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Loans Held for Investment (Tables)
 9 Months Ended
Sep. 30, 2024
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, 2024 and December 31, 2023:
For the Nine Months EndedFor the Year Ended
September 30, 2024December 31, 2023
 (dollars in thousands)
Balance, beginning of period$11,397,046 $11,359,236 
Purchases579,993 1,421,537 
Principal paydowns(964,508)(1,417,787)
Sales and settlements(96,737)(246)
Net periodic accretion (amortization)(37,660)(51,005)
Change in fair value405,641 85,311 
Balance, end of period$11,283,775 $11,397,046 
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 YearSeptember 30, 2024
December 31, 2023 (1)
2002 and prior5.0 %5.5 %
20034.5 %4.8 %
20048.3 %9.0 %
200514.3 %15.3 %
200618.2 %19.2 %
200721.0 %20.9 %
20086.8 %6.5 %
20091.7 %1.5 %
2010 and later20.2 %17.3 %
Total100.0 %100.0 %
(1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023 which was purchased prior to the reporting date, but not settled as of the reporting date.
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, 2024 and December 31, 2023:
 September 30, 2024
December 31, 2023 (1)
Number of loans 106,144 112,572
Weighted average maturity (years) 20.8 21.0
Weighted average loan to value (2)
 78.4 % 79.0 %
Weighted average FICO 666 665
Weighted average loan balance (in thousands) $108  $106 
Weighted average percentage owner occupied 85.6 % 86.0 %
Weighted average percentage single family residence 77.5 % 78.4 %
Weighted average geographic concentration of top five statesCA15.0 %CA14.7 %
FL8.8 %FL8.8 %
NY8.7 %NY8.6 %
PA4.4 %PA4.5 %
 NJ 4.3 %VA4.3 %
(1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023 which was 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.
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, 2024 and December 31, 2023. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
September 30, 202430 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.9 %1.6 %2.4 %1.4 %2.9 %0.6 %12.8 %

December 31, 202330 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotal
% of Unpaid Principal Balance3.4 %1.4 %2.6 %1.3 %3.0 %0.5 %12.2 %
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, 2024 and December 31, 2023, respectively.

 30 Days Delinquent60 Days Delinquent90+ Days DelinquentBankruptcyForeclosureREOTotalUnpaid Principal Balance
(dollars in thousands)
September 30, 2024$674,051$234,591$308,128$180,848$305,405$35,077$1,738,100$11,557,126
% of Unpaid Principal Balance5.8 %2.0 %2.7 %1.6 %2.6 %0.3 %15.0 %
December 31, 2023$763,581$235,169$337,928$181,410$346,396$29,416$1,893,900$11,876,358
% of Unpaid Principal Balance6.4 %2.0 %2.8 %1.5 %2.9 %0.2 %15.8 %