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Mortgage loans

6 Months Ended

Jun. 30, 2015

Note 3 — Mortgage loans

The following tables present information regarding the contractually required payments and the estimated cash flows expected to be collected as of the date of the acquisition and changes in the balance of the accretable yield ($ in thousands):

	Three months ended						Six months ended						Period from inception to
	June 30, 2015						June 30, 2015						December 31, 2014
	Re-performing loans			Non-performing loans			Re-performing loans			Non-performing loans			Re-performing loans			Non-performing loans
Contractually required principal and interest	$	332,571		$	31,827		$	486,603		$	65,675		$	393,657		$	257,790
Non-accretable yield		(132,557	)		(18,598	)		(198,704	)		(38,317	)		(173,502	)		(184,096	)
Expected cash flows to be collected		200,014			13,229			287,899			27,358			220,155			73,694
Accretable yield		(49,626	)		(4,185	)		(73,680	)		(8,038	)		(60,495	)		(22,071	)
Fair value at acquisition	$	150,388		$	9,044		$	214,219		$	19,320		$	159,660		$	51,623

Accretable yield	Three months ended						Six months ended						Period from inception to
	June 30, 2015						June 30, 2015						December 31, 2014
	Re-performing loans			Non-performing loans			Re-performing loans			Non-performing loans			Re-performing loans			Non-performing loans
Balance at beginning of period	$	74,045		$	22,604		$	54,940		$	20,686		$	–		$	–
Accretable yield additions		49,626			4,185			73,680			8,038			60,495			22,071
Accretion		(7,739	)		(3,054	)		(12,688	)		(4,989	)		(5,555	)		(1,385	)
Balance at end of period	$	115,932		$	23,735		$	115,932		$	23,735		$	54,940		$	20,686

During the three- and six-months ended June 30, 2015, the Company recognized $0.7 million and $1.0 million, respectively, for due diligence costs related to these and other transactions in loan transaction expense.

The following table sets forth the carrying value of its mortgage loans, and related UPB by delinquency status as of June 30, 2015 and December 31, 2014 ($ in thousands):

	June 30, 2015						December 31, 2014
	Number of loans		Carrying value		Unpaid principal balance		Number of loans		Carrying value		Unpaid principal balance
Current		1,123	$	209,046	$	267,983		439	$	72,727	$	94,993
30		406		66,969		87,292		237		36,954		53,739
60		194		29,611		39,647		99		13,849		17,766
90		534		77,407		107,345		352		53,987		76,691
Foreclosure		362		61,375		94,021		212		33,642		55,384
Mortgage loans		2,619	$	444,408	$	596,288		1,339	$	211,159	$	298,573

These balances do not include one loan in which we hold a 40.5% beneficial interest through an equity method investee.

As of June 30, 2015, the Company held 34 residential properties with a carrying value of $5.1 million that had been foreclosed.

The Company’s mortgage loans are secured by real estate. As such, the Company believes that the credit quality indicators for each of its mortgage loans are the timeliness of payments and the value of the underlying real estate. The Company categorizes mortgage loans as “re-performing” and as “non-performing.” The Company monitors the credit quality of the mortgage loans in its portfolio on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected.