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Distressed and Other Residential Mortgage Loans, Net | 6 Months Ended
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Jun. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] |
Distressed and Other Residential Mortgage Loans, Net | Distressed and Other Residential Mortgage Loans, Net Distressed Residential Mortgage Loans, Net As of June 30, 2019 and December 31, 2018, the carrying value of the Company’s distressed residential mortgage loans accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality ("ASC 310-30") amounts to approximately $169.3 million and $228.5 million, respectively. The Company did not purchase loans accounted for under ASC 310-30 during the six months ended June 30, 2019 and 2018, respectively. The following table details activity in accretable yield for the distressed residential mortgage loans, net for the six months ended June 30, 2019 and 2018, respectively (dollar amounts in thousands):
| June 30, 2019 |  | June 30, 2018
Balance at beginning of period | $ | 195,560 |  |  | $ | 303,949 |
Additions | 2,369 |  |  | 3,314 |
Disposals | (45,004 | ) |  | (37,665 | )
Accretion | (2,370 | ) |  | (8,074 | )
Balance at end of period (1) | $ | 150,555 |  |  | $ | 261,524 |
(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, 2019 and 2018 is not necessarily indicative of future results.
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, net as of June 30, 2019 and December 31, 2018, respectively, are as follows:
| June 30, 2019 |  | December 31, 2018
North Carolina | 10.1 | % |  | 9.0 | %
Florida | 9.9 | % |  | 10.4 | %
Georgia | 7.0 | % |  | 7.2 | %
South Carolina | 5.6 | % |  | 5.6 | %
Virginia | 5.6 | % |  | 5.3 | %
Texas | 5.5 | % |  | 4.9 | %
New York | 5.4 | % |  | 5.4 | %
Ohio | 5.2 | % |  | 5.0 | %
The Company had no distressed residential mortgage loans held in securitization trusts pledged as collateral for securitized debt as of June 30, 2019. The Company's distressed residential mortgage loans held in securitization trusts with a carrying value of approximately $88.1 million at December 31, 2018 were pledged as collateral for certain of the Securitized Debt issued by the Company (see Note 9). In addition, distressed residential mortgage loans with a carrying value of approximately $85.1 million and $128.1 million at June 30, 2019 and December 31, 2018, respectively, are pledged as collateral for a master repurchase agreement (see Note 12). Residential Mortgage Loans Held in Securitization Trusts, Net Residential mortgage loans held in securitization trusts, net are comprised of certain ARMs transferred to Consolidated VIEs that have been securitized into sequentially rated classes of beneficial interests. Residential mortgage loans held in securitization trusts, net consist of the following as of June 30, 2019 and December 31, 2018, respectively (dollar amounts in thousands):
| June 30, 2019 |  | December 31, 2018
Unpaid principal balance | $ | 51,986 |  |  | $ | 60,171 |
Deferred origination costs – net | 334 |  |  | 383 |
Reserve for loan losses | (3,521 | ) |  | (3,759 | )
Total | $ | 48,799 |  |  | $ | 56,795 |
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, net for the six months ended June 30, 2019 and 2018, respectively (dollar amounts in thousands):
| Six Months Ended June 30,
| 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 | (109 | ) |  | (237 | )
Balance at the end of period | $ | 3,521 |  |  | $ | 3,844 |
On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses as of June 30, 2019 was $3.5 million, representing 677 basis points of the outstanding principal balance of residential mortgage loans held in securitization trusts, as compared to 625 basis points as of December 31, 2018. 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. All of the Company’s residential mortgage loans held in securitization trusts and real estate owned are pledged as collateral for the residential collateralized debt obligations (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 as of June 30, 2019 and December 31, 2018. Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts As of June 30, 2019, we had 19 delinquent loans with an aggregate principal amount outstanding of approximately $10.6 million categorized as residential mortgage loans held in securitization trusts, net, of which $6.5 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 June 30, 2019 (dollar amounts in thousands): June 30, 2019
Days Late | Number of Delinquent Loans |  | Total Unpaid Principal |  | % of Loan Portfolio
30-60 | 1 |  | $ | 264 |  |  | 0.50 | %
90 + | 18 |  | $ | 10,384 |  |  | 19.85 | %
Real estate owned through foreclosure | 1 |  | $ | 360 |  |  | 0.69 | %
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 | %
The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts as of June 30, 2019 and December 31, 2018 are as follows:
| June 30, 2019 |  | December 31, 2018
New York | 34.7 | % |  | 33.9 | %
Massachusetts | 17.6 | % |  | 20.0 | %
New Jersey | 15.1 | % |  | 14.5 | %
Florida | 11.2 | % |  | 9.9 | %
Maryland | 5.4 | % |  | 5.3 | %

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- Definition The entire disclosure for investment in mortgage loan on real estate by entity with substantial portion of business acquiring and holding investment real estate or interest in real estate. Includes, but is not limited to, information for each mortgage loan receivable equaling or exceeding three percent of carrying amount of mortgage. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-X (SX) -Number 210 -Section 12 -Subsection 29 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 948 -SubTopic 310 -Section S99 -Paragraph 1 -Subparagraph (SX 210.12-29) -URI http://asc.fasb.org/extlink&oid=6589523&loc=d3e617274-123014 + Details
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