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Variable Interest Entities (Tables)
6 Months Ended
Jun. 30, 2020
Summary of Residential Mortgage Loans Held-for-Investment

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

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

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

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

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

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

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

%

Summary of Activity in Allowance for Loan Losses

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

Variable Interest Entities Primary Beneficiary  
Summary of Assets and Liabilities of Variable Interest Entities

June 30, 

December 31, 

    

2020

    

2019

(in thousands)

Residential mortgage loans held-for-investment through consolidated securitization trusts

$

367,539

$

458,348

Accrued interest receivable

 

1,259

 

1,495

Total assets

$

368,798

$

459,843

Accrued interest payable

$

1,214

$

1,448

Asset-backed securities issued by securitization trusts

 

358,854

 

448,987

Total liabilities

$

360,068

$

450,435

Summary of Residential Mortgage Loans Held-for-Investment

June 30, 

December 31, 

    

2020

    

2019

(in thousands)

Principal balance

$

366,584

$

456,768

Unamortized premium and costs

 

1,102

 

1,755

Allowance for loan losses

(147)

(175)

Carrying value

$

367,539

$

458,348

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

Three Months

  

Six Months

  

Three Months

  

Six Months

  

For the Year

Ended

Ended

Ended

Ended

Ended

June 30, 

June 30, 

June 30, 

June 30, 

December 31, 

    

2020

    

2020

    

2019

    

2019

    

2019

(in thousands)

Balance at beginning of period

$

416,571

$

458,348

$

535,077

$

549,016

$

549,016

Deductions during period:

Collections of principal

 

(48,736)

 

(90,184)

(19,925)

(33,445)

 

(89,113)

Principal paydowns and other deductions

 

(316)

 

(653)

(403)

(833)

 

(1,566)

Provision for credit losses

(564)

(594)

Charge-offs, net

584

622

11

11

Balance at end of period

$

367,539

$

367,539

$

514,749

$

514,749

$

458,348

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

June 30, 

December 31, 

 

    

2020

    

    

2019

 

(dollar amounts in thousands)

 

Portfolio Characteristics:

  

  

 

Number of loans

 

580

 

704

Current principal balance

$

366,584

$

456,768

Average loan balance

$

632

$

649

Net weighted average coupon rate

 

3.86

%  

 

3.87

%

Weighted average maturity (years)

 

23.8

 

24.3

Weighted average FICO score

 

761

 

762

Current Performance:

 

  

 

  

Current

$

361,114

$

452,875

30 days delinquent

 

3,494

 

2,122

60 days delinquent

 

1,250

 

726

90+ days delinquent

 

726

 

1,045

Bankruptcy/foreclosure

 

 

Total

$

366,584

$

456,768

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

June 30, 

December 31, 

 

State

    

2020

    

2019

 

California

 

43

%  

43

%

Florida

 

7

 

7

Texas

6

Other states (none greater than 5%)

 

44

 

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 three and six months ended June 30, 2020 and June 30, 2019 and for the year ended December 31, 2019:

Three Months

Six Months

Three Months

Six Months

Year

Ended

Ended

Ended

Ended

Ended

June 30, 

June 30, 

June 30

June 30, 

December 31,

    

2020

    

2020

    

2019

    

2019

2019

(in thousands)

Balance at beginning of period

$

167

$

175

$

175

$

186

$

186

Impact of adopting ASC 326

Provision for credit losses

564

594

Charge-offs, net

 

(584)

(622)

(11)

 

(11)

Balance at end of period

$

147

$

147

$

175

$

175

$

175