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Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2016

Variable Interest Entities [Abstract]

Summary of Assets and Liabilities of Variable Interest Entities

The following table presents a summary of the assets and liabilities of our consolidated securitization trusts as of March 31, 2016 and December 31, 2015. Intercompany balances have been eliminated for purposes of this presentation.

	March 31, 2016		December 31, 2015
	(in thousands)
Residential mortgage loans held-for-investment	$	911,514	$	969,172
Accrued interest receivable		3,063		3,092
Total assets	$	914,577	$	972,264
Accrued interest payable	$	2,863	$	2,892
Asset-backed securities issued by securitization trusts		857,965		915,486
Total liabilities	$	860,828	$	918,378

Summary of Residential Mortgage Loans Held-for-Investment

The following table details the carrying value for residential mortgage loans held-for-investment at March 31, 2016 and December 31, 2015:

	March 31, 2016			December 31, 2015
	(in thousands)
Principal balance	$	901,575		$	958,403
Unamortized premium net of discount		10,142			10,972
Allowance for loan losses		(203	)		(203	)
Carrying value	$	911,514		$	969,172

Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment

The following table details various portfolio characteristics of the residential mortgage loans held-for-investment at March 31, 2016 and December 31, 2015:

	March 31, 2016			December 31, 2015
Portfolio Characteristics:	(dollar amounts in thousands)
Number of loans		1,263			1,328
Current principal balance	$	901,575		$	958,403
Average loan balance	$	714		$	722
Net weighted average coupon rate		3.87	%		3.87	%
Weighted average maturity (years)		28.2			28.4
Weighted average FICO score		762			762
Current Performance:
Current	$	899,514		$	954,341
30 days delinquent		1,233			3,234
60 days delinquent		-			828
90+ days delinquent		828			-
Bankruptcy/foreclosure		-			-
Total	$	901,575		$	958,403

Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment

The following table summarizes the geographic concentrations of residential mortgage loans held-for-investment at March 31, 2016 and December 31, 2015 based on principal balance outstanding:

	March 31, 2016			December 31, 2015
State	(Percent)

California		47.9	%		48.2	%
Florida		6.1			6.0
Other states (none greater than 5%)		46.0			45.8
Total		100.0	%		100.0	%

Summary of Activity in Allowance for Loan Losses

The following table summarizes the activity in the allowance for loan losses for the three months ended March 31, 2016:

	March 31, 2016
	(in thousands)
Balance at beginning of period	$	203
Provision for loan losses		-
Charge-offs, net		-
Balance at end of period	$	203

- 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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