Residential Mortgage Loans Held-For-Securitization

6 Months Ended

Jun. 30, 2020

Residential Mortgage Loans Held-For-Securitization

Residential Mortgage Loans Held-For-Securitization

NOTE 4. RESIDENTIAL MORTGAGE LOANS HELD-FOR-SECURITIZATION

At June 30, 2020, we owned approximately $131.1 million of residential mortgage loans. To date, all of the loans were acquired during 2019. At December 31, 2019, we owned approximately $152.9 million of residential mortgage loans.

The following table details the carrying value for residential mortgage loans held-for-securitization at June 30, 2020 and December 31, 2019:

	June 30,		December 31,
	2020		2019
		(in thousands)
Principal balance	$	127,782	$	148,908
Unamortized premium and deferred transaction costs		3,384		4,014
Allowance for credit losses		(56)		—
Carrying value	$	131,110	$	152,922

The following table provides a reconciliation of the carrying value of residential mortgage loans held-for-securitization for the three and six months ended June 30, 2020 and for the year ended December 31, 2019:

	Three Months		Six Months		Year
	Ended		Ended		Ended
	June 30,		June 30,		December 31,
	2020		2020		2019
	(in thousands)
Balance at beginning of period	$	141,645	$	152,922	$	11,660
Loan acquisitions		—		—		168,850
Premium and deferred transaction costs on new loans		—		—		3,702
Deductions during period:
Collections of principal		(10,129)		(20,178)		(30,992)
Amortization of premium and costs		(406)		(823)		(298)
Allowance for credit losses		—		(56)		—
Other		—		(755)		—
Balance at end of period	$	131,110	$	131,110	$	152,922

The following table details various portfolio characteristics of residential mortgage loans held-for-securitization at June 30, 2020 and December 31, 2019:

	June 30,			December 31,
	2020			2019
	(dollar amounts in thousands)
Portfolio Characteristics:
12-months bank statements		12			17
24-months bank statements		49			56
Alt documentation		79			97
Full documentation		12			15
Written Verification of Employment		109			115
Number of loans outstanding		261			300
Current principal balance	$	127,782		$	148,908
Simple Average loan balance	$	490		$	496
Net weighted average coupon rate		5.39	%		5.40	%
Weighted average FICO score		742			744
Weighted average LTV (loan-to-value)		70			70
Weighted average DTI (debt-to-income)		38			38
Performance:
Current	$	99,974		$	146,999
30-days delinquent(1)		1,547			1,909
60-days delinquent(1)		13,252			—
90-days+ delinquent(1)		13,009			—
Bankruptcy/foreclosure		—			—
Total	$	127,782		$	148,908

(1) Of the delinquent amounts presented, the percentages that are COVID-19 related are as follows: 30-days delinquent: 65%; 60-days delinquent: 96%; 90-days+ delinquent: 96%.

The following table summarizes the geographic concentrations of residential mortgage loans held-for-securitization at June 30, 2020 and December 31, 2019, based on principal balance outstanding:

	June 30,		December 31,
State	2020		2019
California	72	%	74	%
Florida	8		7
New York	6		6
Other states (none greater than 5%)	14		13
Total	100	%	100	%

The following table summarizes the activity in the allowance for loan losses for the three and six months ended June 30, 2020:

	Three Months		Six Months
	Ended		Ended
	June 30,		June 30
	2020		2020
	(in thousands)
Balance at beginning of period	$	56	$	—
Impact of adopting ASC-326		—		30
Provision for loan losses		—		26
Charge-offs, net		—		—
Balance at end of period	$	56	$	56