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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