Note 12—Mortgage Loans at Fair Value

Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and, to the extent they are not held in a VIE securing an asset-backed financing, may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified mortgage loan.

Following is a summary of the distribution of the Company’s mortgage loans at fair value:

	December 31, 2016				December 31, 2015
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans
Nonperforming mortgage loans	$	742,988	$	1,020,994	$	1,222,956	$	1,702,548
Performing mortgage loans:
Fixed interest rate		296,901		408,943		417,658		535,610
Interest rate step-up		232,700		317,409		299,569		412,749
Adjustable-rate/hybrid		81,983		92,313		160,051		185,997
Balloon		—		—		160		204
		611,584		818,665		877,438		1,134,560
		1,354,572		1,839,659		2,100,394		2,837,108
Fixed interest rate jumbo mortgage loans held in a VIE		367,169		368,524		455,394		454,935
	$	1,721,741	$	2,208,183	$	2,555,788	$	3,292,043
Mortgage loans at fair value pledged to secure:
Assets sold under agreements to repurchase	$	1,345,021			$	2,067,341
Asset-backed financing of a VIE at fair value and FHLB advances	$	367,169			$	455,394
FHLB advances	$	—			$	134,172

Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value:

Concentration	December 31, 2016		December 31, 2015
	(percentages are of fair value)
Portion of mortgage loans originated between 2005 and 2007		72%		72%
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100%		41%		48%
States contributing 5% or more of mortgage loans	New York California New Jersey Florida Massachusetts		New York California New Jersey Florida