Residential Mortgage Loans Held in Securitization Trusts (Net) and Real Estate Owned

Residential mortgage loans held in securitization trusts (net) consist of the following as of September 30, 2017 and December 31, 2016, respectively (dollar amounts in thousands):



	September 30, 2017			December 31, 2016
Unpaid principal balance	$	83,068		$	98,303
Deferred origination costs – net	532			623
Reserve for loan losses	(3,725		)	(3,782		)
Total	$	79,875		$	95,144

Allowance for Loan Losses - The following table presents the activity in the Company's allowance for loan losses on residential mortgage loans held in securitization trusts for the nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):



	Nine Months Ended September 30,
	2017			2016
Balance at beginning of period	$	3,782		$	3,399
Provisions for loan losses	306			557
Transfer to real estate owned	(303		)	—
Charge-offs	(60		)	(123		)
Balance at the end of period	$	3,725		$	3,833

On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses as of September 30, 2017 was $3.7 million, representing 448 basis points of the outstanding principal balance of residential loans held in securitization trusts, as compared to 385 basis points as of December 31, 2016. As part of the Company’s allowance for loan loss adequacy analysis, management will assess an overall level of allowances while also assessing credit losses inherent in each non-performing residential mortgage loan held in securitization trusts. These estimates involve the consideration of various credit related factors, including but not limited to, current housing market conditions, current loan to value ratios, delinquency status, the borrower’s current economic and credit status and other relevant factors.

Real Estate Owned – The following table presents the activity in the Company’s real estate owned held in residential securitization trusts for the nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):



	Nine Months Ended September 30,
	2017			2016
Balance at beginning of period	$	150		$	411
Write downs	—			—
Transfer from/(to) mortgage loans held in securitization trusts	742			173
Disposal	(150		)	(411		)
Balance at the end of period	$	742		$	173

Real estate owned held in residential securitization trusts are included in receivables and other assets on the accompanying condensed consolidated balance sheets and write downs are included in recovery of loan losses in the accompanying condensed consolidated statements of operations for reporting purposes.

All of the Company’s mortgage loans and real estate owned held in residential securitization trusts are pledged as collateral for the Residential CDOs issued by the Company. The Company’s net investment in the residential securitization trusts, which is the maximum amount of the Company’s investment that is at risk to loss and represents the difference between (i) the carrying amount of the mortgage loans, real estate owned and receivables held in residential securitization trusts and (ii) the amount of Residential CDOs outstanding, was $4.6 million and $4.4 million as of September 30, 2017 and December 31, 2016, respectively.

Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts

As of September 30, 2017, we had 24 delinquent loans with an aggregate principal amount outstanding of approximately $15.4 million categorized as Residential Mortgage Loans Held in Securitization trusts (net), of which $10.3 million, or 67%, are under some form of temporary modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including REO through foreclosure, as of September 30, 2017 (dollar amounts in thousands):

September 30, 2017



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	—	$	—	—
61 - 90	—	$	—	—
90 +	24	$	15,410	18.32	%
Real estate owned through foreclosure	2	$	1,045	1.24	%

As of December 31, 2016, we had 31 delinquent loans with an aggregate principal amount outstanding of approximately $18.7 million categorized as Residential Mortgage Loans Held in Securitization Trusts (net), of which $11.2 million, or 60%, are under some form of modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including real estate owned through foreclosure (REO), as of December 31, 2016 (dollar amounts in thousands):

December 31, 2016



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	1	$	247	0.25	%
61 - 90	—	$	—	—
90 +	30	$	18,416	18.68	%
Real estate owned through foreclosure	1	$	268	0.27	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and real estate owned held in residential securitization trusts as of September 30, 2017 and December 31, 2016 are as follows:



	September 30, 2017		December 31, 2016
New York	32.0	%	33.8	%
Massachusetts	19.9	%	19.9	%
New Jersey	11.1	%	10.8	%
Florida	10.0	%	8.9	%
Connecticut	8.1	%	7.4	%
Maryland	5.3	%	5.1	%