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Investment in Loans
 9 Months Ended
Sep. 30, 2020
Receivables [Abstract]  
Investment in Loans Investment in Loans
The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, and corporate loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of September 30, 2020 and December 31, 2019:
As of
(In thousands)September 30, 2020December 31, 2019
Loan TypeUnpaid Principal BalanceFair
Value		Unpaid Principal BalanceFair
Value
Residential mortgage loans$1,004,980 $1,030,709 $911,705 $932,203 
Commercial mortgage loans252,305 252,231 277,870 274,759 
Consumer loans150,062 152,609 179,743 186,954 
Corporate loans7,063 7,063 18,415 18,510 
Total$1,414,410 $1,442,612 $1,387,733 $1,412,426 
The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in our loan portfolio can be amplified by exogenous shocks impacting our borrowers such as man-made or natural disasters, including the COVID-19 pandemic.
The following table provides details, by accrual status, for loans that are 90 days or more past due as of September 30, 2020 and December 31, 2019:
As of
September 30, 2020December 31, 2019
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
90 days or more past due—non-accrual status
Residential mortgage loans$67,121 $64,414 $22,092 $19,401 
Commercial mortgage loans23,750 23,671 28,936 26,545 
Consumer loans1,284 1,131 5,633 5,225 
Residential Mortgage Loans
The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2020 and December 31, 2019.
September 30, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$996,429 $8,676 $1,005,105 $21,504 $(4,355)$1,022,254 6.23 %5.15 %1.66
Residential mortgage loans, held-for-sale8,551 (863)7,688 793 (26)8,455 4.73 %6.04 %5.50
Total$1,004,980 $7,813 $1,012,793 $22,297 $(4,381)$1,030,709 6.22 %5.16 %1.70
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)Includes $760.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $17.5 million and $(0.2) million of gross unrealized gains and gross unrealized losses, respectively; such unrealized gains (losses) are presented on a gross basis on the Company's Condensed Consolidated Statement of Operations. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
December 31, 2019:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$911,705 $9,354 $921,059 $13,082 $(1,938)$932,203 6.44 %5.79 %1.90
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)Includes $628.4 million of non-QM loans that have been securitized and are held in consolidated securitization trusts.
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019:
Property Location by U.S. StateSeptember 30, 2020December 31, 2019
California44.0 %46.6 %
Florida13.8 %11.9 %
Texas10.4 %11.9 %
Colorado2.8 %3.2 %
Massachusetts2.6 %2.9 %
Oregon2.4 %2.2 %
Arizona1.9 %2.4 %
Utah1.9 %1.9 %
Illinois1.8 %1.7 %
New Jersey1.8 %1.1 %
Nevada1.7 %1.6 %
Washington1.6 %1.6 %
New York1.3 %1.3 %
North Carolina1.2 %— %
Georgia1.1 %— %
Maryland1.0 %1.1 %
Connecticut1.0 %— %
Other7.7 %8.6 %
100.0 %100.0 %
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2020 and December 31, 2019.
As of
September 30, 2020December 31, 2019
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
Re-performing$23,002 $21,572 $27,663 $25,323 
Non-performing64,710 62,343 17,757 15,580 
As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. At September 30, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $2.6 million related to adverse changes in estimated future cash flows on its residential mortgage loans, primarily due to the economic impact of the COVID-19 pandemic. Certain of the Company's residential mortgage loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such loans; as of September 30, 2020, the estimated credit losses on such loans was $0.4 million. The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible; for the three- and nine-month periods ended September 30, 2020, the Company recognized realized losses on these loans of $51 thousand and $(0.5) million, which are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.
For the three- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $0.3 million and $0.7 million, on the cost basis of its residential mortgage loans, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.
As of September 30, 2020 and December 31, 2019, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $11.1 million and $10.9 million, respectively.
Commercial Mortgage Loans
The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2020 and December 31, 2019:
September 30, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$252,305 $(122)$252,183 $535 $(487)$252,231 8.25 %8.14 %0.77
(1)Excludes commercial mortgage loans, in non-accrual status, with a fair value of $23.8 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2019:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$277,870 $(3,302)$274,568 $253 $(62)$274,759 7.65 %8.58 %1.07
(1)Excludes commercial mortgage loans, held at par in non-accrual status, with a fair value of $10.7 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2020 and December 31, 2019:
Property Location by U.S. StateSeptember 30, 2020December 31, 2019
Florida17.6 %31.7 %
New York16.5 %17.7 %
Pennsylvania11.5 %— %
Connecticut9.3 %8.2 %
Missouri6.6 %4.6 %
Ohio6.1 %— %
California5.7 %— %
Massachusetts5.2 %4.7 %
New Jersey4.9 %13.3 %
Arizona3.7 %3.8 %
Virginia3.6 %6.8 %
Indiana2.4 %2.1 %
North Carolina2.0 %1.8 %
Nevada1.6 %1.5 %
Tennessee1.6 %1.5 %
Illinois1.3 %1.2 %
Other0.4 %1.1 %
100.0 %100.0 %
As of September 30, 2020, the Company had two non-performing commercial mortgage loans with an unpaid principal balance and fair value of $23.8 million and $23.7 million, respectively. As of December 31, 2019, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $28.9 million and $26.5 million, respectively.
As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. At September 30, 2020, the expected future credit losses, which it tracks for purposes of calculating interest income, of $0.4 million related to adverse changes in estimated future cash flows on its commercial mortgage loans. For the three- and nine-month periods ended September 30, 2019, the Company did not recognize any impairment charge on the cost basis of its commercial mortgage loans.
As of September 30, 2020, the Company did not have any commercial mortgage loans that were in the process of foreclosure. As of December 31, 2019, the Company had two commercial mortgage loans with a fair value of $16.0 million that were in the process of foreclosure.
Consumer Loans
The tables below detail certain information regarding the Company's consumer loans as of September 30, 2020 and December 31, 2019:
September 30, 2020:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$150,062 $7,347 $157,409 $1,430 $(6,230)$152,609 0.884
(1)Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2019:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$179,743 $5,027 $184,770 $2,561 $(377)$186,954 0.824
(1)Includes $0.6 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2020 and December 31, 2019:
Days Past DueSeptember 30, 2020December 31, 2019
Current96.2 %95.3 %
30-59 Days1.6 %2.1 %
60-89 Days1.1 %1.4 %
90-119 Days0.8 %1.2 %
>120 Days0.3 %— %
100.0 %100.0 %
During the three-month periods ended September 30, 2020 and 2019, the Company charged off $3.9 million and $4.9 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. During each of the nine-month periods ended September 30, 2020 and 2019, the Company charged off $13.9 million of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of both September 30, 2020 and December 31, 2019, the Company held charged-off consumer loans with an aggregate fair value of $0.6 million for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. At September 30, 2020, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $4.7 million on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible; for each of the three- and nine-month periods ended September 30, 2020, the Company recognized realized losses on these loans of $0.1 million.
For the three- and nine-month periods ended September 30, 2019, the Company recognized an impairment charge of $1.1 million and $4.6 million, respectively, on the cost basis of its consumer loan pools, which is included in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.
Corporate Loans
The tables below detail certain information regarding the Company's corporate loans as of September 30, 2020 and December 31, 2019:
September 30, 2020:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$7,063 $7,063 19.43 %1.98
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
December 31, 2019:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)(2)
$18,415 $18,510 17.62 %0.87
(1)See Note 13 for further details on the Company's transactions involving a loan originator in which the Company also holds an equity investment.
(2)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.