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Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2019

Summary of Assets and Liabilities of Variable Interest Entities

The following table presents a summary of the assets and liabilities of our consolidated securitization trusts as of December 31, 2019 and December 31, 2018:


	December 31,		December 31,
	2019		2018
	(in thousands)
Residential mortgage loans held-for-investment through consolidated securitization trusts	$	458,348	$	549,016
Accrued interest receivable		1,495		1,792
Total assets	$	459,843	$	550,808
Accrued interest payable	$	1,448	$	1,746
Asset-backed securities issued by securitization trusts		448,987		539,651
Total liabilities	$	450,435	$	541,397

Summary of Residential Mortgage Loans Held-for-Investment


	December 31,		December 31,
	2019		2018
	(in thousands)
Principal balance	$	148,908	$	11,281
Unamortized premium and deferred transaction costs		4,014		379
Carrying value	$	152,922	$	11,660

Summary of Reconciliation of Carrying Value of Residential Mortgage Loans Held-for-Investment


	Year Ended
	December 31,
	2019		2018
	(in thousands)
Balance at beginning of period	$	11,660	$	—
Loan acquisitions		168,850		11,660
Premium and deferred transaction costs on new loans		3,702		—
Deductions during period:
Collections of principal		(30,992)		—
Amortization of premium and costs		(298)		—
Balance at end of period	$	152,922	$	11,660

Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment


	December 31,			December 31,
	2019			2018
	(dollar amounts in thousands)
Portfolio Characteristics:
12-months bank statements		17			2
24-months bank statements		56			18
Alt documentation		97			—
Full documentation		15			2
Written Verification of Employment		115			—
Number of loans outstanding		300			22
Current principal balance	$	148,908		$	11,281
Simple Average loan balance	$	496		$	513
Net weighted average coupon rate		5.40	%		5.95	%
Weighted average FICO score		744			722
Weighted average LTV (loan-to-value)		70			77
Weighted average DTI (debt-to-income)		38			40
Performance:
Current	$	146,999		$	11,281
30-days delinquent		1,909			—
Total	$	148,908		$	11,281

Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment


	December 31,		December 31,
State	2019		2018
California	74	%	49
Florida	7		43
New York	6		5
Other states (none greater than 5%)	13		3
Total	100	%	100	%

Variable Interest Entities Primary Beneficiary

Summary of Residential Mortgage Loans Held-for-Investment

The following table details the carrying value for residential mortgage loans held-for-investment through consolidated securitization trusts at December 31, 2019 and December 31, 2018:


	December 31,		December 31,
	2019		2018
		(in thousands)
Principal balance	$	456,768	$	545,881
Unamortized premium and costs		1,755		3,321
Allowance for loan losses		(175)		(186)
Carrying value	$	458,348	$	549,016

Summary of Reconciliation of Carrying Value of Residential Mortgage Loans Held-for-Investment

The following table provides a reconciliation of the carrying value of residential mortgage loans held-for-investment through consolidated securitization trusts at December 31, 2019 and December 31, 2018:


	Year Ended
	December 31,
	2019		2018
	(in thousands)
Balance at beginning of period	$	549,016	$	639,351
Deductions during period:
Collections of principal		(89,113)		(88,338)
Principal paydowns and other deductions		(1,566)		(2,014)
Charge-offs, net		11		17
Balance at end of period	$	458,348	$	549,016

Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment


	Year Ended
	December 31,
	2019		2018
	(in thousands)
Balance at beginning of period	$	549,016	$	639,351
Deductions during period:
Collections of principal		(89,113)		(88,338)
Principal paydowns and other deductions		(1,566)		(2,014)
Charge-offs, net		11		17
Balance at end of period	$	458,348	$	549,016

The following table details various portfolio characteristics of the residential mortgage loans held-for-investment through consolidated securitization trusts at December 31, 2019 and December 31, 2018:


	December 31,			December 31,
	2019			2018
	(dollar amounts in thousands)
Portfolio Characteristics:
Number of loans		704			829
Current principal balance	$	456,768		$	545,881
Average loan balance	$	649		$	658
Net weighted average coupon rate		3.87	%		3.85	%
Weighted average maturity (years)		24.3			25.3
Weighted average FICO score		762			761
Current Performance:
Current	$	452,875		$	543,328
30 days delinquent		2,122			—
60 days delinquent		726			896
90+ days delinquent		1,045			1,066
Bankruptcy/foreclosure		—			591
Total	$	456,768		$	545,881

Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment


	December 31,		December 31,
State	2019		2018
California	43	%	43	%
Florida	7		7
Other states (none greater than 5%)	50		50
Total	100	%	100	%

Summary of Activity in Allowance for Loan Losses

The following table summarizes the activity in the allowance for loan losses for the years ended December 31, 2019 and December 31, 2018:


	Year		Year
	Ended		Ended
		December 31,		December 31,
	2019		2018

Balance at beginning of period	$	186	$	203
Charge-offs, net		(11)		(17)
Balance at end of period	$	175	$	186

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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