v3.19.3

Investment in Loans | 9 Months Ended
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Sep. 30, 2019
Receivables [Abstract] |
Investment in Loans | Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer loans, and corporate 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 September 30, 2019:
Loan Type |  | Unpaid Principal Balance |  | Fair Value
|  | (In thousands)
Residential mortgage loans |  | $ | 780,920 |  |  | $ | 797,728 |
Commercial mortgage loans |  | 285,252 |  |  | 260,626 |
Consumer loans |  | 148,042 |  |  | 151,699 |
Corporate loans |  | 15,790 |  |  | 15,790 |
Total |  | $ | 1,230,004 |  |  | $ | 1,225,843 |
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 September 30, 2019:
(In thousands) |  | Unpaid Principal Balance |  | Fair Value
90 days or more past due—non-accrual status |  |  |  |
Residential mortgage loans |  | $ | 18,961 |  |  | $ | 16,521 |
Commercial mortgage loans |  | 62,286 |  |  | 38,407 |
Consumer loans |  | 1,367 |  |  | 1,254 |
Residential Mortgage Loans The table below details certain information regarding the Company's residential mortgage loans as of September 30, 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) |  | $ | 780,920 |  |  | $ | 6,748 |  |  | $ | 787,668 |  |  | $ | 11,309 |  |  | $ | (1,249 | ) |  | $ | 797,728 |  |  | 6.45 | % |  | 5.46 | % |  | 1.47
(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 $466.3 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 September 30, 2019:
Property Location by State |  | Percentage of Total Outstanding Unpaid Principal Balance
California |  | 48.9 | %
Florida |  | 12.9 | %
Texas |  | 12.1 | %
Colorado |  | 3.7 | %
Arizona |  | 2.7 | %
Utah |  | 1.9 | %
Oregon |  | 1.8 | %
Washington |  | 1.7 | %
Nevada |  | 1.6 | %
Massachusetts |  | 1.5 | %
Illinois |  | 1.4 | %
New York |  | 1.4 | %
Maryland |  | 1.1 | %
Other |  | 7.3 | %
|  | 100.0 | %
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2019.
(In thousands) |  | Unpaid Principal Balance |  | Fair Value
Re-performing |  | $ | 14,992 |  |  | $ | 13,018 |
Non-performing |  | 17,942 |  |  | 15,940 |
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- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $0.3 million and $0.7 million, respectively, 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 September 30, 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 $4.1 million and fair value of $3.3 million. As of September 30, 2019, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $9.7 million. Commercial Mortgage Loans The table below details certain information regarding the Company's commercial mortgage loans as of September 30, 2019:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value |  | Coupon |  | Yield(1) |  | Life (Years)(2)
Commercial mortgage loans, held-for-investment |  | $ | 285,252 |  |  | $ | (25,055 | ) |  | $ | 260,197 |  |  | $ | 512 |  |  | $ | (83 | ) |  | $ | 260,626 |  |  | 8.48 | % |  | 9.24 | % |  | 1.02
(1) | Excludes commercial mortgage loans, held at par in non-accrual status, with a fair value of $10.7 million.
(2) | 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 September 30, 2019:
Property Location by State |  | Percentage of Total Outstanding Unpaid Principal Balance
Florida |  | 24.4 | %
New York |  | 17.3 | %
Connecticut |  | 16.6 | %
New Jersey |  | 13.0 | %
Virginia |  | 6.6 | %
Massachusetts |  | 4.6 | %
North Carolina |  | 3.8 | %
Arizona |  | 3.7 | %
Indiana |  | 2.1 | %
Pennsylvania |  | 1.6 | %
Nevada |  | 1.4 | %
Tennessee |  | 1.4 | %
Louisiana |  | 1.3 | %
Illinois |  | 1.2 | %
Other |  | 1.0 | %
|  | 100.0 | %
As of September 30, 2019, the Company had five non-performing commercial mortgage loans with an unpaid principal balance and fair value of $62.3 million and $38.4 million, respectively. The Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of September 30, 2019, the Company did not have any commercial mortgage loans that were in the process of foreclosure. Consumer Loans The table below details certain information regarding the Company's consumer loans as of September 30, 2019:
|  |  |  |  |  |  |  | Gross Unrealized |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Premium (Discount) |  | Amortized Cost |  | Gains |  | Losses |  | Fair Value(1) |  | Life (Years)(2) |  | Delinquency (Days)
Consumer loans, held-for-investment |  | $ | 148,042 |  |  | $ | 1,739 |  |  | $ | 149,781 |  |  | $ | 2,357 |  |  | $ | (439 | ) |  | $ | 151,699 |  |  | 0.74 |  | 5
(1) | Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2) | 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 September 30, 2019:
Days Past Due |  | Delinquency Status(1)
Current |  | 94.5 | %
30-59 Days |  | 2.4 | %
60-89 Days |  | 1.7 | %
90-119 Days |  | 1.4 | %
|  | 100.0 | %
(1) | As a percentage of total unpaid principal balance.
During the three- and nine-month periods ended September 30, 2019, the Company charged off $4.9 million and $13.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of September 30, 2019, the Company held charged-off consumer loans with an aggregate fair value of $0.6 million for which the Company has determined that it is probable the servicer will be able to collect principal and interest. 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- and nine-month period ended September 30, 2019, the Company recognized an impairment charge of $1.1 million and $4.6 million, respectively, 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 September 30, 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 $58.5 million and fair value of $60.6 million. Corporate Loans The table below details certain information regarding the Company's corporate loans as of September 30, 2019:
|  |  |  |  |  | Weighted Average
($ in thousands) |  | Unpaid Principal Balance |  | Fair Value |  | Rate |  | Remaining Term (Years)
Corporate loans, held-for-investment(1)(2) |  | $ | 15,790 |  |  | $ | 15,790 |  |  | 17.53 | % |  | 1.52
(1) | See Note 13 for further details on the Company's transactions involving a loan originator in which the Company also holds an equity investment.
(2) | See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.

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