Note 5 - Distressed Residential Mortgage Loans

9 Months Ended

Sep. 30, 2014

Distresses Residential Mortgage Loans Disclosure [Abstract]

Distresses Residential Mortgage Loans Disclosure [Text Block]

5.                Distressed Residential Mortgage Loans

As of September 30, 2014 and December 31, 2013, the carrying value of the Company’s distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, amounts to approximately $247.2 million and $254.7 million, respectively. Distressed residential mortgage loans with a carrying value amounting to approximately $15.8 million and $9.7 million are included in receivables and other assets in the accompanying condensed consolidated balance sheet at September 30, 2014 and December 31, 2013, respectively.

The Company considers its purchase price for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, to be at fair value at the date of acquisition. The Company only establishes an allowance for loan losses subsequent to acquisition.

The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the distressed residential mortgage loans acquired during the nine months ended September 30, 2014 (dollar amounts in thousands):

	September 30, 2014
Contractually required principal and interest	$	90,080
Non-accretable yield		(15,939	)
Expected cash flows to be collected		74,141
Accretable yield		(23,626	)
Fair value at the date of acquisition	$	50,515

The following table details activity in accretable yield for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, for the nine months ended September 30, 2014 (dollar amounts in thousands):

	September 30, 2014
Balance at beginning of period	$	171,112
Additions		181,324
Disposals		(73,906	)
Accretion		(14,400	)
Balance at end of period	$	264,130

Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represents the Company’s estimate, of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from nonaccretable yield. Deletions include distressed residential mortgage loan dispositions, which include refinancing, sale and foreclosure of the underlying collateral and resulting removal of the distressed residential mortgage loans from the accretable yield, and reclassifications from accretable to nonaccretable yield. The reclassifications between accretable and nonaccretable yield and the accretion of interest income is based on various estimates regarding loan performance and the value of the underlying real estate securing the loans. As the Company continues to gather additional information regarding the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded in the nine-month period ended September 30, 2014 is not necessarily indicative of future results.

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of September 30, 2014 and December 31, 2013, respectively, are as follows:

	September 30, 2014			December 31, 2013
California		13.7	%		14.4	%
Florida		11.5	%		8.3	%
New York		7.7	%		8.1	%
Texas		6.8	%		6.6	%

The Company’s distressed residential mortgage loans held in securitization trusts are pledged as collateral for certain of the Securitized Debt issued by the Company (see Note 7).