RETAINED INTERESTS IN SECURITIZATIONS

6 Months Ended

Jun. 30, 2018

Retained Interests In Securitizations [Abstract]

NOTE 4. RETAINED INTERESTS IN SECURITIZATIONS

The following table summarizes the estimated fair value of the Company’s retained interests in asset backed securities as of June 30, 2018 and December 31, 2017. The retained interests are valued based on a discounted cash flow approach. These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates. Based on projected future cash flows, management has determined that the retained interests had no remaining fair value at June 30, 2018. Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.

(in thousands)
Series	Issue Date	June 30, 2018		December 31, 2017
HMAC 2004-3	June 30, 2004	$	-	$	177
HMAC 2004-4	August 16, 2004		-		386
HMAC 2004-5	September 28, 2004		-		90
Total		$	-	$	653

The Company is pursuing a potential transaction whereby certain securitizations associated with its retained interest positions would be terminated via the exercise of the optional early termination rights for such securitizations that the Company possesses. If such early termination transaction is executed the Company would likely receive distributions on the class C Certificates that support the retained interests. Such distributions are expected to be greater than the carrying value of the retained interests on the Company’s balance sheet at June 30, 2018. If the transaction is consummated, these distributions could result in the Company recording gains on the retained interests, and such gains could be material. There are a number of conditions that must be met before such transaction can occur, many of which are beyond the Company’s control. As a result, there is no assurance the transaction will be completed.