| Schedule of Loans, At Fair Value |
Presented in the tables below are the fair value and UPB, at December 31, 2023 and December 31, 2022, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):
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| December 31, 2023 |
|
Estimated Fair Value |
|
Unpaid Principal Balance |
| Assets at fair value under the fair value option |
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| Loans held for investment, subject to HMBS related obligations |
|
$ |
17,548,763
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|
|
$ |
16,875,437
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| Loans held for investment, subject to nonrecourse debt: |
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|
|
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| Reverse mortgage loans |
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8,138,403
|
|
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8,257,750
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| Commercial mortgage loans |
|
133,990
|
|
|
136,622
|
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| Loans held for investment: |
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| Reverse mortgage loans |
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574,271
|
|
|
558,577
|
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| Commercial mortgage loans |
|
957
|
|
|
1,044
|
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| Loans held for sale: |
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| Residential mortgage loans |
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4,246
|
|
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9,247
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| Liabilities at fair value under the fair value option |
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| HMBS related obligations |
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17,353,720
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16,875,437
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| Nonrecourse debt: |
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| Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability |
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7,876,932
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8,429,135
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| Nonrecourse commercial loan financing liability |
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27,268
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26,661
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| December 31, 2022 |
|
Estimated Fair Value |
|
Unpaid Principal Balance |
| Assets at fair value under the fair value option |
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| Loans held for investment, subject to HMBS related obligations |
|
$ |
11,114,100 |
|
|
$ |
10,719,000 |
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| Loans held for investment, subject to nonrecourse debt: |
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|
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| Reverse mortgage loans |
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7,065,477 |
|
|
7,240,125 |
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| Commercial mortgage loans |
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389,161 |
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|
405,970 |
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| Loans held for investment: |
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| Reverse mortgage loans |
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771,724 |
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|
724,800 |
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| Commercial mortgage loans |
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136,274 |
|
|
143,373 |
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| Loans held for sale: |
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| Residential mortgage loans |
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12,123 |
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|
15,529 |
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| Commercial mortgage loans |
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161,861 |
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|
173,112 |
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| Other assets: |
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| Purchase commitments - reverse mortgage loans |
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9,356 |
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9,356 |
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| Liabilities at fair value under the fair value option |
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|
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| HMBS related obligations |
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10,996,755 |
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|
10,719,000 |
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| Nonrecourse debt: |
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| Nonrecourse debt in consolidated VIE trusts |
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7,175,857 |
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7,819,992 |
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| Nonrecourse commercial loan financing liability |
|
106,758 |
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|
105,291 |
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| Nonrecourse MSR financing liability |
|
60,562 |
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|
60,562 |
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Loans held for investment and held for sale consisted of the following (in thousands):
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| December 31, 2023 |
|
Unpaid Principal Balance |
|
Fair Value Adjustments |
|
Estimated Fair Value |
| Loans held for investment, subject to HMBS related obligations |
|
$ |
16,875,437
|
|
|
$ |
673,326
|
|
|
$ |
17,548,763
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| Loans held for investment, subject to nonrecourse debt: |
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| Reverse mortgage loans |
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8,257,750
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(119,347) |
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8,138,403
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| Commercial mortgage loans |
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136,622
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|
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(2,632) |
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|
133,990
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| Total loans held for investment, subject to nonrecourse debt |
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8,394,372
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(121,979) |
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8,272,393
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Loans held for investment(1):
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| Reverse mortgage loans |
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558,577
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|
15,694
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|
574,271
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| Commercial mortgage loans |
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1,044
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(87) |
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|
957
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| Total loans held for investment |
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559,621
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|
15,607
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|
575,228
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| Loans held for sale: |
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| Residential mortgage loans |
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9,247
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(5,001) |
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4,246
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| Total loan portfolio |
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$ |
25,838,677
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$ |
561,953
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$ |
26,400,630
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(1) As of December 31, 2023, there was $487.9 million in UPB in loans held for investment pledged as collateral for financing lines of credit.
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| December 31, 2022 |
|
Unpaid Principal Balance |
|
Fair Value Adjustments |
|
Estimated Fair Value |
| Loans held for investment, subject to HMBS related obligations |
|
$ |
10,719,000 |
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|
$ |
395,100 |
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$ |
11,114,100 |
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| Loans held for investment, subject to nonrecourse debt: |
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| Reverse mortgage loans |
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7,240,125 |
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(174,648) |
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|
7,065,477 |
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| Commercial mortgage loans |
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405,970 |
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(16,809) |
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|
389,161 |
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| Total loans held for investment, subject to nonrecourse debt |
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7,646,095 |
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(191,457) |
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7,454,638 |
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Loans held for investment(1):
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| Reverse mortgage loans |
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724,800 |
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|
46,924 |
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|
771,724 |
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| Commercial mortgage loans |
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143,373 |
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(7,099) |
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|
136,274 |
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| Total loans held for investment |
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868,173 |
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|
39,825 |
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|
907,998 |
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Loans held for sale(2):
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| Residential mortgage loans |
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15,529 |
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(3,406) |
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12,123 |
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| Commercial mortgage loans |
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173,112 |
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(11,251) |
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|
161,861 |
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| Total loans held for sale |
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188,641 |
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(14,657) |
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|
173,984 |
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| Total loan portfolio |
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$ |
19,421,909 |
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$ |
228,811 |
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$ |
19,650,720 |
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(1) As of December 31, 2022, there was $745.1 million in UPB in loans held for investment pledged as collateral for financing lines of credit.
(2) As of December 31, 2022, there was $186.0 million in UPB in loans held for sale pledged as collateral for financing lines of credit.
The tables below show the total amount of loans held for investment and held for sale that were greater than 90 days past due and on non-accrual status (in thousands):
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| December 31, 2023 |
|
Unpaid Principal Balance |
|
Estimated Fair Value |
|
Difference |
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| Loans held for investment, subject to nonrecourse debt: |
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| Commercial mortgage loans |
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$ |
34,115
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$ |
31,244
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$ |
(2,871) |
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| Loans held for sale: |
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| Residential mortgage loans |
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4,324
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|
428
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(3,896) |
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| Total loans 90 days or more past due and on non-accrual status |
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$ |
38,439
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$ |
31,672
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$ |
(6,767) |
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| December 31, 2022 |
|
Unpaid Principal Balance |
|
Estimated Fair Value |
|
Difference |
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| Loans held for investment, subject to nonrecourse debt: |
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| Commercial mortgage loans |
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$ |
24,023 |
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$ |
21,325 |
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$ |
(2,698) |
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| Loans held for investment: |
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| Commercial mortgage loans |
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2,358 |
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|
2,265 |
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(93) |
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| Loans held for sale: |
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| Residential mortgage loans |
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2,136 |
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|
2,736 |
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|
600 |
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| Commercial mortgage loans |
|
3,405 |
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|
2,817 |
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(588) |
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| Total loans held for sale |
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5,541 |
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|
5,553 |
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12 |
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| Total loans 90 days or more past due and on non-accrual status |
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$ |
31,922 |
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$ |
29,143 |
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$ |
(2,779) |
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The table below shows a reconciliation of the changes in loans held for sale (in thousands):
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For the year ended December 31, 2023 |
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For the year ended December 31, 2022 |
| Beginning balance |
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$ |
173,984
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$ |
158,156 |
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| Originations/purchases/repurchases |
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|
192,789
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|
1,119,578 |
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| Proceeds from sales |
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(376,056) |
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(1,088,472) |
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| Net transfers related to loans held for sale |
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|
15,580
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— |
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| Net transfers related to discontinued operations |
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|
12,525
|
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— |
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| Loss on loans held for sale, net |
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(24,542) |
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(65) |
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| Net fair value gain (loss) on loans held for sale |
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|
9,966
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(15,213) |
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| Ending balance |
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$ |
4,246
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$ |
173,984 |
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