Residential Mortgage Loans Held in Securitization Trusts (Net) and Real Estate Owned

Residential mortgage loans held in securitization trusts (net) consist of the following at December 31, 2015 and December 31, 2014, respectively (dollar amounts in thousands):



	December 31, 2015			December 31, 2014
Unpaid principal balance	$	122,545		$	152,277
Deferred origination costs – net	775			968
Reserve for loan losses	(3,399		)	(3,631		)
Total	$	119,921		$	149,614

Allowance for Loan Losses - The following table presents the activity in the Company's allowance for loan losses on residential mortgage loans held in securitization trusts for the years ended December 31, 2015, 2014 and 2013, respectively (dollar amounts in thousands):



	Years Ended December 31,
	2015			2014			2013
Balance at beginning of period	$	3,631		$	2,989		$	2,978
Provisions for loan losses	1,161			998			701
Transfer to real estate owned	—			(356		)	(407		)
Charge-offs	(1,393		)	—			(283		)
Balance at the end of period	$	3,399		$	3,631		$	2,989

On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses at December 31, 2015 was $3.4 million, representing 277 basis points of the outstanding principal balance of residential loans held in securitization trusts as of December 31, 2015, as compared to 238 basis points as of December 31, 2014. As part of the Company’s allowance for loan loss adequacy analysis, management will assess an overall level of allowances while also assessing credit losses inherent in each non-performing residential mortgage loan held in securitization trusts. These estimates involve the consideration of various credit related factors, including but not limited to, current housing market conditions, current loan to value ratios, delinquency status, the borrower’s current economic and credit status and other relevant factors.

Real Estate Owned – The following table presents the activity in the Company’s real estate owned held in residential securitization trusts for the years ended December 31, 2015, 2014 and 2013, respectively (dollar amounts in thousands):



	December 31, 2015			December 31, 2014			December 31, 2013
Balance at beginning of period	$	965		$	1,108		$	732
Write downs	—			(103		)	(433		)
Transfer from mortgage loans held in securitization trusts	—			537			1,184
Disposal	(554		)	(577		)	(375		)
Balance at the end of period	$	411		$	965		$	1,108

Real estate owned held in residential securitization trusts are included in receivables and other assets on the balance sheet and write downs are included in provision for loan losses in the statement of operations for reporting purposes.

All of the Company’s mortgage loans and real estate owned held in residential securitization trusts are pledged as collateral for the Residential CDOs issued by the Company. As of December 31, 2015 and 2014, the Company’s net investment in the residential securitization trusts, which is the maximum amount of the Company’s investment that is at risk to loss and represents the difference between the carrying amount of the mortgage loans and real estate owned held in residential securitization trusts and the amount of Residential CDOs outstanding, was $4.4 million and $5.6 million, respectively.

Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts

As of December 31, 2015, we had 31 delinquent loans with an aggregate principal amount outstanding of approximately $18.0 million categorized as Residential Mortgage Loans Held in Securitization Trusts (net). Of the $18.0 million in delinquent loans, $11.9 million, or 67%, are under some form of modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including real estate owned (REO) through foreclosure, as of December 31, 2015 (dollar amounts in thousands):

December 31, 2015



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	3	$	825	0.67	%
61 - 90	2	$	1,763	1.43	%
90+	26	$	15,365	12.48	%
Real estate owned through foreclosure	3	$	574	0.47	%

As of December 31, 2014, we had 33 delinquent loans with an aggregate principal amount outstanding of approximately $18.5 million categorized as Residential Mortgage Loans Held in Securitization Trusts (net). Of the $18.5 million in delinquent loans, $9.4 million, or 51%, were under some form of modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including REO through foreclosure, as of December 31, 2014 (dollar amounts in thousands):

December 31, 2014



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	4	$	1,522	0.99	%
61 - 90	—	$	—	—	%
90+	29	$	16,997	11.01	%
Real estate owned through foreclosure	6	$	2,100	1.36	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and REO held in residential securitization trusts at December 31, 2015 and 2014 are as follows:



	December 31, 2015		December 31, 2014
New York	35.6	%	36.1	%
Massachusetts	20.7	%	24.0	%
New Jersey	11.1	%	10.9	%
Florida	7.7	%	6.2	%
Connecticut	6.5	%	5.9	%