v3.19.1
Investment in Loans
 3 Months Ended
Mar. 31, 2019
Receivables [Abstract]  
Investment in Loans
Investment in Loans
The Company invests in various types of loans, such as residential mortgage, commercial mortgage, and consumer loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of March 31, 2019:
Loan Type
 
Unpaid Principal Balance
 
Fair Value
 
 
(In thousands)
Residential mortgage loans
 
$
577,880

 
$
583,252

Commercial mortgage loans
 
264,932

 
239,623

Consumer loans
 
184,171

 
192,115

Total
 
$
1,026,983

 
$
1,014,990


The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs.
The following table provides details, by accrual status, for loans that are 90 days or more past due as of March 31, 2019:
 
 
Unpaid Principal Balance
 
Fair Value
90 days or more past due—accrual status
 
(In thousands)
Commercial mortgage loans(1)
 
$
6,491

 
$
6,491

90 days or more past due—non-accrual status
 
 
 
 
Residential mortgage loans
 
18,582

 
16,110

Commercial mortgage loans
 
16,050

 
16,050

Consumer loans
 
2,046

 
2,025

(1)
Represents a loan where the borrower is currently making payments and is expected to continue to make payments.
Residential Mortgage Loans
The table below details certain information regarding the Company's residential mortgage loans as of March 31, 2019:
 
 
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
($ in thousands)
 
Unpaid Principal Balance
 
Premium (Discount)
 
 Amortized Cost
 
 Gains
 
Losses
 
Fair Value
 
Coupon
 
Yield
 
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
 
$
555,386

 
$
4,470

 
$
559,856

 
$
4,368

 
$
(1,461
)
 
$
562,763

 
6.49
%
 
5.68
%
 
1.95
Residential mortgage loans, held-for-sale
 
22,494

 
(3,344
)
 
19,150

 
1,520

 
(181
)
 
20,489

 
4.66
%
 
6.37
%
 
5.48
Total
 
$
577,880

 
$
1,126

 
$
579,006

 
$
5,888

 
$
(1,642
)
 
$
583,252

 
6.42
%
 
5.70
%
 
2.07
(1)
Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)
Includes $296.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts; see Note 10.
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as of March 31, 2019:
Property Location by State
 
Percentage of Total Outstanding Unpaid Principal Balance
California
 
48.3
%
Florida
 
12.9
%
Texas
 
12.7
%
Colorado
 
4.4
%
Arizona
 
2.8
%
Oregon
 
2.4
%
New York
 
2.2
%
Washington
 
2.2
%
Nevada
 
2.1
%
Utah
 
1.5
%
New Jersey
 
1.3
%
Maryland
 
1.1
%
Other
 
6.1
%
 
 
100.0
%

The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of March 31, 2019.
(In thousands)
 
Unpaid Principal Balance
 
Fair Value
Re-performing
 
$
35,616

 
$
31,816

Non-performing
 
15,795

 
13,678


As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. For the three-month period ended March 31, 2019, the Company recognized an impairment charge of $0.1 million on the cost basis of its residential mortgage loans, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. The impairment charge recognized for the three-month period ended March 31, 2019, where the fair value of the residential mortgage loans was less than their carrying amount, related to residential mortgage loans with an aggregate unpaid principal balance of $2.2 million and fair value of $1.9 million.
As of March 31, 2019, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $8.1 million. 
Commercial Mortgage Loans
The table below details certain information regarding the Company's commercial mortgage loans as of March 31, 2019:
 
 
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
($ in thousands)
 
Unpaid Principal Balance
 
Premium (Discount)
 
 Amortized Cost
 
 Gains
 
Losses
 
Fair Value
 
Coupon
 
Yield
 
Life (Years)(1)
Commercial mortgage loans
 
$
264,932

 
$
(27,249
)
 
$
237,683

 
$
2,131

 
$
(191
)
 
$
239,623

 
8.92
%
 
9.44
%
 
0.95
(1)
Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as of March 31, 2019:
Property Location by State
 
Percentage of Total Outstanding Unpaid Principal Balance
Florida
 
20.1
%
Connecticut
 
18.7
%
New York
 
12.7
%
New Jersey
 
10.4
%
North Carolina
 
7.3
%
Virginia
 
7.1
%
Massachusetts
 
4.9
%
Pennsylvania
 
4.3
%
Arizona
 
4.0
%
Indiana
 
3.8
%
Kentucky
 
3.8
%
Tennessee
 
1.5
%
Louisiana
 
1.4
%
 
 
100.0
%

As of March 31, 2019, the Company had five non-performing commercial mortgage loans with an unpaid principal balance and fair value of $65.2 million and $40.8 million, respectively. The Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis.
As of March 31, 2019, the Company did not have any commercial mortgage loans that were in the process of foreclosure. 
Consumer Loans
The table below details certain information regarding the Company's consumer loans as of March 31, 2019:
 
 
 
 
 
 
 
 
Gross Unrealized
 
 
 
Weighted Average
($ in thousands)
 
Unpaid Principal Balance
 
Premium (Discount)
 
Amortized Cost
 
Gains
 
Losses
 
Fair Value
 
Life (Years)(1)
 
Delinquency (Days)
Consumer loans
 
$
184,171

 
$
6,912

 
$
191,083

 
$
2,623

 
$
(1,591
)
 
$
192,115

 
0.78
 
3
(1)
Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The table below provides details on the delinquency status of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of March 31, 2019:
Days Past Due
 
Delinquency Status(1)
Current
 
95.9
%
30-59 Days
 
1.7
%
60-89 Days
 
1.3
%
90-119 Days
 
1.1
%
 
 
100.0
%

(1)
As a percentage of total unpaid principal balance.
As described in Note 2, the Company evaluates the cost basis of its pools of consumer loans for impairments on at least a quarterly basis. For the three-month period ended March 31, 2019, the Company recognized an impairment charge of $2.1 million on the cost basis of its consumer loan pools, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. The impairment charge recognized for the three-month period ended March 31, 2019, where the fair value of the consumer loan pools was less than their carrying amount, related to consumer loan pools with an aggregate unpaid principal balance of $173.8 million and fair value of $181.3 million.