Loans Held for Investment

3 Months Ended

Mar. 31, 2024

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 March 31, 2024 and December 31, 2023, 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 $11.4 billion and $11.8 billion as of March 31, 2024 and December 31, 2023, respectively. The total unpaid principal balance of the Company's Loans held for investment was $11.6 billion and $12.0 billion as of March 31, 2024 and December 31, 2023, respectively.

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2024 and December 31, 2023:


	For the Quarter Ended		For the Year Ended
	March 31, 2024		December 31, 2023
	(dollars in thousands)
Balance, beginning of period	$	11,397,046	$	11,359,236

Purchases	—		1,421,537
Principal paydowns	(306,064)		(1,417,787)
Sales and settlements	(77,034)		(246)
Net periodic accretion (amortization)	(13,455)		(51,005)

Change in fair value	74,026		85,311
Balance, end of period	$	11,074,519	$	11,397,046

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 quarter ended March 31, 2024 and year ended December 31, 2023.

Residential mortgage loans

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


Origination Year	March 31, 2024		December 31, 2023 (1)
2002 and prior	5.3	%	5.5	%
2003	4.6	%	4.8	%
2004	8.6	%	9.0	%
2005	14.7	%	15.3	%
2006	18.6	%	19.2	%
2007	21.2	%	20.9	%
2008	6.8	%	6.5	%
2009	1.7	%	1.5	%
2010 and later	18.5	%	17.3	%
Total	100.0	%	100.0	%

(1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior

to the reporting date, but not settled as of the reporting date.

The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2024 and December 31, 2023:


	March 31, 2024				December 31, 2023 (1)
Number of loans		109,996				112,572
Weighted average maturity (years)		20.8				21.0
Weighted average loan to value (2)		79.0		%		79.0		%
Weighted average FICO		665				665
Weighted average loan balance (in thousands)		$	106			$	106
Weighted average percentage owner occupied		85.7		%		86.0		%
Weighted average percentage single family residence		78.3		%		78.4		%
Weighted average geographic concentration of top five states	CA	14.9		%	CA	14.7		%
	FL	8.8		%	FL	8.8		%
	NY	8.6		%	NY	8.6		%
	PA	4.5		%	PA	4.5		%
	NJ	4.3		%	VA	4.3		%

(1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior

to the reporting date, but not settled as of the reporting date.

(2) 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 March 31, 2024 and December 31, 2023, respectively.


	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total		Unpaid Principal Balance
(dollars in thousands)
March 31, 2024	$746,284		$236,542		$330,634		$180,222		$334,727		$30,841		$1,859,250		$11,639,449
% of Unpaid Principal Balance	6.4	%	2.0	%	2.8	%	1.5	%	2.9	%	0.3	%	15.9	%

December 31, 2023	$763,581		$235,169		$337,928		$181,410		$346,396		$29,416		$1,893,900		$11,876,358
% of Unpaid Principal Balance	6.4	%	2.0	%	2.8	%	1.5	%	2.9	%	0.2	%	15.8	%

The fair value of residential mortgage loans 90 days or more past due was $633 million and $645 million as of March 31, 2024 and December 31, 2023, respectively.