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Loans Held for Investment (Tables)

9 Months Ended

Sep. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Summary of Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value

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

Schedule of Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated

The loan portfolio for all residential mortgages were originated during the following periods:


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.

Schedule of Key Characteristics of Residential Loan Portfolio

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		%

Schedule of Various Characteristics of Residential Loan Portfolio

The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans

securing the Company’s investments in Non-Agency RMBS at September 30, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses.


September 30, 2021	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total

% of Unpaid Principal Balance	3.0	%	1.2	%	6.0	%	1.5	%	3.3	%	0.4	%	15.4	%


December 31, 2020	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total

% of Unpaid Principal Balance	3.1	%	1.4	%	7.2	%	1.3	%	2.9	%	0.4	%	16.3	%

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	%