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RESIDENTIAL MORTGAGE LOANS (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value and Unpaid Principal for Residential Mortgage Loans
The table below presents the fair value and the unpaid principal balance for these loans as of September 30, 2016:
 
   
(dollars in thousands)
  
Fair value
  
$
310,148
  
Unpaid principal balance
  
$
301,957
  
Summary of Comprehensive Income (Loss)
The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the quarter and nine months ended September 30, 2016 for these investments:
 
   
(dollars in thousands)
  
Net gains (losses) on disposal of investments
  
$
(383
)
Net unrealized gains (losses) on investments measured at fair value through earnings
    
(493
 ) 
Net interest income
    
1,203
  
Total included in net income (loss)
  
$
327
  
Geographic Concentrations Based on Unpaid Principal Balances
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs as of September 30, 2016 are as follows:
 
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
  
                                             
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
  
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
  
(dollars in thousands)
  
Texas
  
$
724,035
      
18.4
%
  
Illinois
  
$
111,396
      
86.4
%
  
California
  
$
80,023
      
46.3
%
North Carolina
    
537,375
      
13.6
%
  
Oklahoma
    
17,500
      
13.6
%
  
Texas
    
19,114
      
11.1
%
Maryland
    
499,495
      
12.7
%
  
 
                  
Washington
    
10,734
      
6.3
%
Florida
    
456,516
      
11.6
%
  
 
                  
Illinois
    
10,799
      
6.2
%
Other (1)
    
1,723,146
      
43.7
%
  
 
                  
Florida
    
9,392
      
5.4
%
 
                  
 
                  
Other (1)
    
42,664
      
24.7
%
Total
  
$
3,940,567
      
100.0
%
  
Total
  
$
128,896
      
100.0
%
   Total   
$
172,726
      
100.0
%
                                                         
(1) No individual state greater than 5%             
Residential Mortgage Loans
The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at September 30, 2016:
 
   
September 30, 2016
  
   
Portfolio Range
    
Portfolio Weighted Average
  
   
(dollars in thousands)
  
Unpaid principal balance
  
$
164 - $1,903
    
$
716
  
Interest rate
    
2.50% - 4.13
%
    
3.45
%
Maturity
  
3/5/2044 - 7/21/2046
    
6/10/2045
  
FICO score at loan origination
    
700 - 815
      
765
  
Loan-to-value ratio at loan origination
    
23.73% - 80.27
%
    
70.56
%
Residential Mortgage Loans  
Geographic Concentrations Based on Unpaid Principal Balances
The following table provides the geographic concentrations based on the unpaid principal balances as of September 30, 2016 for the residential mortgage loans, including loans held in a securitization trust:
 
Geographic Concentrations of Residential Mortgage Loans
Property Location
% of Balance
California
48.5%
Texas
11.0%
Illinois
5.5%
Florida
5.3%
All other (none individually greater than 5%)
29.7%
Total
100.0%