Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

Fair Value Disclosures [Abstract]

Assets Measured at Fair Value on Recurring Basis

(in thousands)
				Quoted Prices
				in Active		Significant
				Markets for		Other		Significant
				Identical		Observable		Unobservable
		Fair Value		Assets		Inputs		Inputs
		Measurements		(Level 1)		(Level 2)		(Level 3)
December 31, 2015
Mortgage-backed securities	$	83,988	$	-	$	83,988	$	-
Eurodollar futures contracts		402		402		-		-
Orchid Island Capital, Inc. common stock		13,853		13,853		-		-
Retained interests		1,124		-		-		1,124
December 31, 2014
Mortgage-backed securities	$	117,831	$	-	$	117,831	$	-
Eurodollar futures contracts		476		476		-		-
Orchid Island Capital, Inc. common stock		12,811		12,811		-		-
Retained interests		1,900		-		-		1,900

Changes is Level 3 Assets Measured at Fair Value on a Recurring Basis

(in thousands)
		Retained Interests
		2015		2014
Balances, January 1	$	1,900	$	2,531
Gain included in earnings		2,962		3,815
Collections		(3,738)		(4,446)
Balances, December 31	$	1,124	$	1,900

Quantitative Information About Level 3 Fair Value Measurements

Retained interest fair value ($ in thousands)			$	1,124
		CPR Range
Prepayment Assumption		(Weighted Average)
Constant Prepayment Rate		10% (10%)
		Severity Range
Default Assumptions	Probability of Default	(Weighted Average)		Range Of Loss Timing
Real Estate Owned	100%	41.6%		Next 10 Months
Loans in Foreclosure	100%	41.6%		Month 4 - 13
Loans 90 Day Delinquent	100%	45%		Month 11-28
Loans 60 Day Delinquent	85%	45%		Month 11-28
Loans 30 Day Delinquent	75%	45%		Month 11-28
Current Loans	2.5%	45%		Month 29 and Beyond
		Remaining Life Range		Discount Rate Range
Cash Flow Recognition	Valuation Technique	(Weighted Average)		(Weighted Average)
Nominal Cash Flows	Discounted Cash Flow	0.2 - 15.4 (4.7)		27.50% (27.50%)
Discounted Cash Flows	Discounted Cash Flow	0.2 - 11.5 (1.2)		27.50% (27.50%)