Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2023

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, 2023


Asset Type	Number of Loans	Interest Rate	Maturity Date	Carrying Value (1)		Principal Amount of Loans Subject to Delinquent Principal or Interest (2)
Residential loans
First lien loans
Original loan amount $0 - $99,999	302	2.00% - 14.99%	09/23/2013 - 09/01/2063	$	8,348	$	387
Original loan amount $100,000 - $199,999	309	2.13% - 11.72%	11/22/2024 - 09/01/2063	34,929		347
Original loan amount $200,000 - $299,999	281	1.88% - 7.63%	02/01/2033 - 11/01/2063	53,418		1,276
Original loan amount over $299,999	402	1.99% - 9.38%	08/01/2027 - 08/01/2063	148,642		1,367

Second lien loans
Original loan amount $0 - $99,999	168	0.00% - 8.88%	06/01/2024 - 08/01/2062	5,546		474
Original loan amount $100,000 - $199,999	9	6.25% - 8.63%	11/01/2032 - 03/01/2050	947		—
Original loan amount $200,000 - $299,999	4	6.75% - 7.75%	03/01/2046 - 01/01/2050	712		—

Business purpose loans
Original loan amount $0 - $99,999	218	5.50% - 13.65%	09/05/2020 - 06/01/2052	27,199		3,829
Original loan amount $100,000 - $199,999	238	4.25% - 14.29%	07/18/2020 - 06/01/2052	41,772		11,278
Original loan amount $200,000 - $299,999	196	5.63% - 15.19%	04/19/2020 - 08/01/2052	51,703		9,943
Original loan amount over $299,999	488	5.50% - 15.39%	07/08/2020 - 08/01/2052	454,158		104,816

Residential loans held in securitization trusts
First lien loans
Original loan amount $0 - $99,999	1,637	0.00% - 14.29%	08/20/2013 - 10/01/2063	81,538		7,390
Original loan amount $100,000 - $199,999	2,116	0.00% - 12.75%	11/01/2023 - 09/01/2063	222,407		13,813
Original loan amount $200,000 - $299,999	1,041	0.00% - 13.25%	08/01/2025 - 09/01/2063	186,574		12,114
Original loan amount over $299,999	1,221	1.88% - 9.75%	12/01/2025 - 11/01/2063	406,914		27,348

Business purpose loans
Original loan amount $0 - $99,999	340	4.00% - 13.49%	09/01/2022 - 07/01/2052	38,721		1,676
Original loan amount $100,000 - $199,999	520	3.75% - 14.75%	11/13/2022 - 09/01/2052	78,371		2,001
Original loan amount $200,000 - $299,999	304	3.50% - 12.99%	03/18/2023 - 07/01/2052	73,003		1,219


Original loan amount over $299,999	527	3.49% - 12.99%	07/01/2022 - 07/01/2052	414,541		21,299

Consolidated SLST
First lien loans	5,813	1.38% - 10.50%	03/01/2021 - 11/01/2063	754,860		84,650
				$	3,084,303	$	305,227

(1)The aggregate cost for U.S. federal income tax purposes of consolidated mortgage loans in the table above, excluding Consolidated SLST, is approximately $2.5 billion as of December 31, 2023. The Company invests in first loss subordinated securities and certain IOs issued by Consolidated SLST. Consolidated SLST carrying value in the table above represents the carrying value of the residential loans in the securitization that have been consolidated in accordance with GAAP.

(2)Of this amount, approximately $7.4 million was acquired from controlled and other affiliates.

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


	For the year ended December 31,
(in thousands)	2023		2022		2021
Beginning balance	$	3,525,080	$	3,575,601	$	3,049,166
Additions during period:
Purchases (1)	620,277		1,733,265		1,581,979
Accretion of purchase discount	6,689		5,292		4,154
Change in realized and unrealized gains	65,485		(404,524)		44,564
Deductions during period:
Repayments of principal	(1,062,930)		(1,362,294)		(1,018,176)
Collection of interest	—		—		—
Transfer to REO	(42,485)		(18,858)		(4,133)
Cost of loans sold	(25,144)		—		(77,127)
Provision for loan loss	—		—		—

Amortization of premium	(2,669)		(3,402)		(4,826)
Balance at end of period	$	3,084,303	$	3,525,080	$	3,575,601