Loans Held for Investment

The Loans held for investment is comprised primarily of loans collateralized by seasoned subprime residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages.

At December 31, 2017, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of our Loans held for investments was $13.3 billion and $8.6 billion as of December 31, 2017 and December 31, 2016, respectively.

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at December 31, 2017 and December 31, 2016:



	For the Year Ended
	December 31, 2017			December 31, 2016
	(dollars in thousands)
Balance, beginning of period	$	8,753,653		$	4,768,416
Purchases	6,539,765			4,897,370
Principal paydowns	(1,788,409		)	(1,022,414		)
Sales and settlements	2,876			5,007
Net periodic accretion (amortization)	(35,803		)	(41,363		)
Change in fair value	206,181			146,637
Balance, end of period	$	13,678,263		$	8,753,653

The primary cause of the change in fair value is due to market demand for mortgage loans.

Residential mortgage loans

The loan portfolio for all residential mortgages were originated during the following years:



Origination Year	December 31, 2017		December 31, 2016
2002 and prior	7.5	%	8.9	%
2003	6.7	%	5.2	%
2004	14.6	%	11.9	%
2005	20.4	%	20.5	%
2006	23.1	%	22.0	%
2007	19.0	%	20.9	%
2008	6.0	%	6.5	%
2009	0.7	%	0.6	%
2010 and later	2.0	%	3.5	%
Total	100.0	%	100.0	%

The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2017 and December 31, 2016:



	December 31, 2017				December 31, 2016
Number of loans		149,172				95,155
Weighted average maturity (years)		18.8				19.8
Weighted average loan to value⁽¹⁾		88.0		%		86.9		%
Weighted average FICO⁽¹⁾		631				627
Weighted average loan balance (in thousands)		$	91			$	93
Weighted average percentage owner occupied		95.0		%		96.6		%
Weighted average percentage single family residence		86.0		%		85.0		%
Weighted average geographic concentration of top five states	CA	9.0		%	CA	10.0		%
	FL	7.2		%	FL	6.7		%
	OH	6.1		%	OH	6.5		%
	PA	5.6		%	VA	5.9		%
	VA	5.5		%	NC	5.1		%

(1) As provided by the Trustee.

The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the years ended December 31, 2017 and 2016, respectively.



December 31, 2017
(dollars in thousands)

Loan Balance	Number of Loans	Interest Rate	Maturity Date	Total Principal		30-89 Days Delinquent		90+ Days Delinquent
Held-for-Investment at fair value:
Adjustable rate loans:
$1 to $250	9,227	1.00% to 18.74%	9/1/1992 - 6/1/2057	$	827,020	$	95,952	$	46,343
$250 to $500	529	2.00% to 11.88%	11/1/2028 - 12/1/2056	171,266		19,289		11,855
$500 to $750	67	2.00% to 9.25%	1/1/2034 - 9/1/2046	39,212		3,041		2,382
$750 to $1,000	9	3.88% to 5.55%	1/1/2035 - 12/1/2045	7,663		757		—
Over $1,000	8	3.88% to 4.00%	7/1/2037 - 8/1/2039	13,702		2,705		1,164
	9,840			$	1,058,863	$	121,744	$	61,744

Hybrid loans:
$500 to $750	1	6.88% to 6.88%	1/1/2038 - 1/1/2038	$	702	$	—	$	—
	1			$	702	$	—	$	—

Fixed loans:
$1 to $250	133,437	0.00% to 24.00%	9/1/1994 - 5/1/2062	$	10,371,829	$	960,564	$	562,271
$250 to $500	5,324	0.00% to 12.52%	4/1/2018 - 11/1/2065	1,713,839		188,257		114,616
$500 to $750	440	2.00% to 10.69%	7/1/2031 - 9/1/2057	258,058		12,789		13,459
$750 to $1,000	99	2.00% to 7.69%	3/1/2013 - 12/1/2055	84,701		1,706		877
Over $1,000	31	3.00% to 5.75%	12/1/2040 - 7/1/2056	37,828		1,155		—
	139,331			$	12,466,255	$	1,164,471	$	691,223

Total	149,172			$	13,525,820	$	1,286,215	$	752,967

The foreclosure, bankruptcy and REO balances on our loans were $200 million, $273 million and $31 million, respectively, as of December 31, 2017, which are included in the table above.



December 31, 2016
(dollars in thousands)

Loan Balance	Number of Loans	Interest Rate	Maturity Date	Total Principal		30-89 Days Delinquent		90+ Days Delinquent
Held-for-Investment at fair value:
Adjustable rate loans:
$1 to $250	6,417	1.38% to 15.20%	2/1/2003 - 10/1/2056	$	609,584	$	67,705	$	25,102
$250 to $500	458	2.13% to 10.00%	4/1/2030 - 9/1/2055	147,410		22,821		7,684
$500 to $750	45	2.00% to 9.25%	7/1/2034 - 9/1/2046	26,383		$	3,033	1,131
$750 to $1,000	7	3.13% to 5.17%	1/1/2038 - 12/1/2045	5,754		$	768	—
Over $1,000	5	3.13% to 3.38%	1/1/2038 - 4/1/2038	6,641		$	—	1,428
	6,932			795,772		94,326		35,345

Hybrid loans:
$1 to $250	2	6.67% to 6.83%	8/1/2037 - 9/1/2037	$	190	$	97	$	—
$250 to $500	1	5.88% to 5.88%	7/1/2037 - 7/1/2037	496		—		—
$500 to $750	3	5.63% to 6.88%	7/1/2037 - 3/1/2038	1,842		—		—
$750 to $1,000	1	5.75% to 5.75%	4/1/2037 - 4/1/2037	940		—		—
	7			$	3,468	$	97	$	—

Fixed loans:
$1 to $250	83,925	0.00% to 24.00%	7/1/2002 - 5/1/2062	$	6,487,251	$	603,388	$	424,980
$250 to $500	3,769	0.00% to 12.52%	5/1/2018 - 10/1/2065	1,225,999		136,702		80,984
$500 to $750	381	2.00% to 10.69%	5/1/2032 - 9/1/2057	223,638		9,531		5,788
$750 to $1,000	103	3.75% to 7.29%	4/1/2037 - 5/1/2047	87,680		—		1,746
Over $1,000	38	3.25% to 7.13%	3/1/2013 - 8/1/2046	44,975		—		—
	88,216			$	8,069,543	$	749,621	$	513,498

Total	95,155			$	8,868,783	$	844,044	$	548,843

The foreclosure, bankruptcy and REO balances on our loans were $203 million, $207 million and $41 million, respectively, as of December 31, 2016, which are included in the table above.

The fair value of residential mortgage loans 90 days or more past due was $577 million and $449 million as of December 31, 2017 and December 31, 2016, respectively.