Residential Whole Loans (Tables)

3 Months Ended

Mar. 31, 2019

Residential Whole Loans, at Carrying Value

The following table presents the components of the Company’s Residential whole loans, at carrying value at March 31, 2019 and December 31, 2018:



(Dollars In Thousands)	March 31, 2019		December 31, 2018
Purchased Performing Loans:
Non-QM loans	$	1,886,024	$	1,354,774
Rehabilitation loans	621,292		494,576
Single-family rental loans	227,537		145,327
Seasoned performing loans	215,352		224,051
Total Purchased Performing Loans	2,950,205		2,218,728
Purchased Credit Impaired Loans	773,941		797,987
Total Residential whole loans, at carrying value	$	3,724,146	$	3,016,715

Number of loans	12,643		11,149

Schedule of Interest Income Components

The following table presents components of interest income on the Company’s Residential whole loans, at carrying value for the three months ended March 31, 2019 and 2018:



	Three Months Ended March 31,
(In Thousands)	2019		2018
Purchased Performing Loans:
Non-QM loans	$	22,414	$	1,708
Rehabilitation loans	9,933		1,345
Single-family rental loans	2,701		245
Seasoned performing loans	3,173		—
Total Purchased Performing Loans	38,221		3,298
Purchased Credit Impaired Loans	11,399		11,031
Total Residential whole loans, at carrying value	$	49,620	$	14,329

Financing Receivable Credit Quality Indicators

The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at March 31, 2019:

March 31, 2019



	Carrying Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (1)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (2)		Aging by UPB
												Past Due Days
(Dollars In Thousands)										Current		30-59		60-89		90+
Purchased Performing Loans:
Non-QM loans	$	1,886,024	$	1,826,161	6.20	%	363	66	%	$	1,782,675	$	29,474	$	5,745	$	8,267
Rehabilitation loans (3)	621,792		621,792		7.38		9	65		560,270		36,386		8,805		16,331
Single-family rental loans	227,537		226,791		6.08		324	69		223,505		2,765		—		521
Seasoned performing loans	215,352		232,034		4.31		187	47		225,136		4,937		815		1,146
Purchased Credit Impaired Loans	773,941		969,353		4.42		300	85		N/A		N/A		N/A		N/A
Residential whole loans, at carrying value, total or weighted average	$	3,724,646	$	3,876,131	5.85	%	278

(1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees.

(2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the original date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $130.1 million, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 67%. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.

(3) Carrying value of Rehabilitation loans excludes an allowance for loan losses of $500,000 at March 31, 2019.

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 months ended March 31, 2019 and 2018:



	Three Months Ended March 31,
(In Thousands)	2019		2018
Balance at the beginning of period	$	968	$	330
Provisions for loan losses	183		50
Balance at the end of period	$	1,151	$	380

Certain Loans Acquired in Transfer Not 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 months ended March 31, 2019 and 2018:



	Three Months Ended March 31,
(In Thousands)	2019			2018
Balance at beginning of period	$	415,330		$	421,872
Additions	—			—
Accretion	(11,399		)	(11,031		)
Liquidations and other	(10,488		)	(2,170		)
Reclassifications from non-accretable difference, net	5,515			4,733
Balance at end of period	$	398,958		$	413,404

Residential Whole Loans, Fair Value

The following table presents information regarding the Company’s residential whole loans held at fair value at March 31, 2019 and December 31, 2018:



(Dollars in Thousands)	March 31, 2019			December 31, 2018
Less than 60 Days Past Due:
Outstanding principal balance	$	635,185		$	610,290
Aggregate fair value	$	583,447		$	561,770
Weighted Average LTV Ratio (1)	76.09		%	76.18		%
Number of loans	3,070			2,898

60 Days to 89 Days Past Due:
Outstanding principal balance	$	69,032		$	63,938
Aggregate fair value	$	59,039		$	54,947
Weighted Average LTV Ratio (1)	79.99		%	82.86		%
Number of loans	313			285

90 Days or More Past Due:
Outstanding principal balance	$	989,120		$	970,758
Aggregate fair value	$	869,851		$	854,545
Weighted Average LTV Ratio (1)	88.56		%	90.24		%
Number of loans	3,795			3,531
Total Residential whole loans, at fair value	$	1,512,337		$	1,471,262


(1)	LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.

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 measured at fair value through earnings for the three months ended March 31, 2019 and 2018:



	Three Months Ended March 31,
(In Thousands)	2019			2018
Coupon payments and other income received (1)	$	19,473		$	15,397
Net unrealized (losses)/gains	(1,060		)	13,747
Net gain on payoff/liquidation of loans	2,283			2,908
Net gain on transfers to REO	4,571			6,446
Total	$	25,267		$	38,498

(1) Primarily includes recovery of delinquent interest upon the liquidation of non-performing loans, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans.