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Distressed Residential Mortgage Loans (Tables)
 6 Months Ended
Jun. 30, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]  
Schedule of Information of Distressed Residential Mortgage 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 six months ended June 30, 2017 (dollar amounts in thousands):
 
June 30, 2017
Contractually required principal and interest
$
76,529

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

Accretable yield
(58,767
)
Fair value at the date of acquisition
$
11,295
Activity in Accretable Yield for Distressed Residential Mortgage Loans
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 six months ended June 30, 2018 and 2017, respectively (dollar amounts in thousands):
 
June 30, 2018
 
June 30, 2017
Balance at beginning of period
$
303,949

 
$
530,511

Additions
3,314

 
88,391

Disposals
(37,665
)
 
(206,166
)
Accretion
(8,074
)
 
(12,711
)
Balance at end of period (1)
$
261,524

 
$
400,025


(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 each of the six month periods ended June 30, 2018 and 2017 is not necessarily indicative of future results.
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
%
Distressed residential mortgage loans held in securitization trusts, net  
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]  
Schedule of Geographic Concentration of Credit Risk
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of June 30, 2018 and December 31, 2017, respectively, are as follows:
 
June 30, 2018
 
December 31, 2017
Florida
11.2
%
 
11.2
%
North Carolina
8.5
%
 
8.3
%
California
6.9
%
 
6.9
%
Georgia
6.0
%
 
5.8
%
New York
5.9
%
 
5.7
%
South Carolina
5.3
%
 
5.0
%
Ohio
5.0
%
 
5.1
%