Note 7.—Securitized Mortgage Trusts

Securitized Mortgage Trust Assets

Securitized mortgage trust assets are comprised of the following at December 31, 2019 and 2018:


	December 31,		December 31,
	2019		2018
Securitized mortgage collateral, at fair value	$	2,628,064	$	3,157,071
REO, at net realizable value (NRV)		6,682		8,519
Total securitized mortgage trust assets	$	2,634,746	$	3,165,590

Securitized Mortgage Collateral

Securitized mortgage collateral consisted of the following:


	December 31,		December 31,
	2019		2018
Mortgages secured by residential real estate	$	2,649,997	$	3,245,606
Mortgages secured by commercial real estate		210,536		294,599
Fair value adjustment		(232,469)		(383,134)
Total securitized mortgage collateral, at fair value	$	2,628,064	$	3,157,071

As of December 31, 2019, the Company was also a master servicer of mortgages for others of approximately $268.1 million in UPB that were primarily collateralizing REMIC securitizations, compared to $328.7 million at December 31, 2018. Related fiduciary funds are held in trust for investors in non‑interest bearing accounts and are not included in the Company’s consolidated balance sheets. The Company may also be required to advance funds or cause loan servicers to advance funds to cover principal and interest payments not received from borrowers depending on the status of their mortgages.

Real Estate Owned

The Company’s REO consisted of the following:


	December 31,
	2019		2018
REO	$	21,195	$	17,813
Impairment (1)		(14,361)		(7,928)
Ending balance	$	6,834	$	9,885
REO inside trusts	$	6,682	$	8,519
REO outside trusts		152		1,366
Total	$	6,834	$	9,885

(1)

Impairment represents the cumulative write‑downs of net realizable value subsequent to foreclosure.

Securitized Mortgage Trust Liabilities

Securitized mortgage trust liabilities, which are recorded at estimated fair market value as more fully described in Note 10., are comprised of the following at December 31, 2019 and 2018:


	December 31,		December 31,
	2019		2018
Securitized mortgage borrowings	$	2,619,210	$	3,148,215

Securitized Mortgage Borrowings – Non-recourse

Selected information on securitized mortgage borrowings for the periods indicated consisted of the following (dollars in millions):


			Securitized
			mortgage
			borrowings
			outstanding as of
			December 31,				Range of Interest Rates (%)
								Interest	Interest
								Rate	Rate
	Original						Fixed	Margins over	Margins after
	Issuance						Interest	One-Month	Contractual
Year of Issuance	Amount		2019		2018		Rates	LIBOR (1)	Call Date (2)
2002	$	3,876.1	$	3.9	$	4.8	5.25 - 12.00	0.27 - 2.75	0.54 - 3.68
2003		5,966.1		26.8		35.9	4.34 - 12.75	0.27 - 3.00	0.54 - 4.50
2004		17,710.7		354.3		557.0	3.58 - 5.56	0.25 - 2.50	0.50 - 3.75
2005		13,387.7		1,581.7		1,752.9	—	0.24 - 2.90	0.48 - 4.35
2006		5,971.4		2,018.0		2,113.2	6.25	0.10 - 2.75	0.20 - 4.13
2007		3,860.5		1,121.1		1,265.1	—	0.06 - 2.00	0.12 - 3.00
Subtotal contractual principal balance (3)				5,105.8		5,728.9
Fair value adjustment				(2,486.6)		(2,580.7)
Total securitized mortgage borrowings			$	2,619.2	$	3,148.2

(1)

One-month LIBOR was 1.76% as of December 31, 2019.

(2)

Interest rate margins are generally adjusted when the unpaid principal balance is reduced to less than 10‑20% of the original issuance amount, or if certain other triggers are met.

(3)

Represents the outstanding balance in accordance with trustee reporting.

As of December 31, 2019, expected principal reductions of the securitized mortgage borrowings, which is based on contractual principal payments and expected prepayment and loss assumptions for securitized mortgage collateral, was as follows (dollars in millions):


	Payments Due by Period
			Less Than		One to		Three to		More Than
	Total		One Year		Three Years		Five Years		Five Years
Securitized mortgage borrowings (1)	$	5,105.8	$	490.3	$	728.1	$	479.8	$	3,407.6

(1)

Represents the outstanding balance in accordance with trustee reporting.

Change in fair value of net trust assets, including trust REO losses

Changes in fair value of net trust assets, including trust REO losses are comprised of the following for the years ended December 31, 2019 and 2018:


	For the Year Ended
	December 31,
	2019		2018
Change in fair value of net trust assets, excluding REO	$	(3,397)	$	(1,599)
Losses from REO		(6,434)		(950)
Change in fair value of net trust assets, including trust REO losses	$	(9,831)	$	(2,549)