Note 5 - Distressed Residential Mortgage Loans
12 Months Ended
Dec. 31, 2013
Distresses Residential Mortgage Loans Disclosure Tex Block [Abstract]  
Distresses Residential Mortgage Loans Disclosure Tex Block

5.                Distressed Residential Mortgage Loans


As of December 31, 2013 and December 31, 2012, the carrying value of the Company’s acquired distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts amounts to approximately $254.7 million and $60.5 million, respectively. Distressed residential mortgage loans with a carrying value amounting to approximately $9.7 million are included in receivables and other assets in the accompanying consolidated balance sheets at December 31, 2013.


The Company considers its purchase price for the acquired distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, to be at fair value at the date of acquisition. The Company only establishes an allowance for loan losses subsequent to acquisition.


The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the distressed residential mortgage loans acquired during the years ended December 31, 2013 and December 31, 2012, respectively (dollar amounts in thousands):


   

December 31,

2013

   

December 31

2012

 

Contractually required principal and interest

  $ 368,571     $ 174,746  

Non-accretable yield

    (47,453

)

    (21,614

)

Expected cash flows to be collected

    321,118       153,132  

Accretable yield

    (102,952

)

    (91,737

)

Fair value at the date of acquisition

  $ 218,166     $ 61,395  

The following table details activity in accretable yield for the distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, for the years ended December 31, 2013 and December 31, 2012, respectively (dollar amounts in thousands):


   

December 31,

2013

   

December 31,

2012

 

Balance at beginning of period

  $ 91,252     $  

Additions

    102,952       91,737  

Disposals

    (11,223

)

    (53

)

Accretion

    (11,741

)

    (432

)

Allowance for loan losses

    (128

)

     

Balance at end of period (1)

  $ 171,112     $ 91,252  

(1)

Accretable yield is the excess of the distressed residential mortgage loans’ cash flows expected to be collected over the purchase price. The cash flows expected to be collected represents the Company’s estimate, of the amount and timing of undiscounted principal and interest cash flows.


The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance in our distressed residential mortgage loans, including distressed residential mortgage loans held in securitization trusts, as of December 31, 2013 and December 31, 2012, respectively, are as follows:


   

December 31,

2013

   

December 31,

2012

 

California

    14.4 %     24.1

%

Florida

    8.3 %     6.5

%

New York

    8.1 %     3.9

%

Texas

    6.6 %     7.0

%

Maryland

    3.1 %     5.5

%


The Company’s distressed residential mortgage loans held in securitization trusts are pledged as collateral for certain of the Securitized Debt issued by the Company (see Note 7).