3.	Collateralized Financing Entity

As discussed under “Principles of Consolidation” above, the Company consolidates a CFE that purchased individual whole mortgage loans from one of the Company’s subsidiaries and issued MBS that are backed by the loans. The Company purchased most of the MBS issued by the CFE. The Company has elected the fair value option for the financial assets and liabilities of the CFE in order to avoid an accounting mismatch and more accurately present the economics of the securitization. The underlying loans are classified as “Mortgage loans held for investment in securitization trusts, at fair value” and the portion of the related debt that is not eliminated in consolidation is classified as “Collateralized borrowings in securitization trusts, at fair value” in the consolidated balance sheets. The securitized mortgage loans are legally isolated from the Company, are beyond the reach of the Company’s creditors, and may only be used to settle obligations of the CFE. Similarly, investors in the collateralized borrowings issued by the CFE have recourse against the assets within the CFE, but have no recourse against the Company itself. The Company is not contractually required to provide and has not provided any form of financial support to the CFE.

The following table presents the carrying amounts and classifications of the CFE’s assets and liabilities as reflected in the Company’s consolidated balance sheets, prior to certain consolidation adjustments:

	March 31, 2016		December 31, 2015
Mortgage loans held-for-investment in securitization trusts	$	208,047	$	225,285
Accrued interest receivable and other assets		8,176		2,955
Total assets	$	216,223	$	228,240
Collateralized borrowings in securitization trusts	$	60,550	$	57,611
Accrued interest payable		125		133
Other liabilities		37		40
Total liabilities	$	60,712	$	57,784

The following table presents the statement of income of the CFE as reflected in the Company’s consolidated statements of income:


	Three Months Ended
	March 31, 2016
Interest income	$	1,819
Interest expense		(406	)
Net interest margin		1,413
Gain on mortgage loans		1,201
Loss on collateralized borrowings		(358	)
Operating expenses		(26	)
Net income	$	2,230