Mortgage Loans (Tables)

12 Months Ended

Dec. 31, 2015

Geographic Distribution of Mortgage Loans Held for Investment

The following table provides the geographic distribution of mortgage loans held for investment at December 31, 2015 and December 31, 2014, based on the unpaid principal balance.

	December 31, 2015			December 31, 2014
California		68	%		82	%
Washington		6	%		2	%
Texas		5	%		3	%
Illinois		3	%		2	%
All other		18	%		11	%
Total		100	%		100	%

Components for Mortgage Loan Held for Investment Portfolio

The following table provides additional data on the Company’s mortgage loan portfolio at December 31, 2015 and 2014.

	December 31, 2015			December 31, 2014
		Portfolio			Portfolio
	Portfolio Range	Weighted Average		Portfolio Range	Weighted Average
Unpaid principal balance	$116 to $1,987	$	804	$447 to $1,332	$	790
Interest rate	2.63% to 4.00%		3.48%	2.75% to 3.75%		3.43%
Maturity	11/2044 to 2/2046	10/2045		6/2044 to 12/2044	9/2044
FICO score at loan origination	701 to 811	763		705 to 813	762
Loan-to-value ratio at loan origination	20% to 80%		71%	28% to 80%		65%

Rollforward of Mortgage Loans Held for Investment

The following table presents the rollforward of mortgage loans held for investment for the periods presented.  The Company did not invest in mortgage loans prior to 2014.

	Twelve Months Ended December 31
	2015			2014			2013
Fair value, beginning of period	$	31,460		$	-		$	-
Purchased		357,996			31,463			-
Repaid		(42,286	)		-			-
Sold to securitization trust		(223,278	)		-			-
Change in fair value		(7,035	)		(3	)		-
Fair value, end of period	$	116,857		$	31,460		$	-

Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Loans Held for Investment

The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s mortgage loans held for investment at December 31, 2015 and 2014.

	December 31, 2015				December 31, 2014
		Weighted-				Weighted-
Unobservable Input	Range	Average			Range	Average
Discount rate	3.0% - 3.5%		3.3	%	3.6% - 3.9%		3.8	%
Conditional refinance rate	13.6% - 21.7%		16.4	%	12.4% - 19.3%		15.3	%
Default rate	0% - 2.1%		0.7	%	0% - 1.5%		0.4	%
Loss severity	10.5% - 22.2%		14.9	%	10.2% - 19.9%		13.8	%

Mortgage Loans Held for Investment in Securitization Trusts, at Fair Value

Geographic Distribution of Mortgage Loans Held for Investment

The following table provides the geographic distribution of mortgage loans held for investment in securitization trusts at December 31, 2015 based on the unpaid principal balance.

	December 31, 2015
California		49	%
Texas		10	%
Illinois		6	%
Washington		5	%
All other		30	%
Total		100	%

Components for Mortgage Loan Held for Investment Portfolio

The following table provides additional data on mortgage loans held for investment in in securitization trusts at December 31, 2015.

	December 31, 2015
		Portfolio
	Portfolio Range	Weighted Average
Unpaid principal balance	$291 to $1,933	$	742
Interest rate	2.50% to 4.13%		3.38%
Maturity	6/2044 to 11/2045	3/2045
FICO score at loan origination	700 to 815	769
Loan-to-value ratio at loan origination	24% to 80%		69%

Rollforward of Mortgage Loans Held for Investment

The following table presents the rollforward of mortgage loans held for investment in securitization trusts for the period presented.

	2015
Fair value, beginning of period	$	-
Purchased		223,278
Repaid		(1,822	)
Change in fair value		5,452
Fair value, end of period	$	226,908

Schedule of Unobservable Inputs Used in Level 3 Valuation of Mortgage Loans Held for Investment

The following table provides information about the significant unobservable inputs used in the Level 3 valuation of the Company’s mortgage loans held for investment in securitization trusts at December 31, 2015.

	December 31, 2015
		Weighted-
Unobservable Input	Range	Average
Discount rate	2.2% - 3.6%		3.3	%
Conditional refinance rate	0.0% - 21.3%		16.4	%
Default rate	0.0% - 2.0%		0.5	%
Loss severity	0.0% - 22.9%		14.4	%