LOANS (Tables)

3 Months Ended

Mar. 31, 2020

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

The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the three months ended March 31, 2020:



	Residential			Commercial			Corporate Debt			Total
	(dollars in thousands)
Beginning balance January 1, 2020	$	1,647,787		$	669,713		$	2,144,850		$	4,462,350
Impact of adopting CECL	—			(3,600		)	(29,653		)	(33,253		)
Purchases / originations	642,795			173,517			387,082			1,203,394
Sales and transfers⁽¹⁾	(922,773		)	(95,730		)	(275,845		)	(1,294,348		)
Principal payments	(41,732		)	(38,425		)	(54,465		)	(134,622		)
Gains / (losses)⁽²⁾	(56,082		)	(56,475		)	(24,026		)	(136,583		)
(Amortization) / accretion	(1,912		)	843			2,320			1,251
Ending balance March 31, 2020	$	1,268,083		$	649,843		$	2,150,263		$	4,068,189

⁽¹⁾ Includes securitizations, syndications and transfers to securitization vehicles.
⁽²⁾ Includes loan loss allowances.

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019:



	March 31, 2020		December 31, 2019
	(dollars in thousands)
Fair value	$	4,295,271	$	4,246,161
Unpaid principal balance	$	4,372,834	$	4,133,149

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 three months ended March 31, 2020 and 2019 for these investments:



	For the Three Months Ended
	March 31, 2020			March 31, 2019
	(dollars in thousands)
Interest income	$	47,557		$	29,991
Net gains (losses) on disposal of investments and other	(12,000		)	(5,223		)
Net unrealized gains (losses) on instruments measured at fair value through earnings	(192,763		)	17,821
Total included in net income (loss)	$	(157,206	)	$	42,589

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:



Geographic Concentrations of Residential Mortgage Loans
March 31, 2020		December 31, 2019
Property location	% of Balance	Property location	% of Balance
California	51.5%	California	52.1%
New York	10.9%	New York	10.5%
Florida	5.3%	Florida	5.3%
All other (none individually greater than 5%)	32.3%	All other (none individually greater than 5%)	32.1%
Total	100.0%		100.0%

The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2020 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk



Commercial Trusts					Residential Trusts
Property Location	Principal Balance		% of Balance		Property Location	Principal Balance		% of Balance
(dollars in thousands)
California	$	1,270,649	38.7	%	California	$	30,536	44.9	%
Texas	479,164		14.6	%	Texas	9,618		14.1	%
New York	370,697		11.3	%	Illinois	7,009		10.3	%
Florida	196,495		6.0	%	Washington	3,847		5.7	%
Other ⁽¹⁾	969,240		29.4	%	Other ⁽¹⁾	17,033		25.0	%
Total	$	3,286,245	100.0	%	Total	$	68,043	100.0	%

⁽¹⁾

No individual state greater than 5%.

Residential Mortgage Loans

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019:



	March 31, 2020		December 31, 2019
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$0 - $3,448	$451	$1 - $3,448	$459
Interest rate	2.00% - 8.75%	4.89%	2.00% - 8.38%	4.94%
Maturity	1/1/2028 - 2/1/2060	4/12/2048	1/1/2028 - 12/1/2059	12/29/2047
FICO score at loan origination	505 - 829	759	505 - 829	758
Loan-to-value ratio at loan origination	8% - 105%	67%	8% - 105%	67%

Schedule of Commercial Mortgage Loans Held for Investment

The sector attributes of the Company’s commercial real estate investments held for investment at March 31, 2020 and December 31, 2019 were as follows:



	Sector Dispersion
	March 31, 2020				December 31, 2019
	Carrying Value		% of Loan Portfolio		Carrying Value		% of Loan Portfolio
	(dollars in thousands)
Office	$	673,947	43.1	%	$	681,129	42.4	%
Retail	348,045		22.3	%	389,076		24.2	%
Multifamily	283,698		18.1	%	262,302		16.3	%
Hotel	125,870		8.1	%	135,681		8.4	%
Industrial	79,882		5.1	%	82,441		5.1	%
Other	32,534		2.1	%	36,589		2.3	%
Healthcare	19,158		1.2	%	18,873		1.3	%
Total	$	1,563,134	100.0	%	$	1,606,091	100.0	%

At March 31, 2020 and December 31, 2019, commercial real estate investments held for investment were comprised of the following:



	March 31, 2020						December 31, 2019
	Outstanding Principal		Carrying Value ⁽¹⁾		Percentage of Loan Portfolio ⁽²⁾		Outstanding Principal		Carrying Value ⁽¹⁾		Percentage of Loan Portfolio ⁽²⁾
	(dollars in thousands)
Senior mortgages	$	532,125	$	519,387	32.1	%	$	503,499	$	499,690	30.9	%
Senior securitized mortgages ⁽³⁾	940,245		913,291		56.6	%	940,546		936,378		57.8	%
Mezzanine loans	187,693		130,456		11.3	%	183,064		170,023		11.3	%
Total	$	1,660,063	$	1,563,134	100.0	%	$	1,627,109	$	1,606,091	100.0	%


⁽¹⁾	Carrying value includes unamortized origination fees of $8.2 million and $8.3 million at March 31, 2020 and December 31, 2019, respectively.


⁽²⁾	Based on outstanding principal.


⁽³⁾	Represents assets of consolidated VIEs.

The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at March 31, 2020 and December 31, 2019:



March 31, 2020
	Senior Mortgages			Senior Securitized Mortgages ⁽¹⁾			Mezzanine Loans			Total
	(dollars in thousands)
Beginning balance (January 1, 2020)⁽²⁾	$	499,690		$	936,378		$	182,726		$	1,618,794
Originations & advances (principal)	162,781			—			11,628			174,409
Principal payments	(38,425		)	(53,533		)	—			(91,958		)
Principal write off	—			—			(7,000		)	(7,000		)
Transfers	(95,730		)	52,630			—			(43,100		)
Net (increase) decrease in origination fees	(812		)	—			(80		)	(892		)
Realized gain	204			—			—			204
Amortization of net origination fees	797			602			46			1,445
Allowance for loan losses
Beginning allowance, prior to CECL adoption	—			—			(12,703		)	(12,703		)
Impact of adopting CECL	(2,264		)	(4,166		)	(1,336		)	(7,766		)
Current period allowance	(6,854		)	(18,620		)	(49,825		)	(75,299		)
Write offs	—			—			7,000			7,000
Ending allowance	(9,118		)	(22,786		)	(56,864		)	(88,768		)
Net carrying value (March 31, 2020)	$	519,387		$	913,291		$	130,456		$	1,563,134



December 31, 2019
	Senior Mortgages			Senior Securitized Mortgages ⁽¹⁾			Mezzanine Loans			Total
	(dollars in thousands)
Net carrying value (January 1, 2019)	$	981,202		$	—		$	315,601		$	1,296,803
Originations & advances (principal)	572,204			—			21,709			593,913
Principal payments	(16,785		)	(150,245		)	(149,633		)	(316,663		)
Transfers	(1,034,754		)	1,083,487			(8,675		)	40,058
Net (increase) decrease in origination fees	(4,200		)	—			(184		)	(4,384		)
Amortization of net origination fees	2,023			3,136			412			5,571
Net (increase) decrease in allowance	—			—			(9,207		)	(9,207		)
Net carrying value (December 31, 2019)	$	499,690		$	936,378		$	170,023		$	1,606,091

⁽¹⁾ Represents assets of consolidated VIEs.
⁽²⁾ Excludes loan loss allowances.

Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage

The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of March 31, 2020.



Amortized Cost Basis by Risk Rating and Vintage ⁽¹⁾
Risk Rating	Vintage
Risk Rating	Total		2020		2019		2018		2017		2016		Prior
(dollars in thousands)
1-4 / Performing	$	446,226	$	89,647	$	159,384	$	103,547	$	12,444	$	—	$	81,204
5 / Performing - Closely Monitored	501,717		31,657		265,728		29,432		105,893		69,007		—
6 / Performing - Special Mention	431,515		27,110		122,133		212,015		—		—		70,257
7 / Substandard	85,390		—		—		30,390		55,000		—		—
8 / Doubtful	98,286		—		—		33,460		64,826		—		—
9 / Loss⁽²⁾	—		—		—		—		—		—		—
Total	$	1,563,134	$	148,414	$	547,245	$	408,844	$	238,163	$	69,007	$	151,461

⁽¹⁾ The amortized cost basis excludes accrued interest. As of March 31, 2020, the Company had $4.6 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.

⁽²⁾ Includes one commercial mezzanine loan for which the Company recorded a full loan loss allowance of $36.6 million.

Schedule of Industry and Rate Attributes of The Portfolio

The industry and rate attributes of the portfolio at March 31, 2020 and December 31, 2019 are as follows:



	Industry Dispersion
	March 31, 2020						December 31, 2019
	Fixed Rate		Floating Rate		Total		Fixed Rate		Floating Rate		Total
	(dollars in thousands)
Computer Programming, Data Processing & Other Computer Related Services	—		391,559		391,559		—		394,193		394,193
Management & Public Relations Services	—		288,586		288,586		—		339,179		339,179
Chemical & Chemical Preparations	—		145,446		145,446		—		—		—
Miscellaneous Business Services	—		122,275		122,275		—		164,033		164,033
Public Warehousing & Storage	—		119,577		119,577		—		107,029		107,029
Engineering, Architectural, and Surveying	—		113,496		113,496		—		124,201		124,201
Metal Cans & Shipping Containers	—		108,266		108,266		—		118,456		118,456
Offices & Clinics of Doctors of Medicine	—		104,919		104,919		—		106,993		106,993
Surgical, Medical & Dental Instruments & Supplies	—		100,791		100,791		—		102,182		102,182
Insurance Agents, Brokers and Service	—		74,013		74,013		—		75,410		75,410
Telephone Communications	—		57,508		57,508		—		61,210		61,210
Miscellaneous Health & Allied Services, not elsewhere classified	—		50,327		50,327		—		78,908		78,908
Miscellaneous Equipment Rental & Leasing	—		49,423		49,423		—		49,776		49,776
Electric Work	—		44,442		44,442		—		43,175		43,175
Medical & Dental Laboratories	—		35,465		35,465		—		41,344		41,344
Nonferrous Foundries (Castings)	—		31,903		31,903		—		30,191		30,191
Research, Development & Testing Services	—		29,796		29,796		—		45,610		45,610
Coating, Engraving and Allied Services	—		29,323		29,323		—		47,249		47,249
Home Health Care Services	—		28,537		28,537		—		29,361		29,361
Motor Vehicles and Motor Vehicle Parts & Supplies	—		28,464		28,464		—		28,815		28,815
Legal Services	—		28,079		28,079		—		—		—
Petroleum and Petroleum Products	—		24,834		24,834		—		24,923		24,923
Electronic Components & Accessories	—		23,266		23,266		—		24,000		24,000
Grocery Stores	—		22,987		22,987		—		23,248		23,248
Schools & Educational Services, not elsewhere classified	—		19,376		19,376		—		19,586		19,586
Drugs	—		15,881		15,881		—		15,923		15,923
Chemicals & Allied Products	—		14,868		14,868		—		15,002		15,002
Mailing, Reproduction, Commercial Art and Photography, and Stenographic	—		14,528		14,528		—		14,755		14,755
Transportation, Equipment & Supplies (Except Motor Vehicles)	—		12,468		12,468		—		—		—
Offices and Clinics of Other Health Practitioners	—		10,110		10,110		—		10,098		10,098
Miscellaneous Plastic Products	—		9,750		9,750		—		10,000		10,000
Total	$	—	$	2,150,263	$	2,150,263	$	—	$	2,144,850	$	2,144,850

Aggregate Positions by Respective Place in the Capital Structure of the Borrowers

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at March 31, 2020 and December 31, 2019.



	March 31, 2020		December 31, 2019
	(dollars in thousands)
First lien loans	$	1,496,887	$	1,396,140
Second lien loans	653,376		748,710
Total	$	2,150,263	$	2,144,850

Schedule of Corporate Loans Held for Investment

The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at March 31, 2020 and December 31, 2019:



March 31, 2020
	First Lien			Second Lien			Total
	(dollars in thousands)
Beginning balance (January 1, 2020)⁽¹⁾	$	1,403,503		$	748,710		$	2,152,213
Originations & advances	387,082			—			387,082
Principal payments	(28,567		)	(25,898		)	(54,465		)
Amortization & accretion of (premium) discounts	1,430			890			2,320
Loan restructuring	(19,550		)	2,818			(16,732		)
Sales	(223,625		)	(47,382		)	(271,007		)
Allowance for loan losses							—
Beginning allowance, prior to CECL adoption	(7,363		)	—			(7,363		)
Impact of adopting CECL	(10,787		)	(18,866		)	(29,653		)
Current period allowance	(17,130		)	(6,896		)	(24,026		)
Write offs	11,894			—			11,894
Ending allowance	(23,386		)	(25,762		)	(49,148		)
Net carrying value (March 31, 2020)	$	1,496,887		$	653,376		$	2,150,263

⁽¹⁾Excludes loan loss allowances.



December 31, 2019
	First Lien			Second Lien			Total
	(dollars in thousands)
Net carrying value (January 1, 2019)	$	1,346,356		$	540,826		$	1,887,182
Originations & advances	542,463			345,573			888,036
Principal payments	(228,302		)	(140,625		)	(368,927		)
Amortization & accretion of (premium) discounts	5,960			2,936			8,896
Sales	(262,974		)	—			(262,974		)
Net (increase) decrease in allowance	(7,363		)	—			(7,363		)
Net carrying value (December 31, 2019)	$	1,396,140		$	748,710		$	2,144,850

Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage

The following table provides the amortized cost basis of corporate debt held for investment as of March 31, 2020 by vintage year and internal risk rating.



Amortized Cost Basis by Risk Rating and Vintage ⁽¹⁾
Risk Rating	Vintage
Risk Rating	Total		2020		2019		2018		2017		2016		2015		Revolvers
(dollars in thousands)
1-4 / Performing	$	826,447	$	22,285	$	319,686	$	286,358	$	158,446	$	29,957	$	—	$	9,715
5 / Performing - Closely Monitored	966,454		233,623		257,888		325,885		100,588		21,932		14,198		12,340
6 / Performing - Special Mention	138,129		—		53,671		17,441		30,904		—		34,037		2,076
7 / Substandard	215,372		—		2,933		149,167		40,285		22,987		—		—
8 / Doubtful	4,297		—		—		4,297		—		—		—		—
9 / Loss	—		—		—		—		—		—		—		—
Total	$	2,150,699	$	255,908	$	634,178	$	783,148	$	330,223	$	74,876	$	48,235	$	24,131

⁽¹⁾ The amortized cost basis excludes accrued interest and costs related to unfunded loans. As of March 31, 2020, the Company had $9.9 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.