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Distressed and Other Residential Mortgage Loans, Net (Tables)

12 Months Ended

Dec. 31, 2019

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

Schedule of Activity in Accretable Yield

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

	December 31, 2019				December 31, 2018
Balance at beginning of period	$	195,560			$	303,949
Additions	1,784				7,972
Disposals	(53,624		)		(99,603		)
Accretion	(7,015		)		(16,758		)
Balance at end of period (1)	$	136,705			$	195,560

⁽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 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 years ended December 31, 2019 and 2018 is not necessarily indicative of future results.

Schedule of Geographic Concentration Risk Exceeding 5%

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 December 31, 2019 and 2018, respectively, are as follows:

	December 31, 2019			December 31, 2018
California	23.9	%		27.9	%
Florida	9.4	%		9.0	%
New York	8.0	%		5.1	%
Texas	5.4	%		4.2	%
New Jersey	5.1	%		3.8	%

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

	December 31, 2019			December 31, 2018
North Carolina	10.5	%		9.0	%
Florida	10.1	%		10.4	%
Georgia	7.0	%		7.2	%
South Carolina	5.8	%		5.6	%
Texas	5.6	%		4.9	%
New York	5.5	%		5.4	%
Ohio	5.2	%		5.0	%
Virginia	5.2	%		5.3	%

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

	December 31, 2019			December 31, 2018
New York	36.1	%		33.9	%
Massachusetts	17.2	%		20.0	%
New Jersey	12.8	%		14.5	%
Florida	12.1	%		9.9	%
Maryland	5.5	%		5.3	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to residential mortgage loans held in securitization trust at fair value as of December 31, 2019 are as follows:

	December 31, 2019
California	11.0	%
Florida	10.6	%
New York	9.1	%
New Jersey	6.9	%
Illinois	6.6	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of December 31, 2019 and multi-family loans held in securitization trusts and first loss POs and certain IOs held in re-securitization trusts as of December 31, 2018 are as follows:

	December 31, 2019			December 31, 2018
California	15.9	%		14.8	%
Texas	12.4	%		13.0	%
Florida	6.2	%		4.5	%
Maryland	5.8	%		5.0	%

Schedule of Residential Mortgage Loans Held in Securitization Trusts

The Company’s distressed and other residential mortgage loans at fair value consist of the following as of December 31, 2019 and 2018, respectively (dollar amounts in thousands):

	Principal				Premium/(Discount)				Unrealized Gains/(Losses)				Carrying Value
December 31, 2019	$	1,464,984			$	(81,372	)		$	46,142			$	1,429,754
December 31, 2018	788,372				(54,905		)		4,056				737,523

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

	December 31, 2019				December 31, 2018
Unpaid principal balance	$	47,237			$	60,171
Deferred origination costs – net	301				383
Allowance for loan losses	(3,508		)		(3,759		)
Total	$	44,030			$	56,795

Activity in 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 years ended December 31, 2019, 2018 and 2017, respectively (dollar amounts in thousands):

	Years Ended December 31,
	2019				2018				2017
Balance at beginning of period	$	3,759			$	4,191			$	3,782
Provisions for loan losses	25				166				475
Transfer to real estate owned	(167		)		—				(6		)
Charge-offs	(109		)		(598		)		(60		)
Balance at the end of period	$	3,508			$	3,759			$	4,191

Delinquencies in Portfolio of Loans Held in Securitization Trusts

The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, net 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, net, including real estate owned (REO) through foreclosure, as of December 31, 2019 (dollar amounts in thousands):

December 31, 2019

Days Late	Number of Delinquent Loans		Total Unpaid Principal				% of Loan Portfolio
30 - 60	2		$	211			0.44	%
90+	16		$	10,010			21.05	%
Real estate owned through foreclosure	1		$	360			0.76	%

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