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Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2017

Variable Interest Entities [Abstract]

Summary of Assets and Liabilities of Variable Interest Entities


	June 30,		December 31,
	2017		2016
	(in thousands)
Residential mortgage loans held-for-investment	$	695,255	$	744,462
Accrued interest receivable		2,291		2,468
Total assets	$	697,546	$	746,930
Accrued interest payable	$	2,244	$	2,399
Asset-backed securities issued by securitization trusts		685,888		728,683
Total liabilities	$	688,132	$	731,082

Summary of Residential Mortgage Loans Held-for-Investment


	June 30,		December 31,
	2017		2016
	(in thousands)
Principal balance	$	688,919	$	736,788
Unamortized premium, net of discount		6,539		7,877
Allowance for loan losses		(203)		(203)
Carrying value	$	695,255	$	744,462

Summary of Reconciliation of Carrying Value of Residential Mortgage Loans Held-for-Investment


	Three Months Ended		For the Year Ended
	June 30,		December 31,
	2017		2016
	(in thousands)
Balance at beginning of period	$	723,777	$	969,172
Deductions during period:
Collections of principal		(27,865)		(221,615)
Amortization of premium		(657)		(3,095)
Balance at end of period	$	695,255	$	744,462

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


	June 30,			December 31,
	2017			2016
	(dollar amounts in thousands)
Portfolio Characteristics:
Number of loans		997			1,052
Current principal balance	$	688,919		$	736,788
Average loan balance	$	691		$	700
Net weighted average coupon rate		3.86	%		3.86	%
Weighted average maturity (years)		26.8			27.3
Weighted average FICO score		761			764
Current Performance:
Current	$	685,939		$	735,487
30 days delinquent		2,167			1,301
60 days delinquent		—			—
90+ days delinquent		813			—
Bankruptcy/foreclosure		—			—
Total	$	688,919		$	736,788

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


	June 30,		December 31,
State	2017		2016
California	43.9	%	42.9	%
Florida	6.3		8.4
Other states (none greater than 5%)	49.8		48.7
Total	100.0	%	100.0	%

Summary of Activity in Allowance for Loan Losses


	June 30,		December 31,
	2017		2016
	(in thousands)
Balance at beginning of period	$	203	$	203
Provision for loan losses		—		—
Charge-offs, net		—		—
Balance at end of period	$	203	$	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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