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Distressed and Other Residential Mortgage Loans, Net (Tables)

3 Months Ended

Mar. 31, 2019

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

Activity in Accretable Yield for Distressed Residential Mortgage Loans

The following table details activity in accretable yield for the distressed residential mortgage loans for the three months ended March 31, 2019 and 2018, respectively (dollar amounts in thousands):

	March 31, 2019				March 31, 2018
Balance at beginning of period	$	195,559			$	303,949
Additions	587				1,694
Disposals	(15,080		)		(8,694		)
Accretion	(1,825		)		(5,354		)
Balance at end of period (1)	$	179,241			$	291,595

⁽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 three month periods ended March 31, 2019 and 2018 is not necessarily indicative of future results.

Schedule of Geographic Concentration of Credit Risk Exceeding 5% of Balances

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of distressed and other residential mortgage loans at fair value as of March 31, 2019 and December 31, 2018, respectively, are as follows:

	March 31, 2019			December 31, 2018
California	27.8	%		27.9	%
Florida	9.8	%		9.0	%
Texas	5.1	%		4.2	%
New York	5.0	%		5.1	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts as of March 31, 2019 and December 31, 2018 are as follows:

	March 31, 2019			December 31, 2018
New York	33.9	%		33.9	%
Massachusetts	18.3	%		20.0	%
New Jersey	14.9	%		14.5	%
Florida	10.5	%		9.9	%
Maryland	5.4	%		5.3	%

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans as of March 31, 2019 and December 31, 2018, respectively, are as follows:

	March 31, 2019			December 31, 2018
Florida	10.6	%		10.4	%
North Carolina	9.7	%		9.0	%
Georgia	5.9	%		7.2	%
New York	5.7	%		5.4	%
Virginia	5.6	%		5.3	%
South Carolina	5.6	%		5.6	%
Ohio	5.3	%		5.0	%
Texas	5.2	%		4.9	%
California	5.1	%		4.8	%

Schedule of Residential Mortgage Loans Held in Securitization Trusts (Net)

Residential mortgage loans held in securitization trusts, net consist of the following as of March 31, 2019 and December 31, 2018, respectively (dollar amounts in thousands):

	March 31, 2019				December 31, 2018
Unpaid principal balance	$	56,140			$	60,171
Deferred origination costs – net	359				383
Reserve for loan losses	(3,630		)		(3,759		)
Total	$	52,869			$	56,795

Allowance for Loan Losses on Residential Mortgage Loans Held in Securitization Trusts

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, 2019 and 2018, respectively (dollar amounts in thousands):

	Three Months Ended March 31,
	2019				2018
Balance at beginning of period	$	3,759			$	4,191
Provision for (recovery of) loan losses	38				(110		)
Transfer to real estate owned	(167		)		—
Charge-offs	—				—
Balance at the end of period	$	3,630			$	4,081

Delinquencies in Portfolio of Residential Mortgage Loans Held in Securitization Trusts

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	%

The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts as of March 31, 2019 (dollar amounts in thousands):

March 31, 2019

Days Late	Number of Delinquent Loans		Total Unpaid Principal				% of Loan Portfolio
90 +	18		$	10,530			18.65	%
Real estate owned through foreclosure	1		$	360			0.64	%

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