XML 40 R28.htm IDEA: XBRL DOCUMENT

Residential Whole Loans and Bridge Loans - (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022		December 31, 2021
Cash and cash equivalents	$	—	$	266
Residential whole loans, at fair value ($1,195,853 and $1,023,502 pledged as collateral, at fair value, respectively)	1,195,853		1,023,502
Residential bridge loans, at fair value ($5,095 and $5,207 pledged as collateral, at fair value, respectively)	5,095		5,207

Investment related receivable	11,906		22,087
Interest receivable	6,387		5,282

Total assets	$	1,219,241	$	1,056,344
Securitized debt, net	$	730,087	$	519,118
Interest payable	1,906		1,316
Accounts payable and accrued expenses	61		69

Total liabilities	$	732,054	$	520,503

The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022		December 31, 2021

Restricted cash	$	257	$	260
Securitized commercial loans, at fair value	1,243,371		1,355,808
Commercial Loans, at fair value	14,398		14,362
Interest receivable	5,119		5,290
Total assets	$	1,263,145	$	1,375,720
Securitized debt, at fair value	$	1,232,700	$	1,344,370
Interest payable	4,995		5,164
Accounts payable and accrued expenses	9		9
Other liabilities	257		260
Total liabilities	$	1,237,961	$	1,349,803

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

The following table presents the components of the fair value of residential whole loans and residential bridge loans as of June 30, 2022 and December 31, 2021 (dollars in thousands):


	Residential whole loans, at Fair Value				Residential bridge loans, at Fair Value
	June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021
Principal balance	$	1,239,970	$	989,143	$	5,585	$	5,834
Unamortized premium	33,176		31,070		—		—
Unamortized discount	(1,764)		(1,337)		—		—
Amortized cost	1,271,382		1,018,876		5,585		5,834
Gross unrealized gains	1,860		14,190		—		78
Gross unrealized losses	(77,389)		(9,564)		(490)		(484)
Fair value	$	1,195,853	$	1,023,502	$	5,095	$	5,428

Schedule of certain information about the residential whole loans investment portfolio

The residential whole loans have low LTV's and are comprised of 3,097 Non-QM adjustable rate mortgages and five investor fixed rate residential mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022
				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%	40	$	22,650	66.3	%	758	9.0	28.8	2.9	%
3.01% – 4.00%	484	247,017		65.0	%	757	6.2	28.2	3.7	%
4.01% – 5.00%	1,451	498,639		63.6	%	749	4.8	26.4	4.6	%
5.01% – 6.00%	895	366,805		66.2	%	742	4.0	27.5	5.5	%
6.01% – 7.00%	216	98,409		71.7	%	742	3.1	29.4	6.4	%
7.01% - 8.00%	16	6,450		75.1	%	737	2.7	29.6	7.4	%

Total	3,102	$	1,239,970	65.4	%	748	4.8	27.4	4.8	%

(1)The original FICO score is not available for 250 loans with a principal balance of approximately $83.2 million at June 30, 2022. The Company has excluded these loans from the weighted average computations.


December 31, 2021
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score(1)	Expected Life (years)(2)	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.

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

The following table presents geographic concentrations by U.S. state in which the collateral securing the Company’s residential whole loans are located as of June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022					December 31, 2021
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	66.4	%	$	823,450	California	73.9	%	$	730,771
New York	9.8	%	121,760		New York	11.6	%	114,625
Texas	4.7	%	58,349		Florida	2.7	%	26,293
Florida	4.0	%	49,888		Georgia	2.5	%	25,106
Georgia	3.6	%	44,224		Texas	1.9	%	19,062
Other	11.5	%	142,299		Other	7.4	%	73,286
Total	100.0	%	$	1,239,970	Total	100.0	%	$	989,143

Schedule of residential bridge loans

The Company is no longer allocating capital to residential bridge loans. The following tables present certain information about the remaining residential bridge loans which are non-performing in the Company's investment portfolio at June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022
c				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%	2	2,144		78.1	%	0.0	10.4	%
11.01% – 13.00%	2	495		69.7	%	0.0	11.4	%






Total	7	$	5,585	73.3	%	0.0	9.7	%


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	%

(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

collateral securing the Company’s residential bridge loans are located as of June 30, 2022 and December 31, 2021 (dollars in thousands):


June 30, 2022					December 31, 2021
State	Concentration		Principal Balance		State	Concentration		Principal Balance
New York	47.1	%	$	2,631	New York	45.1	%	$	2,631
California	31.4	%	1,754		California	30.1	%	1,754
Florida	20.1	%	1,125		Florida	19.3	%	1,125
New Jersey	1.4	%	75		New Jersey	3.7	%	219
Total	100.0	%	5,585		Pennsylvania	1.8	%	105

					Total	100.0	%	$	5,834

Schedule of financing receivable, past due

The following table presents the aging of the residential whole loans and bridge loans as of June 30, 2022 (dollars in thousands):


	Residential whole loans(1)					Bridge loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current(1)	3,073	$	1,226,815	$	1,183,917	—	$	—	$	—
1-30 days	8	2,213		2,142		—	—		—
31-60 days	1	359		361		1	849		832
61-90 days	—	—		—		—	—		—
90+ days	20	10,583		9,433		6	4,736		4,263
Total	3,102	$	1,239,970	$	1,195,853	7	$	5,585	$	5,095

(1) As of June 30, 2022, there was one loan in forbearance.

The following table presents the aging of the Commercial Loans as of June 30, 2022 (dollars in thousands):


	Commercial Loans
	No of Loans	Principal		Fair Value
Current	6	$	102,155	$	101,487
1-30 days	—	—		—
31-60 days	—	—		—
61-90 days	—	—		—
90+ days	1	90,000		26,934
Total	7	$	192,155	$	128,421

- 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