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Residential Whole Loans and Bridge Loans (Tables)

12 Months Ended

Dec. 31, 2019

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 residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash and cash equivalents	$	1,811	$	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	19,138		42,945
Interest receivable	7,840		11,807
Other assets	90		178
Total assets	$	1,439,636	$	1,348,975
Securitized debt, net	$	795,811	$	—
Interest payable	2,367		—
Accounts payable and accrued expenses	173		677
Other liabilities	—		225
Total liabilities	$	798,351	$	902

loans as of December 31, 2019.

The following table presents a summary of the assets and liabilities of the four consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash	$	5,778	$	—
Restricted cash	52,948		55,808
Securitized commercial loans, at fair value	909,040		1,013,511
Commercial Loans, at fair value	90,788		166,123
Interest receivable	2,989		3,733
Total assets	$	1,061,543	$	1,239,175
Securitized debt, at fair value	$	681,643	$	949,626
Interest payable	1,519		2,419
Accounts payable and accrued expenses	12		31
Other liabilities	52,948		55,808
Total liabilities	$	736,122	$	1,007,884

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 and Residential Bridge Loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾						Residential Bridge Loans, at Amortized Cost⁽¹⁾
	December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	1,325,443		$	1,023,524		$	34,041		$	212,491		$	3,155		$	9,766
Unamortized premium	28,588			17,629			79			1,164			6			16
Unamortized discount	(2,839		)	(3,145		)	(13		)	(316		)	(11		)	(62		)
Amortized cost	1,351,192			1,038,008			34,107			213,339			3,150			9,720
Gross unrealized gains	26,363			7,573			10			212			N/A			N/A
Gross unrealized losses	(1,695		)	(3,696		)	(848		)	(1,552		)	N/A			N/A
Fair value	$	1,375,860		$	1,041,885		$	33,269		$	211,999		N/A			N/A

(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 Loan investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Original FICO Score⁽¹⁾	Expected Life (years) ⁽²⁾	Contractual Maturity (years)	Coupon Rate
3.01 - 4.00%	53	$	17,284	61.7	%	736	2.4	28.0	3.9	%
4.01 - 5.00%	1,689	557,144		61.4	%	744	2.8	28.5	4.8	%
5.01 - 6.00%	1,682	713,397		62.0	%	736	3.0	28.3	5.4	%
6.01 - 7.00%	103	37,102		54.1	%	727	3.8	25.3	6.2	%
7.01 - 8.00%	2	516		73.2	%	753	4.7	28.6	7.1	%
Total	3,529	$	1,325,443	61.5	%	739	3.0	28.3	5.2	%


(1)	The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations.


(2)	Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.



December 31, 2018
				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%	66	$	22,046	61.6	%	738	6.5	29.0	3.9	%
4.01 - 5.00%	1,395	490,073		62.3	%	739	3.0	29.0	4.8	%
5.01 - 6.00%	1,283	496,722		62.7	%	727	2.5	28.5	5.4	%
6.01 - 7.00%	37	14,589		59.5	%	731	1.5	24.8	6.2	%
7.01 - 8.00%	1	94		70.0	%	689	1.8	29.1	8.0	%
Total	2,782	$	1,023,524	62.4	%	733	2.8	28.7	5.1	%

(1)

The original FICO score is not available for 274 loans with a principal balance of approximately $93.2 million at December 31, 2018. 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, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



	December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	66.1	%	$	875,738	California	67.1	%	$	686,275
New York	16.2	%	214,141		New York	17.1	%	175,390
Georgia	3.4	%	45,189		Georgia	2.6	%	26,918
Florida	2.8	%	36,641		Massachusetts	2.1	%	21,197
New Jersey	2.3	%	30,450		Florida	1.9	%	19,942
Other	9.2	%	123,284		Other	9.2	%	93,802
Total	100.0	%	$	1,325,443	Total	100.0	%	$	1,023,524

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

The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2019 and December 31, 2018 (dollars in thousands):



December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
7.01 – 9.00%	36	$	22,409	70.2	%	5.8	8.4	%
9.01 – 11.00%	28	9,972		74.0	%	5.6	10.1	%
11.01 - 13.00%	9	2,741		63.1	%	2.0	11.7	%
13.01 - 15.00%	1	1,125		75.0	%	0.0	13.5	%
17.01 – 19.00%	2	949		75.0	%	0.0	18.0	%
Total	76	$	37,196	71.0	%	5.6	9.5	%



December 31, 2018
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate
5.01 - 7.00%	8	$	3,169	60.4	%	1.1	6.7	%
7.01 – 9.00%	275	140,675		72.6	%	5.9	8.3	%
9.01 – 11.00%	186	63,954		73.8	%	4.4	9.9	%
11.01 – 13.00%	39	11,017		71.3	%	4.6	11.8	%
13.01 – 15.00%	1	88		65.0	%	4.0	14.0	%
17.01 - 19.00%	11	3,354		73.7	%	2.3	18.0	%
Total	520	$	222,257	72.7	%	5.3	9.1	%

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity.

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, 2019 and December 31, 2018, based on principal balance, is located (dollars in thousands):



December 31, 2019					December 31, 2018
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	50.4	%	$	18,763	California	53.9	%	$	119,761
Washington	13.1	%	4,863		New York	9.5	%	21,160
New York	12.1	%	4,518		Washington	6.6	%	14,711
Florida	8.9	%	3,296		Florida	5.7	%	12,672
New Jersey	3.8	%	1,424		New Jersey	4.7	%	10,419
Other	11.7	%	4,332		Other	19.6	%	43,534
Total	100.0	%	$	37,196	Total	100.0	%	$	222,257

Aging of residential whole loans and bridge loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2019 (dollars in thousands):



	Residential Whole Loans					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3467	$	1,300,238	$	1,350,590	41	$	23,353	$	23,329
1-30 days delinquent	41	13,537		14,012		2	303		306
31-60 days delinquent	5	1,338		1,334		4	1,147		1,135
61-90 days delinquent	4	3,205		3,224		2	285		280
90+ days delinquent	12	7,125		6,700		27	12,108		11,369
Total	3,529	$	1,325,443	$	1,375,860	76	$	37,196	$	36,419

(1) Includes $3.1 million loans carried at amortize cost.

- 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.

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