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Distressed and Other Residential Mortgage Loans, Net (Tables) | 9 Months Ended
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Sep. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] |
Schedule of Activity in Accretable Yield for Distressed Residential Mortgage Loans | The following table details activity in accretable yield for the distressed residential mortgage loans, net for the nine months ended September 30, 2019 and 2018, respectively (dollar amounts in thousands):
| September 30, 2019 |  | September 30, 2018
Balance at beginning of period | $ | 195,560 |  |  | $ | 303,949 |
Additions | 1,813 |  |  | 6,007 |
Disposals | (48,383 | ) |  | (64,876 | )
Accretion | (4,672 | ) |  | (11,999 | )
Balance at end of period (1) | $ | 144,318 |  |  | $ | 233,081 |
(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 nine month periods ended September 30, 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 September 30, 2019 and December 31, 2018, respectively, are as follows:
| September 30, 2019 |  | December 31, 2018
California | 23.2 | % |  | 27.9 | %
Florida | 9.8 | % |  | 9.0 | %
Texas | 6.0 | % |  | 4.2 | %
New York | 6.0 | % |  | 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 September 30, 2019 and December 31, 2018 are as follows:
| September 30, 2019 |  | December 31, 2018
New York | 36.0 | % |  | 33.9 | %
Massachusetts | 17.5 | % |  | 20.0 | %
New Jersey | 12.6 | % |  | 14.5 | %
Florida | 11.8 | % |  | 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, net as of September 30, 2019 and December 31, 2018, respectively, are as follows:
| September 30, 2019 |  | December 31, 2018
North Carolina | 10.3 | % |  | 9.0 | %
Florida | 10.0 | % |  | 10.4 | %
Georgia | 7.1 | % |  | 7.2 | %
South Carolina | 5.7 | % |  | 5.6 | %
Virginia | 5.6 | % |  | 5.3 | %
Texas | 5.5 | % |  | 4.9 | %
New York | 5.3 | % |  | 5.4 | %
Ohio | 5.2 | % |  | 5.0 | %
The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of September 30, 2019 and our CMBS investments included in investment securities available for sale, held in securitization trusts, and multi-family loans held in securitization trusts as of December 31, 2018 are as follows:
| September 30, 2019 |  | December 31, 2018
California | 15.4 | % |  | 14.8 | %
Texas | 12.0 | % |  | 13.0 | %
Maryland | 6.3 | % |  | 5.0 | %
Florida | 5.4 | % |  | 4.5 | %
Schedule of Residential Mortgage Loans Held in Securitization Trusts (Net) | Residential mortgage loans held in securitization trusts, net consist of the following as of September 30, 2019 and December 31, 2018, respectively (dollar amounts in thousands):
| September 30, 2019 |  | December 31, 2018
Unpaid principal balance | $ | 48,869 |  |  | $ | 60,171 |
Deferred origination costs – net | 311 |  |  | 383 |
Allowance for loan losses | (3,508 | ) |  | (3,759 | )
Total | $ | 45,672 |  |  | $ | 56,795 |
Schedule of 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, net for the nine months ended September 30, 2019 and 2018, respectively (dollar amounts in thousands):
| Nine Months Ended September 30,
| 2019 |  | 2018
Balance at beginning of period | $ | 3,759 |  |  | $ | 4,191 |
Provision for (recovery of) loan losses | 25 |  |  | (93 | )
Transfer to real estate owned | (167 | ) |  | — |
Charge-offs | (109 | ) |  | (435 | )
Balance at the end of period | $ | 3,508 |  |  | $ | 3,663 |
Schedule of 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 September 30, 2019 (dollar amounts in thousands): September 30, 2019
Days Late | Number of Delinquent Loans |  | Total Unpaid Principal |  | % of Loan Portfolio
90 + | 17 |  | $ | 10,289 |  |  | 20.92 | %
Real estate owned through foreclosure | 1 |  | $ | 360 |  |  | 0.73 | %

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