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Residential Loans, at Fair Value
 9 Months Ended
Sep. 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 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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):
September 30, 2024December 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$710,278 $1,133,826 $2,158,070 $4,002,174 $891,283 $892,546 $1,609,006 $3,392,835 
Premium/(Discount)
7,017 (22,830)(61,263)(77,076)(22,667)(7,418)(55,709)(85,794)
Unrealized losses
(16,440)(102,413)(29,101)(147,954)(41,081)(130,268)(51,389)(222,738)
Carrying value$700,855 $1,008,583 $2,067,706 $3,777,144 $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 September 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 nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):

For the Three Months Ended
September 30, 2024September 30, 2023
Residential loans
Consolidated SLST (1)
Residential loans held in securitization trustsResidential loans
Consolidated SLST (1)
Residential loans held in securitization trusts
Unrealized gains (losses), net
$9,882 $28,655 $42,283 $(7,172)$(30,705)$(14,246)

For the Nine Months Ended
September 30, 2024September 30, 2023
Residential loans
Consolidated SLST (1)
Residential loans held in securitization trustsResidential loans
Consolidated SLST (1)
Residential loans held in securitization trusts
Unrealized gains (losses), net
$13,934 $27,855 $32,995 $(8,174)$(38,230)$9,033 
(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 $0.6 million and $2.3 million of net realized gains on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2024, respectively. The Company recognized $1.4 million and $3.7 million of net realized gains on the payoff of residential loans, at fair value during the three and nine months ended September 30, 2023, respectively. The Company also recognized $4.7 million and $1.5 million of net realized gains on the sale of residential loans, at fair value during the three and nine months ended September 30, 2024, respectively. The Company recognized $0.8 million and $0.7 million of net realized losses on the sale of residential loans, at fair value during the three and nine months ended September 30, 2023, respectively.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2024 and December 31, 2023, respectively, are as follows:

September 30, 2024December 31, 2023
Residential loansConsolidated SLSTResidential loans held in securitization trustsResidential loansConsolidated SLSTResidential loans held in securitization trusts
California13.6 %11.6 %23.3 %22.4 %10.7 %18.4 %
Florida10.7 %9.1 %13.2 %15.5 %10.3 %11.0 %
New York7.1 %10.7 %6.8 %7.0 %10.0 %8.5 %
Texas
7.0 %4.4 %7.9 %8.1 %3.9 %7.1 %
Pennsylvania
5.7 %3.9 %2.8 %2.2 %4.1 %4.1 %
New Jersey
5.4 %6.7 %5.1 %4.9 %7.6 %6.0 %
Illinois3.1 %6.4 %2.8 %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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

Greater than 90 days past dueLess than 90 days past due
Fair ValueUnpaid Principal BalanceFair ValueUnpaid Principal Balance
September 30, 2024$160,648 $185,777 $5,807 $6,156 
December 31, 2023199,485 220,577 9,362 9,948 

Formal foreclosure proceedings were in process with respect to residential loans with an aggregate fair value of $136.0 million and an aggregate unpaid principal balance of $155.6 million as of September 30, 2024.

Residential loans held in Consolidated SLST with an aggregate unpaid principal balance of $117.2 million and $84.6 million were 90 days or more delinquent as of September 30, 2024 and December 31, 2023, respectively. In addition, formal foreclosure proceedings were in process with respect to $33.1 million of residential loans held in Consolidated SLST as of September 30, 2024.