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Mortgage loans | 6 Months Ended
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Jun. 30, 2016
Mortgage Loans [Abstract] |
Mortgage loans | Note 3 — Mortgage loans Included on the Company’s consolidated balance sheet as of June 30, 2016 and December 31, 2015, are approximately $630.5 million and $554.9 million, respectively, of residential and small business commercial whole loans at carrying value. The carrying value reflects the original investment amount, plus accretion of interest income, less principal and interest cash flows received. The carrying value is decreased by the allowance for losses, if any. To date, the Company has not recorded an allowance for losses against its purchased mortgage loans. The Company’s mortgage loans are secured by real estate. The Company categorizes mortgage loans as “re-performing” and as “non-performing” at acquisition and monitors the credit quality of the mortgage loans in its portfolio on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. The following table presents information regarding the accretable yield and non-accretable amount for loans acquired during the following periods. The Company’s loan acquisitions for the three and six months ended June 30, 2016 consisted entirely of re-performing loans; no non-performing loans were acquired in either of the 2016 periods ($ in thousands):
|  | Three months ended June 30, 2016 |  |  | Three months ended June 30, 2015 |
Acquisitions |  | Re-performing loans |  |  | Non-performing loans |  |  | Re-performing loans |  |  | Non-performing loans |
Contractually required principal and interest |  | $ | 120,524 |  |  | $ | - |  |  | $ | 332,571 |  |  | $ | 31,827 |
Non-accretable amount |  |  | (48,244 | ) |  |  | - |  |  |  | (132,557 | ) |  |  | (18,598 | )
Expected cash flows to be collected |  |  | 72,280 |  |  |  | - |  |  |  | 200,014 |  |  |  | 13,229 |
Accretable yield |  |  | (20,152 | ) |  |  | - |  |  |  | (49,626 | ) |  |  | (4,185 | )
Fair value at acquisition |  | $ | 52,128 |  |  | $ | - |  |  | $ | 150,388 |  |  | $ | 9,044 |
|  | Six months ended June 30, 2016 |  |  | Six months ended June 30, 2015 |
|  | Re-performing loans |  |  | Non-performing loans |  |  | Re-performing loans |  |  | Non-performing loans |
Contractually required principal and interest |  | $ | 202,703 |  |  | $ | - |  |  | $ | 486,603 |  |  | $ | 65,675 |
Non-accretable amount |  |  | (77,392 | ) |  |  | - |  |  |  | (198,704 | ) |  |  | (38,317 | )
Expected cash flows to be collected |  |  | 125,311 |  |  |  | - |  |  |  | 287,899 |  |  |  | 27,358 |
Accretable yield |  |  | (36,005 | ) |  |  | - |  |  |  | (73,680 | ) |  |  | (8,038 | )
Fair value at acquisition |  | $ | 89,306 |  |  | $ | - |  |  | $ | 214,219 |  |  | $ | 19,320 |
The following table presents the change in the accretable yield for the total loan portfolio for the following periods ($ in thousands):
Accretable yield |  | Three months ended June 30, 2016 |  |  | Three months ended June 30, 2015 |
|  | Re-performing loans |  |  | Non-performing loans |  |  | Re-performing loans |  |  | Non-performing loans |
Balance at beginning of period |  | $ | 138,768 |  |  | $ | 16,151 |  |  | $ | 74,045 |  |  | $ | 22,604 |
Accretable yield additions |  |  | 20,152 |  |  |  |  |  |  |  | 49,626 |  |  |  | 4,185 |
Accretion |  |  | (14,317 | ) |  |  | (2,057 | ) |  |  | (7,739 | ) |  |  | (3,054 | )
Reclassification from (to) non-accretable amount, net |  |  | 39,570 |  |  |  | 2,204 |  |  |  | - |  |  |  | - |
Balance at end of period |  | $ | 184,173 |  |  | $ | 16,298 |  |  | $ | 115,932 |  |  | $ | 23,735 |
|  | Six months ended June 30, 2016 |  |  | Six months ended June 30, 2015 |
|  | Re-performing loans |  |  | Non-performing loans |  |  | Re-performing loans |  |  | Non-performing loans |
Balance at beginning of period |  | $ | 136,455 |  |  | $ | 18,425 |  |  | $ | 54,940 |  |  | $ | 20,686 |
Accretable yield additions |  |  | 36,005 |  |  |  |  |  |  |  | 73,680 |  |  |  | 8,038 |
Accretion |  |  | (27,857 | ) |  |  | (4,331 | ) |  |  | (12,688 | ) |  |  | (4,989 | )
Reclassification from (to) non-accretable amount, net |  |  | 39,570 |  |  |  | 2,204 |  |  |  | - |  |  |  | - |
Balance at end of period |  | $ | 184,173 |  |  | $ | 16,298 |  |  | $ | 115,932 |  |  | $ | 23,735 |
For the three and six month periods ended June 30, 2016, and June 30, 2015, the Company recognized no provision for loan loss. For the three and six month periods ended June 30, 2016, the Company accreted $16.4 million and $32.2 million, respectively, into interest income with respect to its loan portfolio. For the three and six month periods ended and June 30, 2015, the Company accreted $10.8 million and $17.7 million, respectively, into interest income with respect to its loan portfolio. During the three months ended June 30, 2016, the Company reclassified $39.6 million and $2.2 million from non-accretable amount to accretable yield for its re-performing and non-performing loans, respectively. The reclassification is based on an updated assessment of projected loan cash flows as compared to the projection at the acquisition date. Substantially fewer loans are defaulting than originally projected at acquisition, resulting in greater total cash flows being collected over a longer period of time. Performing loans have a longer duration than non-performing loans and generate higher cash flows over the expected life of the loan. The following table sets forth the carrying value of the Company’s mortgage loans, and related UPB by delinquency status as of June 30, 2016 and December 31, 2015 ($ in thousands):
|  | June 30, 2016 |  |  | December 31, 2015 |
|  | Number of loans |  |  | Carrying value |  |  | Unpaid principal balance |  |  | Number of loans |  |  | Carrying value |  |  | Unpaid principal balance |
Current |  |  | 1,539 |  |  | $ | 274,302 |  |  | $ | 349,329 |  |  |  | 1,161 |  |  | $ | 212,469 |  |  | $ | 272,577 |
30 |  |  | 578 |  |  |  | 107,919 |  |  |  | 135,930 |  |  |  | 479 |  |  |  | 83,936 |  |  |  | 107,873 |
60 |  |  | 298 |  |  |  | 55,254 |  |  |  | 67,888 |  |  |  | 338 |  |  |  | 55,573 |  |  |  | 70,781 |
90 |  |  | 733 |  |  |  | 119,174 |  |  |  | 152,253 |  |  |  | 867 |  |  |  | 127,435 |  |  |  | 167,177 |
Foreclosure |  |  | 388 |  |  |  | 73,885 |  |  |  | 100,171 |  |  |  | 404 |  |  |  | 75,464 |  |  |  | 107,301 |
Mortgage loans |  |  | 3,536 |  |  | $ | 630,534 |  |  | $ | 805,571 |  |  |  | 3,249 |  |  | $ | 554,877 |  |  | $ | 725,709 |

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