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LOANS (Tables)

6 Months Ended

Jun. 30, 2024

The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2024:


	Residential Loans
	(dollars in thousands)
Beginning balance January 1, 2024	$	2,353,084

Purchases / originations	5,987,132
Sales and transfers (1)	(5,729,881)



Principal payments	(64,526)
Gains / (losses)	10,431
(Amortization) / accretion	(8,012)

Ending balance June 30, 2024	$	2,548,228


(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $5.6 billion during the six months ended June 30, 2024.

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, at June 30, 2024 and December 31, 2023:


	June 30, 2024		December 31, 2023
	(dollars in thousands)
Fair value	$	20,495,040	$	15,660,706
Unpaid principal balance	$	21,482,560	$	16,611,204

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 and six months ended June 30, 2024 and 2023 for these investments:


	For the Three Months Ended				For the Six Months Ended
	June 30, 2024		June 30, 2023		June 30, 2024		June 30, 2023
	(dollars in thousands)
Interest income	$	301,820	$	162,202	$	553,836	$	309,432
Net gains (losses) on disposal of investments (1)	(1,228)		(1,495)		(3,344)		(2,272)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)	(3,913)		(167,759)		(88,698)		92,680
Total included in net income (loss)	$	296,679	$	(7,052)	$	461,794	$	399,840

(1) These amounts are presented in the line item Net gains (losses) on investments and other in 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 June 30, 2024 and December 31, 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:


Geographic Concentrations of Residential Mortgage Loans
June 30, 2024		December 31, 2023
Property location	% of Balance	Property location	% of Balance
California	38.0%	California	40.1%
Florida	10.8%	Florida	10.6%
New York	10.6%	New York	10.5%
Texas	5.6%	Texas	5.6%
All other (none individually greater than 5%)	35.0%	All other (none individually greater than 5%)	33.2%


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 June 30, 2024 and December 31, 2023:


	June 30, 2024		December 31, 2023
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$1 - $4,396	$476	$1 - $4,396	$477
Interest rate	2.00% - 14.13%	6.12%	2.00% - 13.25%	5.63%
Maturity	7/1/2029 - 7/1/2064	8/14/2052	7/1/2029 - 12/1/2063	4/22/2052
FICO score at loan origination	549 - 850	757	549 - 850	758
Loan-to-value ratio at loan origination	3% - 100%	69%	3% - 100%	68%