| Mortgage Loans on Real Estate, by Loan Disclosure [Text Block] |
TWO HARBORS INVESTMENT CORP.
SCHEDULE IV - MORTGAGE LOANS ON REAL ESTATE
As of December 31, 2016
(dollars in thousands)
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Asset Type/ Description |
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Number of Loans |
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Interest Rate |
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Final Maturity Date (1)
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Periodic Payment Terms (2)
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Prior Liens (3)
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Face Amount |
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Carrying Amount |
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Principal Amount Subject to Delinquent Principal or Interest |
Residential mortgage loans held-for-sale |
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Prime nonconforming residential mortgage loans: |
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Fixed rate |
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2 |
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3.875% - 4.25% |
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8/2045 - 6/2046 |
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P&I |
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$ |
— |
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$ |
978 |
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$ |
925 |
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$ |
481 |
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Credit sensitive residential mortgage loans: |
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Fixed rate |
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71 |
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1% - 12.2% |
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5/2017 - 5/2056 |
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P&I |
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— |
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12,494 |
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6,691 |
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2,420 |
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Adjustable rate |
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23 |
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2.875% - 10.65% |
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7/2019 - 10/2051 |
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P&I |
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— |
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5,346 |
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3,798 |
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751 |
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Ginnie Mae buyout residential mortgage loans: |
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Fixed rate |
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234 |
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2% - 12% |
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11/2014 - 7/2056 |
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P&I |
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— |
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30,856 |
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28,434 |
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18,006 |
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Adjustable rate |
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3 |
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2.375% - 4% |
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6/2035 - 9/2041 |
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P&I |
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— |
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312 |
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298 |
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|
101 |
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Total residential mortgage loans held-for-sale |
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$ |
— |
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$ |
49,986 |
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$ |
40,146 |
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$ |
21,759 |
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Residential mortgage loans held-for-investment in securitization trusts |
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Prime nonconforming residential mortgage loans: |
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Fixed rate |
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Original loan balance $0 - $999,999 |
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4,074 |
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3.375% - 5.125% |
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11/2044 - 7/2046 |
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P&I |
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$ |
— |
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$ |
2,612,321 |
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$ |
2,642,617 |
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$ |
1,401 |
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Original loan balance $1,000,000 - $1,999,999 |
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514 |
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3.5% - 5% |
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12/2042 - 7/2046 |
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P&I |
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— |
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589,291 |
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595,884 |
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— |
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Original loan balance $2,000,000 - $2,999,999 |
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16 |
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3.625% - 4.25% |
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10/2042 - 6/2046 |
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P&I |
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— |
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32,432 |
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32,816 |
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— |
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Total residential mortgage loans held-for-investment in securitization trusts |
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$ |
— |
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$ |
3,234,044 |
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$ |
3,271,317 |
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$ |
1,401 |
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Asset Type/ Location |
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Interest Rate |
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Final Maturity Date (1)
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Periodic Payment Terms (2)
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Prior Liens (3)
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Face Amount |
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Carrying Amount |
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Principal Amount Subject to Delinquent Principal or Interest |
Commercial real estate loans held-for-investment |
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Retail-Mixed Use/ Southwest |
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L+4.20% |
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12/2019 |
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P&I |
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$ |
— |
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$ |
120,000 |
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$ |
119,734 |
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$ |
— |
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Retail/ West |
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L+3.42% |
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10/2018 |
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IO |
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— |
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105,000 |
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104,967 |
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— |
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Office/ Diversified US |
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L+4.45% |
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8/2020 |
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P&I |
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— |
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93,138 |
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91,727 |
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— |
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Industrial/ Northeast |
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L+4.75% |
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4/2019 |
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IO |
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— |
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82,000 |
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81,250 |
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— |
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Office-Mixed Use/ Northeast |
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L+4.20% |
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12/2018 |
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IO |
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— |
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77,134 |
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76,923 |
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— |
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Office/ Northeast |
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L+4.37% |
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10/2020 |
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P&I |
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— |
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72,966 |
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72,043 |
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— |
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Office/ Southeast |
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L+4.11% |
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1/2021 |
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P&I |
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— |
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62,275 |
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60,373 |
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— |
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Retail/ West |
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L+4.49% |
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7/2020 |
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P&I |
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— |
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50,300 |
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49,837 |
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— |
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Office/ Diversified US |
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L+7.25% |
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9/2018 |
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P&I |
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708,000 |
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48,252 |
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48,252 |
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— |
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Hotel/ Diversified US |
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L+6.75% |
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1/2017 |
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IO |
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285,000 |
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45,900 |
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45,885 |
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— |
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TWO HARBORS INVESTMENT CORP.
SCHEDULE IV - MORTGAGE LOANS ON REAL ESTATE, continued
As of December 31, 2016
(dollars in thousands)
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Asset Type/ Location |
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Interest Rate |
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Final Maturity Date (1)
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Periodic Payment Terms (2)
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Prior Liens (3)
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Face Amount |
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Carrying Amount |
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Principal Amount Subject to Delinquent Principal or Interest |
Commercial real estate loans held-for-investment, continued |
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Multifamily/ Southwest |
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L+4.05% |
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1/2019 |
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P&I |
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— |
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43,500 |
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43,462 |
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— |
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Office/ Northeast |
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L+4.40% |
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5/2019 |
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IO |
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— |
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43,500 |
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42,937 |
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— |
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Office/ Northeast |
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L+4.65% |
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1/2020 |
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IO |
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— |
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43,215 |
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43,181 |
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— |
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Office/ Southwest |
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L+4.30% |
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3/2019 |
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IO |
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— |
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41,821 |
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41,457 |
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— |
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Office/ Northeast |
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L+4.95% |
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9/2020 |
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P&I |
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— |
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39,550 |
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38,885 |
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— |
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Office/ Northeast |
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L+4.55% |
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12/2019 |
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P&I |
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— |
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38,000 |
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37,778 |
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— |
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Office/ Northeast |
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L+4.60% |
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11/2018 |
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IO |
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— |
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37,000 |
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36,539 |
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— |
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Office/ West |
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L+4.60% |
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11/2019 |
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IO |
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— |
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36,010 |
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35,414 |
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— |
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Multifamily/ Northeast |
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L+4.27% |
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12/2019 |
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IO |
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— |
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34,000 |
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33,321 |
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— |
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Office/ Northeast |
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5.11 |
% |
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3/2026 |
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P&I |
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— |
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33,800 |
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33,615 |
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— |
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Multifamily/ Midwest |
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L+4.80% |
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2/2019 |
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P&I |
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— |
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30,941 |
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30,651 |
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— |
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Industrial/ Northeast |
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L+4.70% |
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9/2020 |
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P&I |
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— |
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24,000 |
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23,831 |
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— |
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Multifamily/ Northeast |
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L+3.60% |
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11/2019 |
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P&I |
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— |
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23,500 |
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23,515 |
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— |
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Office/ West |
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L+4.55% |
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10/2019 |
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IO |
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— |
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23,083 |
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22,781 |
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— |
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Hotel/ Midwest |
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L+4.99% |
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11/2018 |
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IO |
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— |
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21,157 |
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21,049 |
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— |
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Multifamily/ Southeast |
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L+4.57% |
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8/2019 |
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P&I |
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— |
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20,488 |
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20,214 |
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— |
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Multifamily/ Southeast |
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L+5.25% |
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8/2018 |
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P&I |
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— |
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19,288 |
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19,287 |
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— |
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Multifamily/ Southeast |
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L+4.05% |
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9/2018 |
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P&I |
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— |
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18,700 |
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18,669 |
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— |
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Hotel/ Southeast |
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L+8.75% |
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8/2017 |
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IO |
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98,500 |
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17,000 |
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17,027 |
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— |
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Multifamily/ Northeast |
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L+4.85% |
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11/2019 |
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IO |
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— |
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16,527 |
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16,216 |
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— |
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Multifamily/ Northeast |
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L+4.62% |
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6/2019 |
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IO |
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— |
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13,400 |
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13,216 |
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— |
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Multifamily/ Southeast |
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L+4.03% |
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10/2018 |
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P&I |
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— |
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11,000 |
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11,001 |
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— |
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Office/ West |
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L+5.90% |
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1/2020 |
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IO |
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— |
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10,907 |
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10,660 |
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— |
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Office/ Northeast |
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L+12.25% |
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7/2018 |
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IO |
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45,100 |
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10,257 |
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10,279 |
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— |
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Office/ Southeast |
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L+9.50% |
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8/2020 |
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IO |
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45,303 |
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9,900 |
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9,942 |
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— |
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Hotel/ Northeast |
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13 |
% |
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11/2025 |
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P&I |
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59,000 |
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6,936 |
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6,625 |
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— |
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Total commercial real estate loans held-for-investment |
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$ |
1,240,903 |
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$ |
1,424,445 |
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$ |
1,412,543 |
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$ |
— |
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Total mortgage loans on real estate |
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$ |
1,240,903 |
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$ |
4,708,475 |
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$ |
4,724,006 |
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$ |
23,160 |
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____________________
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(1) |
Based on contractual maturity date. Certain commercial real estate loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. The Company may also extend contractual maturities in connection with loan modifications. |
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(2) |
Principal and interest (“P&I”); Interest-only (“IO”). Certain commercial real estate loans labeled as P&I are non-amortizing until a specific date when they begin amortizing P&I, as stated in the loan agreements. |
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(3) |
Represents third-party priority liens. Third party portions of pari-passu participations are not considered prior liens. |
TWO HARBORS INVESTMENT CORP.
NOTE TO SCHEDULE IV - RECONCILIATION OF MORTGAGE LOANS ON REAL ESTATE
(dollars in thousands)
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Year Ended |
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December 31, |
(in thousands) |
2016 |
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2015 |
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2014 |
Balance at beginning of period |
$ |
4,646,111 |
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$ |
2,280,458 |
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$ |
1,336,971 |
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Additions during period: |
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Originations and purchases |
1,988,150 |
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3,269,020 |
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1,475,210 |
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Net discount accretion (premium amortization) |
263 |
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|
149 |
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|
— |
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Amortization of net deferred origination fees |
6,981 |
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|
319 |
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|
— |
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Deductions during period: |
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Collections of principal |
(1,080,632 |
) |
|
(661,000 |
) |
|
(149,674 |
) |
Cost of mortgages sold |
(799,563 |
) |
|
(147,713 |
) |
|
(425,505 |
) |
(Increase) decrease in net deferred origination fees |
(12,554 |
) |
|
(6,656 |
) |
|
— |
|
Cumulative-effect adjustment to equity for adoption of new accounting principle |
— |
|
|
(2,991 |
) |
|
— |
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Change in realized and unrealized (losses) gains |
(2,868 |
) |
|
(53,689 |
) |
|
49,719 |
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Other (1)
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(21,882 |
) |
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(31,786 |
) |
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(6,263 |
) |
Balance at end of period |
$ |
4,724,006 |
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$ |
4,646,111 |
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$ |
2,280,458 |
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____________________
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(1) |
Includes transfer of mortgage servicing rights fair value on buyout of Ginnie Mae residential mortgage loans and transfers to other receivables for foreclosed government-guaranteed loans. |
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