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Schedule IV - Mortgage Loans on Real Estate
 12 Months Ended
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