $99,999	187	5.75% - 8.88%	06/01/2024 - 08/01/2062	6,281		450
Original loan amount $100,000 - $199,999	12	6.25% - 8.63%	11/01/2032 - 04/01/2050	1,259		—
Original loan amount $200,000 - $299,999	4	6.75% - 7.75%	03/01/2046 - 01/01/2050	714		—

Business purpose loans
Original loan amount $0 - $99,999	276	4.25% - 13.00%	09/05/2020 - 09/01/2052	45,808		1,853
Original loan amount $100,000 - $199,999	255	4.25% - 13.00%	01/09/2020 - 06/01/2052	50,122		5,023
Original loan amount $200,000 - $299,999	171	5.63% - 12.49%	04/19/2020 - 08/01/2052	50,510		6,240
Original loan amount over $299,999	651	4.00% - 13.00%	07/08/2020 - 09/01/2052	689,192		54,065

Residential loans held in securitization trusts
First lien loans
Original loan amount $0 - $99,999	1,776	1.38% - 14.29%	08/20/2013 - 09/01/2062	86,794		8,923
Original loan amount $100,000 - $199,999	2,236	0.00% - 11.85%	04/01/2023 - 11/01/2062	227,081		20,136
Original loan amount $200,000 - $299,999	1,092	0.00% - 11.90%	07/02/2025 - 10/01/2062	188,444		15,714
Original loan amount over $299,999	1,305	1.88% - 9.75%	12/01/2025 - 07/01/2062	420,189		31,884

Business purpose loans
Original loan amount $0 - $99,999	380	4.00% - 13.00%	03/01/2022 - 07/01/2052	53,978		1,425
Original loan amount $100,000 - $199,999	527	3.75% - 12.25%	09/01/2022 - 09/01/2052	74,963		510
Original loan amount $200,000 - $299,999	281	3.50% - 12.00%	11/01/2021 - 07/01/2052	66,168		1,070


Original loan amount over $299,999	586	3.49% - 12.25%	04/01/2022 - 07/01/2052	498,497		10,307

Consolidated SLST
First lien loans	6,160	1.38% - 10.50%	03/01/2021 - 11/01/2062	827,582		143,176
				$	3,525,080	$	303,157

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


	For the year ended December 31,
(in thousands)	2022		2021		2020
Beginning balance	$	3,575,601	$	3,049,166	$	20,780,548
Cumulative-effect adjustment for implementation of fair value option (1)	—		—		5,812
Additions during period:
Purchases	1,733,265		1,581,979		569,557
Accretion of purchase discount	5,292		4,154		5,265

Change in realized and unrealized gains	(404,524)		44,564		101,957
Deductions during period:
Repayments of principal	(1,362,294)		(1,018,176)		(674,337)
Collection of interest	—		—		—
Transfer to investment securities available for sale (2)	—		—		(237,297)
Transfer to REO	(18,858)		(4,133)		(8,509)
Cost of loans sold (2)	—		(77,127)		(17,478,478)
Provision for loan loss	—		—		—

Amortization of premium	(3,402)		(4,826)		(15,352)
Balance at end of period	$	3,525,080	$	3,575,601	$	3,049,166

(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).