RESIDENTIAL MORTGAGE LOANS (Tables)

6 Months Ended

Jun. 30, 2017

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The table below presents the fair value and the unpaid principal balance of the residential mortgage loan portfolio as of June 30, 2017 and December 31, 2016:

	June 30, 2017		December 31, 2016
	(dollars in thousands)
Fair value	$	779,685	$	342,289
Unpaid principal balance	$	763,850	$	338,323

Summary of Comprehensive Income (Loss)

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2017 for these investments:

	For the Three Months Ended			For the Six Months Ended
	June 30, 2017			June 30, 2017
	(dollars in thousands)
Net gains (losses) on disposal of investments	$	(321	)	$	(1,314	)
Net unrealized gains (losses) on investments measured at fair value through earnings		5,310			6,125
Net interest income		7,120			10,709
Total included in net income (loss)	$	12,109		$	15,520

Geographic Concentrations Based on Unpaid Principal Balances

The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs as of June 30, 2017 are as follows:

FREMF Trusts						Residential Mortgage Loan Trust
Property Location	Principal Balance		% of Balance			Property Location	Principal Balance		% of Balance
(dollars in thousands)
Texas	$	622,589		17.3	%	California	$	66,805		45.1	%
North Carolina		537,375		15.0	%	Texas		16,205		10.9	%
Maryland		499,495		13.9	%	Illinois		9,841		6.6	%
Virginia		329,250		9.2	%	Washington		9,742		6.6	%
Florida		303,796		8.5	%	Florida		8,772		5.9	%
New York		280,925		7.8	%	Other ⁽¹⁾		36,717		24.9	%
Pennsylvania		225,810		6.3	%
Ohio		197,455		5.5	%
Other⁽¹⁾		597,163		16.5	%
Total	$	3,593,858		100.0	%		$	148,082		100.0	%

⁽¹⁾ No individual state greater than 5%

Residential Mortgage Loans

The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at June 30, 2017 and December 31, 2016:

	June 30, 2017				December 31, 2016
	Portfolio Range		Portfolio Weighted Average		Portfolio Range		Portfolio Weighted Average
	(dollars in thousands)				(dollars in thousands)
Unpaid principal balance		$20 - $3,686		$709		$22 - $1,905		$691
Interest rate		2.50% - 6.88%		4.35%		2.50% - 6.75%		3.72%
Maturity	8/1/2029 - 6/1/2047		10/20/2045		4/8/2044 - 11/1/2046		8/20/2045
FICO score at loan origination		620 - 823		753		665 - 814		761
Loan-to-value ratio at loan origination		20% - 90%		68%		24% - 90%		71%

Residential Mortgage Loans | Geographic Concentration Risk

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances as of June 30, 2017 and December 31, 2016, for the residential mortgage loans, including loans held in a securitization trust:

Geographic Concentrations of Residential Mortgage Loans
June 30, 2017				December 31, 2016
Property Location	% of Balance			Property Location	% of Balance
California		57.9	%	California		46.3	%
New York		7.2	%	Texas		9.6	%
Texas		5.0	%	Illinois		5.7	%
All other (none individually greater than 5%)		29.9	%	Florida		5.2	%
				Washington		5.1	%
				All other (none individually greater than 5%)		28.1	%
Total		100.0	%	Total		100.0	%