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LOANS (Tables) | 6 Months Ended
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Jun. 30, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] |
Loan Investment Activity | The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2020:
| Residential |  | Commercial |  | Corporate Debt |  | Total
| (dollars in thousands)
Beginning balance January 1, 2020 | $ | 1,647,787 |  |  | $ | 669,713 |  |  | $ | 2,144,850 |  |  | $ | 4,462,350 |
Impact of adopting CECL | — |  |  | (3,600 | ) |  | (29,653 | ) |  | (33,253 | )
Purchases / originations | 841,507 |  |  | 187,195 |  |  | 663,396 |  |  | 1,692,098 |
Sales and transfers (1) | (1,184,947 | ) |  | (97,623 | ) |  | (299,628 | ) |  | (1,582,198 | )
Principal payments | (98,636 | ) |  | (59,675 | ) |  | (273,556 | ) |  | (431,867 | )
Gains / (losses) (2) | (33,035 | ) |  | (78,648 | ) |  | (26,917 | ) |  | (138,600 | )
(Amortization) / accretion | (4,155 | ) |  | 1,524 |  |  | 6,772 |  |  | 4,141 |
Ending balance June 30, 2020 | $ | 1,168,521 |  |  | $ | 618,886 |  |  | $ | 2,185,264 |  |  | $ | 3,972,671 |
(1) Includes securitizations, syndications and transfers to securitization vehicles.
(2) Includes loan loss allowances.
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at June 30, 2020 and December 31, 2019:
| June 30, 2020 | December 31, 2019
| (dollars in thousands)
Fair value | $ | 4,001,023 |  | $ | 4,246,161 |
Unpaid principal balance | $ | 3,989,923 |  | $ | 4,133,149 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2020 and 2019 for these investments:
| For the Three Months Ended |  | For the Six Months Ended
| June 30, 2020 |  | June 30, 2019 |  | June 30, 2020 |  | June 30, 2019
| (dollars in thousands)
Interest income | $ | 42,872 |  |  | $ | 35,025 |  |  | $ | 90,429 |  |  | $ | 65,016 |
Net gains (losses) on disposal of investments and other | (5,376 | ) |  | (4,605 | ) |  | (17,376 | ) |  | (9,828 | )
Net unrealized gains (losses) on instruments measured at fair value through earnings | 110,545 |  |  | 25,891 |  |  | (82,218 | ) |  | 43,712 |
Total included in net income (loss) | $ | 148,041 |  |  | $ | 56,311 |  |  | $ | (9,165 | ) |  | $ | 98,900 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:
Geographic Concentrations of Residential Mortgage Loans
June 30, 2020 |  | December 31, 2019
Property location | % of Balance |  | Property location | % of Balance
California | 51.1% |  | California | 52.1%
New York | 11.4% |  | New York | 10.5%
Florida | 5.7% |  | Florida | 5.3%
All other (none individually greater than 5%) | 31.8% |  | All other (none individually greater than 5%) | 32.1%
Total | 100.0% |  |  | 100.0%
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the CLO, OBX Trusts and credit facility VIEs, at June 30, 2020 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk
Commercial Trusts |  | Residential Trusts
Property Location |  | Principal Balance |  | % of Balance |  | Property Location |  | Principal Balance |  | % of Balance
(dollars in thousands)
California |  | $ | 1,270,544 |  |  | 38.7 | % |  | California |  | $ | 27,442 |  |  | 45.0 | %
Texas |  | 478,457 |  |  | 14.6 | % |  | Texas |  | 8,309 |  |  | 13.6 | %
New York |  | 370,697 |  |  | 11.3 | % |  | Illinois |  | 6,534 |  |  | 10.7 | %
Florida |  | 196,495 |  |  | 6.0 | % |  | Other (1) |  | 18,695 |  |  | 30.7 | %
Other (1) |  | 968,561 |  |  | 29.4 | % |  |  |  |  |  |  |  |
Total |  | $ | 3,284,754 |  |  | 100.0 | % |  | Total |  | $ | 60,980 |  |  | 100.0 | %
(1) No individual state greater than 5%.
Residential Mortgage Loans | The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at June 30, 2020 and December 31, 2019:
| June 30, 2020 |  | December 31, 2019
| Portfolio Range | Portfolio Weighted Average |  | Portfolio Range | Portfolio Weighted Average
| (dollars in thousands)
Unpaid principal balance | $1 - $3,448 |  | $433 |  | $1 - $3,448 |  | $459
Interest rate | 0.88% - 9.24% |  | 4.90% |  | 2.00% - 8.38% |  | 4.94%
Maturity | 7/1/2029 - 4/1/2060 |  | 4/15/2048 |  | 1/1/2028 - 12/1/2059 |  | 12/29/2047
FICO score at loan origination | 505 - 829 |  | 757 |  | 505 - 829 |  | 758
Loan-to-value ratio at loan origination | 8% - 105% |  | 67% |  | 8% - 105% |  | 67%
Schedule of Commercial Mortgage Loans Held for Investment | The sector attributes of the Company’s commercial real estate investments held for investment at June 30, 2020 and December 31, 2019 were as follows:
| Sector Dispersion
| June 30, 2020 |  | December 31, 2019
| Carrying Value |  | % of Loan Portfolio |  | Carrying Value |  | % of Loan Portfolio
| (dollars in thousands)
Office | $ | 660,994 |  |  | 44.2 | % |  | $ | 681,129 |  |  | 42.4 | %
Retail | 326,695 |  |  | 21.9 | % |  | 389,076 |  |  | 24.2 | %
Multifamily | 279,943 |  |  | 18.7 | % |  | 262,302 |  |  | 16.3 | %
Hotel | 116,053 |  |  | 7.8 | % |  | 135,681 |  |  | 8.4 | %
Industrial | 59,137 |  |  | 4.0 | % |  | 82,441 |  |  | 5.1 | %
Other | 31,637 |  |  | 2.1 | % |  | 36,589 |  |  | 2.3 | %
Healthcare | 19,045 |  |  | 1.3 | % |  | 18,873 |  |  | 1.3 | %
Total | $ | 1,493,504 |  |  | 100.0 | % |  | $ | 1,606,091 |  |  | 100.0 | %
At June 30, 2020 and December 31, 2019, commercial real estate investments held for investment were comprised of the following:
| June 30, 2020 |  | December 31, 2019
| Outstanding Principal |  | Carrying Value (1) |  | Percentage of Loan Portfolio (2) |  | Outstanding Principal |  | Carrying Value (1) |  | Percentage of Loan Portfolio (2)
| (dollars in thousands)
Senior mortgages | $ | 512,278 |  |  | $ | 496,765 |  |  | 31.0 | % |  | $ | 503,499 |  |  | $ | 499,690 |  |  | 30.9 | %
Senior securitized mortgages (3) | 939,951 |  |  | 874,618 |  |  | 57.0 | % |  | 940,546 |  |  | 936,378 |  |  | 57.8 | %
Mezzanine loans | 198,075 |  |  | 122,121 |  |  | 12.0 | % |  | 183,064 |  |  | 170,023 |  |  | 11.3 | %
Total | $ | 1,650,304 |  |  | $ | 1,493,504 |  |  | 100.0 | % |  | $ | 1,627,109 |  |  | $ | 1,606,091 |  |  | 100.0 | %
(1) | Carrying value includes unamortized origination fees of $6.9 million and $8.3 million at June 30, 2020 and December 31, 2019, respectively.
(2) | Based on outstanding principal.
(3) | Represents assets of consolidated VIEs.
The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at June 30, 2020 and December 31, 2019:
June 30, 2020
| Senior Mortgages |  | Senior Securitized Mortgages (1) |  | Mezzanine Loans |  | Total
| (dollars in thousands)
Beginning balance (January 1, 2020) (2) | $ | 499,690 |  |  | $ | 936,378 |  |  | $ | 182,726 |  |  | $ | 1,618,794 |
Originations & advances (principal) | 176,077 |  |  | — |  |  | 12,010 |  |  | 188,087 |
Principal payments | (59,675 | ) |  | (55,719 | ) |  | — |  |  | (115,394 | )
Principal write off | — |  |  | — |  |  | (7,000 | ) |  | (7,000 | )
Transfers | (107,623 | ) |  | 54,472 |  |  | 10,000 |  |  | (43,151 | )
Net (increase) decrease in origination fees | (812 | ) |  | — |  |  | (80 | ) |  | (892 | )
Realized gain | 204 |  |  | — |  |  | — |  |  | 204 |
Amortization of net origination fees | 1,430 |  |  | 1,211 |  |  | 94 |  |  | 2,735 |
Allowance for loan losses |  |  |  |  |  |  |
Beginning allowance, prior to CECL adoption | — |  |  | — |  |  | (12,703 | ) |  | (12,703 | )
Impact of adopting CECL | (2,264 | ) |  | (4,166 | ) |  | (1,336 | ) |  | (7,766 | )
Current period allowance | (10,262 | ) |  | (57,558 | ) |  | (68,590 | ) |  | (136,410 | )
Write offs | — |  |  | — |  |  | 7,000 |  |  | 7,000 |
Ending allowance | (12,526 | ) |  | (61,724 | ) |  | (75,629 | ) |  | (149,879 | )
Net carrying value (June 30, 2020) | $ | 496,765 |  |  | $ | 874,618 |  |  | $ | 122,121 |  |  | $ | 1,493,504 |
December 31, 2019
| Senior Mortgages |  | Senior Securitized Mortgages (1) |  | Mezzanine Loans |  | Total
| (dollars in thousands)
Net carrying value (January 1, 2019) | $ | 981,202 |  |  | $ | — |  |  | $ | 315,601 |  |  | $ | 1,296,803 |
Originations & advances (principal) | 572,204 |  |  | — |  |  | 21,709 |  |  | 593,913 |
Principal payments | (16,785 | ) |  | (150,245 | ) |  | (149,633 | ) |  | (316,663 | )
Transfers | (1,034,754 | ) |  | 1,083,487 |  |  | (8,675 | ) |  | 40,058 |
Net (increase) decrease in origination fees | (4,200 | ) |  | — |  |  | (184 | ) |  | (4,384 | )
Amortization of net origination fees | 2,023 |  |  | 3,136 |  |  | 412 |  |  | 5,571 |
Net (increase) decrease in allowance | — |  |  | — |  |  | (9,207 | ) |  | (9,207 | )
Net carrying value (December 31, 2019) | $ | 499,690 |  |  | $ | 936,378 |  |  | $ | 170,023 |  |  | $ | 1,606,091 |
(1) Represents assets of consolidated VIEs.
(2) Excludes loan loss allowances.
Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage | The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below:
Risk Rating - Corporate Debt | Description
1-5 / Performing | Meets all present contractual obligations.
6 / Performing - Closely Monitored | Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal.
7 / Substandard | A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible.
8 / Doubtful | A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues.
9 / Loss | Considered uncollectible.
The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating rubric for commercial loans has nine categories as depicted below:
Risk Rating - Commercial Loans | Description
1-4 / Performing | Meets all present contractual obligations.
5 / Performing - Closely Monitored | Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity.
6 / Performing - Special Mention | Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects.
7 / Substandard | Inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected.
8 / Doubtful | Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable.
9 / Loss | Considered uncollectible.
The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of June 30, 2020.
Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating | Vintage
Total |  | 2020 |  | 2019 |  | 2018 |  | 2017 |  | 2016 |  | Prior
(dollars in thousands)
1-4 / Performing | $ | 350,361 |  |  | $ | 91,417 |  |  | $ | 166,518 |  |  | $ | — |  |  | $ | 12,675 |  |  | $ | — |  |  | $ | 79,751 |
5 / Performing - Closely Monitored | 264,420 |  |  | — |  |  | 158,806 |  |  | — |  |  | 39,883 |  |  | 65,731 |  |  | — |
6 / Performing - Special Mention | 666,561 |  |  | 67,312 |  |  | 218,925 |  |  | 268,236 |  |  | 60,565 |  |  | — |  |  | 51,523 |
7 / Substandard | 67,003 |  |  | — |  |  | — |  |  | 67,003 |  |  | — |  |  | — |  |  | — |
8 / Doubtful | 145,159 |  |  | — |  |  | — |  |  | 37,374 |  |  | 107,785 |  |  | — |  |  | — |
9 / Loss (2) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | 1,493,504 |  |  | $ | 158,729 |  |  | $ | 544,249 |  |  | $ | 372,613 |  |  | $ | 220,908 |  |  | $ | 65,731 |  |  | $ | 131,274 |
(1) The amortized cost basis excludes accrued interest. As of June 30, 2020, the Company had $4.3 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million.
Schedule of Industry and Rate Attributes of The Portfolio | The industry and rate attributes of the portfolio at June 30, 2020 and December 31, 2019 are as follows:
| Industry Dispersion
| June 30, 2020 |  | December 31, 2019
| Total (1) |  | Total (1)
| (dollars in thousands)
Computer Programming, Data Processing & Other Computer Related Services | $ | 406,827 |  |  | $ | 394,193 |
Management & Public Relations Services | 277,511 |  |  | 339,179 |
Industrial Inorganic Chemicals | 147,622 |  |  | — |
Miscellaneous Business Services | 122,279 |  |  | 164,033 |
Public Warehousing & Storage | 116,967 |  |  | 107,029 |
Engineering, Architectural, and Surveying | 110,926 |  |  | 124,201 |
Metal Cans & Shipping Containers | 108,333 |  |  | 118,456 |
Offices & Clinics of Doctors of Medicine | 104,000 |  |  | 106,993 |
Surgical, Medical & Dental Instruments & Supplies | 99,657 |  |  | 102,182 |
Electronic Components & Accessories | 77,788 |  |  | 24,000 |
Insurance Agents, Brokers and Service | 70,978 |  |  | 75,410 |
Telephone Communications | 57,482 |  |  | 61,210 |
Miscellaneous Health & Allied Services, not elsewhere classified | 52,177 |  |  | 78,908 |
Miscellaneous Equipment Rental & Leasing | 49,505 |  |  | 49,776 |
Electric Work | 40,642 |  |  | 43,175 |
Medical & Dental Laboratories | 35,231 |  |  | 41,344 |
Metal Forgings & Stampings | 29,739 |  |  | — |
Research, Development & Testing Services | 29,541 |  |  | 45,610 |
Home Health Care Services | 28,896 |  |  | 29,361 |
Motor Vehicles and Motor Vehicle Parts & Supplies | 28,415 |  |  | 28,815 |
Legal Services | 27,923 |  |  | — |
Petroleum and Petroleum Products | 24,745 |  |  | 24,923 |
Grocery Stores | 22,948 |  |  | 23,248 |
Coating, Engraving and Allied Services | 20,298 |  |  | 47,249 |
Schools & Educational Services, not elsewhere classified | 19,331 |  |  | 19,586 |
Drugs | 15,856 |  |  | 15,923 |
Chemicals & Allied Products | 14,844 |  |  | 15,002 |
Machinery, Equipment & Supplies | 12,419 |  |  | — |
Mailing, Reproduction, Commercial Art and Photography and Stenographic | 12,356 |  |  | 14,755 |
Offices and Clinics of Other Health Practitioners | 10,091 |  |  | 10,098 |
Miscellaneous Plastic Products | 9,937 |  |  | 10,000 |
Nonferrous Foundries (Castings) | — |  |  | 30,191 |
Total | $ | 2,185,264 |  |  | $ | 2,144,850 |
(1) All middle market lending positions are floating rate. |
Aggregate Positions by Respective Place in the Capital Structure of the Borrowers | The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at June 30, 2020 and December 31, 2019.
| June 30, 2020 |  | December 31, 2019
| (dollars in thousands)
First lien loans | $ | 1,357,123 |  |  | $ | 1,396,140 |
Second lien loans | 828,141 |  |  | 748,710 |
Total | $ | 2,185,264 |  |  | $ | 2,144,850 |
Schedule of Corporate Loans Held for Investment | The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at June 30, 2020 and December 31, 2019:
June 30, 2020
| First Lien |  | Second Lien |  | Total
| (dollars in thousands)
Beginning balance (January 1, 2020) (1) | $ | 1,403,503 |  |  | $ | 748,710 |  |  | $ | 2,152,213 |
Originations & advances | 484,393 |  |  | 179,003 |  |  | 663,396 |
Principal payments | (247,658 | ) |  | (25,898 | ) |  | (273,556 | )
Amortization & accretion of (premium) discounts | 4,898 |  |  | 1,874 |  |  | 6,772 |
Loan restructuring | (19,550 | ) |  | 2,818 |  |  | (16,732 | )
Sales | (248,258 | ) |  | (47,382 | ) |  | (295,640 | )
Syndications | 5,600 |  |  | — |  |  | 5,600 |
Allowance for loan losses |  |  |  |  | — |
Beginning allowance, prior to CECL adoption | (7,363 | ) |  | — |  |  | (7,363 | )
Impact of adopting CECL | (10,787 | ) |  | (18,866 | ) |  | (29,653 | )
Current period allowance | (19,549 | ) |  | (12,118 | ) |  | (31,667 | )
Write offs | 11,894 |  |  | — |  |  | 11,894 |
Ending allowance | (25,805 | ) |  | (30,984 | ) |  | (56,789 | )
Net carrying value (June 30, 2020) | $ | 1,357,123 |  |  | $ | 828,141 |  |  | $ | 2,185,264 |
(1) Excludes loan loss allowances.
December 31, 2019
| First Lien |  | Second Lien |  | Total
| (dollars in thousands)
Net carrying value (January 1, 2019) | $ | 1,346,356 |  |  | $ | 540,826 |  |  | $ | 1,887,182 |
Originations & advances | 542,463 |  |  | 345,573 |  |  | 888,036 |
Principal payments | (228,302 | ) |  | (140,625 | ) |  | (368,927 | )
Amortization & accretion of (premium) discounts | 5,960 |  |  | 2,936 |  |  | 8,896 |
Sales | (262,974 | ) |  | — |  |  | (262,974 | )
Net (increase) decrease in allowance | (7,363 | ) |  | — |  |  | (7,363 | )
Net carrying value (December 31, 2019) | $ | 1,396,140 |  |  | $ | 748,710 |  |  | $ | 2,144,850 |
Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage | The following table provides the amortized cost basis of corporate debt held for investment as of June 30, 2020 by vintage year and internal risk rating.
Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating | Vintage
Total |  | 2020 |  | 2019 |  | 2018 |  | 2017 |  | 2016 |  | 2015 |  | Revolvers
(dollars in thousands)
1-5 / Performing | $ | 1,613,987 |  |  | $ | 275,139 |  |  | $ | 413,306 |  |  | $ | 503,077 |  |  | $ | 301,941 |  |  | $ | 72,187 |  |  | $ | 34,048 |  |  | $ | 14,289 |
6 / Performing - Closely Monitored | 382,619 |  |  | — |  |  | 77,211 |  |  | 221,072 |  |  | 38,366 |  |  | 44,728 |  |  | — |  |  | 1,242 |
7 / Substandard | 172,548 |  |  | — |  |  | 23,911 |  |  | 108,333 |  |  | 40,304 |  |  | — |  |  | — |  |  | — |
8 / Doubtful | 16,623 |  |  | — |  |  | — |  |  | 12,356 |  |  | 4,267 |  |  | — |  |  | — |  |  | — |
9 / Loss | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | 2,185,777 |  |  | $ | 275,139 |  |  | $ | 514,428 |  |  | $ | 844,838 |  |  | $ | 384,878 |  |  | $ | 116,915 |  |  | $ | 34,048 |  |  | $ | 15,531 |
(1) The amortized cost basis excludes accrued interest and costs related to unfunded loans. As of June 30, 2020, the Company had $11.4 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.

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- Definition Tabular disclosure of financing receivables by credit quality indicator. The credit quality indicator is a statistic about the credit quality of financing receivables. Examples include, but not limited to, consumer credit risk scores, credit-rating-agency ratings, an entity's internal credit risk grades, loan-to-value ratios, collateral, collection experience and other internal metrics. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 20 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=119407570&loc=SL82919230-210447 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 10 -Section 50 -Paragraph 29 -URI http://asc.fasb.org/extlink&oid=118936363&loc=SL6953659-111524 + Details
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