Mortgage Loans (Tables)

3 Months Ended

Mar. 31, 2016

Geographic Distribution of Mortgage Loans Held for Investment

The following table provides the geographic distribution of mortgage loans held for investment at March 31, 2016 and December 31, 2015, based on the unpaid principal balance.

	March 31, 2016			December 31, 2015
California		66	%		68	%
Washington		7	%		6	%
Texas		5	%		5	%
Illinois		3	%		3	%
All other		19	%		18	%
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 March 31, 2016 and December 31, 2015.

	March 31, 2016			December 31, 2015
		Portfolio			Portfolio
	Portfolio Range	Weighted Average		Portfolio Range	Weighted Average
Unpaid principal balance	$110 to $1,980	$	778	$116 to $1,987	$	804
Interest rate	2.63% to 4.00%		3.50%	2.63% to 4.00%		3.48%
Maturity	11/2044 to 4/2046	11/2045		11/2044 to 2/2046	10/2045
FICO score at loan origination	700 to 811	762		701 to 811	763
Loan-to-value ratio at loan origination	20% to 80%		71%	20% to 80%		71%

Rollforward of Mortgage Loans Held for Investment

The following table presents the rollforward of mortgage loans held for investment for the periods presented.  

	Three Months Ended March 31
	2016			2015
Fair value, beginning of period	$	116,857		$	31,460
Purchased		40,855			95,769
Repaid		(6,428	)		(4,172	)
Change in fair value		913			244
Fair value, end of period	$	152,197		$	123,301

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 March 31, 2016 and December 31, 2015.

	March 31, 2016				December 31, 2015
		Weighted-				Weighted-
Unobservable Input	Range	Average			Range	Average
Discount rate	2.8% - 3.1%		3.0	%	3.0% - 3.5%		3.3	%
Conditional refinance rate	14.6% - 21.5%		17.4	%	13.6% - 21.7%		16.4	%
Default rate	0% - 1.9%		0.4	%	0% - 2.1%		0.7	%
Loss severity	10.0% - 21.4%		13.3	%	10.5% - 22.2%		14.9	%

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 March 31, 2016 and December 31, 2015 based on the unpaid principal balance.

	March 31, 2016			December 31, 2015
California		49	%		49	%
Texas		11	%		10	%
Illinois		7	%		6	%
Washington		5	%		5	%
All other		28	%		30	%
Total		100	%		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 March 31, 2016 and December 31, 2015.

	March 31, 2016			December 31, 2015
		Portfolio			Portfolio
	Portfolio Range	Weighted Average		Portfolio Range	Weighted Average
Unpaid principal balance	$220 to $1,926	$	731	$291 to $1,933	$	742
Interest rate	2.50% to 4.13%		3.38%	2.50% to 4.13%		3.38%
Maturity	6/2044 to 11/2045	3/2045		6/2044 to 11/2045	3/2045
FICO score at loan origination	700 to 813	769		700 to 815	769
Loan-to-value ratio at loan origination	24% to 80%		69%	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.

	Three Months Ended March 31
	2016			2015
Fair value, beginning of period	$	226,908		$	-
Purchased		-			-
Repaid		(18,439	)		-
Change in fair value		949			-
Fair value, end of period	$	209,418		$	-

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 March 31, 2016 and December 31, 2015.

	March 31, 2016				December 31, 2015
		Weighted-				Weighted-
Unobservable Input	Range	Average			Range	Average
Discount rate	2.7% - 3.2%		3.0	%	2.2% - 3.6%		3.3	%
Conditional refinance rate	13.9% - 22.3%		17.2	%	0.0% - 21.3%		16.4	%
Default rate	0% - 1.8%		0.4	%	0.0% - 2.0%		0.5	%
Loss severity	10.0% - 22.8%		13.4	%	0.0% - 22.9%		14.4	%