Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2018

SEC Schedule, 12-29, Real Estate Companies, Investment in 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, 2018 and December 31, 2017, respectively (dollar amounts in thousands):



	December 31, 2018			December 31, 2017
Unpaid principal balance	$	60,171		$	77,519
Deferred origination costs – net	383			492
Reserve for loan losses	(3,759		)	(4,191		)
Total	$	56,795		$	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 years ended December 31, 2018, 2017 and 2016, respectively (dollar amounts in thousands):



	Years Ended December 31,
	2018			2017			2016
Balance at beginning of period	$	4,191		$	3,782		$	3,399
Provisions for loan losses	166			475			612
Transfer to real estate owned	—			(6		)	(117		)
Charge-offs	(598		)	(60		)	(112		)
Balance at the end of period	$	3,759		$	4,191		$	3,782

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, 2018 was $3.8 million, representing 625 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 Company had no real estate owned held in residential securitization trusts at December 31, 2018. The Company had real estate owned held in residential securitization trusts of $0.1 million at December 31, 2017. 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 (provision for) recovery of loan losses in the accompanying 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 $4.8 million and $4.4 million as of December 31, 2018 and December 31, 2017, respectively.

Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts

As of December 31, 2018, we had 19 delinquent loans with an aggregate principal amount outstanding of approximately $10.9 million categorized as residential mortgage loans held in securitization trusts, net, of which $6.6 million, or 61%, 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 as of December 31, 2018 (dollar amounts in thousands):

December 31, 2018



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
90+	19	$	10,926	18.16	%

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 at December 31, 2018 and December 31, 2017 are as follows:



	December 31, 2018		December 31, 2017
New York	33.9	%	31.8	%
Massachusetts	20.0	%	20.7	%
New Jersey	14.5	%	11.9	%
Florida	9.9	%	8.8	%
Maryland	5.3	%	5.2	%

Schedule IV - Mortgage Loans on Real Estate

(dollar amounts in thousands)

December 31, 2018



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, net
First mortgage loans
Original loan amount $0 - $99,999	1,670	1.99% - 14.99%	8/18/2007 - 5/1/2062	$	78,252	$	12,140
Original loan amount $100,000 - $199,999	745	1.98% - 12.48%	11/1/2009 - 11/1/2058	78,666		13,049
Original loan amount $200,000 - $299,999	177	0.00% - 11.44%	7/1/2021 - 7/1/2058	32,813		9,091
Original loan amount over $299,999	110	2.00% - 9.40%	11/1/2021 - 8/1/2057	38,735		12,170

Residential mortgage loans held in securitization trusts
First mortgage loans
Original loan amount $0 - $99,999	27	4.00% - 5.63%	10/1/2034 - 9/1/2035	1,803		92
Original loan amount $100,000 - $199,999	69	3.50% - 6.63%	8/1/2032 - 1/1/2036	10,338		1,029
Original loan amount $200,000 - $299,999	45	3.38% - 6.38%	8/1/2033 - 12/1/2035	10,772		764
Original loan amount $300,000 - $399,999	22	4.00% - 5.25%	12/1/2034 - 12/1/2035	7,252		1,556
Original loan amount $400,000 - $499,999	9	4.75% - 5.13%	2/1/2035 - 11/1/2035	3,762		456
Original loan amount over $499,999	24	3.00% - 5.13%	8/1/2034 - 12/1/2035	22,868		7,028

Distressed and other residential mortgage loans, at fair value
First mortgage loans
$0 - $99,999	772	1.50% - 14.59%	9/21/2018 - 11/1/2058	41,547		4,015
$100,000 - $199,999	1,424	1.88% - 13.13%	7/1/2018 - 11/1/2058	161,571		17,303
$200,000 - $299,999	706	2.00% - 11.38%	9/1/2019 - 7/1/2058	135,073		15,906
Over $299,999	888	2.00% - 10.89%	3/1/2020 - 10/1/2058	331,980		37,509

Second mortgage loans
$0 - $99,999	963	5.75% - 9.13%	11/1/2030 - 9/1/2048	46,529		434
$100,000 - $199,999	113	6.00% - 9.13%	5/1/2032 - 11/1/2048	14,978		—
$200,000 - $299,999	24	6.25% - 8.63%	3/1/2046 - 8/1/2048	5,548		—
Over $299,999	1	6.88%	11/1/2047	297		—

Other mortgage loans
Residential and commercial first mortgage loans	20	2.98% - 15.00%	12/15/2013 - 8/1/2046	4,994		2,177

Multi-family loans
First mortgage loans	606	3.04% - 6.18%	5/1/2019 - 9/1/2033	11,679,847		16,872
				$	12,707,625	$	151,591

Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate



	For the year ended December 31,
(in thousands)	2018			2017			2016
Beginning balance	$	10,157,126		$	7,565,459		$	7,792,422
Additions during period:
Purchases	2,983,295			2,987,775			82,167
Accretion of purchase discount	19,940			19,686			32,688
Deconsolidation	—			—			—
Change in realized and unrealized gains (losses)	4,096			10,214			10,794
Deductions during period:
Repayments of principal	(182,163		)	(175,664		)	(175,216		)
Collection of interest	(21,754		)	(26,081		)	(32,928		)
Transfer to REO	(7,998		)	(7,228		)	(8,892		)
Cost of mortgages sold	(109,000		)	(176,470		)	(96,344		)
Provision for loan loss	(1,235		)	1,739			847
Change in realized and unrealized gains (losses)	(85,115		)	(270		)	—
Amortization of premium	(49,567		)	(42,034		)	(40,079		)
Balance at end of period	$	12,707,625		$	10,157,126		$	7,565,459