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Residential Whole-Loans and Bridge Loans - (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and December 31, 2019 (dollars in thousands):


	March 31, 2020		December 31, 2019
Cash and cash equivalents	$	4,542	$	1,811
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795		1,375,860
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571		34,897

Investment related receivable	24,738		19,138
Interest receivable	8,517		7,840
Other assets	101		90
Total assets	$	1,375,264	$	1,439,636
Securitized debt, net	$	742,297	$	795,811
Interest payable	2,210		2,367
Accounts payable and accrued expenses	122		173

Total liabilities	$	744,629	$	798,351

The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):


	March 31, 2020		December 31, 2019
Cash	$	—	$	5,778
Restricted cash	33,229		52,948
Securitized commercial loans, at fair value	477,131		909,040
Commercial Loans, at fair value	71,684		90,788
Interest receivable	1,709		2,989
Total assets	$	583,753	$	1,061,543
Securitized debt, at fair value	$	396,824	$	681,643
Interest payable	1,005		1,519
Accounts payable and accrued expenses	6		12
Other liabilities	33,229		52,948
Total liabilities	$	431,064	$	736,122

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 March 31, 2020 and December 31, 2019 (dollars in thousands):


	Residential Whole Loans, at Fair Value						Residential Bridge Loans, at Fair Value⁽¹⁾						Residential Bridge Loans, at Amortized Cost⁽¹⁾
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Principal balance	$	1,352,778	$	1,325,443	$	27,059	$	34,041	$	2,591	$	3,155
Unamortized premium	30,983		28,588		52		79		3		6
Unamortized discount	(2,662)		(2,839)		(7)		(13)		(10)		(11)
Amortized cost	1,381,099		1,351,192		27,104		34,107		2,584		3,150
Gross unrealized gains	227		26,363		3		10		N/A		N/A
Gross unrealized losses	(71,531)		(1,695)		(1,057)		(848)		N/A		N/A
Fair value	$	1,309,795	$	1,375,860	$	26,050	$	33,269	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 Residential Whole Loans have low LTV's and are comprised of 2,963 Non-QM adjustable rate mortgages, 571 conforming fixed rate mortgages and nine investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):


March 31, 2020
				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%	52	$	17,940	62.7	%	734	2.8	28.1	3.9	%
4.01– 5.00%	1,716	588,582		61.8	%	746	2.3	28.5	4.8	%
5.01 – 6.00%	1,707	723,264		62.2	%	736	2.6	28.1	5.4	%
6.01 – 7.00%	66	22,477		58.2	%	724	3.5	26.8	6.2	%
7.01 - 8.00%	2	515		73.2	%	753	4.0	28.4	7.1	%

Total	3,543	$	1,352,778	62.0	%	740	2.5	28.2	5.1	%

(1)The original FICO score is not available for 282 loans with a principal balance of approximately $94.4 million at March 31, 2020. 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, 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.

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

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands):


March 31, 2020								December 31, 2019
State	State Concentration		Principal Balance		State	State Concentration		Principal Balance
California	66.5	%	$	899,344	California	66.1	%	$	875,738
New York	15.9	%	214,658		New York	16.2	%	214,141
Georgia	3.1	%	42,506		Georgia	3.4	%	45,189
Florida	2.8	%	38,154		Florida	2.8	%	36,641
New Jersey	2.2	%	29,367		New Jersey	2.3	%	30,450
Other	9.5	%	128,749		Other	9.2	%	123,284
Total	100.0	%	$	1,352,778	Total	100.0	%	$	1,325,443

Schedule of residential bridge loans

The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):


March 31, 2020
c				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate


7.01 – 9.00%	26	$	17,823	67.4	%	4.1	8.4	%
9.01 – 11.00%	22	8,711		75.2	%	4.3	10.2	%
11.01 – 13.00%	6	2,167		64.3	%	2.0	11.7	%


17.01 – 19.00%	2	949		75.0	%	0.0	18.0	%



Total	56	$	29,650	69.7	%	4.1	9.5	%


December 31, 2019
				Weighted Average
Current Coupon Rate	Number of Loans	Principal Balance		Original LTV		Contractual Maturity (months)⁽¹⁾	Coupon Rate

9.01 – 11.00%	36	$	22,409	70.2 %		5.8	8.4 %
11.01 – 13.00%	28	9,972		74.0 %		5.6	10.1 %
13.01 – 15.00%	9	2,741		63.1 %		2.0	11.7 %
15.01 – 17.00%	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	%

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

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

The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands):


March 31, 2020								December 31, 2019
State	Concentration		Principal Balance		State	Concentration		Principal Balance
California	49.2	%	$	14,598	California	50.4	%	$	18,763
New York	14.6	%	4,323		Washington	13.1	%	4,863
Washington	12.6	%	3,748		New York	12.1	%	4,518
Florida	10.5	%	3,128		Florida	8.9	%	3,296
New Jersey	3.4	%	1,004		New Jersey	3.8	%	1,424
Other	9.7	%	2,849		Other	11.7	%	4,332
Total	100.0	%	$	29,650	Total	100.0	%	$	37,196

Financing Receivable, Past Due

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands):


	Residential Whole Loans								Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3,462	$	1,313,975	$	1,272,791	20	$	13,124	$	13,071
1-30 days	53	22,403		21,522		8	4,154		4,095
31-60 days	11	5,559		5,357		5	2,468		2,427
61-90 days	4	3,779		3,550		2	973		926
90+ days	13	7,062		6,575		21	8,931		8,115
Total	3,543	$	1,352,778	$	1,309,795	56	$	29,650	$	28,634

(1) Includes $2.6 million loans carried at amortized cost.

The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands):


	Commercial Loans
	No of Loans	Principal		Fair Value
Current	11	$	332,576	$	320,308
1-30 days	—	—		—
31-60 days	—	—		—
61-90 days	—	—		—
90+ days	—	—		—
Total	11	$	332,576	$	320,308

- 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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