Loans Held for Investment

6 Months Ended

Jun. 30, 2023

Investments, Debt and Equity Securities [Abstract]

The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes jumbo prime loans, investor loans and business purpose loans.

The investor loans are loans to individuals securing non-primary residences as well as to individuals or businesses who rent out the residential properties secured by such loans. The Company purchases qualified mortgages, or QM, and non-qualified mortgages, or Non-QM, investor loans and securitizes them under its loan securitization program. The business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. The business purpose loans tend to be short duration, often less than one year, and generally the coupon rate is higher than residential mortgage loans.

At June 30, 2023 and December 31, 2022, 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 $12.4 billion and $11.9 billion as of June 30, 2023 and December 31, 2022, respectively. The total unpaid principal balance of the Company's Loans held for investment was $12.6 billion and $12.1 billion as of June 30, 2023 and December 31, 2022, respectively.

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at June 30, 2023 and December 31, 2022:


	For the Six Months Ended		For the Year Ended
	June 30, 2023		December 31, 2022
	(dollars in thousands)
Balance, beginning of period	$	11,359,236	$	12,261,926
Transfer due to consolidation	—		1,047,838
Purchases	1,232,969		1,615,377
Principal paydowns	(708,119)		(2,160,445)
Sales and settlements	(1,246)		(5,369)
Net periodic accretion (amortization)	(27,847)		(52,616)

Change in fair value	74,544		(1,347,475)
Balance, end of period	$	11,929,537	$	11,359,236

The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. The Company did not retain any beneficial interests on loan sales during the six months ended June 30, 2023 and year ended December 31, 2022, respectively.

Residential mortgage loans

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


Origination Year	June 30, 2023		December 31, 2022
2002 and prior	5.5	%	6.0	%
2003	4.8	%	5.0	%
2004	9.0	%	9.7	%
2005	15.3	%	16.3	%
2006	19.1	%	20.3	%
2007	20.8	%	21.5	%
2008	6.5	%	6.6	%
2009	1.5	%	1.5	%
2010 and later	17.5	%	13.1	%
Total	100.0	%	100.0	%

The following table presents a summary of key characteristics of the residential loan portfolio at June 30, 2023 and December 31, 2022:


	June 30, 2023				December 31, 2022
Number of loans		118,807				116,876
Weighted average maturity (years)		21.2				20.9
Weighted average loan to value (1)		79.0		%		82.2		%
Weighted average FICO		665				658
Weighted average loan balance (in thousands)		$	106			$	103
Weighted average percentage owner occupied		85.7		%		87.5		%
Weighted average percentage single family residence		78.3		%		79.3		%
Weighted average geographic concentration of top five states	CA	14.7		%	CA	14.6		%
	FL	8.9		%	FL	8.5		%
	NY	8.4		%	NY	8.5		%
	PA	4.5		%	VA	4.5		%
	VA	4.3		%	PA	4.4		%

(1) Value represents appraised value of the collateral at the time of loan origination.

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 June 30, 2023 and December 31, 2022, respectively.


	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total		Unpaid Principal Balance
(dollars in thousands)
June 30, 2023	$731,633		$219,106		$389,020		$168,162		$334,893		$29,358		$1,872,172		$12,570,243
% of Unpaid Principal Balance	5.8	%	1.7	%	3.1	%	1.3	%	2.7	%	0.2	%	14.8	%

December 31, 2022	$778,196		$248,579		$399,369		$211,226		$391,958		$33,843		$2,063,171		$12,060,530
% of Unpaid Principal Balance	6.5	%	2.1	%	3.3	%	1.8	%	3.2	%	0.3	%	17.1	%

The fair value of residential mortgage loans 90 days or more past due was $653 million and $717 million as of June 30, 2023 and December 31, 2022, respectively.