LOANS (Tables)

3 Months Ended

Mar. 31, 2022

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

Loan Investment Activity

The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, for the three months ended March 31, 2022:

	Residential		Corporate Debt		Total
	(dollars in thousands)
Beginning balance January 1, 2022	$	2,272,072	$	1,968,991	$	4,241,063
Purchases / originations	2,025,930		171,697		2,197,627
Sales and transfers (1)	(2,550,155)		—		(2,550,155)
Principal payments	(34,284)		(174,238)		(208,522)
Gains / (losses) (2)	(60,654)		(608)		(61,262)
(Amortization) / accretion	(2,758)		1,825		(933)
Ending balance March 31, 2022	$	1,650,151	$	1,967,667	$	3,617,818
(1) Includes securitizations, syndications and transfers to securitization vehicles. Includes transfer of residential loans to securitization vehicles with a carrying value of $2.5 billion during the three months ended March 31, 2022. (2) Includes loan loss allowances.

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles and excluding loan warehouse facilities, at March 31, 2022 and December 31, 2021:

	March 31, 2022		December 31, 2021
	(dollars in thousands)
Fair value	$	8,914,467	$	7,768,507
Unpaid principal balance	$	9,097,860	$	7,535,855

Summary of Comprehensive Income (Loss)

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three months ended March 31, 2022 and 2021 for these investments, excluding loan warehouse facilities:

	For the Three Months Ended
	March 31, 2022		March 31, 2021
	(dollars in thousands)
Interest income	$	73,465	$	37,109
Net gains (losses) on disposal of investments (1)	(7,338)		(5,220)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)	(415,248)		22,455
Total included in net income (loss)	$	(349,121)	$	54,344
(1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (Loss)

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2022 and December 31, 2021 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans
March 31, 2022		December 31, 2021
Property location	% of Balance	Property location	% of Balance
California	48.4%	California	50.2%
New York	11.6%	New York	10.9%
Florida	6.8%	Florida	6.1%
All other (none individually greater than 5%)	33.2%	All other (none individually greater than 5%)	32.8%
Total	100.0%		100.0%

Residential Mortgage Loans

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at March 31, 2022 and December 31, 2021:

	March 31, 2022		December 31, 2021
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$1 - $4,396	$496	$1 - $4,382	$513
Interest rate	0.75% - 15.00%	4.02%	0.75% - 9.24%	4.04%
Maturity	7/1/2029 - 4/1/2062	4/8/2051	7/1/2029 - 12/1/2061	12/22/2050
FICO score at loan origination	588 - 832	762	604 - 831	762
Loan-to-value ratio at loan origination	7% - 103%	66%	8% - 103%	66%

Summary of Internal Risk Rating for Corporate Debt

The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below:

Risk Rating - Corporate Debt	Description
1-5 / Performing	Meets all present contractual obligations.
6 / Performing - Closely Monitored	Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal.
7 / Substandard	A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible.
8 / Doubtful	A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues.
9 / Loss	Considered uncollectible.

Schedule of Industry and Rate Attributes of The Portfolio

The industry and rate attributes of the portfolio at March 31, 2022 and December 31, 2021 are as follows:

	Industry Dispersion
	March 31, 2022		December 31, 2021
	Total (1)		Total (1)
	(dollars in thousands)
Computer Programming, Data Processing & Other Computer Related Services	$	464,921	$	437,257
Management & Public Relations Services	229,097		263,187
Industrial Inorganic Chemicals	155,728		156,292
Miscellaneous Industrial & Commercial	96,789		93,619
Miscellaneous Health & Allied Services, not elsewhere classified	96,104		64,133
Public Warehousing & Storage	95,037		94,179
Electronic Components & Accessories	92,166		92,261
Surgical, Medical & Dental Instruments & Supplies	80,391		80,786
Drugs	67,244		—
Research, Development & Testing Services	62,689		59,311
Engineering, Architectural & Surveying	50,023		49,088
Offices & Clinics of Doctors of Medicine	49,910		50,017
Medical & Dental Laboratories	48,603		30,199
Insurance Agents, Brokers & Service	43,360		43,598
Telephone Communications	42,651		42,589
Electrical Work	42,611		42,617
Miscellaneous Equipment Rental & Leasing	32,367		32,346
Home Health Care Services	28,600		28,660
Metal Forgings & Stampings	27,514		27,483
Legal Services	26,146		26,105
Petroleum & Petroleum Products	20,705		21,434
Sanitary Services	20,410		20,453
Grocery Stores	19,646		19,745
Coating, Engraving & Allied Services	17,742		17,705
Chemicals & Allied Products	14,626		14,657
Mailing, Reproduction, Commercial Art & Photography & Stenographic	12,431		12,388
Machinery, Equipment & Supplies	10,323		10,814
Offices & Clinics of Other Health Practitioners	10,068		10,083
Schools & Educational Services, not elsewhere classified	9,765		9,781
Metal Cans & Shipping Containers	—		118,204
Total	$	1,967,667	$	1,968,991
(1) All middle market lending positions are floating rate.

Aggregate Positions by Respective Place in the Capital Structure of the Borrowers

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at March 31, 2022 and December 31, 2021. 

	March 31, 2022		December 31, 2021
	(dollars in thousands)
First lien loans	$	1,471,546	$	1,391,217
Second lien loans (1)	496,121		577,774
Total	$	1,967,667	$	1,968,991
(1) Includes mezzanine positions.

Schedule of Corporate Loans Held for Investment

The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at March 31, 2022 and December 31, 2021:

March 31, 2022
	First Lien		Second Lien		Total
	(dollars in thousands)
Beginning balance (January 1, 2022) (1)	$	1,391,217	$	577,774	$	1,968,991
Originations & advances	154,396		17,301		171,697
Principal payments	(74,251)		(99,987)		(174,238)
Amortization & accretion of (premium) discounts	885		940		1,825
Allowance for loan losses
Beginning allowance	(17,341)		(10,579)		(27,920)
Current period (allowance) reversal	(701)		93		(608)
Ending allowance	(18,042)		(10,486)		(28,528)
Net carrying value (March 31, 2022)	$	1,471,546	$	496,121	$	1,967,667

December 31, 2021
	First Lien		Second Lien		Total
	(dollars in thousands)
Beginning balance (January 1, 2021) (1)	$	1,489,125	$	750,805	$	2,239,930
Originations & advances	1,506,705		66,013		1,572,718
Sales and transfers (2)	(1,122,275)		(83,690)		(1,205,965)
Principal payments	(492,884)		(169,057)		(661,941)
Amortization & accretion of (premium) discounts	9,120		3,497		12,617
Allowance for loan losses
Beginning allowance	(18,767)		(20,785)		(39,552)
Current period (allowance) reversal	1,426		10,206		11,632
Ending allowance	(17,341)		(10,579)		(27,920)
Net carrying value (December 31, 2021)	$	1,391,217	$	577,774	$	1,968,991
(1) Excludes loan loss allowances. (2) Includes syndications.

Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage

The following table provides the amortized cost basis of corporate debt held for investment as of March 31, 2022 by vintage year and internal risk rating.

Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating	Vintage
	Total		2022		2021		2020		2019		2018		2017		2016
(dollars in thousands)
1-5 / Performing	$	1,797,943	$	55,565	$	641,746	$	342,945	$	221,796	$	358,884	$	138,903	$	38,104
6 / Performing - Closely Monitored	65,000		—		22,522		26,146		16,332		—		—		—
7 / Substandard	104,724		—		—		10,323		9,276		85,125		—		—
8 / Doubtful	—		—		—		—		—		—		—		—
9 / Loss	—		—		—		—		—		—		—		—
Total	$	1,967,667	$	55,565	$	664,268	$	379,414	$	247,404	$	444,009	$	138,903	$	38,104
(1) The amortized cost basis excludes accrued interest and includes deferred fees on unfunded loans. As of March 31, 2022, the Company had $9.7 million of accrued interest receivable on corporate loans, which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition, and $0.8 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition.