The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages.

At September 30, 2021, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of the Company's Loans held for investment was $11.5 billion and $12.5 billion as of September 30, 2021 and December 31, 2020, respectively.

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2021 and December 31, 2020:


	For the Nine Months Ended		For the Year Ended
	September 30, 2021		December 31, 2020
	(dollars in thousands)
Balance, beginning of period	$	13,112,129	$	14,292,815
Purchases	2,807,700		1,860,998
Principal paydowns	(1,982,400)		(1,966,590)
Sales and settlements	(1,678,140)		(1,053,943)
Net periodic accretion (amortization)	(74,396)		(85,794)
Realized gains (losses) on sales and settlements	—		—
Change in fair value	348,971		64,643
Balance, end of period	$	12,533,864	$	13,112,129

The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. During the quarter ended September 30, 2021, the Company sold loans with a fair value of $450 million, with the Company retaining $25 million of beneficial interests in these loans. The Company did not retain any other beneficial interests

on loan sales during the nine months ended September 30, 2021. During the year ended December 31, 2020, the Company sold loans with a fair value of $1.1 billion, with the Company retaining $22 million of beneficial interests in these loans.


Origination Year	September 30, 2021 (1)		December 31, 2020
2002 and prior	6.5	%	6.9	%
2003	5.7	%	5.9	%
2004	11.8	%	12.0	%
2005	18.7	%	18.2	%
2006	22.8	%	22.7	%
2007	22.2	%	22.4	%
2008	6.2	%	6.4	%
2009	1.2	%	1.3	%
2010 and later	4.9	%	4.2	%
Total	100.0	%	100.0	%

(1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period.

The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2021 and December 31, 2020:


	September 30, 2021 (1)				December 31, 2020
Number of loans		119,024				132,134
Weighted average maturity (years)		19.2				19.6
Weighted average loan to value		85.6		%		86.1		%
Weighted average FICO		658				630
Weighted average loan balance (in thousands)		$	97			$	96
Weighted average percentage owner occupied		88.3		%		87.7		%
Weighted average percentage single family residence		82.0		%		83.3		%
Weighted average geographic concentration of top five states	CA	13.7		%	CA	12.4		%
	FL	8.1		%	FL	8.0		%
	NY	7.9		%	NY	7.3		%
	VA	4.8		%	PA	5.0		%
	PA	4.8		%	VA	4.9		%

The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2021 and December 31, 2020, respectively.


	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total		Unpaid Principal Balance
(dollars in thousands)
September 30, 2021 (1)	$593,685		$180,788		$527,805		$216,944		$312,619		$26,341		$1,858,182		$11,517,084
% of Unpaid Principal Balance	5.2	%	1.6	%	4.6	%	1.9	%	2.7	%	0.2	%	16.2	%

December 31, 2020	$727,012		$289,966		$729,713		$277,098		$297,509		$29,852		$2,351,150		12,640,193
% of Unpaid Principal Balance	5.8	%	2.3	%	5.8	%	2.2	%	2.4	%	0.2	%	18.6	%