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Residential Loans, at Fair Value | 6 Months Ended
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Jun. 30, 2024
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] |
Residential Loans, at Fair Value | 3. 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 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 (losses) gains, net on the Company’s condensed consolidated statements of operations. The following table presents t he Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts, as of June 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
| June 30, 2024 |  | December 31, 2023
| 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 | $ | 701,854 |  |  | $ | 1,157,274 |  |  | $ | 1,965,690 |  |  | $ | 3,824,818 |  |  | $ | 891,283 |  |  | $ | 892,546 |  |  | $ | 1,609,006 |  |  | $ | 3,392,835 |
Discount | (9,279) |  |  | (21,261) |  |  | (62,313) |  |  | (92,853) |  |  | (22,667) |  |  | (7,418) |  |  | (55,709) |  |  | (85,794) |
Unrealized losses | (25,357) |  |  | (131,069) |  |  | (72,348) |  |  | (228,774) |  |  | (41,081) |  |  | (130,268) |  |  | (51,389) |  |  | (222,738) |
Carrying value | $ | 667,218 |  |  | $ | 1,004,944 |  |  | $ | 1,831,029 |  |  | $ | 3,503,191 |  |  | $ | 827,535 |  |  | $ | 754,860 |  |  | $ | 1,501,908 |  |  | $ | 3,084,303 |
(1)Certain of the Company's residential loans, at fair value are pledged as collateral for repurchase agreements as of June 30, 2024 and December 31, 2023 (see Note 12). (2)The Company invests in first loss subordinated securities and certain IOs issued by Freddie Mac-sponsored residential loan securitizations. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitizations 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 13). (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 13). The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the three and six months ended June 30, 2024 and 2023, respectively (dollar amounts in thousands):
| For the Three Months Ended
| June 30, 2024 |  | June 30, 2023
| Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts
Unrealized gains (losses), net | $ | 3,769 |  |  | $ | (1,306) |  |  | $ | (6,037) |  |  | $ | 305 |  |  | $ | (23,332) |  |  | $ | (7,275) |
| For the Six Months Ended
| June 30, 2024 |  | June 30, 2023
| Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST (1) |  | Residential loans held in securitization trusts
Unrealized gains (losses), net | $ | 4,052 |  |  | $ | (800) |  |  | $ | (9,288) |  |  | $ | (1,002) |  |  | $ | (7,525) |  |  | $ | 23,279 |
(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 16). 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 $1.6 million and $1.7 million of net realized gains on the payoff of residential loans, at fair value during the three and six months ended June 30, 2024, respectively. The Company recognized $0.9 million and $2.9 million of net realized gains on the payoff of residential loans, at fair value during the three and six months ended June 30, 2023, respectively. The Company also recognized $0.2 million and $3.2 million of net realized losses on the sale of residential loans, at fair value during the three and six months ended June 30, 2024. The Company did not recognize any gain or loss on the sale of residential loans during the three and six months ended June 30, 2023. The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of June 30, 2024 and December 31, 2023, respectively, are as follows:
| June 30, 2024 |  | December 31, 2023
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts
California | 19.7 | % |  | 11.5 | % |  | 20.6 | % |  | 22.4 | % |  | 10.7 | % |  | 18.4 | %
Florida | 11.7 | % |  | 9.2 | % |  | 13.9 | % |  | 15.5 | % |  | 10.3 | % |  | 11.0 | %
New York | 8.6 | % |  | 10.6 | % |  | 7.3 | % |  | 7.0 | % |  | 10.0 | % |  | 8.5 | %
New Jersey | 6.0 | % |  | 6.7 | % |  | 5.2 | % |  | 4.9 | % |  | 7.6 | % |  | 6.0 | %
Texas | 5.3 | % |  | 4.3 | % |  | 8.1 | % |  | 8.1 | % |  | 3.9 | % |  | 7.1 | %
Massachusetts | 5.2 | % |  | 2.7 | % |  | 2.6 | % |  | 1.8 | % |  | 2.6 | % |  | 2.7 | %
Illinois | 3.1 | % |  | 6.3 | % |  | 3.0 | % |  | 3.0 | % |  | 7.2 | % |  | 3.5 | %
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 June 30, 2024 and December 31, 2023, 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 |  |
June 30, 2024 | $ | 182,693 |  |  | $ | 214,268 |  |  | $ | 8,927 |  |  | $ | 9,351 |  |  |
December 31, 2023 | 199,485 |  |  | 220,577 |  |  | 9,362 |  |  | 9,948 |  |  |
Formal foreclosure proceedings were in process with respect to residential loans with an aggregate fair value of $131.6 million and an aggregate unpaid principal balance of $155.9 million as of June 30, 2024. Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $107.9 million and $84.6 million were 90 days or more delinquent as of June 30, 2024 and December 31, 2023, respectively. In addition, formal foreclosure proceedings were in process with respect to $33.6 million of residential loans held in Consolidated SLST as of June 30, 2024.

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