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 March 31, 2018 and December 31, 2017, respectively (dollar amounts in thousands):



	March 31, 2018			December 31, 2017
Unpaid principal balance	$	74,472		$	77,519
Deferred origination costs – net	473			492
Reserve for loan losses	(4,081		)	(4,191		)
Total	$	70,864		$	73,820

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 three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):



	Three Months Ended March 31,
	2018			2017
Balance at beginning of period	$	4,191		$	3,782
(Recovery of) provision for loan losses	(110		)	15
Transfer to real estate owned	—			—
Charge-offs	—			—
Balance at the end of period	$	4,081		$	3,797

On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses as of March 31, 2018 was $4.1 million, representing 548 basis points of the outstanding principal balance of residential loans held in securitization trusts, as compared to 541 basis points as of December 31, 2017. 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 three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):



	Three Months Ended March 31,
	2018		2017
Balance at beginning of period	$	111	$	150
Write downs	—		—
Transfer from/(to) mortgage loans held in securitization trusts	—		—
Disposal	—		(150		)
Balance at the end of period	$	111	$	—

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 (provision for) 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 March 31, 2018 and December 31, 2017, respectively.

Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts

As of March 31, 2018, we had 27 delinquent loans with an aggregate principal amount outstanding of approximately $16.9 million categorized as residential mortgage loans held in securitization trusts, net, of which $5.5 million, or 33%, 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 March 31, 2018 (dollar amounts in thousands):

March 31, 2018



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	1	$	315	0.42	%
61 - 90	1	$	255	0.34	%
90 +	25	$	16,295	21.85	%
Real estate owned through foreclosure	1	$	118	0.16	%

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 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	%

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 as of March 31, 2018 and December 31, 2017 are as follows:



	March 31, 2018		December 31, 2017
New York	32.4	%	31.8	%
Massachusetts	20.1	%	20.7	%
New Jersey	12.3	%	11.9	%
Florida	9.1	%	8.8	%
Connecticut	7.5	%	7.3	%
Maryland	5.4	%	5.2	%