XML 53 R38.htm IDEA: XBRL DOCUMENT v3.8.0.1
Distressed Residential Mortgage Loans (Tables)
 12 Months Ended
Dec. 31, 2017
Mortgage Loans on Real Estate [Line Items]  
Schedule of Contractually Required Payments, Cash Flow Expected to Be Collected and Estimated Fair Value of 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 years ended December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
 
December 31, 2017
 
December 31, 2016
Contractually required principal and interest
$
76,529

 
$
188,444

Nonaccretable yield
(6,467
)
 
(14,512
)
Expected cash flows to be collected
70,062

 
173,932

Accretable yield
(58,767
)
 
(114,153
)
Fair value at the date of acquisition
$
11,295

 
$
59,779
Schedule of Distressed Residential Mortgage Loans Activity
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 years ended December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
 
December 31, 2017
 
December 31, 2016
Balance at beginning of period
$
530,512

 
$
579,009

Additions
93,854

 
128,386

Disposals
(301,472
)
 
(144,242
)
Accretion
(18,945
)
 
(32,641
)
Balance at end of period (1)
$
303,949

 
$
530,512



(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 the twelve-month periods ended December 31, 2017 and December 31, 2016 is not necessarily indicative of future results.
Schedule of Geographic Concentration Risk Exceeding 5%
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
%


The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of December 31, 2017 and December 31, 2016, respectively, are as follows:
 
December 31, 2017
 
December 31, 2016
California
35.9
%
 
63.3
%
New Jersey
7.7
%
 
2.5
%
Florida
6.6
%
 
5.6
%
Distressed residential mortgage loans held in securitization trusts (net)  
Mortgage Loans on Real Estate [Line Items]  
Schedule of Geographic Concentration Risk Exceeding 5%
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance in our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of December 31, 2017 and December 31, 2016, respectively, are as follows:
 
December 31, 2017
 
December 31, 2016
Florida
11.2
%
 
12.2
%
North Carolina
8.3
%
 
7.7
%
California
6.9
%
 
8.8
%
Georgia
5.8
%
 
6.0
%
New York
5.7
%
 
5.4
%
Ohio
5.1
%
 
4.8
%
South Carolina
5.0
%
 
4.0
%