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RESIDENTIAL MORTGAGE LOANS (Tables)
 12 Months Ended
Dec. 31, 2017
Mortgage Loans on Real Estate [Abstract]  
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio
The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio at December 31, 2017 and 2016:
 
 
December 31, 2017
December 31, 2016
 
(dollars in thousands)
Fair value
$
1,438,322

$
342,289

Unpaid principal balance
$
1,419,807

$
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 years ended December 31, 2017 and 2016 for these investments:
 
 
For the Years Ended:
 
December 31, 2017
December 31, 2016
 
(dollars in thousands)
Net interest income
$
28,817

$
3,452

Net gains (losses) on disposal of investments
(4,704
)
(922
)
Net unrealized gains (losses) on investments measured at fair value through earnings
8,468

(5,614
)
Total included in net income (loss)
$
32,581

$
(3,084
)
Geographic Concentrations Based on Unpaid Principal Balances
The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts:
 
Geographic Concentrations of Residential Mortgage Loans
December 31, 2017
 
December 31, 2016
Property Location
% of Balance
 
Property Location
% of Balance
California
49.8%
 
California
46.3%
Florida
9.3%
 
Texas
9.6%
New York
7.1%
 
Illinois
5.7%
All other (none individually greater than 5%)
33.8%
 
Florida
5.2%
 
 
 
Washington
5.1%
 
 
 
All other (none individually greater than 5%)
28.1%
Total
100.0%
 
 
100.0%
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs at December 31, 2017 are as follows:
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
FREMF Trusts
 
Residential Mortgage Loan Trusts
Property
Location
Principal
Balance
 
% of
Balance
 
Property
Location
 
Principal
Balance
 
% of
Balance
(dollars in thousands)
Maryland
$
494,885

 
17.9
%
 
California
 
$
191,804

 
40.3
%
Texas
362,898

 
13.1
%
 
Florida
 
36,159

 
7.6
%
Virginia
329,250

 
11.9
%
 
Illinois
 
24,446

 
5.1
%
New York
280,925

 
10.1
%
 
Virginia
 
24,437

 
5.1
%
North Carolina
242,707

 
8.8
%
 
Other (1)
 
199,516

 
41.9
%
Pennsylvania
225,810

 
8.1
%
 
 
 


 


Massachusetts
179,440

 
6.5
%
 
 
 
 
 
 
Ohio
168,746

 
6.1
%
 
 
 
 
 
 
Florida
146,960

 
5.3
%
 
 
 
 
 
 
Other (1)
339,203

 
12.2
%
 
 
 
 
 
 
Total
$
2,770,824

 
100.0
%
 
Total
 
$
476,362

 
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 securitization trusts, at December 31, 2017 and 2016:
 
 
December 31, 2017
December 31, 2016
 
Portfolio Range
 
Portfolio Weighted
Average
Portfolio Range
 
Portfolio Weighted
Average
 
(dollars in thousands)
Unpaid principal balance
$1 - $3,663
 
$
514

$22 - $1,905
 
$
691

Interest rate
1.63% - 7.50%
 
4.25
%
2.50% - 6.75%
 
3.72
%
Maturity
1/1/2028 - 5/1/2057
 
2/1/2043

4/8/2044 - 11/1/2046
 
8/20/2045

FICO score at loan origination
468 - 823
 
748

665 - 814
 
761

Loan-to-value ratio at loan origination
11% - 100%
 
68
%
24% - 90%
 
71
%
Schedule of Residential Mortgage Loans
The following table presents the activity related to residential mortgage loans for the years ended December 31, 2017 and 2016:
 
December 31, 2017
December 31, 2016
 
(dollars in thousands)
Fair value, beginning of period
$
342,289

$
—

Obtained through Hatteras Acquisition
—

360,447

Purchases
1,218,491

165,213

Consolidation of VIEs
349,200

—

Sales
(278,305
)
(134,203
)
Principal repayments
(189,465
)
(42,612
)
Amortization of premiums
(1,523
)
(942
)
Change in fair value
(2,365
)
(5,614
)
Fair value, end of period
$
1,438,322

$
342,289