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Securitized Mortgage Trusts
9 Months Ended
Sep. 30, 2014
Securitized Mortgage Trusts  
Securitized Mortgage Trusts

Note 7.—Securitized Mortgage Trusts

 

Trust Assets

 

Trust assets, which are recorded at fair value, are comprised of the following at September 30, 2014 and December 31, 2013:

 

 

 

September 30,

 

December 31,

 

 

 

2014

 

2013

 

Securitized mortgage collateral

 

$

5,350,474

 

$

5,494,152

 

Real estate owned

 

17,484

 

18,906

 

Investment securities available-for-sale

 

90

 

108

 

Total trust assets

 

$

5,368,048

 

$

5,513,166

 

 

Trust Liabilities

 

Trust liabilities, which are recorded at fair value, are comprised of the following at September 30, 2014 and December 31, 2013:

 

 

 

September 30,

 

December 31,

 

 

 

2014

 

2013

 

Securitized mortgage borrowings

 

$

5,346,791

 

$

5,492,371

 

Derivative liabilities

 

6,567

 

10,214

 

Total trust liabilities

 

$

5,353,358

 

$

5,502,585

 

 

Change in fair value of net trust assets, including trust real estate owned (REO) gains (losses)

 

Changes in fair value of net trust assets, including trust REO gains (losses) are comprised of the following for the three and nine months ended September 30, 2014 and 2013:

 

 

 

For the Three Months

 

For the Nine Months

 

 

 

Ended September 30,

 

Ended September 30,

 

 

 

2014

 

2013

 

2014

 

2013

 

Change in fair value of net trust assets, excluding REO

 

$

139

 

$

(3,947

)

$

(1,136

)

$

(11,609

)

(Losses) gains from REO

 

(47

)

3,676

 

8,977

 

9,232

 

Change in fair value of net trust assets, including trust REO gains (losses)

 

$

92

 

$

(271

)

$

7,841

 

$

(2,377

)