Residential Mortgage Loans Held in Securitization Trusts (Net) and Real Estate Owned

Residential mortgage loans held in securitization trusts (net) consist of the following as of March 31, 2016 and December 31, 2015, respectively (dollar amounts in thousands):



	March 31, 2016			December 31, 2015
Unpaid principal balance	$	116,118		$	122,545
Deferred origination costs – net	736			775
Reserve for loan losses	(3,668		)	(3,399		)
Total	$	113,186		$	119,921

Allowance for Loan Losses - The following table presents the activity in the Company's allowance for loan losses on residential mortgage loans held in securitization trusts for the three months ended March 31, 2016 and 2015, respectively (dollar amounts in thousands):



	Three Months Ended March 31,
	2016		2015
Balance at beginning of period	$	3,399	$	3,631
Provisions for loan losses	246		310
Transfer to real estate owned	23		1
Charge-offs	—		—
Balance at the end of period	$	3,668	$	3,942

On an ongoing basis, the Company evaluates the adequacy of its allowance for loan losses. The Company’s allowance for loan losses as of March 31, 2016 was $3.7 million, representing 316 basis points of the outstanding principal balance of residential loans held in securitization trusts, as compared to 277 basis points as of December 31, 2015. As part of the Company’s allowance for loan loss adequacy analysis, management will assess an overall level of allowances while also assessing credit losses inherent in each non-performing residential mortgage loan held in securitization trusts. These estimates involve the consideration of various credit related factors, including but not limited to, current housing market conditions, current loan to value ratios, delinquency status, the borrower’s current economic and credit status and other relevant factors.

Real Estate Owned – The following table presents the activity in the Company’s real estate owned held in residential securitization trusts for the three months ended March 31, 2016 and 2015, respectively (dollar amounts in thousands):



	Three Months Ended March 31,
	2016		2015
Balance at beginning of period	$	411	$	965
Write downs	—		—
Transfer from/(to) mortgage loans held in securitization trusts	23		(192		)
Disposal	—		(315		)
Balance at the end of period	$	434	$	458

Real estate owned held in residential securitization trusts are included in receivables and other assets on the accompanying condensed consolidated balance sheets and write downs are included in provision for loan losses in the accompanying condensed consolidated statements of operations for reporting purposes.

All of the Company’s mortgage loans and real estate owned held in residential securitization trusts are pledged as collateral for the Residential CDOs issued by the Company. The Company’s net investment in the residential securitization trusts, which is the maximum amount of the Company’s investment that is at risk to loss and represents the difference between (i) the carrying amount of the mortgage loans and real estate owned held in residential securitization trusts and (ii) the amount of Residential CDOs outstanding, was $4.3 million and $4.4 million as of March 31, 2016 and December 31, 2015, respectively.

Delinquency Status of Our Residential Mortgage Loans Held in Securitization Trusts

As of March 31, 2016, we had 34 delinquent loans with an aggregate principal amount outstanding of approximately $19.2 million categorized as Residential Mortgage Loans Held in Securitization Trusts (net) of which $11.7 million, or 61%, are under some form of temporary modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including real estate owned (“REO”) through foreclosure, as of March 31, 2016 (dollar amounts in thousands):

March 31, 2016



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	4	$	1,033	0.89	%
61 - 90	1	$	685	0.59	%
90 +	29	$	17,491	14.99	%
Real estate owned through foreclosure	3	$	574	0.49	%

As of December 31, 2015, we had 31 delinquent loans with an aggregate principal amount outstanding of approximately $18.0 million categorized as Residential Mortgage Loans Held in Securitization Trusts (net), of which $11.9 million, or 67%, are under some form of modified payment plan. The table below shows delinquencies in our portfolio of residential mortgage loans held in securitization trusts, including real estate owned through foreclosure (REO), as of December 31, 2015 (dollar amounts in thousands):

December 31, 2015



Days Late	Number of Delinquent Loans	Total Unpaid Principal		% of Loan Portfolio
30 - 60	3	$	825	0.67	%
61 - 90	2	$	1,763	1.43	%
90 +	26	$	15,365	12.48	%
Real estate owned through foreclosure	3	$	574	0.47	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts and real estate owned held in residential securitization trusts as of March 31, 2016 and December 31, 2015 are as follows:



	March 31, 2016		December 31, 2015
New York	34.1	%	35.6	%
Massachusetts	20.9	%	20.7	%
New Jersey	11.6	%	11.1	%
Florida	8.0	%	7.7	%
Connecticut	6.8	%	6.5	%