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Loans Held for Investment
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Loans Held for Investment Loans Held for Investment

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

At March 31, 2020, 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 investment was $13.4 billion and $13.7 billion as of March 31, 2020 and December 31, 2019, respectively.

The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2020 and December 31, 2019:
 
For the Quarter Ended
For the Year Ended
 
March 31, 2020
December 31, 2019
 
(dollars in thousands)
Balance, beginning of period
$
14,292,815

$
12,572,581

Purchases
183,566

5,086,491

Principal paydowns
(461,594
)
(1,717,745
)
Sales and settlements
(171
)
(1,812,760
)
Net periodic accretion (amortization)
(26,284
)
(77,491
)
Realized gains (losses) on sales and settlements
—

1,590

Change in fair value
(681,514
)
240,149

Balance, end of period
$
13,306,818

$
14,292,815



The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. During the year ended December 31, 2019, the Company sold $1.8 billion of loans, with the Company retaining $124 million of beneficial interests. There were no sales of loans during the quarter ended March 31, 2020.

Residential mortgage loans

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

Origination Year
March 31, 2020
December 31, 2019
2002 and prior
6.7
%
6.8
%
2003
5.8
%
6.0
%
2004
12.4
%
12.6
%
2005
18.7
%
18.6
%
2006
23.2
%
22.5
%
2007
21.7
%
20.7
%
2008
6.2
%
6.4
%
2009
1.2
%
1.5
%
2010 and later
4.1
%
4.9
%
Total
100.0
%
100.0
%

(1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019, respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods.

The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2020 and December 31, 2019:

 
March 31, 2020
December 31, 2019
Number of loans
 
137,605

 
139,194

Weighted average maturity (years)
 
19.5

 
19.3

Weighted average loan to value (2)
 
86.5
%
 
87.4
%
Weighted average FICO (2)
 
631

 
627

Weighted average loan balance (in thousands)
 
$
97

 
$
95

Weighted average percentage owner occupied
 
87.8
%
 
88.0
%
Weighted average percentage single family residence
 
83.8
%
 
84.4
%
Weighted average geographic concentration of top five states
CA
12.4
%
CA
11.6
%
 
FL
7.7
%
FL
7.4
%
 
NY
7.1
%
NY
6.9
%
 
PA
5.1
%
OH
5.3
%
 
OH
5.1
%
PA
5.3
%
(1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019, respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods.
(2) As provided by the Trustee.

The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at March 31, 2020 and December 31, 2019.

 
30 Days Delinquent
60 Days Delinquent
90+ Days Delinquent
Bankruptcy
Foreclosure
Loss Mitigation
REO
Total
Unpaid Principal Balance
(dollars in thousands)
March 31, 2020 (1)
$
967,534

$
333,270

$
339,452

$
299,129

$
296,935

$
4

$
58,728

$
2,295,052

$
13,284,786

% of Unpaid Principal Balance
7.3
%
2.5
%
2.6
%
2.3
%
2.2
%
—
%
0.4
%
17.3
%
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019(1)
$
1,070,173

$
336,950

$
291,866

$
322,288

$
298,526

$
—

$
59,389

$
2,379,192

$
13,169,843

% of Unpaid Principal Balance
8.1
%
2.6
%
2.2
%
2.4
%
2.3
%
—
%
0.5
%
18.1
%
 
(1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019, respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods.

The fair value of residential mortgage loans 90 days or more past due was $563 million and $597 million as of March 31, 2020 and December 31, 2019, respectively.