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Residential Whole Loans and Bridge Loans (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022 (dollars in thousands):


	March 31, 2023		December 31, 2022

Residential Whole Loans, at fair value ($1,073,257 and $1,089,914 pledged as collateral, at fair value, respectively)	$	1,074,417	$	1,091,145
Residential Bridge Loans, at fair value	2,782		2,849

Investment related receivable	8,934		5,914
Interest receivable	4,780		4,871
Other assets	—		509
Total assets	$	1,090,913	$	1,105,288
Securitized debt, net	$	957,961	$	981,073
Interest payable	3,063		3,139
Accounts payable and accrued expenses	51		34

Total liabilities	$	961,075	$	984,246

The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2023 and December 31, 2022 (dollars in thousands):


	March 31, 2023		December 31, 2022

Restricted cash	$	—	$	248
Securitized Commercial Loan, at fair value	1,088,224		1,085,103
Commercial Loans, at fair value	13,490		14,362
Interest receivable	5,319		5,311
Total assets	$	1,107,033	$	1,105,024
Securitized debt, at fair value	$	1,081,392	$	1,077,611
Interest payable	5,164		5,164
Accounts payable and accrued expenses	9		9
Other liabilities	—		248
Total liabilities	$	1,086,565	$	1,083,032

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 March 31, 2023 and December 31, 2022 (dollars in thousands):


	Residential Whole Loans, at Fair Value				Residential Bridge Loans, at Fair Value
	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
Principal balance	$	1,134,794	$	1,165,301	$	3,091	$	3,166
Unamortized premium	30,186		30,961		—		—
Unamortized discount	(1,483)		(1,536)		—		—
Amortized cost	1,163,497		1,194,726		3,091		3,166
Gross unrealized gains	4,096		2,038		—		—
Gross unrealized losses	(93,176)		(105,619)		(309)		(317)
Fair value	$	1,074,417	$	1,091,145	$	2,782	$	2,849

Schedule of Certain Information about the Residential Whole Loans Investment Portfolio

The Residential Whole Loans have low LTV's and are comprised of 2,892 adjustable and fixed rate Non-QM and investor mortgages. The following tables present certain information about the Company’s residential whole loan investment portfolio at March 31, 2023 and December 31, 2022 (dollars in thousands):


March 31, 2023
				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%	39	$	22,148	66.3	%	758	8.9	28.1	2.9	%
3.01% – 4.00%	369	203,837		66.9	%	760	6.8	28.5	3.7	%
4.01% – 5.00%	1,307	440,632		64.2	%	749	5.1	25.8	4.6	%
5.01% – 6.00%	910	358,242		65.4	%	742	4.3	26.4	5.5	%
6.01% – 7.00%	252	104,334		69.6	%	742	3.3	28.1	6.4	%
7.01% - 8.00%	15	5,601		75.3	%	730	2.9	29.0	7.4	%

Total	2,892	$	1,134,794	65.7	%	749	5.1	26.7	4.8	%

(1)The original FICO score is not available for 226 loans with a principal balance of approximately $73.9 million at March 31, 2023. The Company has excluded these loans from the weighted average computations.


December 31, 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%	39	$	22,277	66.3	%	758	8.9	28.3	2.9	%
3.01% – 4.00%	402	214,402		66.3	%	759	7.3	28.5	3.7	%
4.01% – 5.00%	1,337	453,811		64.1	%	749	5.5	26.0	4.6	%
5.01% – 6.00%	901	363,197		65.6	%	742	4.7	26.7	5.4	%
6.01% – 7.00%	249	105,933		69.9	%	742	3.6	28.4	6.4	%
7.01% - 8.00%	15	5,681		75.2	%	730	3.0	29.2	7.4	%
Total	2,943	$	1,165,301	65.6	%	748	5.5	27.0	4.8	%

(1)The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. 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 March 31, 2023 and December 31, 2022 (dollars in thousands):


March 31, 2023					December 31, 2022
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	67.0	%	$	760,577	California	66.8	%	$	778,732
New York	9.2	%	103,907		New York	9.3	%	108,108
Texas	4.8	%	54,646		Texas	4.8	%	56,126
Florida	4.1	%	46,332		Florida	4.1	%	47,681
Georgia	3.5	%	39,725		Georgia	3.5	%	40,845
Other	11.4	%	129,607		Other	11.5	%	133,809
Total	100.0	%	$	1,134,794	Total	100.0	%	$	1,165,301

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 March 31, 2023 and December 31, 2022 (dollars in thousands):


March 31, 2023
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)(1)	Coupon Rate


7.01% – 9.00%	2	$	1,822	67.5	%	0.0	8.7	%
9.01% – 11.00%	1	849		90.5	%	0.0	10.0	%
11.01% – 13.00%	1	420		70.0	%	0.0	11.3	%






Total	4	$	3,091	74.2	%	0.0	9.4	%


December 31, 2022
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)(1)	Coupon Rate

7.01% – 9.00%	2	$	1,822	67.5	%	0.0	8.7	%
9.01% – 11.00%	1	849		90.5	%	0.0	10.0	%
11.01% – 13.00%	2	495		69.7	%	0.0	11.4	%





Total	5	$	3,166	74.0	%	0.0	9.5	%

(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 geographic concentrations by U.S. state in which the collateral securing the Company’s Residential Bridge Loans are located as of March 31, 2023 and December 31, 2022 (dollars in thousands):


March 31, 2023					December 31, 2022
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	56.7	%	$	1,754	California	55.4	%	$	1,754
New York	43.3	%	1,337		New York	42.2	%	1,337
Total	100.0	%	$	3,091	New Jersey	2.4	%	75
					Total	100.0	%	$	3,166

Schedule of Financing Receivable, Past Due

The following table presents the aging of the Residential Whole Loans and Residential Bridge Loans as of March 31, 2023 (dollars in thousands):


	Residential Whole Loans (1)					Residential Bridge Loans (1)
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current	2,855	$	1,113,695	$	1,054,337	—	$	—	$	—
1-30 days	21	11,711		11,358		—	—		—
31-60 days	4	1,427		1,298		—	—		—
61-90 days	1	934		874		—	—		—
90+ days	11	7,027		6,550		4	3,091		2,782
Total	2,892	$	1,134,794	$	1,074,417	4	$	3,091	$	2,782

(1) As of March 31, 2023, there were no loans in forbearance.

- 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.

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