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Distressed Residential Mortgage Loans (Tables)
 9 Months Ended
Sep. 30, 2017
Mortgage Loans on Real Estate [Line Items]  
Schedule of Information of Distressed Residential Mortgage Loans Acquired
The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the distressed residential mortgage loans acquired during the nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):
 
September 30, 2017
 
September 30, 2016
Contractually required principal and interest
$
76,529

 
$
89,590

Non-accretable yield
(6,467
)
 
(7,516
)
Expected cash flows to be collected
70,062

 
82,074

Accretable yield
(58,767
)
 
(44,007
)
Fair value at the date of acquisition
$
11,295

 
$
38,067
Activity in Accretable Yield for Distressed Residential Mortgage Loans
The following table details activity in accretable yield for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, for the nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):
 
September 30, 2017
 
September 30, 2016
Balance at beginning of period
$
530,511

 
$
579,009

Additions
91,356

 
54,917

Disposals
(263,475
)
 
(119,113
)
Accretion
(16,635
)
 
(25,166
)
Balance at end of period (1)
$
341,757

 
$
489,647


(1) 
Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represents the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from nonaccretable yield. Disposals include distressed residential mortgage loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential mortgage loans from the accretable yield, and reclassifications from accretable to nonaccretable yield. The reclassifications between accretable and nonaccretable yield and the accretion of interest income is based on various estimates regarding loan performance and the value of the underlying real estate securing the loans. As the Company continues to update its estimates regarding the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded in each of the nine month periods ended September 30, 2017 and 2016 is not necessarily indicative of future results.
Schedule of Geographic Concentration of Credit Risk
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
%
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of September 30, 2017 and December 31, 2016, respectively, are as follows:
 
September 30, 2017
 
December 31, 2016
California
34.98
%
 
63.32
%
Florida
8.48
%
 
5.63
%
New Jersey
8.28
%
 
2.46
%
Distressed residential mortgage loans held in securitization trust (net)  
Mortgage Loans on Real Estate [Line Items]  
Schedule of Geographic Concentration of Credit Risk
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of September 30, 2017 and December 31, 2016, respectively, are as follows:
 
September 30, 2017
 
December 31, 2016
Florida
10.6
%
 
12.2
%
North Carolina
8.2
%
 
7.7
%
Georgia
7.4
%
 
6.0
%
California
6.6
%
 
8.8
%
New York
5.5
%
 
5.4
%
Ohio
5.0
%
 
4.8
%