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Schedule IV - Mortgage Loans on Real Estate | 12 Months Ended
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Dec. 31, 2017
Mortgage Loans on Real Estate [Abstract] |
Schedule IV - Mortgage Loans on Real Estate | Residential Mortgage Loans Held in Securitization Trusts, Net and Real Estate Owned Residential mortgage loans held in securitization trusts, net consist of the following at December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
| December 31, 2017 |  | December 31, 2016
Unpaid principal balance | $ | 77,519 |  |  | $ | 98,303 |
Deferred origination costs – net | 492 |  |  | 623 |
Reserve for loan losses | (4,191 | ) |  | (3,782 | )
Total | $ | 73,820 |  |  | $ | 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 years ended December 31, 2017, 2016 and 2015, respectively (dollar amounts in thousands):
| Years Ended December 31,
| 2017 |  | 2016 |  | 2015
Balance at beginning of period | $ | 3,782 |  |  | $ | 3,399 |  |  | $ | 3,631 |
Provisions for loan losses | 475 |  |  | 612 |  |  | 1,161 |
Transfer to real estate owned | (6 | ) |  | (117 | ) |  | — |
Charge-offs | (60 | ) |  | (112 | ) |  | (1,393 | )
Balance at the end of period | $ | 4,191 |  |  | $ | 3,782 |  |  | $ | 3,399 |
On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses at December 31, 2017 was $4.2 million, representing 541 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 years ended December 31, 2017, 2016 and 2015, respectively (dollar amounts in thousands):
| December 31, 2017 |  | December 31, 2016 |  | December 31, 2015
Balance at beginning of period | $ | 150 |  |  | $ | 411 |  |  | $ | 965 |
Write downs | — |  |  | (9 | ) |  | — |
Transfer from mortgage loans held in securitization trusts | 111 |  |  | 352 |  |  | — |
Disposal | (150 | ) |  | (604 | ) |  | (554 | )
Balance at the end of period | $ | 111 |  |  | $ | 150 |  |  | $ | 411 |
Real estate owned held in residential securitization trusts are included in receivables and other assets on the accompanying consolidated balance sheets and write downs are included in recovery of (provision for) loan losses in the 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 $4.4 million as of December 31, 2017 and December 31, 2016. Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts As of December 31, 2017, we had 26 delinquent loans with an aggregate principal amount outstanding of approximately $16.5 million categorized as Residential mortgage loans held in securitization trusts, net, of which $10.2 million, or 62%, 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 real estate owned (REO) through foreclosure, as of December 31, 2017 (dollar amounts in thousands): December 31, 2017
Days Late | Number of Delinquent Loans |  | Total Unpaid Principal |  | % of Loan Portfolio
30 - 60 | 1 |  | $ | 203 |  |  | 0.26 | %
61 - 90 | 1 |  | $ | 173 |  |  | 0.22 | %
90+ | 24 |  | $ | 16,147 |  |  | 20.80 | %
Real estate owned through foreclosure | 1 |  | $ | 118 |  |  | 0.15 | %
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%, were 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 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 REO held in residential securitization trusts at December 31, 2017 and December 31, 2016 are as follows:
| December 31, 2017 |  | December 31, 2016
New York | 31.8 | % |  | 33.8 | %
Massachusetts | 20.7 | % |  | 19.9 | %
New Jersey | 11.9 | % |  | 10.8 | %
Florida | 8.8 | % |  | 8.9 | %
Connecticut | 7.3 | % |  | 7.4 | %
Maryland | 5.2 | % |  | 5.1 | %
Schedule IV - Mortgage Loans on Real Estate (dollar amounts in thousands) December 31, 2017
Asset Type |  | Number of Loans |  | Interest Rate |  | Maturity Date |  | Carrying Value |  | Principal Amount of Loans Subject to Delinquent Principal or Interest
Distressed residential mortgage loans |  |  |  |  |  |  |  |  |  |
First mortgage loans |  |  |  |  |  |  |  |  |  |
Original loan amount $0 - $99,999 |  | 2,268 |  | 1.99% - 14.99% |  | 8/18/2007 - 5/1/2062 |  | $ | 106,469 |  |  | $ | 17,223 |
Original loan amount $100,000 - $199,999 |  | 1,009 |  | 1.75% - 12.48% |  | 11/1/2009 - 12/1/2057 |  | 109,442 |  |  | 20,431 |
Original loan amount $200,000 - $299,999 |  | 268 |  | 0.00% - 12.04% |  | 7/1/2021 - 8/1/2061 |  | 49,199 |  |  | 13,297 |
Original loan amount over $299,999 |  | 184 |  | 0.75% - 9.40% |  | 4/1/2020 - 8/1/2057 |  | 66,354 |  |  | 20,625 |
Residential mortgage loans held in securitization trusts |  |  |  |  |  |  |  |  |  |
First mortgage loans |  |  |  |  |  |  |  |  |  |
Original loan amount $0 - $99,999 |  | 10 |  | 3.75% - 4.00% |  | 10/1/2034 - 8/1/2035 |  | 580 |  |  | — |
Original loan amount $100,000 - $199,999 |  | 53 |  | 3.00% - 4.63% |  | 10/1/2034 - 1/1/2036 |  | 5,919 |  |  | 400 |
Original loan amount $200,000 - $299,999 |  | 65 |  | 3.25% - 5.63% |  | 8/1/2032 - 12/1/2035 |  | 12,246 |  |  | 2,019 |
Original loan amount $300,000 - $399,999 |  | 36 |  | 2.50% - 4.63% |  | 8/1/2033 - 12/1/2035 |  | 9,037 |  |  | 708 |
Original loan amount $400,000 - $499,999 |  | 26 |  | 3.13% - 4.00% |  | 8/1/2033 - 12/1/2035 |  | 8,599 |  |  | 1,244 |
Original loan amount over $499,999 |  | 50 |  | 2.38% - 4.13% |  | 9/1/2033 - 12/1/2035 |  | 37,439 |  |  | 11,948 |
Residential mortgage loans, at fair value |  |  |  |  |  |  |  |  |  |
First mortgage loans |  |  |  |  |  |  |  |  |  |
$0 - $99,999 |  | 35 |  | 3.63% - 14.59% |  | 10/1/2018 - 7/1/2054 |  | 1,777 |  |  | 85 |
$100,000 - $199,999 |  | 74 |  | 2.00% - 9.00% |  | 8/1/2030 - 2/1/2057 |  | 8,552 |  |  | 565 |
$200,000 - $299,999 |  | 49 |  | 2.00% - 9.25% |  | 1/1/2028 - 6/1/2056 |  | 9,684 |  |  | 500 |
Over $299,999 |  | 43 |  | 2.13% - 6.85% |  | 5/1/2030 - 12/1/2056 |  | 16,901 |  |  | — |
Second mortgage loans |  |  |  |  |  |  |  |  |  |
$0 - $99,999 |  | 652 |  | 5.88% - 8.75% |  | 11/1/2030 - 1/1/2048 |  | 32,209 |  |  | 64 |
$100,000 - $199,999 |  | 90 |  | 6.00% - 9.00% |  | 7/1/2031 - 1/1/2048 |  | 12,222 |  |  | — |
$200,000 - $299,999 |  | 22 |  | 6.25% - 9.00% |  | 3/1/2046 - 12/1/2047 |  | 5,144 |  |  | — |
Over $299,999 |  | 2 |  | 6.88% - 7.25% |  | 9/1/2047 - 11/1/2047 |  | 664 |  |  | — |
Other mortgage loans |  |  |  |  |  |  |  |  |  |
Residential and commercial first mortgage loans |  | 28 |  | 2.63% - 15.00% |  | 12/15/2013 - 8/1/2046 |  | 7,268 |  |  | 2,851 |
Multi-family loans |  |  |  |  |  |  |  |  |  |
First mortgage loans |  | 495 |  | 3.04% - 6.18% |  | 5/1/2019 - 10/1/2027 |  | 9,657,421 |  |  | — |
|  |  |  |  |  |  |  | $ | 10,157,126 |  |  | $ | 91,960 |
Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate
|  | For the year ended December 31,
(in thousands) |  | 2017 |  | 2016 |  | 2015
Beginning balance |  | $ | 7,565,459 |  |  | $ | 7,792,422 |  |  | $ | 9,107,248 |
Additions during period: |  |  |  |  |  |
Purchases |  | 2,987,775 |  |  | 82,167 |  |  | 156,952 |
Accretion of purchase discount |  | 19,686 |  |  | 32,688 |  |  | 39,537 |
Deconsolidation |  | — |  |  | — |  |  | 1,483 |
Change in realized and unrealized gains (losses) |  | 10,214 |  |  | 10,794 |  |  | — |
Deductions during period: |  |  |  |  |  |
Repayments of principal |  | (175,664 | ) |  | (175,216 | ) |  | (130,651 | )
Collection of interest |  | (26,081 | ) |  | (32,928 | ) |  | (36,344 | )
Transfer to REO |  | (7,228 | ) |  | (8,892 | ) |  | (2,829 | )
Cost of mortgages sold |  | (176,470 | ) |  | (96,344 | ) |  | (1,241,266 | )
Provision for loan loss |  | 1,739 |  |  | 847 |  |  | (1,363 | )
Change in realized and unrealized gains (losses) |  | (270 | ) |  | — |  |  | (59,262 | )
Amortization of premium |  | (42,034 | ) |  | (40,079 | ) |  | (41,083 | )
Balance at end of period |  | $ | 10,157,126 |  |  | $ | 7,565,459 |  |  | $ | 7,792,422 |

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- Definition The entire disclosure for mortgage loans on real estate, this includes the supplemental information pertaining to each mortgage loan receivable that equals or exceeds three percent of the carrying amount of mortgages. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 948 -SubTopic 310 -URI http://asc.fasb.org/subtopic&trid=2176522 + Details
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