Loans Held for Investment

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

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 June 30, 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 $13.0 billion and $13.7 billion as of June 30, 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 June 30, 2020 and December 31, 2019:



	For the Six Months Ended			For the Year Ended
	June 30, 2020			December 31, 2019
	(dollars in thousands)
Balance, beginning of period	$	14,292,815		$	12,572,581
Purchases	177,857			5,086,491
Principal paydowns	(895,764		)	(1,717,745		)
Sales and settlements	6,662			(1,812,760		)
Net periodic accretion (amortization)	(49,064		)	(77,491		)
Realized gains (losses) on sales and settlements	—			1,590
Change in fair value	(495,673		)	240,149
Balance, end of period	$	13,036,833		$	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 and six months ended June 30, 2020.

Residential mortgage loans

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



Origination Year	June 30, 2020		December 31, 2019 ⁽¹⁾
2002 and prior	6.7	%	6.8	%
2003	5.9	%	6.0	%
2004	12.3	%	12.6	%
2005	18.6	%	18.6	%
2006	23.1	%	22.5	%
2007	21.8	%	20.7	%
2008	6.3	%	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 $754 million of Loans held for investments for December 31, 2019, which were purchased prior to that reporting date and settled subsequent to that reporting period.

The following table presents a summary of key characteristics of the residential loan portfolio at June 30, 2020 and December 31, 2019:



	June 30, 2020				December 31, 2019 ⁽¹⁾
Number of loans		135,836				139,194
Weighted average maturity (years)		19.6				19.3
Weighted average loan to value⁽²⁾		86.3		%		87.4		%
Weighted average FICO⁽²⁾		632				627
Weighted average loan balance (in thousands)		$	97			$	95
Weighted average percentage owner occupied		86.6		%		88.0		%
Weighted average percentage single family residence		83.6		%		84.4		%
Weighted average geographic concentration of top five states	CA	12.5		%	CA	11.6		%
	FL	7.8		%	FL	7.4		%
	NY	7.1		%	NY	6.9		%
	PA	5.1		%	OH	5.3		%
	VA	5.0		%	PA	5.3		%

(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 June 30, 2020 and December 31, 2019.



	30 Days Delinquent		60 Days Delinquent		90+ Days Delinquent		Bankruptcy		Foreclosure		REO		Total		Unpaid Principal Balance
(dollars in thousands)
June 30, 2020	$1,058,059		$485,036		$540,755		$297,249		$266,443		$42,771		$2,690,313		$	13,129,822
% of Unpaid Principal Balance	8.1	%	3.7	%	4.1	%	2.3	%	2.0	%	0.3	%	20.5	%

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	%

The fair value of residential mortgage loans 90 days or more past due was $706 million and $597 million as of June 30, 2020 and December 31, 2019, respectively.