XML 44 R30.htm IDEA: XBRL DOCUMENT

Residential Whole Loans and Bridge Loans (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of the assets and liabilities of the VIE included in the consolidated balance sheets

The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021		December 31, 2020
Cash and cash equivalents	$	266	$	—
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively)	1,023,502		1,008,782
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively)	5,207		12,960

Investment related receivable	22,087		27,987
Interest receivable	5,282		4,688
Other assets	—		80
Total assets	$	1,056,344	$	1,054,497
Securitized debt, net	$	519,118	$	892,290
Interest payable	1,316		2,222
Accounts payable and accrued expenses	69		77

Total liabilities	$	520,503	$	894,589

The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021		December 31, 2020

Restricted cash	$	260	$	76,132
Securitized commercial loans, at fair value	1,355,808		1,605,335
Commercial Loans, at fair value	14,362		68,466
Interest receivable	5,290		6,248
Total assets	$	1,375,720	$	1,756,181
Securitized debt, at fair value	$	1,344,370	$	1,553,722
Interest payable	5,164		5,660
Accounts payable and accrued expenses	9		12
Other liabilities	260		76,132
Total liabilities	$	1,349,803	$	1,635,526

Schedule of components of the carrying value of residential whole-loans and securitized commercial loan

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2021 and December 31, 2020 (dollars in thousands):


	Residential Whole Loans, at Fair Value				Residential Bridge Loans, at Fair Value(1)
	December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020
Principal balance	$	989,143	$	984,555	$	5,834	$	15,247
Unamortized premium	31,070		24,248		—		3
Unamortized discount	(1,337)		(1,799)		—		—
Amortized cost	1,018,876		1,007,004		5,834		15,250
Gross unrealized gains	14,190		9,282		78		5
Gross unrealized losses	(9,564)		(7,504)		(484)		(1,339)
Fair value	$	1,023,502	$	1,008,782	$	5,428	$	13,916

(1) Includes $1.1 million of Residential Bridge Loans carried at amortized cost as of December 31, 2020.

Schedule of certain information about the residential whole-loans investment portfolio

The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands):


December 31, 2021
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score(1)	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
2.01% - 3.00%	27	$	15,640	65.1	%	757	5.3	28.8	2.8	%
3.01% - 4.00%	496	244,022		63.7	%	756	3.3	28.0	3.7	%
4.01% - 5.00%	1,051	413,451		65.1	%	747	2.9	28.2	4.7	%
5.01% - 6.00%	757	305,344		64.9	%	738	3.0	26.8	5.4	%
6.01% - 7.00%	28	10,181		67.9	%	721	3.1	25.8	6.3	%
7.01% - 8.00%	2	505		73.2	%	753	4.5	26.8	7.1	%
Total	2,361	$	989,143	64.8	%	746	3.1	27.7	4.6	%

(1)The original FICO score is not available for 230 loans with a principal balance of approximately $74.3 million at December 31, 2021. The Company has excluded these loans from the weighted average computations.


December 31, 2020
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score(1)	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
2.01% - 3.00%	4	$	3,239	66.7	%	733	5.9	28.0	2.7	%
3.01% - 4.00%	118	$	41,489	55.8	%	709	3.8	23.3	3.7	%
4.01% - 5.00%	1,172	$	403,398	61.8	%	751	2.7	27.7	4.9	%
5.01% - 6.00%	1,166	$	523,105	64.2	%	740	2.9	27.7	5.4	%
6.01% - 7.00%	35	$	12,813	67.5	%	720	3.2	27.0	6.3	%
7.01% - 8.00%	2	511		73.2	%	753	4.1	27.6	7.1	%
Total	2,497	$	984,555	62.9	%	744	2.9	27.5	5.1	%

(1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations.

Schedule of the US states represented in residential whole-loans based on principal balance

The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands):


	December 31, 2021					December 31, 2020
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	73.9	%	$	730,771	California	65.8	%	$	647,877
New York	11.6	%	114,625		New York	17.7	%	173,788
Florida	2.7	%	26,293		Georgia	3.4	%	33,577
Georgia	2.5	%	25,106		Florida	2.8	%	27,274
Texas	1.9	%	19,062		New Jersey	2.5	%	24,704
Other	7.4	%	73,286		Other	7.8	%	77,335
Total	100.0	%	$	989,143	Total	100.0	%	$	984,555

Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans

The following tables present certain information about the remaining Residential Bridge Loans in the Company's investment portfolio at December 31, 2021 and December 31, 2020 (dollars in thousands):


December 31, 2021
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)(1)	Coupon Rate
7.01% – 9.00%	3	$	2,946	70.4	%	0.0	8.8	%
9.01% – 11.00%	4	2,393		76.7	%	0.0	10.4	%
11.01% - 13.00%	2	495		69.7	%	0.0	11.4	%


Total	9	$	5,834	72.9	%	0.0	9.7	%


December 31, 2020
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)(1)	Coupon Rate

7.01% – 9.00%	10	$	8,295	69.6	%	1.4	8.7	%
9.01% – 11.00%	15	$	6,123	75.5	%	0.5	10.1	%
11.01% - 13.00%	3	705		69.8	%	0.0	11.4	%

17.01% – 19.00%	1	124		75.0	%	0.0	18.0	%




Total	29	$	15,247	72.0	%	0.8	9.4	%

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero.

Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands):


December 31, 2021					December 31, 2020
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
New York	45.1	%	$	2,631	California	37.5	%	$	5,713
California	30.1	%	1,754		New York	17.3	%	2,632
Florida	19.3	%	1,125		Washington	16.1	%	2,461
New Jersey	3.7	%	219		Florida	12.9	%	1,969
Pennsylvania	1.8	%	105		Connecticut	5.7	%	872
Other	—	%	—		Other	10.5	%	1,600
Total	100.0	%	$	5,834	Total	100.0	%	$	15,247

Aging of residential whole loans and bridge loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2021 (dollars in thousands):


	Residential Whole Loans(1)					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current	2,329	$	971,790	$	1,006,271	—	$	—	$	—
1-30 days	9	3,146		3,285		1	75		76
31-60 days	—	—		—		—	—		—
61-90 days	3	1,993		1,989		2	954		935
90+ days	20	12,214		11,957		6	4,805		4,417
Total	2,361	$	989,143	$	1,023,502	9	$	5,834	$	5,428

(1) As of December 31, 2021, there were no loans in forbearance.

The following table presents the aging of the Commercial Loans as of December 31, 2021 (dollars in thousands):


	Commercial Loans
	No of Loans	Principal		Fair Value
Current	6	$	102,159	$	101,459
1-30 days	—	—		—
31-60 days	—	—		—
61-90 days	—	—		—
90+ days	1	90,000		29,113
Total	7	$	192,159	$	130,572

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details