Annual report pursuant to Section 13 and 15(d)

Schedule IV Mortgage Loans on Real Estate

v3.6.0.2
Schedule IV Mortgage Loans on Real Estate
12 Months Ended
Dec. 31, 2016
Mortgage Loans on Real Estate [Abstract]  
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)
Asset Type/ Description
 
Number of Loans
 
Interest Rate
 
Final Maturity Date (1)
 
Periodic Payment Terms (2)
 
Prior Liens (3)
 
Face Amount
 
Carrying Amount
 
Principal Amount Subject to Delinquent Principal or Interest
Residential mortgage loans held-for-sale
 
 
 
 
 
 
 
 
Prime nonconforming residential mortgage loans:
 
 
 
 
 
 
 
 
Fixed rate
 
2

 
3.875% - 4.25%
 
8/2045 - 6/2046
 
P&I
 
$
—

 
$
978

 
$
925

 
$
481

Credit sensitive residential mortgage loans:
 
 
 
 
 
 
 
 
Fixed rate
 
71

 
1% - 12.2%
 
5/2017 - 5/2056
 
P&I
 
—

 
12,494

 
6,691

 
2,420

Adjustable rate
 
23

 
2.875% - 10.65%
 
7/2019 - 10/2051
 
P&I
 
—

 
5,346

 
3,798

 
751

Ginnie Mae buyout residential mortgage loans:
 
 
 
 
 
 
 
 
Fixed rate
 
234

 
2% - 12%
 
11/2014 - 7/2056
 
P&I
 
—

 
30,856

 
28,434

 
18,006

Adjustable rate
 
3

 
2.375% - 4%
 
6/2035 - 9/2041
 
P&I
 
—

 
312

 
298

 
101

Total residential mortgage loans held-for-sale
 
$
—

 
$
49,986

 
$
40,146

 
$
21,759

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held-for-investment in securitization trusts
 
 
 
 
 
 
 
 
Prime nonconforming residential mortgage loans:
 
 
 
 
 
 
 
 
 
 
 
 
Fixed rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Original loan balance $0 - $999,999
 
4,074

 
3.375% - 5.125%
 
11/2044 - 7/2046
 
P&I
 
$
—

 
$
2,612,321

 
$
2,642,617

 
$
1,401

Original loan balance $1,000,000 - $1,999,999
 
514

 
3.5% - 5%
 
12/2042 - 7/2046
 
P&I
 
—

 
589,291

 
595,884

 
—

Original loan balance $2,000,000 - $2,999,999
 
16

 
3.625% - 4.25%
 
10/2042 - 6/2046
 
P&I
 
—

 
32,432

 
32,816

 
—

Total residential mortgage loans held-for-investment in securitization trusts
 
$
—

 
$
3,234,044

 
$
3,271,317

 
$
1,401

Asset Type/ Location
 
Interest Rate
 
Final Maturity Date (1)
 
Periodic Payment Terms (2)
 
Prior Liens (3)
 
Face Amount
 
Carrying Amount
 
Principal Amount Subject to Delinquent Principal or Interest
Commercial real estate loans held-for-investment
 
 
 
 
 
 
 
 
Retail-Mixed Use/ Southwest
 
L+4.20%
 
12/2019
 
P&I
 
$
—

 
$
120,000

 
$
119,734

 
$
—

Retail/ West
 
L+3.42%
 
10/2018
 
IO
 
—

 
105,000

 
104,967

 
—

Office/ Diversified US
 
L+4.45%
 
8/2020
 
P&I
 
—

 
93,138

 
91,727

 
—

Industrial/ Northeast
 
L+4.75%
 
4/2019
 
IO
 
—

 
82,000

 
81,250

 
—

Office-Mixed Use/ Northeast
 
L+4.20%
 
12/2018
 
IO
 
—

 
77,134

 
76,923

 
—

Office/ Northeast
 
L+4.37%
 
10/2020
 
P&I
 
—

 
72,966

 
72,043

 
—

Office/ Southeast
 
L+4.11%
 
1/2021
 
P&I
 
—

 
62,275

 
60,373

 
—

Retail/ West
 
L+4.49%
 
7/2020
 
P&I
 
—

 
50,300

 
49,837

 
—

Office/ Diversified US
 
L+7.25%
 
9/2018
 
P&I
 
708,000

 
48,252

 
48,252

 
—

Hotel/ Diversified US
 
L+6.75%
 
1/2017
 
IO
 
285,000

 
45,900

 
45,885

 
—

TWO HARBORS INVESTMENT CORP.
SCHEDULE IV - MORTGAGE LOANS ON REAL ESTATE, continued
As of December 31, 2016
(dollars in thousands)
Asset Type/ Location
 
Interest Rate
 
Final Maturity Date (1)
 
Periodic Payment Terms (2)
 
Prior Liens (3)
 
Face Amount
 
Carrying Amount
 
Principal Amount Subject to Delinquent Principal or Interest
Commercial real estate loans held-for-investment, continued
 
 
 
 
 
 
 
 
Multifamily/ Southwest
 
L+4.05%

 
1/2019
 
P&I
 
—

 
43,500

 
43,462

 
—

Office/ Northeast
 
L+4.40%

 
5/2019
 
IO
 
—

 
43,500

 
42,937

 
—

Office/ Northeast
 
L+4.65%

 
1/2020
 
IO
 
—

 
43,215

 
43,181

 
—

Office/ Southwest
 
L+4.30%

 
3/2019
 
IO
 
—

 
41,821

 
41,457

 
—

Office/ Northeast
 
L+4.95%

 
9/2020
 
P&I
 
—

 
39,550

 
38,885

 
—

Office/ Northeast
 
L+4.55%

 
12/2019
 
P&I
 
—

 
38,000

 
37,778

 
—

Office/ Northeast
 
L+4.60%

 
11/2018
 
IO
 
—

 
37,000

 
36,539

 
—

Office/ West
 
L+4.60%

 
11/2019
 
IO
 
—

 
36,010

 
35,414

 
—

Multifamily/ Northeast
 
L+4.27%

 
12/2019
 
IO
 
—

 
34,000

 
33,321

 
—

Office/ Northeast
 
5.11
%
 
3/2026
 
P&I
 
—

 
33,800

 
33,615

 
—

Multifamily/ Midwest
 
L+4.80%

 
2/2019
 
P&I
 
—

 
30,941

 
30,651

 
—

Industrial/ Northeast
 
L+4.70%

 
9/2020
 
P&I
 
—

 
24,000

 
23,831

 
—

Multifamily/ Northeast
 
L+3.60%

 
11/2019
 
P&I
 
—

 
23,500

 
23,515

 
—

Office/ West
 
L+4.55%

 
10/2019
 
IO
 
—

 
23,083

 
22,781

 
—

Hotel/ Midwest
 
L+4.99%

 
11/2018
 
IO
 
—

 
21,157

 
21,049

 
—

Multifamily/ Southeast
 
L+4.57%

 
8/2019
 
P&I
 
—

 
20,488

 
20,214

 
—

Multifamily/ Southeast
 
L+5.25%

 
8/2018
 
P&I
 
—

 
19,288

 
19,287

 
—

Multifamily/ Southeast
 
L+4.05%

 
9/2018
 
P&I
 
—

 
18,700

 
18,669

 
—

Hotel/ Southeast
 
L+8.75%

 
8/2017
 
IO
 
98,500

 
17,000

 
17,027

 
—

Multifamily/ Northeast
 
L+4.85%

 
11/2019
 
IO
 
—

 
16,527

 
16,216

 
—

Multifamily/ Northeast
 
L+4.62%

 
6/2019
 
IO
 
—

 
13,400

 
13,216

 
—

Multifamily/ Southeast
 
L+4.03%

 
10/2018
 
P&I
 
—

 
11,000

 
11,001

 
—

Office/ West
 
L+5.90%

 
1/2020
 
IO
 
—

 
10,907

 
10,660

 
—

Office/ Northeast
 
L+12.25%

 
7/2018
 
IO
 
45,100

 
10,257

 
10,279

 
—

Office/ Southeast
 
L+9.50%

 
8/2020
 
IO
 
45,303

 
9,900

 
9,942

 
—

Hotel/ Northeast
 
13
%
 
11/2025
 
P&I
 
59,000

 
6,936

 
6,625

 
—

Total commercial real estate loans held-for-investment
 
$
1,240,903

 
$
1,424,445

 
$
1,412,543

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage loans on real estate
 
$
1,240,903

 
$
4,708,475

 
$
4,724,006

 
$
23,160

____________________
(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.
(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.
(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)
 
Year Ended
 
December 31,
(in thousands)
2016
 
2015
 
2014
Balance at beginning of period
$
4,646,111

 
$
2,280,458

 
$
1,336,971

Additions during period:
 
 
 
 
 
Originations and purchases
1,988,150

 
3,269,020

 
1,475,210

Net discount accretion (premium amortization)
263

 
149

 
—

Amortization of net deferred origination fees
6,981

 
319

 
—

Deductions during period:
 
 
 
 
 
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
)
 
—

Change in realized and unrealized (losses) gains
(2,868
)
 
(53,689
)
 
49,719

Other (1)
(21,882
)
 
(31,786
)
 
(6,263
)
Balance at end of period
$
4,724,006

 
$
4,646,111

 
$
2,280,458

____________________
(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.