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Residential Whole Loans (Tables)
9 Months Ended
Sep. 30, 2019
Receivables [Abstract]  
Residential Whole Loans, at Carrying Value
The following table presents the components of the Company’s Residential whole loans, at carrying value at September 30, 2019 and December 31, 2018:
(Dollars In Thousands)
 
September 30, 2019
 
December 31, 2018
Purchased Performing Loans:
 
 
 
 
Non-QM loans
 
$
2,727,006

 
$
1,354,774

Rehabilitation loans
 
968,867

 
494,576

Single-family rental loans
 
366,362

 
145,327

Seasoned performing loans
 
188,982

 
224,051

Total Purchased Performing Loans
 
4,251,217

 
2,218,728

Purchased Credit Impaired Loans
 
718,197

 
797,987

Total Residential whole loans, at carrying value
 
$
4,969,414

 
$
3,016,715

 
 
 
 
 
Number of loans
 
14,968

 
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 and nine months ended September 30, 2019 and 2018:
 
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
 (In Thousands)
 
2019
 
2018
 
2019
 
2018
Purchased Performing Loans:
 
 
 
 
 
 
 
 
Non-QM loans
 
$
30,258

 
$
10,284

 
$
79,250

 
$
16,177

Rehabilitation loans
 
15,142

 
4,708

 
38,331

 
8,323

Single-family rental loans
 
5,025

 
918

 
11,652

 
1,733

Seasoned performing loans
 
3,166

 
2,416

 
9,461

 
2,416

Total Purchased Performing Loans
 
53,591

 
18,326

 
138,694

 
28,649

Purchased Credit Impaired Loans
 
10,635

 
11,198

 
33,031

 
33,139

Total Residential whole loans, at carrying value
 
$
64,226

 
$
29,524

 
$
171,725

 
$
61,788




Financing Receivable Credit Quality Indicators
The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at September 30, 2019:

September 30, 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: (3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-QM loans
 
$
2,667,482

 
$
2,582,746

 
6.15
%
 
365
 
66
%
 
$
2,527,231

 
$
29,208

 
$
14,349

 
$
11,958

Rehabilitation loans (4)
 
969,255

 
969,255

 
7.32

 
8
 
65

 
843,034

 
70,130

 
16,801

 
39,290

Single-family rental loans
 
366,362

 
364,350

 
6.27

 
325
 
69

 
349,967

 
10,974

 
2,256

 
1,153

Seasoned performing loans
 
188,982

 
205,243

 
4.40

 
183
 
47

 
200,643

 
2,223

 
1,048

 
1,329

Purchased Credit Impaired Loans (5)
 
718,197

 
900,183

 
4.44

 
297
 
83

 
N/M

 
N/M

 
N/M

 
104,008

Residential whole loans, at carrying value, total or weighted average
 
$
4,910,278

 
$
5,021,777

 
6.03
%
 
274
 
 
 
 
 
 
 
 
 
 

(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 origination 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 $250.0 million, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 69%. 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)
Excluded from the table above are approximately $59.5 million of Purchased Performing Loans for which the closing of the purchase transaction had not occurred as of September 30, 2019.
(4)
Carrying value of Rehabilitation loans excludes an allowance for loan losses of $388,000 at September 30, 2019.
(5)
Purchased Credit Impaired Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent.

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 nine months ended September 30, 2019 and 2018:

 
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
 (In Thousands)
 
2019

2018
 
2019
 
2018
Balance at the beginning of period
 
$
1,536

 
$
297

 
$
968

 
$
330

Provisions for loan losses
 
347

 
164

 
915

 
131

Balance at the end of period
 
$
1,883

 
$
461

 
$
1,883

 
$
461


Purchased Credit Impaired Loans The following table presents information regarding the estimates of contractually required payments, the cash flows expected to be collected, and the estimated fair value of the Purchased Credit Impaired Loans held at carrying value acquired by the Company for the three and nine months ended September 30, 2018:

 
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
 (In Thousands)
 
2019
 
2018 (1)
 
2019
 
2018 (1)
Contractually required principal and interest
 
$

 
$
154,911

 
$

 
$
154,911

Contractual cash flows not expected to be collected (non-accretable yield)
 

 
(15,378
)
 

 
(15,378
)
Expected cash flows to be collected
 

 
139,533

 

 
139,533

Interest component of expected cash flows (accretable yield)
 

 
(41,947
)
 

 
(41,947
)
Fair value at the date of acquisition
 
$

 
$
97,586

 
$

 
$
97,586


(1)
Included in the activity presented for the three and nine months ended September 30, 2018 is approximately $54.9 million of Purchase Credit Impaired Loans held at carrying value the Company committed to purchase during the three months ended June 30, 2018, but for which the closing of the purchase transaction occurred during the three months ended September 30, 2018.
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 and nine months ended September 30, 2019 and 2018:

 
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
 (In Thousands)
 
2019
 
2018 (1)
 
2019
 
2018 (1)
Balance at beginning of period
 
$
376,264

 
$
401,075

 
$
415,330

 
$
421,872

  Additions
 

 
41,947

 

 
41,947

  Accretion
 
(10,635
)
 
(11,198
)
 
(33,031
)
 
(33,139
)
Liquidations and other
 
(11,399
)
 
(8,378
)
 
(33,695
)
 
(23,388
)
  Reclassifications from non-accretable difference, net
 
3,892

 
9,694

 
9,518

 
25,848

Balance at end of period
 
$
358,122

 
$
433,140

 
$
358,122

 
$
433,140


Residential Whole Loans, Fair Value
The following table presents information regarding the Company’s residential whole loans held at fair value at September 30, 2019 and December 31, 2018:

 (Dollars in Thousands)
 
September 30, 2019
 
December 31, 2018 (1)
Less than 60 Days Past Due:
 
 
 
 
Outstanding principal balance
 
$
654,542

 
$
610,290

Aggregate fair value
 
$
617,172

 
$
561,770

Weighted Average LTV Ratio (2)
 
77.08
%
 
76.18
%
Number of loans
 
3,140

 
2,898

 
 
 
 
 
60 Days to 89 Days Past Due:
 
 
 
 
Outstanding principal balance
 
$
66,657

 
$
63,938

Aggregate fair value
 
$
60,262

 
$
54,947

Weighted Average LTV Ratio (2)
 
77.02
%
 
82.86
%
Number of loans
 
340

 
285

 
 
 
 
 
90 Days or More Past Due:
 
 
 
 
Outstanding principal balance
 
$
871,647

 
$
970,758

Aggregate fair value
 
$
775,735

 
$
854,545

Weighted Average LTV Ratio (2)
 
78.26
%
 
90.24
%
Number of loans
 
3,397

 
3,531

    Total Residential whole loans, at fair value
 
$
1,453,169

 
$
1,471,262


(1)
Excluded from the table above are approximately $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)
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 and nine months ended September 30, 2019 and 2018:
 
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
 (In Thousands)
 
2019
 
2018
 
2019
 
2018
Coupon payments and other income received (1)
 
$
20,176

 
$
17,634

 
$
61,060

 
$
52,034

Net unrealized gains
 
13,185

 
8,442

 
33,312

 
26,788

Net gain on payoff/liquidation of loans
 
2,026

 
3,251

 
6,906

 
10,203

Net gain on transfers to REO
 
4,788

 
5,615

 
15,637

 
16,858

    Total
 
$
40,175

 
$
34,942

 
$
116,915

 
$
105,883



(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.