Loans Held for Investment

The Loans held for investment are comprised primarily of loans collateralized by seasoned subprime residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages.

At December 31, 2018, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of our Loans held for investment was $12.2 billion and $13.3 billion as of December 31, 2018 and December 31, 2017, respectively.

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at December 31, 2018 and December 31, 2017:



	For the Year Ended
	December 31, 2018			December 31, 2017
	(dollars in thousands)
Balance, beginning of period	$	13,678,263		$	8,753,653
Purchases	1,671,330			6,539,765
Principal paydowns	(1,859,155		)	(1,788,409		)
Sales and settlements	(807,364		)	2,876
Net periodic accretion (amortization)	(83,393		)	(35,803		)
Realized gains (losses) on sales and settlements	101			—
Change in fair value	(27,201		)	206,181
Balance, end of period	$	12,572,581		$	13,678,263

The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. During the year ended December 31, 2018, the Company purchased $415 million of loans which were subsequently sold to a trust and securitized, with the Company retaining $40 million of beneficial interests. There were no gains or losses incurred from the sale of these assets.

Residential mortgage loans

The loan portfolio for all residential mortgages were originated during the following years:



Origination Year	December 31, 2018		December 31, 2017
2002 and prior	7.3	%	7.5	%
2003	6.6	%	6.7	%
2004	13.6	%	14.6	%
2005	19.5	%	20.4	%
2006	22.7	%	23.1	%
2007	19.5	%	19.0	%
2008	6.2	%	6.0	%
2009	1.0	%	0.7	%
2010 and later	3.6	%	2.0	%
Total	100.0	%	100.0	%

The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2018 and December 31, 2017:



	December 31, 2018				December 31, 2017
Number of loans		140,345				149,172
Weighted average maturity (years)		18.6				18.8
Weighted average loan to value⁽¹⁾		87.5		%		88.0		%
Weighted average FICO⁽¹⁾		629				631
Weighted average loan balance (in thousands)		$	89			$	91
Weighted average percentage owner occupied		90.1		%		95.0		%
Weighted average percentage single family residence		86.3		%		86.0		%
Weighted average geographic concentration of top five states	CA	9.0		%	CA	9.0		%
	FL	7.3		%	FL	7.2		%
	OH	5.9		%	OH	6.1		%
	NY	5.7		%	PA	5.6		%
	PA	5.6		%	VA	5.5		%

(1) As provided by the Trustee.

The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the year ended December 31, 2018 and 2017, respectively.



December 31, 2018
(dollars in thousands)

Loan Balance	Number of Loans	Interest Rate	Maturity Date	Total Principal		30-89 Days Delinquent		90+ Days Delinquent
Held-for-Investment at fair value:
Adjustable rate loans:
$1 to $250	8,258	1.00% to 19.49%	6/1/1983 - 6/1/2058	$	713,392	$	80,781	$	48,235
$250 to $500	456	2.00% to 12.75%	3/1/2023 - 2/1/2057	148,867		17,722		10,779
$500 to $750	65	2.00% to 10.00%	1/1/2034 - 8/1/2047	38,148		2,979		2,762
$750 to $1,000	7	4.13% to 5.13%	4/1/2035 - 4/1/2038	6,008		784		—
Over $1,000	7	4.00% to 5.00%	7/1/2037 - 8/1/2039	12,195		—		1,164
	8,793			$	918,610	$	102,266	$	62,940

Fixed loans:
$1 to $250	126,085	0.00% to 24.00%	6/1/1989 - 5/1/2062	$	9,566,517	$	894,574	$	591,283
$250 to $500	4,942	0.00% to 12.52%	4/1/2018 - 11/1/2061	1,595,673		160,015		128,876
$500 to $750	406	2.00% to 10.69%	7/1/2031 - 5/1/2058	238,292		12,239		10,600
$750 to $1,000	88	2.00% to 7.98%	3/1/2013 - 12/1/2055	75,289		2,677		1,805
Over $1,000	31	3.00% to 6.38%	6/1/2037 - 6/1/2057	38,200		—		—
	131,552			$	11,513,971	$	1,069,505	$	732,564

Total	140,345			$	12,432,581	$	1,171,771	$	795,504

The foreclosure, bankruptcy, and REO principal balances on our loans were $292 million, $266 million and $47 million, respectively, as of December 31, 2018, which are included in the table above.



December 31, 2017
(dollars in thousands)

Loan Balance	Number of Loans	Interest Rate	Maturity Date	Total Principal		30-89 Days Delinquent		90+ Days Delinquent
Held-for-Investment at fair value:
Adjustable rate loans:
$1 to $250	9,227	1.00% to 18.74%	9/1/1992 - 6/1/2057	$	827,020	$	95,952	$	46,343
$250 to $500	529	2.00% to 11.88%	11/1/2028 - 12/1/2056	171,266		19,289		11,855
$500 to $750	67	2.00% to 9.25%	1/1/2034 - 9/1/2046	39,212		3,041		2,382
$750 to $1,000	9	3.88% to 5.55%	1/1/2035 - 12/1/2045	7,663		757		—
Over $1,000	8	3.88% to 4.00%	7/1/2037 - 8/1/2039	13,702		2,705		1,164
	9,840			$	1,058,863	$	121,744	$	61,744

Hybrid loans:
$500 to $750	1	6.88% to 6.88%	1/1/2038 - 1/1/2038	$	702	$	—	$	—
	1			$	702	$	—	$	—

Fixed loans:
$1 to $250	133,437	0.00% to 24.00%	9/1/1994 - 5/1/2062	$	10,371,829	$	960,564	$	562,271
$250 to $500	5,324	0.00% to 12.52%	4/1/2018 - 11/1/2065	1,713,839		188,257		114,616
$500 to $750	440	2.00% to 10.69%	7/1/2031 - 9/1/2057	258,058		12,789		13,459
$750 to $1,000	99	2.00% to 7.69%	3/1/2013 - 12/1/2055	84,701		1,706		877
Over $1,000	31	3.00% to 5.75%	12/1/2040 - 7/1/2056	37,828		1,155		—
	139,331			$	12,466,255	$	1,164,471	$	691,223

Total	149,172			$	13,525,820	$	1,286,215	$	752,967

The foreclosure, bankruptcy, and REO principal balances on our loans were $200 million, $273 million and $31 million, respectively, as of December 31, 2017, which are included in the table above.

The fair value of residential mortgage loans 90 days or more past due was $606 million and $577 million as of December 31, 2018 and December 31, 2017, respectively.