Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2017

Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets

The following table presents a summary of the assets and liabilities of the consolidated loan trusts included in the Consolidated Balance Sheets as of December 31, 2017 and December 31, 2016 (dollars in thousands):



	December 31, 2017		December 31, 2016
Residential Whole-Loans, at fair value	$	237,423	$	192,136
Residential Bridge Loans⁽¹⁾	106,673		—
Securitized commercial loan, at fair value	24,876		24,225
Investment related receivable	7,665		1,241
Accrued interest receivable	3,358		1,622
Total assets	$	379,995	$	219,224
Securitized debt, at fair value	$	10,945	$	10,659
Accrued interest payable	70		85
Accounts payable and accrued expenses	189		2
Total liabilities	$	11,204	$	10,746

^{(1) Includes both Residential bridge loans for}^{$64.5 million}^{which are carried at fair value and}^{42.1 million}^{which are carried at amortized cost.}

Schedule of components of the carrying value of Residential Whole-Loans and Securitized commercial loan

The following table presents the components of the carrying value of Residential Whole-Loans, Residential Bridge Loans and securitized commercial loan as of December 31, 2017 and December 31, 2016 (dollars in thousands):



	Residential Whole-Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾					Residential Bridge Loans, at Amortized Cost⁽¹⁾					Securitized Commercial Loan, at Fair Value
	December 31, 2017			December 31, 2016			December 31, 2017			December 31, 2016		December 31, 2017			December 31, 2016		December 31, 2017		December 31, 2016
Principal balance	$	232,270		$	187,765		$	63,802		$	—	$	42,066		$	—	$	24,846	$	25,000
Unamortized premium	2,021			1,311			293			—		122			—		—		—
Unamortized discount	(1,190		)	(539		)	(128		)	—		(41		)	—		—		—
Amortized cost	233,101			188,537			63,967			—		42,147			—		24,846		25,000
Gross unrealized gains	4,463			3,643			655			—		N/A			N/A		30		—
Gross unrealized losses	(141		)	(44		)	(96		)	—		N/A			N/A		—		(775		)
Fair value	$	237,423		$	192,136		$	64,526		$	—	N/A			N/A		$	24,876	$	24,225

^{(1) These loans are classified in Residential Bridge Loans in the consolidated balance sheets}

Schedule of certain information about the Residential Whole-Loans investment portfolio

The following tables present certain information about the Company's Residential Whole-Loans investment portfolio at December 31, 2017 and December 31, 2016 (dollars in thousands):



December 31, 2017
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
3.01 - 4.00%	142	$	55,593	55.5	%	751	1.7	29.1	3.9	%
4.01 - 5.00%	338	125,860		56.9	%	725	1.4	26.5	4.5	%
5.01 - 6.00%	132	48,553		58.2	%	728	1.6	27.0	5.2	%
6.01 - 7.00%	4	2,264		71.1	%	758	1.3	20.5	6.3	%
Total	616	$	232,270	57.0	%	734	1.5	27.1	4.5	%


(1)	The original FICO score is not available for 141 loans with a principal balance of approximately $56.5 million at December 31, 2017. The Company has excluded these loans from the weighted average computations.



December 31, 2016
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years)	Contractual Maturity (years)	Coupon Rate
3.01 - 4.00%	59	$	23,318	54.8	%	732	1.4	26.5	4.2	%
4.01 - 5.00%	180	69,930		57.1	%	728	1.5	27.3	4.6	%
5.01 - 6.00%	231	91,440		55.5	%	723	1.6	27.1	5.0	%
6.01 - 7.00%	5	3,077		71.2	%	738	1.3	21.1	6.3	%
Total	475	$	187,765	56.3	%	726	1.5	27.0	4.8	%

(1) The original FICO score is not available for 153 loans with a principal balance of approximately $66.7 million at December 31, 2016. The Company has excluded these loans from the weighted average computations.

Schedule of the US states represented in Residential Whole-Loans based on principal balance

The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole-Loans at December 31, 2017 and December 31, 2016, based on principal balance, is located (dollars in thousands):



	December 31, 2017					December 31, 2016
	State Concentration		Principal Balance			State Concentration		Principal Balance
California	62.2	%	$	144,321	California	85.2	%	$	159,955
New York	24.4	%	56,631		Washington	5.6	%	10,591
Georgia	4.3	%	10,061		Massachusetts	5.4	%	10,161
Washington	4.0	%	9,244		New York	2.4	%	4,454
Massachusetts	3.9	%	9,114		Georgia	0.8	%	1,492
Other	1.2	%	2,899		Other	0.6	%	1,112
Total	100.0	%	$	232,270	Total	100.0	%	$	187,765

Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans

The following table presents certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2017 (dollars in thousands):



December 31, 2017
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)	Coupon Rate
5.01 - 6.00%	9	$	4,016	64.5	%	10.8	5.9	%
6.01 - 7.00%	64	18,420		67.8	%	10.6	6.7	%
7.01 – 8.00%	98	25,608		66.4	%	9.5	7.6	%
8.01 – 9.00%	56	19,728		70.3	%	11.9	8.9	%
9.01 – 10.00%	67	25,001		73.3	%	6.8	9.7	%
10.01 – 11.00%	36	10,656		75.4	%	5.0	10.8	%
11.01 - 12.00%	2	919		89.8	%	8.2	11.4	%
17.01 – 18.00%	8	1,520		73.8	%	5.9	18.0	%
Total	340	$	105,868	70.1	%	9.0	8.6	%

Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2017, based on principal balance, is located (dollars in thousands):



December 31, 2017
State	Concentration		Principal Balance
California	48.2	%	$	51,080
Florida	13.4	%	14,199
Washington	6.3	%	6,645
New York	4.4	%	4,703
Texas	4.4	%	4,660
Other	23.3	%	24,581
Total	100.0	%	$	105,868

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details