Fair value of financial instruments

3 Months Ended

Mar. 31, 2013

Fair Value Disclosures [Abstract]

Fair value of financial instruments [Text Block]

Fair value of financial instruments

The following table sets forth the financial assets and liabilities that we measure at fair value by level within the fair value hierarchy as of March 31, 2013 ($ in thousands):

	Level 1		Level 2		Level 3
	Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring basis (assets)
Mortgage loans at fair value	$	—	$	—	$	87,670
Nonrecurring basis (assets)
Transfer of mortgage loans to real estate owned	$	—	$	—	$	156
Not recognized on consolidated balance sheets (liabilities)
Repurchase agreement at fair value	$	—	$	12,926	$	—

There were no corresponding financial assets or liabilities measured at fair value as of December 31, 2012.

The carrying values of our cash and cash equivalents, related party receivables, accounts payable and accrued liabilities, and related party payables are equal to or approximate fair value The fair value of repurchase agreement was estimated using the income approach to approximate the price that would be paid in an orderly transaction between market participants on the measurement date for similar floating rate debt.

The following table sets forth the changes in our level 3 assets that are measured at fair value on a recurring basis ($ in thousands):

	Three months ended March 31, 2013
Mortgage loans at fair value
Beginning balance	$	—
Investment in mortgage loans	88,257
Net unrealized gains on mortgage loans at fair value	1,128
Net realized gains on mortgage loans at fair value	387
Mortgage loan dispositions and repayments	(1,946		)
Transfer of mortgage loans to real estate owned	(156		)
Ending balance	$	87,670
Net unrealized gains on mortgage loans at fair value still held	$	1,128
Accumulated net unrealized gains on mortgage loans at fair value still held	$	1,128

There was no corresponding activity for level 3 assets for the three months ended March 31, 2012.

The following table sets forth the fair value of our mortgage loans and the related unpaid principal balance and collateral market value by delinquency as of March 31, 2013 ($ in thousands):

	Fair value		Unpaid principal balance		Collateral market value
Current	$	3,662	$	7,851	$	6,718
30	1,613		3,871		2,827
60	4,377		6,586		6,304
90	41,988		81,713		64,713
Foreclosure	36,030		73,147		54,574
Mortgage loans at fair value	$	87,670	$	173,168	$	135,136

There were no corresponding assets as of December 31, 2012.

The significant unobservable inputs used in the fair value measurement of our mortgage loans at fair value are discount rates, forecasts of future home prices, gross rental rates, alternate resolution probabilities and timelines. Significant changes in any of these inputs in isolation could result in a significant change to the fair value measurement. A decrease in the discount rate in isolation would increase the fair value. A decrease in the housing pricing index or gross rental rates in isolation would decrease the fair value. Individual loan characteristics such as location and value of underlying collateral affects the loan resolution probabilities and timelines. An increase in the loan resolution timeline in isolation would decrease the fair value. The following table sets forth quantitative information about the significant unobservable inputs used to measure the fair value of our mortgage loans as of March 31, 2013:

	Range
Discount rate	15.0%
Gross monthly rental rates	$690 to $2,800
Home pricing index	-1.4% to 1.8%
Loan resolution probabilities - modification	0% to 22.3%
Loan resolution probabilities - rental	0% to 100.0%
Loan resolution probabilities - short sale	0% to 60.0%
Loan resolution probabilities - liquidation	0% to 98.8%
Loan resolution timelines	1 to 60 months

There were no corresponding fair value measurements as of December 31, 2012.