Residential Whole Loans (Tables)

6 Months Ended

Jun. 30, 2018

Residential Whole Loans, at Carrying Value

The following table presents the components of the Company’s Residential whole loans, at carrying value at June 30, 2018 and December 31, 2017:



(Dollars In Thousands)	June 30, 2018		December 31, 2017
Purchased credit impaired loans	$	804,848	$	790,879
Other loans at carrying value:
Non-QM loans	626,927		55,612
Rehabilitation loans	162,741		56,706
Single-family rental loans	55,571		5,319
Seasoned performing loans	256,155		—
Total other loans at carrying value	$	1,101,394	$	117,637
Total Residential whole loans, at carrying value	$	1,906,242	$	908,516

Number of loans	8,300		4,800

Schedule of Activity in Allowance for Loan Losses, Residential Whole Loans

The following table presents the activity in the Company’s allowance for loan losses on its purchased credit impaired loans held at carrying value for the three and six months ended June 30, 2018 and 2017:



(In Thousands)	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Balance at the beginning of period	$	380		$	769		$	330		$	990
Reversal of provisions for loan losses	(83		)	(394		)	(33		)	(615		)
Balance at the end of period	$	297		$	375		$	297		$	375

Certain Loans Acquired in Transfer Accounted for as Debt Securities, Accretable Yield Movement

The following table presents accretable yield activity for the Company’s purchased credit impaired loans held at carrying value for the three and six months ended June 30, 2018 and 2017:



(In Thousands)	Three Months Ended June 30, (1)						Six Months Ended June 30, (1)
	2018			2017			2018			2017
Balance at beginning of period	$	413,404		$	325,551		$	421,872		$	334,379
Accretion	(10,910		)	(8,503		)	(21,941		)	(17,193		)
Liquidations and other	(12,840		)	—			(15,010		)	—
Reclassifications (to)/from non-accretable difference, net	11,421			1,077			16,154			939
Balance at end of period	$	401,075		$	318,125		$	401,075		$	318,125


(1)	Excluded from the table above are approximately $57.6 million and $101.4 million of purchased credit impaired loans held at carrying value for which the closing of the purchase transaction had not occurred as of June 30, 2018 and 2017, respectively.

Residential Whole Loans, Fair Value

The following table presents information regarding the Company’s residential whole loans held at fair value at June 30, 2018 and December 31, 2017:



(Dollars in Thousands)	June 30, 2018 (1)		December 31, 2017
Less than 60 Days Past Due:
Outstanding principal balance	$	563,446	$	488,600
Aggregate fair value	$	522,687	$	446,616
Number of loans	2,718		2,323

60 Days to 89 Days Past Due:
Outstanding principal balance	$	71,880	$	45,955
Aggregate fair value	$	61,112	$	37,927
Number of loans	292		207

90 Days or More Past Due:
Outstanding principal balance	$	1,025,432	$	1,027,818
Aggregate fair value	$	884,741	$	840,572
Number of loans	3,615		3,984
Total Residential whole loans, at fair value	$	1,468,540	$	1,325,115


(1)	Excluded from the table above are approximately $34.4 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of June 30, 2018.

Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans

The following table presents the components of Net gain on residential whole loans held at fair value for the three and six months ended June 30, 2018 and 2017:



(In Thousands)	Three Months Ended June 30,				Six Months Ended June 30,
	2018		2017		2018		2017
Coupon payments and other income received	$	19,002	$	9,974	$	34,400	$	18,148
Net unrealized gains	4,599		4,262		18,346		7,209
Net gain on payoff/liquidation of loans	4,044		752		6,952		1,619
Net gain on transfers to REO	4,798		1,220		11,243		3,005
Total	$	32,443	$	16,208	$	70,941	$	29,981