Note 5.—Securitized Mortgage Trusts

Securtized Mortgage Trust Assets

Securitized mortgage trust assets, which are recorded at their estimated fair value (FMV), are comprised of the following at March 31, 2017 and December 31, 2016:


	March 31,		December 31,
	2017		2016
Securitized mortgage collateral	$	3,903,336	$	4,021,891
REO		8,340		11,399
Total securitized mortgage trust assets	$	3,911,676	$	4,033,290

Securitized Mortgage Trust Liabilities

Securitized mortgage trust liabilities, which are recorded at their estimated FMV, are comprised of the following at March 31, 2017 and December 31, 2016:


	March 31,		December 31,
	2017		2016
Securitized mortgage borrowings	$	3,892,668	$	4,017,603
Derivative liabilities, securitized trusts		—		—
Total securitized mortgage trust liabilities	$	3,892,668	$	4,017,603

Changes in fair value of net trust assets, including trust REO losses are comprised of the following for the three months ended March 31, 2017 and 2016:


	For the Three Months Ended
	March 31,
	2017		2016
Change in fair value of net trust assets, excluding REO	$	4,786	$	513
Gains (losses) from REO		1,533		(1,140)
Change in fair value of net trust assets, including trust REO gains (losses)	$	6,319	$	(627)