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RESIDENTIAL MORTGAGE LOANS (Tables)
 3 Months Ended
Mar. 31, 2018
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 March 31, 2018 and December 31, 2017:
 
 
March 31, 2018
 
December 31, 2017
 
 
(dollars in thousands)
Fair value
 
$
1,535,685

 
$
1,438,322

Unpaid principal balance
 
$
1,527,171

 
$
1,419,807
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 months ended March 31, 2018 and 2017 for these investments: 
 
 
Three Months Ended
 
 
March 31, 2018
 
March 31, 2017
 
 
(dollars in thousands)
Net interest income
 
$
13,495

 
$
3,589

Net gains (losses) on disposal of investments
 
(1,758
)
 
(993
)
Net unrealized gains (losses) on investments measured at fair value through earnings
 
(9,864
)
 
815

Total included in net income (loss)
 
$
1,873

 
$
3,411
Geographic Concentrations Based on Unpaid Principal Balances
The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2018 and December 31, 2017, for the residential mortgage loans, including loans held in securitization trusts:
Geographic Concentrations of Residential Mortgage Loans
March 31, 2018
December 31, 2017
Property Location
% of Balance
Property Location
% of Balance
California
52.8
%
California
49.8
%
Florida
8.3
%
Florida
9.3
%
New York
6.9
%
New York
7.1
%
All other (none individually greater than 5%)
32.0
%
All other (none individually greater than 5%)
33.8
%
Total
100.0
%
Total
100.0
%
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trust, at March 31, 2018 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
 
$
494,604

 
18.5
%
 
California
 
$
76,367

 
33.0
%
Texas
 
361,641

 
13.6
%
 
Florida
 
21,340

 
9.2
%
Virginia
 
329,250

 
12.4
%
 
Texas
 
18,357

 
7.9
%
New York
 
280,925

 
10.5
%
 
Illinois
 
15,752

 
6.8
%
North Carolina
 
232,271

 
8.7
%
 
New Jersey
 
13,290

 
5.7
%
Pennsylvania
 
225,810

 
8.5
%
 
Other (1)
 
86,430

 
37.4
%
Massachusetts
 
179,440

 
6.7
%
 
 
 
 
 
 
Ohio
 
156,834

 
5.9
%
 
 
 
 
 
 
Other (1)
 
404,652

 
15.2
%
 
 
 
 
 
 
Total
 
$
2,665,427

 
100.0
%
 
 
 
$
231,536

 
100.0
%
(1) No individual state greater than 5%.
Residential Mortgage Loans
The following table provides additional data on the Company’s residential mortgage loans, including loans held in securitization trusts, at March 31, 2018 and December 31, 2017:
 
 
March 31, 2018
 
December 31, 2017
 
 
Portfolio
Range
 
Portfolio Weighted Average
 
Portfolio
Range
 
Portfolio Weighted Average
 
 
(dollars in thousands)
 
(dollars in thousands)
Unpaid principal balance
 
$1 - $3,649
 
$531
 
$1 - $3,663
 
$514
Interest rate
 
1.88% - 7.50%
 
4.37%
 
1.63% - 7.50%
 
4.25%
Maturity
 
1/1/2028 - 1/1/2058
 
10/2/2043
 
1/1/2028 - 5/1/2057
 
2/1/2043
FICO score at loan origination
 
498 - 823
 
749
 
468 - 823
 
748
Loan-to-value ratio at loan origination
 
11% - 100%
 
67%
 
11% - 100%
 
68%