Distressed and Other Residential Mortgage Loans, At Fair Value

9 Months Ended

Sep. 30, 2019

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Distressed and Other Residential Mortgage Loans, at Fair Value

Distressed and Other Residential Mortgage Loans, At Fair Value

Certain of the Company’s acquired residential mortgage loans, including distressed residential mortgage loans, non-QM loans and second mortgages, are presented at fair value on its condensed consolidated balance sheets as a result of a fair value election made at the time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in unrealized gains (losses), net on the Company’s condensed consolidated statements of operations.

The Company’s distressed and other residential mortgage loans at fair value consist of the following as of September 30, 2019 and December 31, 2018, respectively (dollar amounts in thousands):

	Principal		Premium/(Discount)			Unrealized Gains/(Losses)		Carrying Value
September 30, 2019	$	1,150,176	$	(72,684	)	$	38,636	$	1,116,128
December 31, 2018	788,372		(54,905		)	4,056		737,523

The following table presents the components of realized gains (losses), net and unrealized gains (losses), net attributable to distressed and other residential mortgage loans at fair value for the three and nine months ended September 30, 2019 and 2018, respectively (dollar amounts in thousands):

	Three Months Ended September 30,					Nine Months Ended September 30,
	2019		2018			2019		2018
Net realized gains on payoff and sale of loans	$	1,658	$	1,127		$	7,177	$	1,496
Net unrealized gains (losses)	16,818		(484		)	34,580		(923		)

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of distressed and other residential mortgage loans at fair value as of September 30, 2019 and December 31, 2018, respectively, are as follows:

	September 30, 2019		December 31, 2018
California	23.2	%	27.9	%
Florida	9.8	%	9.0	%
Texas	6.0	%	4.2	%
New York	6.0	%	5.1	%

The following table presents the fair value and aggregate unpaid principal balance of the Company's distressed and other residential mortgage loans at fair value greater than 90 days past due and in non-accrual status as of September 30, 2019 and December 31, 2018, respectively (dollar amounts in thousands):

	Fair Value		Unpaid Principal Balance
September 30, 2019	$	71,251	$	87,882
December 31, 2018	60,117		75,167

Additionally, the fair value and aggregate unpaid principal balance of distressed and other residential mortgage loans at fair value held in non-accrual status but less than 90 days past due was approximately $2.6 million and $3.1 million, respectively, as of September 30, 2019.     

Distressed and other residential mortgage loans with a fair value of approximately $854.4 million and $626.2 million at September 30, 2019 and December 31, 2018, respectively, are pledged as collateral for master repurchase agreements (see Note 12).