v3.19.3

Investment in Loans (Tables)

9 Months Ended

Sep. 30, 2019

Receivables [Abstract]

Summary of Investments in 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 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.

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 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 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

Past Due Financing Receivables [Table Text Block]

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

Schedules of Concentration of Risk, by Risk Factor [Table Text Block]

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	%

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 summarizes the Company's exposure to counterparty risk as of September 30, 2019.

		Amount of Exposure				Number of Counterparties with Exposure			Maximum Percentage of Exposure to a Single Counterparty(1)
		(In thousands)
Cash and cash equivalents		$	33,251			11			51.2	%
Collateral on repurchase agreements held by dealers(2)		2,388,197				26			14.7	%
Due from brokers		66,162				23			28.5	%
Receivable for securities sold(3)		205,359				7			43.1	%

(1) Each counterparty is a large creditworthy financial institution.

(2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.

(3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet.

Financing Receivable Credit Quality Indicators [Table Text Block]

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

Consumer Loans, Delinquency Status [Table Text Block]

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.

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