Mortgage Loans on Real Estate

December 31, 2018



Asset Type	Number	Interest Rate	Maturity Date Range	Balance Sheet Reported Amount				Principal Amount of Loans Subject to Delinquent Principal or Interest
(Dollars in Thousands)
Residential Whole Loans, at Carrying Value (1)
Original loan balance $0 - $149,999	3,360	0.00% - 13.08%	9/1/2016-8/25/2058	$	272,407			$	16,726
Original loan balance $150,000 - $299,999	3,781	0.00% - 11.00%	8/1/2018-11/1/2064	679,899				42,262
Original loan balance $300,000 - $449,999	2,205	1.30% - 11.13%	10/1/2018-5/1/2062	704,255				39,720
Original loan balance greater than $449,999	1,766	1.30% - 9.50%	6/19/2018-1/1/2059	1,343,740				23,946
	11,112			$	3,000,301			$	122,654

Residential Whole Loans, at Fair Value (1)
Original loan balance $0 - $149,999	2,172	0.00% - 14.99%	6/1/2009-11/25/2058	$	165,419			$	92,672
Original loan balance $150,000 - $299,999	2,280	1.00% - 12.38%	7/1/2009-10/1/2058	392,509				243,609
Original loan balance $300,000 - $449,999	1,515	0.00% - 10.80%	1/1/2015-11/1/2058	461,389				304,731
Original loan balance greater than $449,999	747	1.63% - 10.20%	9/1/2013-7/1/2058	451,945				329,746
	6,714			$	1,471,262			$	970,758

	17,826			$	4,471,563	(2	)	$	1,093,412


(1)	Excluded from the table above are approximately $16.4 million of purchased performing loans held at carrying value and $194.7 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2018.


(2)	The federal income tax basis is approximately $4.3 billion.

Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate

The following table summarizes the changes in the carrying amounts of residential whole loans during the year ended December 31, 2018:



	For the Year Ended December 31, 2018
(In Thousands)	Residential Whole Loans, at Carrying Value			Residential Whole Loans, at Fair Value
Beginning Balance	$	908,516		$	1,325,115
Additions during period:
Purchases and capitalized advances	2,467,398			741,113
Discount accretion	4,741			N/A
Deductions during period:
Cash collections for principal and liquidations	(355,413		)	(199,203		)
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings	N/A			36,725
Provision for loan loss	(638		)	N/A
Repurchases	(1,597		)	(1,807		)
Transfer to REO	(6,292		)	(189,571		)
Ending Balance	$	3,016,715		$	1,712,372