Residential Mortgage Loans, At Fair Value (Tables)

6 Months Ended

Jun. 30, 2018

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Residential Mortgage Loans At Fair Value

The Company’s residential mortgage loans at fair value consist of the following as of June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):



	Principal		Premium/(Discount)			Unrealized Gains/(Losses)			Carrying Value
June 30, 2018	$	175,275	$	(5,598	)	$	(480	)	$	169,197
December 31, 2017	92,105		(4,911		)	(41		)	87,153

Components of Net Gain on Residential Mortgage Loans at Fair Value

The following table presents the components of net gain (loss) on residential mortgage loans at fair value for the six months ended June 30, 2018 and 2017, respectively (dollar amounts in thousands):



	June 30, 2018			June 30, 2017
Net realized gain on payoff and sale of loans	$	369		$	—
Net unrealized losses	(439		)	—

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 REO held in residential securitization trusts as of June 30, 2018 and December 31, 2017 are as follows:



	June 30, 2018		December 31, 2017
New York	31.9	%	31.8	%
Massachusetts	19.5	%	20.7	%
New Jersey	13.0	%	11.9	%
Florida	9.4	%	8.8	%
Connecticut	7.7	%	7.3	%
Maryland	4.9	%	5.2	%

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential mortgage loans at fair value as of June 30, 2018 and December 31, 2017, respectively, are as follows:



	June 30, 2018		December 31, 2017
California	28.4	%	35.9	%
Florida	8.5	%	6.6	%
New Jersey	6.4	%	7.7	%

Residential Mortgage Loans, Fair Value Compared to Unpaid Principal

The following table presents the difference between the fair value and the aggregate unpaid principal balance of the Company's residential mortgage loans at fair value greater than 90 days past due and in non-accrual status as of June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):



	Fair Value		Unpaid Principal Balance		Difference
June 30, 2018	$	2,212	$	2,649	$	(437	)
December 31, 2017	1,048		1,214		(166		)

Distressed residential mortgage loans and second mortgages with a fair value of approximately $117.4 million and $44.2 million at June 30, 2018 and December 31, 2017, respectively, are pledged as collateral for master repurchase agreements with Deutsche Bank AG, Cayman Islands Branch (see Note 14).